Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.23.3
Repurchase Agreements
 9 Months Ended
Sep. 30, 2023
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of September 30, 2023 and December 31, 2022, the Company had outstanding $9.1 billion and $8.6 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 5.65% and 3.95% and weighted average remaining maturities of 98 and 59 days as of September 30, 2023 and December 31, 2022, respectively. The Company’s repurchase agreements that are or were indexed to USD-LIBOR have been amended to transition to an alternative benchmark, where necessary. Any other unmodified agreements that incorporate LIBOR as the referenced rate either (i) already had provisions in place that provide for an alternative to LIBOR upon its phase-out, (ii) matured or (iii) were terminated prior to June 30, 2023. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR.
At September 30, 2023 and December 31, 2022, the Company’s repurchase agreements had the following characteristics and remaining maturities:
September 30, 2023
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights
U.S. Treasuries (1)
Total Amount Outstanding
Within 30 days $ 1,648,688  $ —  $ 10,848  $ 58,066  $ —  $ 1,717,602 
30 to 59 days 1,128,619  —  414  —  —  1,129,033 
60 to 89 days —  —  —  —  —  — 
90 to 119 days 2,350,887  —  —  219,750  —  2,570,637 
120 to 364 days 3,695,427  233  338  —  —  3,695,998 
Total $ 8,823,621  $ 233  $ 11,600  $ 277,816  $ —  $ 9,113,270 
Weighted average borrowing rate
 5.56  % 6.36  % 5.81  % 7.06  % —  % 5.65  %
December 31, 2022
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights
U.S. Treasuries (1)
Total Amount Outstanding
Within 30 days $ 2,570,254 $ 59,648 $ 4,177 $ — $ 57,116 $ 2,691,195
30 to 59 days 1,774,622 10,984 — — 375,131 2,160,737
60 to 89 days 2,280,675 177 503 — 255,282 2,536,637
90 to 119 days 696,283 — 8,393 — 200,766 905,442
120 to 364 days — — — 309,000 — 309,000
Total $ 7,321,834 $ 70,809 $ 13,073 $ 309,000 $ 888,295 $ 8,603,011
Weighted average borrowing rate
 3.70  % 5.73  % 4.83  % 7.91  % 4.49  % 3.95  %
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(1)U.S. Treasury securities effectively borrowed under reverse repurchase agreements.

The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of the Company’s repurchase agreements:
(in thousands) September 30,
2023		 December 31,
2022
Available-for-sale securities, at fair value $ 8,822,484  $ 7,426,953 
Mortgage servicing rights, at fair value (1)
503,611  667,238 
Restricted cash 343,092  77,429 
Due from counterparties 34,942  22,055 
Derivative assets, at fair value 9,631  14,738 
U.S. Treasuries (2)
—  877,632 
Total $ 9,713,760  $ 9,086,045 
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(1)As of September 30, 2023 and December 31, 2022, MSR repurchase agreements of $219.8 million and $309.0 million, respectively, were secured by a VFN issued in connection with the Company’s securitization of MSR. Additionally, as of September 30, 2023, MSR repurchase agreements of $58.1 million were secured by a portion of the term notes issued in connection with the Company’s securitization of MSR and repurchased by the Company. The VFN and the term notes are both collateralized by the Company’s MSR.
(2)U.S. Treasury securities effectively borrowed under reverse repurchase agreements.

Although the transactions under repurchase agreements represent committed borrowings until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls.
As of both September 30, 2023 and December 31, 2022, the net carrying value of assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest, with any individual counterparty or group of related counterparties did not exceed 10% of total stockholders’ equity. The Company does not anticipate any defaults by its repurchase agreement counterparties. There can be no assurance, however, that any such default or defaults will not occur.