Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Tables)

v3.24.3
Repurchase Agreements (Tables)
 9 Months Ended
Sep. 30, 2024
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Repurchase Agreements by Maturity
At September 30, 2024 and December 31, 2023, the Company’s repurchase agreements had the following characteristics and remaining maturities:
September 30, 2024
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 2,398,450  $ —  $ 4,729  $ —  $ 2,403,179 
30 to 59 days 2,180,469  —  —  —  2,180,469 
60 to 89 days —  —  —  —  — 
90 to 119 days 1,173,329  —  —  —  1,173,329 
120 to 364 days 2,355,486  207  730  —  2,356,423 
One year and over —  —  —  650,000  650,000 
Total $ 8,107,734  $ 207  $ 5,459  $ 650,000  $ 8,763,400 
Weighted average borrowing rate
 5.20  % 5.39  % 5.88  % 7.99  % 5.40  %
December 31, 2023
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 2,772,975 $ — $ 1,615 $ 58,572 $ 2,833,162
30 to 59 days 1,918,818 — — — 1,918,818
60 to 89 days 2,058,518 233 687 — 2,059,438
90 to 119 days 989,045 — 5,744 — 994,789
120 to 364 days — — — 214,000 214,000
Total $ 7,739,356 $ 233 $ 8,046 $ 272,572 $ 8,020,207
Weighted average borrowing rate
 5.64  % 6.36  % 6.14  % 7.08  % 5.74  %
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets
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,
2024		 December 31,
2023
Available-for-sale securities, at fair value $ 8,416,131  $ 8,126,028 
Mortgage servicing rights, at fair value (1)
1,068,467  463,529 
Restricted cash 12,497  12,375 
Due from counterparties 15,108  36,420 
Derivative assets, at fair value 8,148  11,877 
Total $ 9,520,351  $ 8,650,229 
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(1)As of September 30, 2024 and December 31, 2023, MSR repurchase agreements of $650.0 million and $214.0 million, respectively, were secured by a VFN issued in connection with the Company’s securitization of MSR. The VFN is collateralized by the Company’s MSR. As of December 31, 2023, MSR repurchase agreements of $58.6 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. Prior to their maturity and repayment during the nine months ended September 30, 2024, the term notes were collateralized by the Company’s MSR.