| Repurchase Agreements |
Repurchase Agreements
As of December 31, 2019 and December 31, 2018, the Company had outstanding $29.1 billion and $23.1 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps and caps, the repurchase agreements had a weighted average borrowing rate of 2.14% and 2.68% and weighted average remaining maturities of 77 and 66 days as of December 31, 2019 and December 31, 2018, respectively.
At December 31, 2019 and December 31, 2018, the repurchase agreement balances were as follows:
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|
(in thousands) |
December 31,
2019 |
|
December 31,
2018 |
Short-term |
$ |
29,147,463 |
|
|
$ |
22,833,476 |
|
Long-term |
— |
|
|
300,000 |
|
Total |
$ |
29,147,463 |
|
|
$ |
23,133,476 |
|
At December 31, 2019 and December 31, 2018, the repurchase agreements had the following characteristics and remaining maturities:
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December 31, 2019 |
|
Collateral Type |
|
|
(in thousands) |
Agency RMBS |
|
Non-Agency Securities |
|
Agency Derivatives |
|
Mortgage Servicing Rights |
|
Total Amount Outstanding |
Within 30 days |
$ |
5,112,681 |
|
|
$ |
193,235 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,305,916 |
|
30 to 59 days |
6,074,151 |
|
|
212,998 |
|
|
13,223 |
|
|
— |
|
|
6,300,372 |
|
60 to 89 days |
6,355,887 |
|
|
329,493 |
|
|
1,905 |
|
|
— |
|
|
6,687,285 |
|
90 to 119 days |
4,227,589 |
|
|
489,352 |
|
|
23,276 |
|
|
— |
|
|
4,740,217 |
|
120 to 364 days |
5,532,219 |
|
|
306,529 |
|
|
12,310 |
|
|
262,615 |
|
|
6,113,673 |
|
One year and over |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Total |
$ |
27,302,527 |
|
|
$ |
1,531,607 |
|
|
$ |
50,714 |
|
|
$ |
262,615 |
|
|
$ |
29,147,463 |
|
Weighted average borrowing rate |
2.08 |
% |
|
2.90 |
% |
|
2.70 |
% |
|
3.51 |
% |
|
2.14 |
% |
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December 31, 2018 |
|
Collateral Type |
|
|
(in thousands) |
Agency RMBS |
|
Non-Agency Securities |
|
Agency Derivatives |
|
Mortgage Servicing Rights |
|
Total Amount Outstanding |
Within 30 days |
$ |
6,712,021 |
|
|
$ |
770,287 |
|
|
$ |
6,561 |
|
|
$ |
— |
|
|
$ |
7,488,869 |
|
30 to 59 days |
4,557,688 |
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|
496,466 |
|
|
23,444 |
|
|
— |
|
|
5,077,598 |
|
60 to 89 days |
5,410,967 |
|
|
242,473 |
|
|
1,621 |
|
|
— |
|
|
5,655,061 |
|
90 to 119 days |
1,209,395 |
|
|
722,399 |
|
|
7,065 |
|
|
— |
|
|
1,938,859 |
|
120 to 364 days |
2,201,325 |
|
|
463,939 |
|
|
7,825 |
|
|
— |
|
|
2,673,089 |
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One year and over |
— |
|
|
— |
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|
— |
|
|
300,000 |
|
|
300,000 |
|
Total |
$ |
20,091,396 |
|
|
$ |
2,695,564 |
|
|
$ |
46,516 |
|
|
$ |
300,000 |
|
|
$ |
23,133,476 |
|
Weighted average borrowing rate |
2.52 |
% |
|
3.65 |
% |
|
3.34 |
% |
|
4.51 |
% |
|
2.68 |
% |
The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements and derivative instruments:
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(in thousands) |
December 31,
2019 |
|
December 31,
2018 |
Available-for-sale securities, at fair value |
$ |
29,575,948 |
|
|
$ |
24,240,507 |
|
Mortgage servicing rights, at fair value |
530,222 |
|
|
685,683 |
|
Restricted cash |
919,010 |
|
|
416,696 |
|
Due from counterparties |
102,365 |
|
|
110,695 |
|
Derivative assets, at fair value |
68,874 |
|
|
70,191 |
|
U.S. Treasuries (1)
|
— |
|
|
6,457 |
|
Total |
$ |
31,196,419 |
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|
$ |
25,530,229 |
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____________________
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(1) |
U.S. Treasuries received as collateral and re-pledged. |
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.
The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at December 31, 2019 and December 31, 2018:
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December 31, 2019 |
|
December 31, 2018 |
(dollars in thousands) |
Amount Outstanding |
|
Net Counterparty Exposure (1)
|
|
Percent of Equity |
|
Weighted Average Days to Maturity |
|
Amount Outstanding |
|
Net Counterparty Exposure (1)
|
|
Percent of Equity |
|
Weighted Average Days to Maturity |
Royal Bank of Canada |
$ |
3,957,732 |
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|
$ |
310,116 |
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|
6 |
% |
|
55 |
|
$ |
2,504,438 |
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$ |
342,739 |
|
|
8 |
% |
|
94 |
Barclays Capital Inc. |
2,437,598 |
|
|
216,279 |
|
|
4 |
% |
|
99 |
|
2,508,277 |
|
|
280,148 |
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|
7 |
% |
|
50 |
All other counterparties (2)
|
22,752,133 |
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|
1,256,063 |
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|
25 |
% |
|
77 |
|
18,120,761 |
|
|
1,399,187 |
|
|
33 |
% |
|
64 |
Total |
$ |
29,147,463 |
|
|
$ |
1,782,458 |
|
|
|
|
|
|
$ |
23,133,476 |
|
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$ |
2,022,074 |
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____________________
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(1) |
Represents the net carrying value of the 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. |
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(2) |
Represents amounts outstanding with 22 and 28 counterparties at December 31, 2019 and December 31, 2018, respectively.
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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.
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