Annual report pursuant to Section 13 and 15(d)

Repurchase Agreements (Tables)

v3.22.0.1
Repurchase Agreements (Tables)
 12 Months Ended
Dec. 31, 2021
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Repurchase Agreements By Term, Short or Long
At December 31, 2021 and December 31, 2020, the repurchase agreement balances were as follows:
(in thousands) December 31,
2021		 December 31,
2020
Short-term $ 7,656,445  $ 15,143,898 
Long-term —  — 
Total $ 7,656,445  $ 15,143,898 
Schedule of Repurchase Agreements by Maturity
At December 31, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities:
December 31, 2021
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 1,617,186  $ —  $ 10,097  $ —  $ 1,627,283 
30 to 59 days 1,807,544  —  —  —  1,807,544 
60 to 89 days 1,979,717  171  1,168  —  1,981,056 
90 to 119 days 1,240,915  —  8,520  —  1,249,435 
120 to 364 days 849,868  —  16,259  125,000  991,127 
Total $ 7,495,230  $ 171  $ 36,044  $ 125,000  $ 7,656,445 
Weighted average borrowing rate
 0.17  % 1.24  % 0.74  % 4.00  % 0.24  %
December 31, 2020
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 5,330,627  $ 1,271  $ 38,608  $ —  $ 5,370,506 
30 to 59 days 4,292,861  —  —  —  4,292,861 
60 to 89 days 2,060,087  628  1,519  —  2,062,234 
90 to 119 days 1,598,052  —  12,146  —  1,610,198 
120 to 364 days 1,808,099  —  —  —  1,808,099 
Total $ 15,089,726  $ 1,899  $ 52,273  $ —  $ 15,143,898 
Weighted average borrowing rate
 0.28  % 2.33  % 0.89  % —  % 0.28  %
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 repurchase agreements:
(in thousands) December 31,
2021		 December 31,
2020
Available-for-sale securities, at fair value $ 7,009,449  $ 14,633,217 
Mortgage servicing rights, at fair value (1)
725,985  — 
Restricted cash 747,779  1,071,239 
Due from counterparties 30,764  21,312 
Derivative assets, at fair value 39,609  61,557 
Total $ 8,553,586  $ 15,787,325 
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity
The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at December 31, 2021 and December 31, 2020:
December 31, 2021 December 31, 2020
(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
Credit Suisse
 $ 125,000  $ 353,975  13  % 181 $ —  $ —  —  % 0
All other counterparties (2)
7,531,445  314,258  11  % 65 15,143,898  527,045  17  % 58
Total $ 7,656,445  $ 668,233  $ 15,143,898  $ 527,045 
____________________
(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.
(2)Represents amounts outstanding with 19 and 20 counterparties at December 31, 2021 and December 31, 2020, respectively.