TWO Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

Repurchase Agreements

3 Months Ended

Mar. 31, 2020

Disclosure of Repurchase Agreements [Abstract]

As of March 31, 2020 and December 31, 2019, the Company had outstanding $17.8 billion and $29.1 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 1.86% and 2.14% and weighted average remaining maturities of 53 and 77 days as of March 31, 2020 and December 31, 2019, respectively.

At March 31, 2020 and December 31, 2019, the repurchase agreement balances were as follows:



(in thousands)	March 31, 2020		December 31, 2019
Short-term	$	17,795,516	$	29,147,463
Long-term	—		—
Total	$	17,795,516	$	29,147,463

At March 31, 2020 and December 31, 2019, the repurchase agreements had the following characteristics and remaining maturities:



	March 31, 2020
	Collateral Type
(in thousands)	Agency RMBS			Non-Agency Securities			Agency Derivatives			Mortgage Servicing Rights			Total Amount Outstanding
Within 30 days	$	6,109,701		$	5,241		$	23,276		$	—		$	6,138,218
30 to 59 days	6,019,847			2,297			12,310			—			6,034,454
60 to 89 days	2,046,509			—			—			—			2,046,509
90 to 119 days	1,722,924			—			—			—			1,722,924
120 to 364 days	1,839,255			—			14,156			—			1,853,411
Total	$	17,738,236		$	7,538		$	49,742		$	—		$	17,795,516
Weighted average borrowing rate	1.86		%	2.79		%	2.60		%	—		%	1.86		%



	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
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		%

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)	March 31, 2020		December 31, 2019
Available-for-sale securities, at fair value	$	17,661,378	$	29,575,948
Mortgage servicing rights, at fair value	368,779		530,222
Restricted cash	299,579		919,010
Due from counterparties	43,794		102,365
Derivative assets, at fair value	73,221		68,874
Total	$	18,446,751	$	31,196,419

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. Additionally, certain repurchase facilities secured by MSR may be over-collateralized due to operational considerations.

As of both March 31, 2020 and December 31, 2019, 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.