Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Tables)

v3.22.2
Repurchase Agreements (Tables)
 6 Months Ended
Jun. 30, 2022
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Repurchase Agreements by Maturity
At June 30, 2022 and December 31, 2021, the Company’s repurchase agreements had the following characteristics and remaining maturities:
June 30, 2022
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 2,342,564  $ 23,880  $ 6,818  $ —  $ 2,373,262 
30 to 59 days 976,012  —  —  —  976,012 
60 to 89 days 2,039,223  219  876  —  2,040,318 
90 to 119 days 998,159  23,835  15,051  —  1,037,045 
120 to 364 days 1,131,610  —  —  400,000  1,531,610 
Total $ 7,487,568  $ 47,934  $ 22,745  $ 400,000  $ 7,958,247 
Weighted average borrowing rate
 1.27  % 2.44  % 1.89  % 5.12  % 1.48  %
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  %
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) June 30,
2022		 December 31,
2021
Available-for-sale securities, at fair value $ 7,420,521  $ 7,009,449 
Mortgage servicing rights, at fair value (1)
1,089,448  725,985 
Restricted cash 362,937  747,779 
Due from counterparties 111,724  30,764 
Derivative assets, at fair value 23,336  39,609 
Total $ 9,007,966  $ 8,553,586 
____________________
(1)MSR repurchase agreements are secured by a VFN issued in connection with the Company’s securitization of MSR, which is collateralized by the Company’s MSR.
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 June 30, 2022 and December 31, 2021:
June 30, 2022 December 31, 2021
(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
 $ 423,880  $ 94,723  4  % 212 $ 125,000  $ 353,975  13  % 181
All other counterparties (2)
7,534,367  455,350  18  % 77 7,531,445  314,258  11  % 65
Total $ 7,958,247  $ 550,073  $ 7,656,445  $ 668,233 
____________________
(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 20 and 19 counterparties at June 30, 2022 and December 31, 2021, respectively.