| Schedule of Repurchase Agreements by Maturity |
At March 31, 2023 and December 31, 2022, the Company’s repurchase agreements had the following characteristics and remaining maturities:
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March 31, 2023 |
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Collateral Type |
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| (in thousands) |
Agency RMBS |
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Agency Other |
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Non-Agency Securities |
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Agency Derivatives |
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Mortgage Servicing Rights |
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U.S. Treasuries (1)
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Total Amount Outstanding |
| Within 30 days |
$ |
1,371,533 |
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$ |
70,508 |
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$ |
58,528 |
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$ |
11,942 |
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$ |
— |
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$ |
200,766 |
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$ |
1,713,277 |
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| 30 to 59 days |
1,546,940 |
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— |
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11,578 |
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— |
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— |
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— |
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1,558,518 |
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| 60 to 89 days |
1,303,639 |
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— |
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— |
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— |
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— |
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— |
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1,303,639 |
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| 90 to 119 days |
2,401,387 |
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— |
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— |
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— |
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— |
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— |
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2,401,387 |
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| 120 to 364 days |
1,759,204 |
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98,150 |
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183 |
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354 |
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250,000 |
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— |
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2,107,891 |
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| Total |
$ |
8,382,703 |
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$ |
168,658 |
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$ |
70,289 |
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$ |
12,296 |
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$ |
250,000 |
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$ |
200,766 |
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$ |
9,084,712 |
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Weighted average borrowing rate |
5.01 |
% |
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4.92 |
% |
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6.14 |
% |
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5.17 |
% |
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8.43 |
% |
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4.68 |
% |
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5.11 |
% |
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December 31, 2022 |
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Collateral Type |
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| (in thousands) |
Agency RMBS |
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Agency Other |
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Non-Agency Securities |
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Agency Derivatives |
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Mortgage Servicing Rights |
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U.S. Treasuries (1)
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Total Amount Outstanding |
| Within 30 days |
$ |
2,570,254 |
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$ |
— |
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$ |
59,648 |
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$ |
4,177 |
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$ |
— |
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$ |
57,116 |
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$ |
2,691,195 |
| 30 to 59 days |
1,774,622 |
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— |
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10,984 |
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— |
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— |
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375,131 |
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2,160,737 |
| 60 to 89 days |
2,280,675 |
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— |
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177 |
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503 |
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— |
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255,282 |
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2,536,637 |
| 90 to 119 days |
696,283 |
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— |
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— |
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8,393 |
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— |
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200,766 |
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905,442 |
| 120 to 364 days |
— |
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— |
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— |
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— |
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309,000 |
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— |
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309,000 |
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| Total |
$ |
7,321,834 |
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$ |
— |
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$ |
70,809 |
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$ |
13,073 |
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$ |
309,000 |
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$ |
888,295 |
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$ |
8,603,011 |
Weighted average borrowing rate |
3.70 |
% |
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— |
% |
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5.73 |
% |
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4.83 |
% |
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7.91 |
% |
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4.49 |
% |
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3.95 |
% |
____________________
(1)U.S. Treasury securities effectively borrowed under reverse repurchase agreements.
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| 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:
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| (in thousands) |
March 31,
2023 |
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December 31,
2022 |
| Available-for-sale securities, at fair value |
$ |
8,952,534 |
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$ |
7,426,953 |
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Mortgage servicing rights, at fair value (1)
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430,821 |
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667,238 |
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| Restricted cash |
77,429 |
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324,654 |
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| Due from counterparties |
29,510 |
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22,055 |
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| Derivative assets, at fair value |
15,309 |
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14,738 |
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U.S. Treasuries (2)
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195,290 |
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877,632 |
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| Total |
$ |
9,700,893 |
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$ |
9,333,270 |
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____________________
(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.
(2)U.S. Treasury securities effectively borrowed under reverse repurchase agreements..
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