Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.24.1.u1
Repurchase Agreements
 3 Months Ended
Mar. 31, 2024
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of March 31, 2024 and December 31, 2023, the Company had outstanding $8.4 billion and $8.0 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 5.61% and 5.74% and weighted average remaining maturities of 91 and 55 days as of March 31, 2024 and December 31, 2023, respectively.
At March 31, 2024 and December 31, 2023, the Company’s repurchase agreements had the following characteristics and remaining maturities:
March 31, 2024
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 2,262,318  $ —  $ 7,752  $ 58,977  $ 2,329,047 
30 to 59 days 1,367,028  —  —  —  1,367,028 
60 to 89 days 1,022,997  —  —  —  1,022,997 
90 to 119 days 702,452  —  —  —  702,452 
120 to 364 days 2,739,235  217  662  200,000  2,940,114 
Total $ 8,094,030  $ 217  $ 8,414  $ 258,977  $ 8,361,638 
Weighted average borrowing rate
 5.51  % 6.13  % 6.10  % 6.92  % 5.61  %
December 31, 2023
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 2,772,975 $ — $ 1,615 $ 58,572 $ 2,833,162
30 to 59 days 1,918,818 — — — 1,918,818
60 to 89 days 2,058,518 233 687 — 2,059,438
90 to 119 days 989,045 — 5,744 — 994,789
120 to 364 days — — — 214,000 214,000
Total $ 7,739,356 $ 233 $ 8,046 $ 272,572 $ 8,020,207
Weighted average borrowing rate
 5.64  % 6.36  % 6.14  % 7.08  % 5.74  %

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) March 31,
2024		 December 31,
2023
Available-for-sale securities, at fair value $ 8,178,289  $ 8,126,028 
Mortgage servicing rights, at fair value (1)
468,610  463,529 
Restricted cash 24,871  12,375 
Due from counterparties 237,711  36,420 
Derivative assets, at fair value 9,546  11,877 
Total $ 8,919,027  $ 8,650,229 
____________________
(1)As of March 31, 2024 and December 31, 2023, MSR repurchase agreements of $200.0 million and $214.0 million, respectively, were secured by a VFN issued in connection with the Company’s securitization of MSR and MSR repurchase agreements of $59.0 million and $58.6 million, respectively, were secured by a portion of the term notes issued in connection with the Company’s securitization of MSR and repurchased by the Company. The VFN and the term notes are both collateralized by the Company’s MSR.

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.
As of both March 31, 2024 and December 31, 2023, 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.