| Schedule of Repurchase Agreements By Term, Short or Long |
At September 30, 2020 and December 31, 2019, the repurchase agreement balances were as follows:
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| (in thousands) |
September 30,
2020 |
|
December 31,
2019 |
| Short-term |
$ |
16,376,696 |
|
|
$ |
29,147,463 |
|
| Long-term |
— |
|
|
— |
|
| Total |
$ |
16,376,696 |
|
|
$ |
29,147,463 |
|
|
| Schedule of Repurchase Agreements by Maturity |
At September 30, 2020 and December 31, 2019, the repurchase agreements had the following characteristics and remaining maturities:
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September 30, 2020 |
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Collateral Type |
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| (in thousands) |
|
|
Agency RMBS |
|
Non-Agency Securities |
|
Agency Derivatives |
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|
Mortgage Servicing Rights |
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|
|
Total Amount Outstanding |
| Within 30 days |
|
|
$ |
3,754,489 |
|
|
$ |
— |
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|
$ |
36,500 |
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|
|
|
$ |
— |
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|
|
$ |
3,790,989 |
|
| 30 to 59 days |
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|
3,903,905 |
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|
2,371 |
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|
14,082 |
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|
— |
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|
3,920,358 |
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| 60 to 89 days |
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|
— |
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— |
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— |
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— |
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— |
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| 90 to 119 days |
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|
3,644,581 |
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|
— |
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— |
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|
— |
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|
3,644,581 |
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| 120 to 364 days |
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|
5,019,249 |
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|
— |
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|
1,519 |
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— |
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5,020,768 |
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| Total |
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|
$ |
16,322,224 |
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|
$ |
2,371 |
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|
$ |
52,101 |
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|
$ |
— |
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|
$ |
16,376,696 |
|
Weighted average borrowing rate |
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|
0.28 |
% |
|
2.30 |
% |
|
1.02 |
% |
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|
— |
% |
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|
0.29 |
% |
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December 31, 2019 |
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Collateral Type |
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| (in thousands) |
|
|
Agency RMBS |
|
Non-Agency Securities |
|
Agency Derivatives |
|
|
|
Mortgage Servicing Rights |
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|
|
Total Amount Outstanding |
| Within 30 days |
|
|
$ |
5,112,681 |
|
|
$ |
193,235 |
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|
$ |
— |
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|
$ |
— |
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|
$ |
5,305,916 |
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| 30 to 59 days |
|
|
6,074,151 |
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|
212,998 |
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|
13,223 |
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|
— |
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6,300,372 |
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| 60 to 89 days |
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|
6,355,887 |
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|
329,493 |
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|
1,905 |
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— |
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6,687,285 |
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| 90 to 119 days |
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|
4,227,589 |
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|
489,352 |
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|
23,276 |
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— |
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4,740,217 |
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| 120 to 364 days |
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|
5,532,219 |
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|
306,529 |
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|
12,310 |
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|
262,615 |
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|
6,113,673 |
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| Total |
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$ |
27,302,527 |
|
|
$ |
1,531,607 |
|
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$ |
50,714 |
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$ |
262,615 |
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$ |
29,147,463 |
|
Weighted average borrowing rate |
|
|
2.08 |
% |
|
2.90 |
% |
|
2.70 |
% |
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|
3.51 |
% |
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|
2.14 |
% |
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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 repurchase agreements:
|
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| (in thousands) |
September 30,
2020 |
|
December 31,
2019 |
| Available-for-sale securities, at fair value |
$ |
16,550,904 |
|
|
$ |
29,575,948 |
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| Mortgage servicing rights, at fair value |
— |
|
|
530,222 |
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| Restricted cash |
456,898 |
|
|
919,010 |
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| Due from counterparties |
32,507 |
|
|
102,365 |
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| Derivative assets, at fair value |
66,785 |
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|
68,874 |
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| Total |
$ |
17,107,094 |
|
|
$ |
31,196,419 |
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