Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Tables)

v3.7.0.1
Repurchase Agreements (Tables)
6 Months Ended
Jun. 30, 2017
Disclosure of Repurchase Agreements [Abstract]  
Schedule Of Repurchase Agreements By Term, Short Or Long
At June 30, 2017 and December 31, 2016, the repurchase agreement balances were as follows:
(in thousands)
June 30,
2017
 
December 31,
2016
Short-term
$
12,769,515

 
$
9,130,717

Long-term
547,366

 
185,634

Total
$
13,316,881

 
$
9,316,351

Schedule of Repurchase Agreements by Maturity
At June 30, 2017 and December 31, 2016, the repurchase agreements had the following characteristics and remaining maturities:
 
June 30, 2017
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency RMBS (1)
 
Agency Derivatives
 
Commercial Real Estate Assets
 
Total Amount Outstanding
Within 30 days
$
2,773,991

 
$
619,186

 
$
25,450

 
$

 
$
3,418,627

30 to 59 days
2,822,043

 
363,976

 
54,681

 
26,301

 
3,267,001

60 to 89 days
2,086,688

 
161,544

 
2,711

 

 
2,250,943

90 to 119 days
2,036,674

 
317,846

 

 

 
2,354,520

120 to 364 days
1,219,178

 
200,934

 

 
58,312

 
1,478,424

One year and over

 

 

 
547,366

 
547,366

Total
$
10,938,574

 
$
1,663,486

 
$
82,842

 
$
631,979

 
$
13,316,881

Weighted average borrowing rate
1.23
%
 
2.88
%
 
2.01
%
 
3.62
%
 
1.56
%
 
December 31, 2016
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency RMBS (1)
 
Agency Derivatives
 
Commercial Real Estate Assets
 
Total Amount Outstanding
Within 30 days
$
2,511,773

 
$
688,667

 
$
30,672

 
$
21,933

 
$
3,253,045

30 to 59 days
1,786,664

 
334,590

 
68,257

 
28,991

 
2,218,502

60 to 89 days
1,035,806

 
89,281

 
3,307

 

 
1,128,394

90 to 119 days
1,192,127

 
251,929

 

 

 
1,444,056

120 to 364 days
810,552

 
69,678

 

 
206,490

 
1,086,720

One year and over

 

 

 
185,634

 
185,634

Total
$
7,336,922

 
$
1,434,145

 
$
102,236

 
$
443,048

 
$
9,316,351

Weighted average borrowing rate
0.94
%
 
2.60
%
 
1.69
%
 
3.16
%
 
1.31
%
____________________
(1)
Includes repurchase agreements collateralized by retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
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:
(in thousands)
June 30,
2017
 
December 31,
2016
Available-for-sale securities, at fair value
$
13,639,148

 
$
9,540,849

Commercial real estate assets
882,978

 
648,885

Net economic interests in consolidated securitization trusts (1)
219,379

 
211,095

Cash and cash equivalents
13,346

 
15,000

Restricted cash
87,717

 
162,759

Due from counterparties
17,914

 
48,939

Derivative assets, at fair value
108,211

 
126,341

Total
$
14,968,693

 
$
10,753,868


____________________
(1)
Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.
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, 2017 and December 31, 2016:
 
June 30, 2017
 
December 31, 2016
(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
Barclays Capital Inc.
$
1,362,780

 
$
254,533

 
7
%
 
74
 
$
292,086

 
$
164,315

 
5
%
 
26
All other counterparties (2)
11,954,101

 
1,387,091

 
37
%
 
100
 
9,024,265

 
1,271,086

 
37
%
 
79
Total
$
13,316,881

 
$
1,641,624

 
 
 
 
 
$
9,316,351

 
$
1,435,401

 
 
 
 
____________________
(1)
Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate 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. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both June 30, 2017 and December 31, 2016, the Company did not have any such payables.
(2)
Represents amounts outstanding with 24 and 22 counterparties at June 30, 2017 and December 31, 2016, respectively.