| Repurchase Agreements |
Repurchase Agreements
As of September 30, 2017 and December 31, 2016, the Company had outstanding $18.3 billion and $9.3 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 1.76% and 1.31% and weighted average remaining maturities of 154 and 77 days as of September 30, 2017 and December 31, 2016, respectively.
At September 30, 2017 and December 31, 2016, the repurchase agreement balances were as follows:
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(in thousands) |
September 30,
2017 |
|
December 31,
2016 |
Short-term |
$ |
16,856,537 |
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|
$ |
9,130,717 |
|
Long-term |
1,440,855 |
|
|
185,634 |
|
Total |
$ |
18,297,392 |
|
|
$ |
9,316,351 |
|
At September 30, 2017 and December 31, 2016, the repurchase agreements had the following characteristics and remaining maturities:
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September 30, 2017 |
|
Collateral Type |
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|
(in thousands) |
Agency RMBS |
|
Non-Agency Securities (1)
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Agency Derivatives |
|
Commercial Real Estate Assets |
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Total Amount Outstanding |
Within 30 days |
$ |
2,398,041 |
|
|
$ |
746,438 |
|
|
$ |
23,038 |
|
|
$ |
— |
|
|
$ |
3,167,517 |
|
30 to 59 days |
2,583,705 |
|
|
250,472 |
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|
51,718 |
|
|
25,934 |
|
|
2,911,829 |
|
60 to 89 days |
— |
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|
— |
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|
— |
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|
— |
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|
— |
|
90 to 119 days |
2,994,737 |
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|
303,896 |
|
|
— |
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|
— |
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|
3,298,633 |
|
120 to 364 days |
6,913,298 |
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|
562,782 |
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|
2,478 |
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|
— |
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|
7,478,558 |
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One year and over |
— |
|
|
— |
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|
— |
|
|
1,440,855 |
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|
1,440,855 |
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Total |
$ |
14,889,781 |
|
|
$ |
1,863,588 |
|
|
$ |
77,234 |
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|
$ |
1,466,789 |
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|
$ |
18,297,392 |
|
Weighted average borrowing rate |
1.43 |
% |
|
2.93 |
% |
|
2.10 |
% |
|
3.56 |
% |
|
1.76 |
% |
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December 31, 2016 |
|
Collateral Type |
|
|
(in thousands) |
Agency RMBS |
|
Non-Agency Securities (1)
|
|
Agency Derivatives |
|
Commercial Real Estate Assets |
|
Total Amount Outstanding |
Within 30 days |
$ |
2,511,773 |
|
|
$ |
688,667 |
|
|
$ |
30,672 |
|
|
$ |
21,933 |
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|
$ |
3,253,045 |
|
30 to 59 days |
1,786,664 |
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|
334,590 |
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|
68,257 |
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|
28,991 |
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|
2,218,502 |
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60 to 89 days |
1,035,806 |
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|
89,281 |
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|
3,307 |
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|
— |
|
|
1,128,394 |
|
90 to 119 days |
1,192,127 |
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|
251,929 |
|
|
— |
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|
— |
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|
1,444,056 |
|
120 to 364 days |
810,552 |
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|
69,678 |
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|
— |
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|
206,490 |
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|
1,086,720 |
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One year and over |
— |
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— |
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— |
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|
185,634 |
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|
185,634 |
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Total |
$ |
7,336,922 |
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|
$ |
1,434,145 |
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|
$ |
102,236 |
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|
$ |
443,048 |
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$ |
9,316,351 |
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Weighted average borrowing rate |
0.94 |
% |
|
2.60 |
% |
|
1.69 |
% |
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3.16 |
% |
|
1.31 |
% |
____________________
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(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. |
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,
2017 |
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December 31,
2016 |
Available-for-sale securities, at fair value |
$ |
17,940,144 |
|
|
$ |
9,540,849 |
|
Commercial real estate assets |
1,997,077 |
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|
648,885 |
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Net economic interests in consolidated securitization trusts (1)
|
224,394 |
|
|
211,095 |
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Cash and cash equivalents |
14,796 |
|
|
15,000 |
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Restricted cash |
149,845 |
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|
162,759 |
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Due from counterparties |
23,602 |
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|
48,939 |
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Derivative assets, at fair value |
101,187 |
|
|
126,341 |
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Total |
$ |
20,451,045 |
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|
$ |
10,753,868 |
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____________________
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(1) |
Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
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.
The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at September 30, 2017 and December 31, 2016:
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September 30, 2017 |
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December 31, 2016 |
(dollars in thousands) |
Amount Outstanding |
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Net Counterparty Exposure (1)
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Percent of Equity |
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Weighted Average Days to Maturity |
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Amount Outstanding |
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Net Counterparty Exposure (1)
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Percent of Equity |
|
Weighted Average Days to Maturity |
JP Morgan Chase |
$ |
1,950,484 |
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|
$ |
264,974 |
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|
6 |
% |
|
219 |
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$ |
605,768 |
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$ |
174,197 |
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5 |
% |
|
110 |
All other counterparties (2)
|
16,346,908 |
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|
1,887,168 |
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|
46 |
% |
|
147 |
|
8,710,583 |
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|
1,261,204 |
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|
37 |
% |
|
75 |
Total |
$ |
18,297,392 |
|
|
$ |
2,152,142 |
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$ |
9,316,351 |
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$ |
1,435,401 |
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____________________
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(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 of $17.9 million are not included in the September 30, 2017 amounts presented above. The Company did not have any such payables at December 31, 2016.
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(2) |
Represents amounts outstanding with 24 and 22 counterparties at September 30, 2017 and December 31, 2016, respectively.
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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.
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