Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Tables)

v3.8.0.1
Repurchase Agreements (Tables)
9 Months Ended
Sep. 30, 2017
Disclosure of Repurchase Agreements [Abstract]  
Schedule Of Repurchase Agreements By Term, Short Or Long
At September 30, 2017 and December 31, 2016, the repurchase agreement balances were as follows:
(in thousands)
September 30,
2017
 
December 31,
2016
Short-term
$
16,856,537

 
$
9,130,717

Long-term
1,440,855

 
185,634

Total
$
18,297,392

 
$
9,316,351

Schedule of Repurchase Agreements by Maturity
At September 30, 2017 and December 31, 2016, the repurchase agreements had the following characteristics and remaining maturities:
 
September 30, 2017
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency Securities (1)
 
Agency Derivatives
 
Commercial Real Estate Assets
 
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

 
51,718

 
25,934

 
2,911,829

60 to 89 days

 

 

 

 

90 to 119 days
2,994,737

 
303,896

 

 

 
3,298,633

120 to 364 days
6,913,298

 
562,782

 
2,478

 

 
7,478,558

One year and over

 

 

 
1,440,855

 
1,440,855

Total
$
14,889,781

 
$
1,863,588

 
$
77,234

 
$
1,466,789

 
$
18,297,392

Weighted average borrowing rate
1.43
%
 
2.93
%
 
2.10
%
 
3.56
%
 
1.76
%
 
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

 
$
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)
September 30,
2017
 
December 31,
2016
Available-for-sale securities, at fair value
$
17,940,144

 
$
9,540,849

Commercial real estate assets
1,997,077

 
648,885

Net economic interests in consolidated securitization trusts (1)
224,394

 
211,095

Cash and cash equivalents
14,796

 
15,000

Restricted cash
149,845

 
162,759

Due from counterparties
23,602

 
48,939

Derivative assets, at fair value
101,187

 
126,341

Total
$
20,451,045

 
$
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 September 30, 2017 and December 31, 2016:
 
September 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
JP Morgan Chase
$
1,950,484

 
$
264,974

 
6
%
 
219
 
$
605,768

 
$
174,197

 
5
%
 
110
All other counterparties (2)
16,346,908

 
1,887,168

 
46
%
 
147
 
8,710,583

 
1,261,204

 
37
%
 
75
Total
$
18,297,392

 
$
2,152,142

 
 
 
 
 
$
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 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.
(2)
Represents amounts outstanding with 24 and 22 counterparties at September 30, 2017 and December 31, 2016, respectively.