Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.10.0.1
Repurchase Agreements
9 Months Ended
Sep. 30, 2018
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of September 30, 2018 and December 31, 2017, the Company had outstanding $23.8 billion and $19.5 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps and caps, the repurchase agreements had a weighted average borrowing rate of 2.45% and 1.69% and weighted average remaining maturities of 92 and 83 days as of September 30, 2018 and December 31, 2017, respectively.
At September 30, 2018 and December 31, 2017, the repurchase agreement balances were as follows:
(in thousands)
September 30,
2018
 
December 31,
2017
Short-term
$
23,606,631

 
$
19,338,707

Long-term
200,000

 
112,500

Total
$
23,806,631

 
$
19,451,207



At September 30, 2018 and December 31, 2017, the repurchase agreements had the following characteristics and remaining maturities:
 
September 30, 2018
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency Securities
 
Agency Derivatives
 
Mortgage Servicing Rights
 
Total Amount Outstanding
Within 30 days
$
6,408,843

 
$
485,289

 
$
16,494

 
$

 
$
6,910,626

30 to 59 days
1,956,414

 
494,990

 
13,884

 

 
2,465,288

60 to 89 days
5,041

 

 

 

 
5,041

90 to 119 days
5,034,622

 
501,372

 

 

 
5,535,994

120 to 364 days
8,099,969

 
568,631

 
21,082

 

 
8,689,682

One year and over

 

 

 
200,000

 
200,000

Total
$
21,504,889

 
$
2,050,282

 
$
51,460

 
$
200,000

 
$
23,806,631

Weighted average borrowing rate
2.32
%
 
3.59
%
 
3.20
%
 
4.37
%
 
2.45
%
 
December 31, 2017
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency Securities
 
Agency Derivatives
 
Mortgage Servicing Rights
 
Total Amount Outstanding
Within 30 days
$
3,634,541

 
$
613,500

 
$
21,423

 
$

 
$
4,269,464

30 to 59 days
3,522,256

 
261,835

 
47,020

 

 
3,831,111

60 to 89 days
3,165,834

 
290,628

 
2,478

 

 
3,458,940

90 to 119 days
2,119,490

 
332,614

 
322

 

 
2,452,426

120 to 364 days
4,883,432

 
443,334

 

 

 
5,326,766

One year and over

 

 

 
112,500

 
112,500

Total
$
17,325,553

 
$
1,941,911

 
$
71,243

 
$
112,500

 
$
19,451,207

Weighted average borrowing rate
1.53
%
 
2.98
%
 
2.15
%
 
3.78
%
 
1.69
%


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,
2018
 
December 31,
2017
Available-for-sale securities, at fair value
$
23,636,891

 
$
19,780,175

Mortgage servicing rights, at fair value
733,206

 
424,740

Cash and cash equivalents

 
15,000

Restricted cash
558,088

 
417,018

Due from counterparties
1,219,860

 
773,422

Derivative assets, at fair value
66,980

 
90,895

Total
$
26,215,025

 
$
21,501,250



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, 2018 and December 31, 2017:
 
September 30, 2018
 
December 31, 2017
(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
Royal Bank of Canada
$
1,898,455

 
$
316,471

 
7
%
 
146
 
$
1,261,956

 
$
223,347

 
6
%
 
75
All other counterparties (2)
21,908,176

 
1,590,085

 
34
%
 
87
 
18,189,251

 
1,519,776

 
43
%
 
84
Total
$
23,806,631

 
$
1,906,556

 
 
 
 
 
$
19,451,207

 
$
1,743,123

 
 
 
 
____________________
(1)
Represents the net carrying value of the 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 $421.1 million are not included in the September 30, 2018 amounts presented above. The Company did not have any such payables at December 31, 2017.
(2)
Represents amounts outstanding with 34 and 26 counterparties at September 30, 2018 and December 31, 2017, respectively.

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.