Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.19.1
Repurchase Agreements
3 Months Ended
Mar. 31, 2019
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of March 31, 2019 and December 31, 2018, the Company had outstanding $19.7 billion and $23.1 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 2.85% and 2.68% and weighted average remaining maturities of 75 and 66 days as of March 31, 2019 and December 31, 2018, respectively.
At March 31, 2019 and December 31, 2018, the repurchase agreement balances were as follows:
(in thousands)
March 31,
2019
 
December 31,
2018
Short-term
$
19,429,691

 
$
22,833,476

Long-term
300,000

 
300,000

Total
$
19,729,691

 
$
23,133,476



At March 31, 2019 and December 31, 2018, the repurchase agreements had the following characteristics and remaining maturities:
 
March 31, 2019
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency Securities
 
Agency Derivatives
 
Mortgage Servicing Rights
 
Total Amount Outstanding
Within 30 days
$
3,900,686

 
$
931,231

 
$
20,575

 
$

 
$
4,852,492

30 to 59 days
3,577,461

 
407,568

 
11,858

 

 
3,996,887

60 to 89 days
4,462,064

 
352,105

 

 

 
4,814,169

90 to 119 days
2,405,034

 
385,637

 

 

 
2,790,671

120 to 364 days
2,857,714

 
103,884

 
13,874

 

 
2,975,472

One year and over

 

 

 
300,000

 
300,000

Total
$
17,202,959

 
$
2,180,425

 
$
46,307

 
$
300,000

 
$
19,729,691

Weighted average borrowing rate
2.71
%
 
3.74
%
 
3.51
%
 
4.25
%
 
2.85
%
 
December 31, 2018
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency Securities
 
Agency Derivatives
 
Mortgage Servicing Rights
 
Total Amount Outstanding
Within 30 days
$
6,712,021

 
$
770,287

 
$
6,561

 
$

 
$
7,488,869

30 to 59 days
4,557,688

 
496,466

 
23,444

 

 
5,077,598

60 to 89 days
5,410,967

 
242,473

 
1,621

 

 
5,655,061

90 to 119 days
1,209,395

 
722,399

 
7,065

 

 
1,938,859

120 to 364 days
2,201,325

 
463,939

 
7,825

 

 
2,673,089

One year and over

 

 

 
300,000

 
300,000

Total
$
20,091,396

 
$
2,695,564

 
$
46,516

 
$
300,000

 
$
23,133,476

Weighted average borrowing rate
2.52
%
 
3.65
%
 
3.34
%
 
4.51
%
 
2.68
%


The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements and derivative instruments:
(in thousands)
March 31,
2019
 
December 31,
2018
Available-for-sale securities, at fair value
$
20,925,201

 
$
24,240,507

Mortgage servicing rights, at fair value
756,573

 
685,683

Restricted cash
66,296

 
416,696

Due from counterparties
35,619

 
110,695

Derivative assets, at fair value
71,696

 
70,191

U.S. Treasuries (1)
4,260

 
6,457

Total
$
21,859,645

 
$
25,530,229


____________________
(1)
U.S. Treasuries received as collateral and re-pledged.

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 March 31, 2019 and December 31, 2018:
 
March 31, 2019
 
December 31, 2018
(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
$
2,657,910

 
$
304,256

 
6
%
 
59
 
$
2,504,438

 
$
342,739

 
8
%
 
94
All other counterparties (2)
17,071,781

 
1,407,909

 
29
%
 
77
 
20,629,038

 
1,679,335

 
39
%
 
63
Total
$
19,729,691

 
$
1,712,165

 
 
 
 
 
$
23,133,476

 
$
2,022,074

 
 
 
 
____________________
(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 $2.1 billion are not included in the March 31, 2019 amounts presented above. The Company did not have any such payables at December 31, 2018.
(2)
Represents amounts outstanding with 29 and 29 counterparties at March 31, 2019 and December 31, 2018, 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.