Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.19.2
Repurchase Agreements
6 Months Ended
Jun. 30, 2019
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of June 30, 2019 and December 31, 2018, the Company had outstanding $28.2 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 2.70% and 2.68% and weighted average remaining maturities of 88 and 66 days as of June 30, 2019 and December 31, 2018, respectively.
At June 30, 2019 and December 31, 2018, the repurchase agreement balances were as follows:
(in thousands)
June 30,
2019
 
December 31,
2018
Short-term
$
27,868,044

 
$
22,833,476

Long-term
300,000

 
300,000

Total
$
28,168,044

 
$
23,133,476



At June 30, 2019 and December 31, 2018, the repurchase agreements had the following characteristics and remaining maturities:
 
June 30, 2019
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency Securities
 
Agency Derivatives
 
Mortgage Servicing Rights
 
Total Amount Outstanding
Within 30 days
$
5,199,083

 
$
696,848

 
$
6,991

 
$

 
$
5,902,922

30 to 59 days
4,115,347

 
281,192

 
16,177

 

 
4,412,716

60 to 89 days
5,379,111

 
302,586

 
1,633

 

 
5,683,330

90 to 119 days
3,732,735

 
341,688

 
14,065

 

 
4,088,488

120 to 364 days
7,331,458

 
441,236

 
7,894

 

 
7,780,588

One year and over

 

 

 
300,000

 
300,000

Total
$
25,757,734

 
$
2,063,550

 
$
46,760

 
$
300,000

 
$
28,168,044

Weighted average borrowing rate
2.63
%
 
3.58
%
 
3.40
%
 
4.15
%
 
2.70
%
 
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)
June 30,
2019
 
December 31,
2018
Available-for-sale securities, at fair value
$
28,731,190

 
$
24,240,507

Mortgage servicing rights, at fair value
609,405

 
685,683

Restricted cash
177,079

 
416,696

Due from counterparties
844,347

 
110,695

Derivative assets, at fair value
76,139

 
70,191

U.S. Treasuries (1)

 
6,457

Total
$
30,438,160

 
$
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 June 30, 2019 and December 31, 2018:
 
June 30, 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
$
2,788,912

 
$
273,467

 
6
%
 
129
 
$
2,504,438

 
$
342,739

 
8
%
 
94
All other counterparties (2)
25,379,132

 
1,683,296

 
35
%
 
84
 
20,629,038

 
1,679,335

 
39
%
 
63
Total
$
28,168,044

 
$
1,956,763

 
 
 
 
 
$
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.
(2)
Represents amounts outstanding with 26 and 29 counterparties at June 30, 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.