| Schedule of Repurchase Agreements By Term, Short or Long |
At March 31, 2021 and December 31, 2020, the repurchase agreement balances were as follows:
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| (in thousands) |
March 31,
2021 |
|
December 31,
2020 |
| Short-term |
$ |
11,676,062 |
|
|
$ |
15,143,898 |
|
| Long-term |
— |
|
|
— |
|
| Total |
$ |
11,676,062 |
|
|
$ |
15,143,898 |
|
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| Schedule of Repurchase Agreements by Maturity |
At March 31, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities:
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March 31, 2021 |
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Collateral Type |
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| (in thousands) |
|
|
Agency RMBS |
|
Non-Agency Securities |
|
Agency Derivatives |
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|
Total Amount Outstanding |
| Within 30 days |
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|
$ |
2,540,600 |
|
|
$ |
1,092 |
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|
$ |
47,133 |
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|
|
$ |
2,588,825 |
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| 30 to 59 days |
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|
1,935,461 |
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|
— |
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|
— |
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|
1,935,461 |
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| 60 to 89 days |
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|
1,498,373 |
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|
484 |
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|
— |
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|
1,498,857 |
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| 90 to 119 days |
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|
1,301,471 |
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|
— |
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|
— |
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|
1,301,471 |
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| 120 to 364 days |
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|
4,350,210 |
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|
— |
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|
1,238 |
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4,351,448 |
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| Total |
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$ |
11,626,115 |
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|
$ |
1,576 |
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|
$ |
48,371 |
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|
$ |
11,676,062 |
|
Weighted average borrowing rate |
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|
0.24 |
% |
|
1.96 |
% |
|
0.85 |
% |
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|
0.24 |
% |
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December 31, 2020 |
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Collateral Type |
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| (in thousands) |
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|
Agency RMBS |
|
Non-Agency Securities |
|
Agency Derivatives |
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|
Total Amount Outstanding |
| Within 30 days |
|
|
$ |
5,330,627 |
|
|
$ |
1,271 |
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|
$ |
38,608 |
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|
$ |
5,370,506 |
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| 30 to 59 days |
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|
4,292,861 |
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— |
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— |
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4,292,861 |
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| 60 to 89 days |
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|
2,060,087 |
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|
628 |
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|
1,519 |
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2,062,234 |
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| 90 to 119 days |
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|
1,598,052 |
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— |
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|
12,146 |
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1,610,198 |
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| 120 to 364 days |
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|
1,808,099 |
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— |
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— |
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1,808,099 |
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| Total |
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$ |
15,089,726 |
|
|
$ |
1,899 |
|
|
$ |
52,273 |
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|
$ |
15,143,898 |
|
Weighted average borrowing rate |
|
|
0.28 |
% |
|
2.33 |
% |
|
0.89 |
% |
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|
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|
0.28 |
% |
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| 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:
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| (in thousands) |
March 31,
2021 |
|
December 31,
2020 |
| Available-for-sale securities, at fair value |
$ |
11,459,931 |
|
|
$ |
14,633,217 |
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| Restricted cash |
642,872 |
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|
1,071,239 |
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| Due from counterparties |
5,616 |
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|
21,312 |
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| Derivative assets, at fair value |
53,776 |
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|
61,557 |
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| Total |
$ |
12,162,195 |
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|
$ |
15,787,325 |
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