Annual report pursuant to Section 13 and 15(d)

Repurchase Agreements

v3.22.0.1
Repurchase Agreements
12 Months Ended
Dec. 31, 2021
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of December 31, 2021 and December 31, 2020, the Company had outstanding $7.7 billion and $15.1 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 0.24% and 0.28% and weighted average remaining maturities of 67 and 58 days as of December 31, 2021 and December 31, 2020, respectively. The borrowing rates quoted by the Company’s repurchase agreement counterparties typically incorporate LIBOR or SOFR as the referenced rate, plus a spread. However, the trades are executed using the all-in rate with no reference to the index quoted. Additionally, all of the Company’s repurchase agreements mature prior to the phase out of LIBOR. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR.
At December 31, 2021 and December 31, 2020, the repurchase agreement balances were as follows:
(in thousands) December 31,
2021
December 31,
2020
Short-term $ 7,656,445  $ 15,143,898 
Long-term —  — 
Total $ 7,656,445  $ 15,143,898 
At December 31, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities:
December 31, 2021
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 1,617,186  $ —  $ 10,097  $ —  $ 1,627,283 
30 to 59 days 1,807,544  —  —  —  1,807,544 
60 to 89 days 1,979,717  171  1,168  —  1,981,056 
90 to 119 days 1,240,915  —  8,520  —  1,249,435 
120 to 364 days 849,868  —  16,259  125,000  991,127 
Total $ 7,495,230  $ 171  $ 36,044  $ 125,000  $ 7,656,445 
Weighted average borrowing rate
0.17  % 1.24  % 0.74  % 4.00  % 0.24  %
December 31, 2020
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 5,330,627  $ 1,271  $ 38,608  $ —  $ 5,370,506 
30 to 59 days 4,292,861  —  —  —  4,292,861 
60 to 89 days 2,060,087  628  1,519  —  2,062,234 
90 to 119 days 1,598,052  —  12,146  —  1,610,198 
120 to 364 days 1,808,099  —  —  —  1,808,099 
Total $ 15,089,726  $ 1,899  $ 52,273  $ —  $ 15,143,898 
Weighted average borrowing rate
0.28  % 2.33  % 0.89  % —  % 0.28  %

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) December 31,
2021
December 31,
2020
Available-for-sale securities, at fair value $ 7,009,449  $ 14,633,217 
Mortgage servicing rights, at fair value (1)
725,985  — 
Restricted cash 747,779  1,071,239 
Due from counterparties 30,764  21,312 
Derivative assets, at fair value 39,609  61,557 
Total $ 8,553,586  $ 15,787,325 
____________________
(1)MSR repurchase agreements are secured by the VFN issued in connection with the 2019 MSR securitization transaction, which is collateralized by the Company’s MSR.

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 December 31, 2021 and December 31, 2020:
December 31, 2021 December 31, 2020
(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
Credit Suisse
$ 125,000  $ 353,975  13  % 181 $ —  $ —  —  % 0
All other counterparties (2)
7,531,445  314,258  11  % 65 15,143,898  527,045  17  % 58
Total $ 7,656,445  $ 668,233  $ 15,143,898  $ 527,045 
____________________
(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 19 and 20 counterparties at December 31, 2021 and December 31, 2020, 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.