Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.22.1
Repurchase Agreements
 3 Months Ended
Mar. 31, 2022
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of March 31, 2022 and December 31, 2021, the Company had outstanding $7.9 billion and $7.7 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 0.58% and 0.24% and weighted average remaining maturities of 80 and 67 days as of March 31, 2022 and December 31, 2021, 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 March 31, 2022 and December 31, 2021, the Company’s repurchase agreements had the following characteristics and remaining maturities:
March 31, 2022
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 2,165,781  $ —  $ 17,437  $ —  $ 2,183,218 
30 to 59 days 1,067,496  —  16,259  —  1,083,755 
60 to 89 days 1,917,513  —  —  —  1,917,513 
90 to 119 days 974,584  —  —  —  974,584 
120 to 364 days 1,312,491  219  876  400,000  1,713,586 
Total $ 7,437,865  $ 219  $ 34,572  $ 400,000  $ 7,872,656 
Weighted average borrowing rate
 0.40  % 1.97  % 0.76  % 3.88  % 0.58  %
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  %

The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of the Company’s repurchase agreements:
(in thousands) March 31,
2022		 December 31,
2021
Available-for-sale securities, at fair value $ 6,494,873  $ 7,009,449 
Mortgage servicing rights, at fair value (1)
1,178,954  725,985 
Restricted cash 557,441  747,779 
Due from counterparties 666,056  30,764 
Derivative assets, at fair value 29,302  39,609 
Total $ 8,926,626  $ 8,553,586 
____________________
(1)MSR repurchase agreements are secured by a VFN issued in connection with the Company’s securitization of MSR, 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 March 31, 2022 and December 31, 2021:
March 31, 2022 December 31, 2021
(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
 $ 400,000  $ 384,213  15  % 314 $ 125,000  $ 353,975  13  % 181
All other counterparties (2)
7,472,656  290,343  11  % 68 7,531,445  314,258  11  % 65
Total $ 7,872,656  $ 674,556  $ 7,656,445  $ 668,233 
____________________
(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 19 counterparties at March 31, 2022 and December 31, 2021, 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.