Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Tables)

v3.23.1
Repurchase Agreements (Tables)
3 Months Ended
Mar. 31, 2023
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Repurchase Agreements by Maturity
At March 31, 2023 and December 31, 2022, the Company’s repurchase agreements had the following characteristics and remaining maturities:
March 31, 2023
Collateral Type
(in thousands) Agency RMBS Agency Other Non-Agency Securities Agency Derivatives Mortgage Servicing Rights
U.S. Treasuries (1)
Total Amount Outstanding
Within 30 days $ 1,371,533  $ 70,508  $ 58,528  $ 11,942  $ —  $ 200,766  $ 1,713,277 
30 to 59 days 1,546,940  —  11,578  —  —  —  1,558,518 
60 to 89 days 1,303,639  —  —  —  —  —  1,303,639 
90 to 119 days 2,401,387  —  —  —  —  —  2,401,387 
120 to 364 days 1,759,204  98,150  183  354  250,000  —  2,107,891 
Total $ 8,382,703  $ 168,658  $ 70,289  $ 12,296  $ 250,000  $ 200,766  $ 9,084,712 
Weighted average borrowing rate
5.01  % 4.92  % 6.14  % 5.17  % 8.43  % 4.68  % 5.11  %
December 31, 2022
Collateral Type
(in thousands) Agency RMBS Agency Other Non-Agency Securities Agency Derivatives Mortgage Servicing Rights
U.S. Treasuries (1)
Total Amount Outstanding
Within 30 days $ 2,570,254 $ $ 59,648 $ 4,177 $ $ 57,116 $ 2,691,195
30 to 59 days 1,774,622 10,984 375,131 2,160,737
60 to 89 days 2,280,675 177 503 255,282 2,536,637
90 to 119 days 696,283 8,393 200,766 905,442
120 to 364 days 309,000 309,000
Total $ 7,321,834 $ $ 70,809 $ 13,073 $ 309,000 $ 888,295 $ 8,603,011
Weighted average borrowing rate
3.70  % —  % 5.73  % 4.83  % 7.91  % 4.49  % 3.95  %
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(1)U.S. Treasury securities effectively borrowed under reverse repurchase agreements.
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 the Company’s repurchase agreements:
(in thousands) March 31,
2023
December 31,
2022
Available-for-sale securities, at fair value $ 8,952,534  $ 7,426,953 
Mortgage servicing rights, at fair value (1)
430,821  667,238 
Restricted cash 77,429  324,654 
Due from counterparties 29,510  22,055 
Derivative assets, at fair value 15,309  14,738 
U.S. Treasuries (2)
195,290  877,632 
Total $ 9,700,893  $ 9,333,270 
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(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.
(2)U.S. Treasury securities effectively borrowed under reverse repurchase agreements..