Annual report pursuant to Section 13 and 15(d)

Repurchase Agreements

v3.8.0.1
Repurchase Agreements
12 Months Ended
Dec. 31, 2017
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements
Repurchase Agreements
As of December 31, 2017 and December 31, 2016, the Company had outstanding $19.5 billion and $8.9 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 1.69% and 1.22% and weighted average remaining maturities of 83 and 57 days as of December 31, 2017 and December 31, 2016, respectively.
At December 31, 2017 and December 31, 2016, the repurchase agreement balances were as follows:
(in thousands)
December 31,
2017
 
December 31,
2016
Short-term
$
19,338,707

 
$
8,865,184

Long-term
112,500

 

Total
$
19,451,207

 
$
8,865,184


At December 31, 2017 and December 31, 2016, the repurchase agreements had the following characteristics and remaining maturities:
 
December 31, 2017
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency Securities
 
Agency Derivatives
 
Mortgage Servicing Rights
 
Total Amount Outstanding
Within 30 days
$
3,634,541

 
$
613,500

 
$
21,423

 
$

 
$
4,269,464

30 to 59 days
3,522,256

 
261,835

 
47,020

 

 
3,831,111

60 to 89 days
3,165,834

 
290,628

 
2,478

 

 
3,458,940

90 to 119 days
2,119,490

 
332,614

 
322

 

 
2,452,426

120 to 364 days
4,883,432

 
443,334

 

 

 
5,326,766

One year and over

 

 

 
112,500

 
112,500

Total
$
17,325,553

 
$
1,941,911

 
$
71,243

 
$
112,500

 
$
19,451,207

Weighted average borrowing rate
1.53
%
 
2.98
%
 
2.15
%
 
3.78
%
 
1.69
%
 
December 31, 2016
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency Securities (1)
 
Agency Derivatives
 
Mortgage Servicing Rights
 
Total Amount Outstanding
Within 30 days
$
2,511,773

 
$
688,667

 
$
30,672

 
$

 
$
3,231,112

30 to 59 days
1,786,664

 
326,471

 
68,257

 

 
2,181,392

60 to 89 days
1,035,806

 
89,281

 
3,307

 

 
1,128,394

90 to 119 days
1,192,127

 
251,929

 

 

 
1,444,056

120 to 364 days
810,552

 
69,678

 

 

 
880,230

One year and over

 

 

 

 

Total
$
7,336,922

 
$
1,426,026

 
$
102,236

 
$

 
$
8,865,184

Weighted average borrowing rate
0.94
%
 
2.60
%
 
1.69
%
 
%
 
1.22
%
____________________
(1)
Includes repurchase agreements collateralized by retained interests from the Company’s previous on-balance sheet securitizations, which were eliminated in consolidation in accordance with U.S. GAAP.

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,
2017
 
December 31,
2016
Available-for-sale securities, at fair value
$
19,780,175

 
$
9,528,163

 
Mortgage servicing rights, at fair value
424,740

 

 
Net economic interests in consolidated securitization trusts

 
211,095

(1) 
Cash and cash equivalents
15,000

 
15,000

 
Restricted cash
417,018

 
162,759

 
Due from counterparties
773,422

 
48,690

 
Derivative assets, at fair value
90,895

 
126,341

 
Total
$
21,501,250

 
$
10,092,048

 

____________________
(1)
Includes the retained interests from the Company’s previous on-balance sheet securitizations, which were eliminated in consolidation in accordance with U.S. GAAP.

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, 2017 and December 31, 2016:
 
December 31, 2017
 
December 31, 2016
(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
Barclays Capital Inc.
$
1,958,741

 
$
275,128

 
8
%
 
93
 
$
292,086

 
$
164,315

 
5
%
 
26
All other counterparties (2)
17,492,466

 
1,467,995

 
41
%
 
82
 
8,573,098

 
1,058,367

 
31
%
 
58
Total
$
19,451,207

 
$
1,743,123

 
 
 
 
 
$
8,865,184

 
$
1,222,682

 
 
 
 
____________________
(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. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. The Company did not have any such payables at December 31, 2017 or December 31, 2016.
(2)
Represents amounts outstanding with 26 and 22 counterparties at December 31, 2017 and December 31, 2016, 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.