Annual report pursuant to Section 13 and 15(d)

Repurchase Agreements (Tables)

v3.10.0.1
Repurchase Agreements (Tables)
12 Months Ended
Dec. 31, 2018
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Repurchase Agreements By Term, Short or Long At December 31, 2018 and December 31, 2017, the repurchase agreement balances were as follows:
(in thousands)
December 31,
2018
 
December 31,
2017
Short-term
$
22,833,476

 
$
19,338,707

Long-term
300,000

 
112,500

Total
$
23,133,476

 
$
19,451,207

Schedule of Repurchase Agreements by Maturity At December 31, 2018 and December 31, 2017, the repurchase agreements had the following characteristics and remaining maturities:
 
December 31, 2018
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency Securities
 
Agency Derivatives
 
Mortgage Servicing Rights
 
Total Amount Outstanding
Within 30 days
$
6,712,021

 
$
770,287

 
$
6,561

 
$

 
$
7,488,869

30 to 59 days
4,557,688

 
496,466

 
23,444

 

 
5,077,598

60 to 89 days
5,410,967

 
242,473

 
1,621

 

 
5,655,061

90 to 119 days
1,209,395

 
722,399

 
7,065

 

 
1,938,859

120 to 364 days
2,201,325

 
463,939

 
7,825

 

 
2,673,089

One year and over

 

 

 
300,000

 
300,000

Total
$
20,091,396

 
$
2,695,564

 
$
46,516

 
$
300,000

 
$
23,133,476

Weighted average borrowing rate
2.52
%
 
3.65
%
 
3.34
%
 
4.51
%
 
2.68
%
 
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
%
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 and derivative instruments:
(in thousands)
December 31,
2018
 
December 31,
2017
Available-for-sale securities, at fair value
$
24,240,507

 
$
19,780,175

Mortgage servicing rights, at fair value
685,683

 
424,740

Cash and cash equivalents

 
15,000

Restricted cash
416,696

 
417,018

Due from counterparties
110,695

 
773,422

Derivative assets, at fair value
70,191

 
90,895

U.S. Treasuries (1)
6,457

 

Total
$
25,530,229

 
$
21,501,250


____________________
(1)
U.S. Treasuries received as collateral and re-pledge
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity .
The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at December 31, 2018 and December 31, 2017:
 
December 31, 2018
 
December 31, 2017
(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
Royal Bank of Canada
$
2,504,438

 
$
342,739

 
8
%
 
94
 
$
1,261,956

 
$
223,347

 
6
%
 
75
All other counterparties (2)
20,629,038

 
1,679,335

 
39
%
 
63
 
18,189,251

 
1,519,776

 
43
%
 
84
Total
$
23,133,476

 
$
2,022,074

 
 
 
 
 
$
19,451,207

 
$
1,743,123

 
 
 
 
____________________
(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. The Company did not have any such payables at December 31, 2018 nor December 31, 2017.
(2)
Represents amounts outstanding with 29 and 26 counterparties at December 31, 2018 and December 31, 2017, respectivel