Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Tables)

v3.21.2
Repurchase Agreements (Tables)
6 Months Ended
Jun. 30, 2021
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Repurchase Agreements By Term, Short or Long
At June 30, 2021 and December 31, 2020, the repurchase agreement balances were as follows:
(in thousands) June 30,
2021
December 31,
2020
Short-term $ 8,350,622  $ 15,143,898 
Long-term —  — 
Total $ 8,350,622  $ 15,143,898 
Schedule of Repurchase Agreements by Maturity
At June 30, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities:
June 30, 2021
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 2,086,324  $ 833  $ 11,453  $ —  $ 2,098,610 
30 to 59 days 1,298,004  —  20,322  —  1,318,326 
60 to 89 days 2,317,399  363  1,238  —  2,319,000 
90 to 119 days 1,346,855  —  9,768  —  1,356,623 
120 to 364 days 1,133,063  —  —  125,000  1,258,063 
Total $ 8,181,645  $ 1,196  $ 42,781  $ 125,000  $ 8,350,622 
Weighted average borrowing rate
0.22  % 1.85  % 0.79  % 4.00  % 0.28  %
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  %
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:
(in thousands) June 30,
2021
December 31,
2020
Available-for-sale securities, at fair value $ 7,830,079  $ 14,633,217 
Mortgage servicing rights, at fair value 295,112  — 
Restricted cash 679,279  1,071,239 
Due from counterparties 6,606  21,312 
Derivative assets, at fair value 50,416  61,557 
Total $ 8,861,492  $ 15,787,325