XML 23 R10.htm IDEA: XBRL DOCUMENT
v3.21.1

Repurchase Agreements (Notes) | 3 Months Ended
--- | ---
Mar. 31, 2021
Disclosure of Repurchase Agreements [Abstract] |
Repurchase agreements | REPURCHASE AGREEMENTS The Company’s repurchase agreements outstanding as of March 31, 2021 and December 31, 2020 are summarized in the following tables:
|  | March 31, 2021 |  | December 31, 2020
Collateral Type |  | Balance |  | Weighted Average Rate |  | Fair Value of Collateral Pledged |  | Balance |  | Weighted Average Rate |  | Fair Value of Collateral Pledged
Agency RMBS |  | $ | 1,499,034 |  |  | 0.16 | % |  | $ | 1,568,623 |  |  | $ | 1,874,176 |  |  | 0.23 | % |  | $ | 1,973,608 |
Agency CMBS |  | 234,228 |  |  | 0.16 | % |  | 246,936 |  |  | 237,649 |  |  | 0.23 | % |  | 255,741 |
Agency CMBS IO |  | 191,882 |  |  | 0.78 | % |  | 228,854 |  |  | 209,393 |  |  | 0.90 | % |  | 243,042 |
Non-Agency CMBS IO |  | 106,945 |  |  | 1.01 | % |  | 128,920 |  |  | 115,945 |  |  | 1.28 | % |  | 136,684 |
Total repurchase agreements |  | $ | 2,032,089 |  |  | 0.26 | % |  | $ | 2,173,333 |  |  | $ | 2,437,163 |  |  | 0.34 | % |  | $ | 2,609,075 |
The amounts for fair value of collateral pledged in the table above as of December 31, 2020 include securities with an amortized cost of $141,215 which were sold but not settled as of that date, and for which the proceeds of $150,432 are recorded within “receivable for sales pending settlement” on the consolidated balance sheet. These securities collateralized $140,612 of the Company’s repurchase agreement borrowings outstanding as of December 31, 2020. The Company also had $24,455 and $5 payable to counterparties as of March 31, 2021 and December 31, 2020, respectively, for purchases pending settlement as of those respective dates. The Company had repurchase agreement borrowings outstanding with 20 different counterparties as of March 31, 2021, and its equity at risk did not exceed 5% with any counterparty as of that date. The following table provides information on the remaining term to maturity and original term to maturity for the Company’s repurchase agreements as of the dates indicated:
|  | March 31, 2021 |  | December 31, 2020
Remaining Term to Maturity |  | Balance |  | Weighted Average Rate |  | WAVG Original Term to Maturity |  | Balance |  | Weighted Average Rate |  | WAVG Original Term to Maturity
Less than 30 days |  | $ | 1,119,808 |  |  | 0.27 | % |  | 24 |  |  | $ | 1,416,608 |  |  | 0.37 | % |  | 53 |
30 to 90 days |  | 753,223 |  |  | 0.28 | % |  | 42 |  |  | 845,394 |  |  | 0.31 | % |  | 35 |
91 to 180 days |  | 159,058 |  |  | 0.17 | % |  | 14 |  |  | 175,161 |  |  | 0.22 | % |  | 13 |
Total |  | $ | 2,032,089 |  |  | 0.26 | % |  | 30 |  |  | $ | 2,437,163 |  |  | 0.34 | % |  | 44 |
The Company has one committed repurchase facility with Wells Fargo that has an aggregate maximum borrowing capacity of $250,000, of which it had $114,251 outstanding at a weighted average borrowing rate of 0.97% as of March 31, 2021. The maturity date for the facility is June 11, 2021. The Company is expecting to renew the facility as it has in prior periods and with similar terms. The remaining repurchase facilities available to the Company are uncommitted with no guarantee of renewal or terms of renewal. The Company’s counterparties, as set forth in the master repurchase agreement with the counterparty, require the Company to comply with various customary operating and financial covenants, including, but not limited to, minimum net worth and earnings, maximum declines in net worth in a given period, and maximum leverage requirements as well as maintaining the Company’s REIT status. In addition, some of the agreements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing agreements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the master repurchase agreement. The Company believes it was in full compliance with all covenants in master repurchase agreements under which there were amounts outstanding as of March 31, 2021. The Company's repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its repurchase agreements to these arrangements on a gross basis. The following tables present information regarding the Company's repurchase agreements as if the Company had presented them on a net basis as of March 31, 2021 and December 31, 2020:
| Gross Amount of Recognized Liabilities |  | Gross Amount Offset in the Balance Sheet |  | Net Amount of Liabilities Presented in the Balance Sheet |  | Gross Amount Not Offset in the Balance Sheet (1) |  | Net Amount
Financial Instruments Posted as Collateral |  | Cash Posted as Collateral
March 31, 2021 |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | 2,032,089 |  |  | $ | — |  |  | $ | 2,032,089 |  |  | $ | (2,032,089) |  |  | $ | — |  |  | $ | — |
December 31, 2020 |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | 2,437,163 |  |  | $ | — |  |  | $ | 2,437,163 |  |  | $ | (2,437,163) |  |  | $ | — |  |  | $ | — |
(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the repurchase agreement liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please see Note 4 for information related to the Company’s derivatives, which are also subject to underlying agreements with master netting or similar arrangements.

X
- References No definition available. + Details
Name: | us-gaap_DisclosureOfRepurchaseAgreementsAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for repurchase agreements (also known as repos), resale agreements (also known as reverse repurchase agreements or reverse repos), securities borrowed transactions, and securities loaned transactions. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -URI http://asc.fasb.org/topic&trid=2197590 + Details
Name: | us-gaap_RepurchaseAgreementsResaleAgreementsSecuritiesBorrowedAndSecuritiesLoanedDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration