XML 22 R10.htm IDEA: XBRL DOCUMENT
v3.23.1

Repurchase Agreements | 3 Months Ended
--- | ---
Mar. 31, 2023
Disclosure of Repurchase Agreements [Abstract] |
Repurchase agreements | REPURCHASE AGREEMENTS The Company’s repurchase agreements outstanding as of March 31, 2023 and December 31, 2022 are summarized in the following tables:
|  | March 31, 2023 |  | December 31, 2022
Collateral Type |  | Balance |  | Weighted Average Rate |  | Fair Value of Collateral Pledged |  | Balance |  | Weighted Average Rate |  | Fair Value of Collateral Pledged
Agency RMBS |  | $ | 2,675,157 |  |  | 4.90 | % |  | $ | 2,724,745 |  |  | $ | 2,349,181 |  |  | 4.15 | % |  | $ | 2,496,781 |
Agency CMBS |  | 98,373 |  |  | 4.89 | % |  | 102,710 |  |  | 108,580 |  |  | 3.76 | % |  | 108,146 |
Agency CMBS IO |  | 128,819 |  |  | 5.23 | % |  | 145,157 |  |  | 137,569 |  |  | 4.62 | % |  | 150,517 |
Non-Agency CMBS IO |  | 34,775 |  |  | 5.76 | % |  | 40,358 |  |  | 49,075 |  |  | 5.26 | % |  | 55,513 |
Total repurchase agreements |  | $ | 2,937,124 |  |  | 4.92 | % |  | $ | 3,012,970 |  |  | $ | 2,644,405 |  |  | 4.18 | % |  | $ | 2,810,957 |
The Company had borrowings outstanding under 25 different repurchase agreements as of March 31, 2023, and its equity at risk did not exceed 5% with any counterparty as of that date. The Company also had $24,918 and $4,159 payable to counterparties for transactions pending settlement as of March 31, 2023 and December 31, 2022, respectively. 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, 2023 |  | December 31, 2022
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 |  | $ | 1,288,034 |  |  | 4.96 | % |  | 35 |  |  | $ | 858,161 |  |  | 4.44 | % |  | 42 |
30 to 90 days |  | 1,254,958 |  |  | 4.88 | % |  | 78 |  |  | 1,786,244 |  |  | 4.06 | % |  | 104 |
91 to 180 days |  | 394,132 |  |  | 4.95 | % |  | 183 |  |  | — |  |  | — | % |  | — |
Total |  | $ | 2,937,124 |  |  | 4.92 | % |  | 73 |  |  | $ | 2,644,405 |  |  | 4.18 | % |  | 84 |
The increase in the Company’s weighted average rate for its borrowings as of March 31, 2023 compared to December 31, 2022 resulted from the increase in the U.S. Federal Funds Target rate (“Fed Funds rate”) set by the Federal Reserve. The Company’s accrued interest payable related to its repurchase agreement borrowings was $12,806 as of March 31, 2023 compared to $16,450 as of December 31, 2022. The Company has an agreement with Wells Fargo Bank, N.A. for a committed repurchase facility, which has an aggregate maximum borrowing capacity of $250,000 and a maturity date of June 8, 2023. As of March 31, 2023, the Company had $41,220 outstanding with this facility at a weighted average borrowing rate of 5.25%. 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, 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, 2023. 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 table presents information regarding the Company's repurchase agreements as if the Company had presented them on a net basis as of March 31, 2023 and December 31, 2022:
| 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, 2023: |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | 2,937,124 |  |  | $ | — |  |  | $ | 2,937,124 |  |  | $ | (2,937,124) |  |  | $ | — |  |  | $ | — |
December 31, 2022: |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | 2,644,405 |  |  | $ | — |  |  | $ | 2,644,405 |  |  | $ | (2,644,405) |  |  | $ | — |  |  | $ | — |
(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 5 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 https://asc.fasb.org/topic&trid=2197590 + Details
Name: | us-gaap_RepurchaseAgreementsResaleAgreementsSecuritiesBorrowedAndSecuritiesLoanedDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration