Repurchase Agreements

9 Months Ended

Sep. 30, 2019

Disclosure of Repurchase Agreements [Abstract]

The Company’s repurchase agreements are accounted for as secured borrowings and bear interest that is generally LIBOR-based. (See Notes 2(k) and 7) At September 30, 2019, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 33 days and an effective repricing period of 10 months, including the impact of related Swaps. At December 31, 2018, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 31 days and an effective repricing period of 8 months, including the impact of related Swaps.

The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at September 30, 2019 and December 31, 2018:



(Dollars in Thousands)	September 30, 2019			December 31, 2018
Repurchase agreement borrowings secured by Agency MBS	$	1,675,861		$	2,384,357
Fair value of Agency MBS pledged as collateral under repurchase agreements	$	1,807,047		$	2,572,597
Weighted average haircut on Agency MBS (1)	4.42		%	4.60		%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS	$	1,231,908		$	1,447,585
Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements	$	1,561,501		$	1,871,650
Weighted average haircut on Legacy Non-Agency MBS (1)	20.57		%	21.38		%
Repurchase agreement borrowings secured by RPL/NPL MBS	$	642,740		$	1,084,532
Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements	$	828,048		$	1,377,250
Weighted average haircut on RPL/NPL MBS (1)	21.89		%	21.31		%
Repurchase agreements secured by CRT securities	$	303,544		$	391,586
Fair value of CRT securities pledged as collateral under repurchase agreements	$	377,779		$	480,315
Weighted average haircut on CRT securities (1)	19.25		%	20.01		%
Repurchase agreements secured by residential whole loans (2)	$	3,727,526		$	2,020,508
Fair value of residential whole loans pledged as collateral under repurchase agreements (3)(4)	$	4,810,078		$	2,441,931
Weighted average haircut on residential whole loans (1)	14.85		%	16.55		%
Repurchase agreements secured by MSR-related assets	$	918,055		$	474,127
Fair value of MSR-related assets pledged as collateral under repurchase agreements	$	1,164,284		$	611,807
Weighted average haircut on MSR-related assets (1)	21.00		%	21.88		%
Repurchase agreements secured by other interest-earning assets	$	72,911		$	76,419
Fair value of other interest-earning assets pledged as collateral under repurchase agreements	$	73,925		$	81,494
Weighted average haircut on other interest-earning assets (1)	21.20		%	21.15		%


(1)	Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.

(2) Excludes $1.1 million and $27,000 of unamortized debt issuance costs at September 30, 2019 and December 31, 2018, respectively.

(3) At September 30, 2019 and December 31, 2018, includes RPL/NPL MBS with an aggregate fair value of $238.4 million and $27.0 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.

(4) At September 30, 2019 and December 31, 2018, includes residential whole loans held at carrying value with an aggregate fair value of $3.7 billion and $1.7 billion and aggregate amortized cost of $3.7 billion and $1.6 billion, respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $835.8 million and $738.6 million, respectively.

In addition, the Company had cash pledged as collateral in connection with its repurchase agreements of $15.6 million and $6.7 million at September 30, 2019 and December 31, 2018, respectively.

The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at September 30, 2019 and December 31, 2018:



	September 30, 2019				December 31, 2018
	Balance		Weighted Average Interest Rate		Balance		Weighted Average Interest Rate
Time Until Interest Rate Reset	Balance		Weighted Average Interest Rate		Balance		Weighted Average Interest Rate
(Dollars in Thousands)
Within 30 days	$	6,487,134	3.18	%	$	6,747,166	3.35	%
Over 30 days to 3 months	660,954		2.46		368,857		3.10
Over 3 months to 12 months	1,312,280		3.72		763,091		4.18
Over 12 months	112,177		3.87		—		—
Total repurchase agreements	8,572,545		3.22	%	7,879,114		3.42	%
Less debt issuance costs	1,123				27
Total repurchase agreements less debt issuance costs	$	8,571,422			$	7,879,087

The following table presents contractual maturity information about the Company’s borrowings under repurchase agreements, all of which are accounted for as secured borrowings, at September 30, 2019, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:



	September 30, 2019
Contractual Maturity	Overnight			Within 30 Days			Over 30 Days to 3 Months			Over 3 Months to 12 Months			Over 12 months			Total
(Dollars in Thousands)
Agency MBS	$	—		$	1,067,633		$	608,228		$	—		$	—		$	1,675,861
Legacy Non-Agency MBS	—			1,017,253			—			214,655			—			1,231,908
RPL/NPL MBS	—			642,740			—			—			—			642,740
CRT securities	—			303,544			—			—			—			303,544
Residential whole loans (1)	—			300,767			1,365,757			1,251,974			809,028			3,727,526
MSR-related assets	—			744,876			—			128,064			45,115			918,055
Other	—			5,850			—			—			67,061			72,911
Total (2)	$	—		$	4,082,663		$	1,973,985		$	1,594,693		$	921,204		$	8,572,545

Weighted Average Interest Rate	—		%	2.88		%	3.36		%	3.59		%	3.77		%	3.22		%

(1)

Repurchase agreement financings secured by residential whole loan collateral are disclosed based on the contractual maturity agreed with the respective counterparty. At September 30, 2019, $1.7 billion of repurchase agreement financings are subject to termination, at the option of the lender, prior to the otherwise agreed contractual maturity following the conclusion of a properly advised notice period. Such notice periods currently range from one month to six months. In addition, such repurchase agreements are subject to periodic repricing during their terms.


(2)	Excludes $1.1 million of unamortized debt issuance costs at September 30, 2019.

Undrawn Financing Commitment

In connection with the financing of MSR-related assets, the Company has obtained a financing commitment of up to $75.0 million, of which $45.1 million was utilized and was outstanding as of September 30, 2019. The Company pays a commitment fee ranging from 0.125% to 0.5% of the undrawn amount, depending on the amount of financing utilized.

The Company had repurchase agreement borrowings with 28 and 26 counterparties at September 30, 2019 and December 31, 2018, respectively. The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at September 30, 2019:



	September 30, 2019
	Counterparty Rating (1)	Amount at Risk (2)		Weighted Average Months to Maturity for Repurchase Agreements	Percent of Stockholders’ Equity
Counterparty	Counterparty Rating (1)	Amount at Risk (2)			Percent of Stockholders’ Equity
(Dollars in Thousands)
Credit Suisse (3)	BBB+/Baa2/A-	$	305,139	1	9.0	%
Goldman Sachs (4)	BBB+/A3/A	232,421		2	6.8
RBC (5)	AA-/Aa2/AA	218,036		1	6.4
Wells Fargo (6)	A+/Aa2/AA-	211,949		0	6.2
Barclays Bank	BBB/Aa3/A	176,188		4	5.2


(1)	As rated at September 30, 2019 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities.


(2)	The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities.


(3)	Includes $284.2 million at risk with Credit Suisse and $20.9 million at risk with Credit Suisse Cayman.


(4)	Includes $125.2 million at risk with Goldman Sachs Lending Partners and $107.2 million at risk with Goldman Sachs Bank USA.


(5)	Includes $215.2 million at risk with RBC Barbados and $2.8 million at risk with RBC New York. Counterparty ratings are not published for RBC Barbados and RBC Capital Markets LLC.

(6)

Includes $205.0 million at risk with Wells Fargo Bank, NA and approximately $7.0 million at risk with Wells Fargo Securities LLC.