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Repurchase Agreements (Tables) | 3 Months Ended
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Mar. 31, 2020
Disclosure of Repurchase Agreements [Abstract] |
Schedule of Company's borrowings under repurchase agreements and associated assets pledged as collateral | The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at March 31, 2020 and December 31, 2019:
(Dollars in Thousands) |  | March 31, 2020 |  | December 31, 2019
Repurchase agreements secured by residential whole loans (1) |  | $ | 4,700,931 |  |  | $ | 4,743,094 |
Fair value of residential whole loans pledged as collateral under repurchase agreements (2)(3) |  | $ | 5,665,277 |  |  | $ | 5,986,267 |
Weighted average haircut on residential whole loans (4) |  | 19.17 | % |  | 20.07 | %
Repurchase agreement borrowings secured by Agency MBS |  | $ | 522,209 |  |  | $ | 1,557,675 |
Fair value of Agency MBS pledged as collateral under repurchase agreements |  | $ | 568,704 |  |  | $ | 1,656,373 |
Weighted average haircut on Agency MBS (4) |  | 4.99 | % |  | 4.46 | %
Repurchase agreement borrowings secured by Legacy Non-Agency MBS |  | $ | 1,003,122 |  |  | $ | 1,121,802 |
Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements |  | $ | 1,088,549 |  |  | $ | 1,420,797 |
Weighted average haircut on Legacy Non-Agency MBS (4) |  | 21.60 | % |  | 20.27 | %
Repurchase agreement borrowings secured by RPL/NPL MBS |  | $ | 255,409 |  |  | $ | 495,091 |
Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements |  | $ | 243,125 |  |  | $ | 635,005 |
Weighted average haircut on RPL/NPL MBS (4) |  | 20.30 | % |  | 21.52 | %
Repurchase agreements secured by CRT securities |  | $ | 297,628 |  |  | $ | 203,569 |
Fair value of CRT securities pledged as collateral under repurchase agreements |  | $ | 263,225 |  |  | $ | 252,175 |
Weighted average haircut on CRT securities (4) |  | 20.89 | % |  | 18.84 | %
Repurchase agreements secured by MSR-related assets |  | $ | 929,915 |  |  | $ | 962,515 |
Fair value of MSR-related assets pledged as collateral under repurchase agreements |  | $ | 877,204 |  |  | $ | 1,217,002 |
Weighted average haircut on MSR-related assets (4) |  | 22.11 | % |  | 21.18 | %
Repurchase agreements secured by other interest-earning assets |  | $ | 59,777 |  |  | $ | 57,198 |
Fair value of other interest-earning assets pledged as collateral under repurchase agreements |  | $ | 71,837 |  |  | $ | 61,708 |
Weighted average haircut on other interest-earning assets (4) |  | 21.88 | % |  | 22.01 | %
(1) | Excludes $811,000 and $1.1 million of unamortized debt issuance costs at March 31, 2020 and December 31, 2019, respectively.
(2) | At March 31, 2020 and December 31, 2019, includes RPL/NPL MBS with an aggregate fair value of $193.9 million and $238.8 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.
(3) At March 31, 2020 and December 31, 2019, includes residential whole loans held at carrying value with an aggregate fair value of $4.8 billion and $5.0 billion and aggregate amortized cost of $5.1 billion and $4.8 billion, respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $718.3 million and $794.7 million, respectively. (4) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
Schedule of repricing information about borrowings under repurchase agreements | 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 March 31, 2020 and December 31, 2019:
|  | March 31, 2020 |  | December 31, 2019
Balance |  | Weighted Average Interest Rate | Balance |  | Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands) |  |  |  |  |  |  |  |
Within 30 days |  | $ | 2,504,628 |  |  | 1.96 | % |  | $ | 4,472,120 |  |  | 2.55 | %
Over 30 days to 3 months |  | 2,993,905 |  |  | 2.96 |  |  | 2,746,384 |  |  | 3.43 |
Over 3 months to 12 months |  | 1,392,318 |  |  | 4.06 |  |  | 1,014,441 |  |  | 3.36 |
Over 12 months |  | 878,140 |  |  | 5.65 |  |  | 907,999 |  |  | 3.44 |
Total repurchase agreements |  | $ | 7,768,991 |  |  | 3.14 | % |  | $ | 9,140,944 |  |  | 2.99 | %
Less debt issuance costs |  | 811 |  |  |  |  | 1,123 |  |  |
Total repurchase agreements less debt issuance costs |  | $ | 7,768,180 |  |  |  |  | $ | 9,139,821 |  |  |
Schedule of information about counterparty for repurchase agreements for which the entity had greater than 5% of stockholders' equity at risk | 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 March 31, 2020:
|  | March 31, 2020
|  | Counterparty Rating (1) |  | Amount at Risk (2) |  | Weighted Average Months to Maturity for Repurchase Agreements (3) |  | Percent of Stockholders’ Equity
Counterparty |  |  |  |
(Dollars in Thousands) |  |  |  |  |  |  |  |
Credit Suisse (4) |  | BBB+/Baa2/A- |  | $ | 421,642 |  |  | 2 |  | 17.3 | %
Barclays Bank |  | BBB/Aa3/A |  | 386,620 |  |  | 2 |  | 15.8 |
Goldman Sachs (5) |  | BBB+/A3/A |  | 256,550 |  |  | 5 |  | 10.5 |
Wells Fargo (6) |  | A+/Aa2/AA- |  | 246,865 |  |  | 16 |  | 10.1 |
(1) | As rated at March 31, 2020 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) | See Note 16 “Subsequent Events” for details regarding the Company’s Forbearance Agreements, which impacts the maturity dates of the Company’s repurchase agreement financings.
(4) | Includes $369.0 million at risk with Credit Suisse and $52.6 million at risk with Credit Suisse Cayman.
(5) | Includes $118.1 million at risk with Goldman Sachs Lending Partners and $138.4 million at risk with Goldman Sachs Bank USA.
(6) Includes $240.9 million at risk with Wells Fargo Bank, NA and approximately $6.0 million at risk with Wells Fargo Securities LLC

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- Definition Tabular disclosure of information pertaining to the company's borrowings under repurchase agreements and associated assets pledged as collateral. + References No definition available. + Details
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- Definition Tabular disclosure of the amounts and weighted average interest rates of repurchase agreements by length of time until interest rate reset. + References No definition available. + Details
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- Definition Tabular disclosure, as of the balance sheet date, of the amount at risk under repurchase agreements with any individual counterparty or group of related counterparties which exceeds 5 percent of stockholders' equity. This includes the name of each counterparty or group of related counterparties, the amount at risk with each, and the weighted average maturity of the repurchase agreements with each. The amount at risk under repurchase agreements is defined as the difference between (a) the amount loaned to the Company through repurchase agreements and repurchase agreements underlying Linked Transactions, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral and MBS underlying Linked Transactions, including accrued interest receivable on such securities. + References No definition available. + Details
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