Repurchase Agreements

3 Months Ended

Mar. 31, 2020

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(j) and 7) At March 31, 2020, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 28 days and an effective repricing period of 11 months. Late in the first quarter, due to the severe market volatility and price dislocations resulting from concerns driven by the COVID-19 pandemic, the Company was unable to meet all of it margin call obligations with respect to its repurchase obligations, which effectively triggered a default under the numerous repurchase agreements it has with its counterparties. The Company initiated discussions with its counterparties regarding entering into a forbearance agreement that would provide the Company relief from compliance with certain of the requirements of these agreements, including the need to make margin calls, for an agreed period. Subsequent to quarter end, the Company entered into a forbearance agreement with the majority of its repurchase agreement counterparties and eliminated the amounts outstanding with other repurchase agreement counterparties with whom it did not enter into a forbearance agreement. See Note 16 “Subsequent Events” for further details. At December 31, 2019, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 40 days and an effective repricing period of 10 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 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.

In addition, the Company had cash pledged as collateral in connection with its repurchase agreements of $213.1 million and $25.2 million at March 31, 2020 and December 31, 2019, 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 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	Balance		Weighted Average Interest Rate		Balance		Weighted Average Interest Rate
(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

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 $25.4 million was utilized and was outstanding as of March 31, 2020. 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 26 and 28 counterparties at March 31, 2020 and December 31, 2019, 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 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	Counterparty Rating (1)	Amount at Risk (2)			Percent of Stockholders’ Equity
(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.