Short-Term Debt (Tables)

9 Months Ended

Sep. 30, 2019

Repurchase Agreements Balances, Weighted Average Interest Rates and Remaining Weighted Average Maturities

Repurchase Agreements

At September 30, 2019 and December 31, 2018, the repurchase agreements had the following balances, weighted average interest rates, and remaining weighted average maturities:

September 30, 2019


	Agency MBS				Non-Agency MBS				Total MBS
			Weighted				Weighted					Weighted
			Average				Average					Average
			Interest				Interest					Interest
	Balance		Rate		Balance		Rate		Balance			Rate
		(in thousands)				(in thousands)				(in thousands)
Overnight	$	—	—	%	$	—	—	%	$	—		—	%
Less than 30 days		1,290,000	2.39			475,102	3.12			1,765,102		2.59
30 days to 90 days		1,490,000	2.20			—	—			1,490,000		2.20
Over 90 days		—	—			—	—			—		—
Demand		—	—			—	—			—		—
	$	2,780,000	2.29	%	$	475,102	3.12	%	$	3,255,102		2.41	%
Weighted average maturity		33 days				18 days				31 days
Weighted average interest rate after adjusting for interest rate swaps										2.34	%
Weighted average maturity after adjusting for interest rate swaps										940 days
MBS pledged as collateral under the repurchase agreements and interest rate swaps	$	2,992,673			$	593,748			$	3,586,421

December 31, 2018


	Agency MBS				Non-Agency MBS				Total MBS
			Weighted				Weighted					Weighted
			Average				Average					Average
			Interest				Interest					Interest
	Balance		Rate		Balance		Rate		Balance			Rate
		(in thousands)				(in thousands)				(in thousands)
Overnight	$	—	—	%	$	—	—	%	$	—		—	%
Less than 30 days		1,510,000	2.46			576,627	3.55			2,086,627		2.76
30 days to 90 days		1,725,000	2.57			—	—			1,725,000		2.57
Over 90 days		—	—			—	—			—		—
Demand		—	—			—	—			—		—
	$	3,235,000	2.52	%	$	576,627	3.55	%	$	3,811,627		2.67	%
Weighted average maturity		35 days				13 days				32 days
Weighted average interest rate after adjusting for interest rate swaps										2.23	%
Weighted average maturity after adjusting for interest rate swaps										1,217 days
MBS pledged as collateral under the repurchase agreements and interest rate swaps	$	3,433,252			$	726,428			$	4,159,680

Liabilities and Assets Subject to Netting Arrangements

The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) only in the event of default on a contract at September 30, 2019 and December 31, 2018 (see Notes 1, 9, and 15 for more information on the Company’s interest rate swaps and other derivative instruments):

September 30, 2019


					Net Amounts of
					Assets		Gross Amounts Not Offset
	Gross Amounts				or Liabilities		in the Balance Sheets(1)
	of Recognized		Gross Amounts		Presented in				Cash
	Assets or		Offset in the		the Balance		Financial		Collateral		Net
	Liabilities		Balance Sheets		Sheets		Instruments		Received		Amounts
		(in thousands)
Derivative assets at fair value(2)	$	2,459	$	—	$	2,459	$	(2,459)	$	—	$	—
Total	$	2,459	$	—	$	2,459	$	(2,459)	$	—	$
Repurchase agreements(3)	$	3,255,102	$	—	$	3,255,102	$	(3,255,102)	$	—	$	—
Warehouse line of credit(4)		112,252		—		112,252		(112,252)		—		—
Derivative liabilities at fair value(2)		71,821		—		71,821		(71,821)		—		—
Total	$	3,439,175	$	—	$	3,439,175	$	(3,439,175)	$	—	$	—

(1)

Amounts presented are limited to collateral pledged sufficient to reduce the related net amount to zero in accordance with ASU No. 2011‑11, as amended by ASU No. 2013‑01.

(2)

At September 30, 2019, we had not pledged any Agency MBS as collateral on our interest rate swaps derivatives. We paid approximately $119.1 million in cash margin calls on our derivatives, which is reflected on our consolidated balance sheets as “Restricted cash” on our consolidated balance sheets. Our interest rate swaps derivatives were approximately $1.8 million in derivative assets and approximately $71.7 million in derivative liabilities at September 30, 2019.

(3)

At September 30, 2019, we had pledged approximately $3.0 billion in Agency MBS and approximately $594 million in Non-Agency MBS as collateral on our repurchase agreements.

(4)

At September 30, 2019, we had pledged approximately $125.4 million in residential mortgage loans on the warehouse line of credit.

December 31, 2018


					Net Amounts of
					Assets		Gross Amounts Not Offset
	Gross Amounts				or Liabilities		in the Balance Sheets(1)
	of Recognized		Gross Amounts		Presented in				Cash
	Assets or		Offset in the		the Balance		Financial		Collateral		Net
	Liabilities		Balance Sheets		Sheets		Instruments		Received		Amounts
	(in thousands)
Derivative assets at fair value(2)	$	46,207	$	—	$	46,207	$	(46,207)	$	—	$	—
Total	$	46,207	$	—	$	46,207	$	(46,207)	$	—	$	—
Repurchase agreements(3)	$	3,811,627	$	—	$	3,811,627	$	(3,811,627)	$	—	$	—
Derivative liabilities at fair value(2)		15,901		—		15,901		(15,901)		—		—
Total	$	3,827,528	$	—	$	3,827,528	$	(3,827,528)	$	—	$	—

(1)

Amounts presented are limited to collateral pledged sufficient to reduce the related net amount to zero in accordance with ASU No. 2011‑11, as amended by ASU No. 2013‑01.

(2)

At December 31, 2018, we had paid approximately $30.3 million on swap and TBA Agency MBS margin calls (included in “restricted cash). Our swap derivatives were approximately $40.2 million in derivative assets and approximately $15.9 million in derivative liabilities at December 31, 2018.

At December 31, 2018, we had pledged $3.43 billion in Agency MBS and approximately $726.4 million in Non-Agency MBS as collateral on our repurchase agreements.