NOTE 7. SHORT-TERM DEBT

We have entered into repurchase agreements and a warehouse line of credit with a large financial institution. The repurchase agreements that we use to finance most of our MBS are short-term borrowings that are secured by the market value of our MBS and bear fixed interest rates that have historically been based upon LIBOR. Warehouse lines of credit are short-term borrowings (generally less than 1-year) that are used to finance the residential mortgage loans that are held-for-securitization. At December 31, 2019, we had borrowed $133.8 million against the warehouse line of credit. At December 31, 2018, no borrowing had occurred against the warehouse line of credit. The mortgage loans held-for-securitization are held as collateral for this warehouse line of credit.

Repurchase Agreements

At December 31, 2019 and December 31, 2018, the repurchase agreements had the following balances (dollar amounts in thousands), weighted average interest rates, and remaining weighted average maturities:

December 31, 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		1,680,000	2.04			427,873	2.80			2,107,873		2.20
30 days to 90 days		1,550,000	1.89			—	—			1,550,000		1.89
Over 90 days		—	—			—	—			—		—
Demand		—	—			—	—			—		—
	$	3,230,000	1.97	%	$	427,873	2.80	%	$	3,657,873		2.07	%
Weighted average maturity		30 days				11 days				28 days
Weighted average interest rate after adjusting for interest rate swaps										2.13	%
Weighted average maturity after adjusting for interest rate swaps										978 days
MBS pledged as collateral under the repurchase agreements and interest rate swaps	$	3,419,375			$	535,315			$	3,954,690

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

For additional information about repurchase agreements, see the section in Note 1 entitled “Repurchase Agreements.”

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

December 31, 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)	$	5,833	$	—	$	5,833	$	(5,833)	$	367	$	(5,466)
Total	$	5,833	$	—	$	5,833	$	(5,833)	$	367	$	(5,466)
Repurchase agreements(3)	$	3,657,873	$	—	$	3,657,873	$	(3,657,873)	$	—	$	—
Warehouse line of credit		133,811		—		133,811		(133,811)		—		—
Derivative liabilities at fair value(2)		52,197		—		52,197		(52,197)		—		—
Total	$	3,843,881	$	—	$	3,843,881	$	(3,843,881)	$	—	$	—

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, 2019, we had paid approximately $104.7 million on swap and TBA Agency MBS margin calls (included in “restricted cash”) and we had received cash from counterparties of approximately $367 thousand, which is shown as “Derivative counterparty margin” on our consolidated balance sheets. Our swap derivatives were approximately $5.3 million in derivative assets and approximately $52.2 million in derivative liabilities at December 31, 2019. 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.

(3)

At December 31, 2019, we had pledged approximately $3.42 billion in Agency MBS and approximately $535 million of Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2018, we had pledged approximately $3.43 billion in Agency MBS and approximately $726.4 million of Non-Agency MBS as collateral on our repurchase agreements.