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Short-Term Debt (Tables)
 3 Months Ended
Mar. 31, 2020
Repurchase Agreements  
Repurchase Agreements Balances, Weighted Average Interest Rates and Remaining Weighted Average Maturities

At March 31, 2020 and December 31, 2019, the repurchase agreements had the following balances, weighted average interest rates, and remaining weighted average maturities:

March 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

1,034,259

 

1.76

 

 

 

242,869

 

2.47

 

 

 

1,277,128

 

1.90

 

30 days to 90 days

 

 

1,168,965

 

1.76

 

 

 

27,041

 

4.15

 

 

 

1,196,006

 

1.81

 

Over 90 days

 

 

 —

 

 —

 

 

 

 —

 

 —

 

 

 

 —

 

 —

 

Demand

 

 

 —

 

 —

 

 

 

 —

 

 —

 

 

 

 —

 

 —

 

 

 

$

2,203,224

 

1.76

%  

 

$

269,910

 

2.64

%  

 

$

2,473,134

 

1.86

%

Weighted average maturity

 

 

30 days

 

  

 

 

 

16 days

 

  

 

 

 

29 days

 

  

 

Weighted average interest rate after adjusting for interest rate swaps

 

 

  

 

  

 

 

 

  

 

  

 

 

 

2.15

%  

  

 

Weighted average maturity after adjusting for interest rate swaps

 

 

  

 

  

 

 

 

  

 

  

 

 

 

859 days

 

  

 

MBS pledged as collateral under the repurchase agreements and interest rate swaps

 

$

2,319,446

 

  

 

 

$

277,960

 

  

 

 

$

2,597,406

 

  

 

 

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

 

  

 

 

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 March 31, 2020 and December 31, 2019 (see Notes 1, 9, and 15 to our accompanying unaudited consolidated financial statements for more information on the Company’s interest rate swaps and other derivative instruments):

 

March 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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)

 

$

3,094

 

$

 —

 

$

3,094

 

$

(3,094)

 

$

6,633

 

$

3,539

Total

 

$

3,094

 

$

 —

 

$

3,094

 

$

(3,094)

 

$

6,633

 

$

3,539

Repurchase agreements(3)

 

$

2,473,134

 

$

 —

 

$

2,473,134

 

$

(2,473,134)

 

$

 —

 

$

 —

Warehouse line of credit

 

 

116,221

 

 

 —

 

 

116,221

 

 

(116,221)

 

 

 —

 

 

 —

Derivative liabilities at fair value(2)

 

 

102,802

 

 

 —

 

 

102,802

 

 

(102,802)

 

 

 —

 

 

 —

Total

 

$

2,692,157

 

$

 —

 

$

2,692,157

 

$

(2,692,157)

 

$

 —

 

$

 —

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)

 

$

 —

 

$

 —

(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 March 31, 2020, we had paid approximately $152.5 million on swap and TBA Agency MBS margin calls (included in “Restricted cash”) and we had received cash from counterparties of approximately $6.6 million, which is shown in “Derivative counterparty margin” on our consolidated balance sheets. Our TBA Agency MBS derivatives were approximately $3.1 million in derivative assets at March 31, 2020. Our swap derivatives were approximately $102.8 million in derivative liabilities at March 31, 2020. 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 March 31, 2020, we had pledged approximately $2.32 billion in Agency MBS and approximately $278 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2019, we had pledged approximately $3.42 billion in Agency MBS and approximately $535 million in Non-Agency MBS as collateral on our repurchase agreements.