Repurchase Agreements (Tables)

3 Months Ended

Mar. 31, 2020

Banking and Thrift [Abstract]

Schedule of repurchase agreements

The repurchase agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of collateral pledged as of March 31, 2020 and December 31, 2019 were:

	March 31, 2020			December 31, 2019
Repurchase agreements outstanding secured by:
Agency RMBS (in thousands)	$	75,866		$	6,247,275
Agency CMBS (in thousands)	2,206,233			2,013,515
Non-agency RMBS and Loans held for investment (in thousands)	4,864,897			5,166,755
Total:	$	7,146,996		$	13,427,545
MBS pledged as collateral at fair value on Repurchase agreements:
Agency RMBS (in thousands)	$	89,561		$	6,602,039
Agency CMBS (in thousands)	2,347,087			2,102,520
Non-agency RMBS and Loans held for investment (in thousands)	5,904,751			6,694,685
Total:	$	8,341,399		$	15,399,244
Average balance of Repurchase agreements secured by:
Agency RMBS (in thousands)	$	4,406,107		$	8,062,881
Agency CMBS (in thousands)	2,112,244			1,993,372
Non-agency RMBS and Loans held for investment (in thousands)	5,236,442			4,436,133
Total:	$	11,754,793		$	14,492,386
Average borrowing rate of Repurchase agreements secured by:
Agency RMBS (in thousands)	0.94		%	2.10		%
Agency CMBS (in thousands)	1.06		%	2.10		%
Non-agency RMBS and Loans held for investment (in thousands)	3.59		%	3.19		%
Average remaining maturity of Repurchase agreements secured by:
Agency RMBS (in thousands)	4 Days			14 Days
Agency CMBS (in thousands)	14 Days			13 Days
Non-agency RMBS and Loans held for investment (in thousands)	230 Days			255 Days
Average original maturity of Repurchase agreements secured by:
Agency RMBS (in thousands)	16 Days			38 Days
Agency CMBS (in thousands)	30 Days			34 Days
Non-agency RMBS and Loans held for investment (in thousands)	250 Days			279 Days

At March 31, 2020 and December 31, 2019, we pledged $419 million and $20 million, respectively, of margin cash collateral to our repurchase agreement counterparties. At March 31, 2020 and December 31, 2019, the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities.

	March 31, 2020		December 31, 2019
	(dollars in thousands)
Overnight	$	40,836	$	—
1 to 29 days	3,634,255		9,709,387
30 to 59 days	502,333		800,648
60 to 89 days	633,939		608,520
90 to 119 days	113,370		—
Greater than or equal to 120 days	2,222,263		2,308,990
Total	$	7,146,996	$	13,427,545