Repurchase Agreements

12 Months Ended

Dec. 31, 2021

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

Note 7 - Repurchase Agreements

At December 31, 2021, we had MRAs with 34 counterparties and had $3,948,037 in outstanding borrowings with 18 of those counterparties. At December 31, 2020, we had MRAs with 33 counterparties and had $4,536,065 in outstanding borrowings with 18 of those counterparties.

The following table represents the contractual repricing regarding our repurchase agreements to finance MBS purchases at December 31, 2021 and December 31, 2020. No amounts below are subject to offsetting. Our repurchase agreements require excess collateral, known as a “haircut.” At December 31, 2021, the average haircut

percentage was 3.45% compared to 3.13% at December 31, 2020. The haircut for our repurchase agreements vary by counterparty and therefore, the changes in the average haircut percentage will vary with the changes in our counterparty repurchase agreement balances.

	Balance		Weighted Average Contractual Rate		Weighted Average Maturity in days
December 31, 2021
Agency Securities
≤ 30 days	$	2,565,743	0.13	%	13
> 30 days to ≤ 60 days	647,584		0.13	%	35
> 60 days to ≤ 90 days	635,710		0.11	%	89
Total or Weighted Average	3,849,037		0.13	%	29
U.S. Treasury Securities
≤ 30 days	99,000		0.12	%	3
Total or Weighted Average	$	3,948,037	0.12	%	29
December 31, 2020
Agency Securities
≤ 30 days	$	3,618,255	0.23	%	15
> 30 days to ≤ 60 days	917,810		0.23	%	45
Total or Weighted Average	$	4,536,065	0.23	%	21

Our repurchase agreements require that we maintain adequate pledged collateral. A decline in the value of the MBS pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. We manage this risk by maintaining an adequate balance of available cash and unpledged securities. An event of default or termination event under the standard MRA would give our counterparty the option to terminate all repurchase transactions existing with us and require any amount due to be payable immediately. In addition, certain of our MRAs contain a restriction that prohibits our leverage from exceeding twelve times our stockholders’ equity as well as termination events in the case of significant reductions in equity capital. We also may receive cash or securities as collateral from our derivative counterparties which we may use as additional collateral for repurchase agreements. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty.

At December 31, 2021 and December 31, 2020, BUCKLER accounted for 49.7% and 66.1%, respectively, of our aggregate borrowings and had an amount at risk of 5.0% and 8.3%, respectively, of our total stockholders' equity with a weighted average maturity of 35 days and 21 days, respectively, on repurchase agreements (see Note 15 - Related Party Transactions).

In addition, at December 31, 2021, we had 2 repurchase agreement counterparties that individually accounted for between 5% and 10% of our aggregate borrowings. In total, these counterparties accounted for approximately 16.0% of our repurchase agreement borrowings outstanding at December 31, 2021. At December 31, 2020, we had 1 repurchase agreement counterparty that individually accounted for between 5% and 10% of our aggregate borrowings. In total, this counterparty accounted for 9.0% of our repurchase agreement borrowings at December 31, 2020.