Repurchase Agreements

3 Months Ended

Mar. 31, 2022

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

Note 6 - Repurchase Agreements

At March 31, 2022, we had active MRAs with 36 counterparties and had $6,440,004 in outstanding borrowings with 19 of those counterparties. At December 31, 2021, we had MRAs with 34 counterparties and had $3,948,037 in outstanding borrowings with 18 counterparties.

The following table represents the contractual repricing regarding our repurchase agreements to finance MBS purchases at March 31, 2022 and December 31, 2021. No amounts below are subject to offsetting. Our repurchase agreements require excess collateral, known as a “haircut.” At March 31, 2022, the average haircut percentage was 2.75% compared to 3.45% at December 31, 2021. 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
March 31, 2022
Agency Securities
≤ 30 days	$	4,415,600	0.37	%	15
> 30 days to ≤ 90 days	917,841		0.40	%	34
> 90 days	26,605		0.98	%	175
Total or Weighted Average	$	5,360,046	0.37	%	19
U.S. Treasury Securities
≤ 30 days	1,079,958		0.18	%	1
Total or Weighted Average	$	6,440,004	0.34	%	16
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

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 March 31, 2022 and December 31, 2021, BUCKLER accounted for 52.4% and 49.7%, respectively, of our aggregate borrowings and had an amount at risk of 8.3% and 5.0%, respectively, of our total stockholders' equity with a weighted average maturity of 16 days and 35 days, respectively, on repurchase agreements (see Note 14 - Related Party Transactions for other transactions with BUCKLER).In addition, at March 31, 2022, we had 5 repurchase agreement counterparties that individually accounted for over 5% of our aggregate borrowings. In total, these counterparties accounted for approximately 31.0% of our repurchase agreement borrowings outstanding at March 31, 2022. At December 31, 2021, we had 2 repurchase agreement counterparties that individually accounted for over 5% of our aggregate borrowings. In total, these counterparties accounted for 16.0% of our repurchase agreement borrowings at December 31, 2021.