Repurchase Agreements (Tables)

3 Months Ended

Mar. 31, 2022

Disclosure of Repurchase Agreements [Abstract]

Schedule of Repurchase Agreements

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