Repurchase Agreements (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2022 and December 31, 2021. No amounts below are subject to offsetting. Our repurchase agreements require excess collateral, known as a “haircut.” At September 30, 2022, the average haircut percentage was 3.32% 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
September 30, 2022
Agency Securities
≤ 30 days	$	7,247,587	2.72	%	11
> 30 days to ≤ 90 days	1,002,479		3.15	%	34
Total or Weighted Average	$	8,250,066	2.78	%	14
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