Repurchase Agreements (Tables)

6 Months Ended

Jun. 30, 2022

Disclosure of Repurchase Agreements [Abstract]

Schedule of Repurchase Agreements by Maturity

At June 30, 2022 and December 31, 2021, the Company’s repurchase agreements had the following characteristics and remaining maturities:

	June 30, 2022
	Collateral Type
(in thousands)	Agency RMBS			Non-Agency Securities			Agency Derivatives			Mortgage Servicing Rights			Total Amount Outstanding
Within 30 days	$	2,342,564		$	23,880		$	6,818		$	—		$	2,373,262
30 to 59 days	976,012			—			—			—			976,012
60 to 89 days	2,039,223			219			876			—			2,040,318
90 to 119 days	998,159			23,835			15,051			—			1,037,045
120 to 364 days	1,131,610			—			—			400,000			1,531,610
Total	$	7,487,568		$	47,934		$	22,745		$	400,000		$	7,958,247
Weighted average borrowing rate	1.27		%	2.44		%	1.89		%	5.12		%	1.48		%

	December 31, 2021
	Collateral Type
(in thousands)	Agency RMBS			Non-Agency Securities			Agency Derivatives			Mortgage Servicing Rights			Total Amount Outstanding
Within 30 days	$	1,617,186		$	—		$	10,097		$	—		$	1,627,283
30 to 59 days	1,807,544			—			—			—			1,807,544
60 to 89 days	1,979,717			171			1,168			—			1,981,056
90 to 119 days	1,240,915			—			8,520			—			1,249,435
120 to 364 days	849,868			—			16,259			125,000			991,127
Total	$	7,495,230		$	171		$	36,044		$	125,000		$	7,656,445
Weighted average borrowing rate	0.17		%	1.24		%	0.74		%	4.00		%	0.24		%

Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets

The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of the Company’s repurchase agreements:

(in thousands)	June 30, 2022		December 31, 2021
Available-for-sale securities, at fair value	$	7,420,521	$	7,009,449
Mortgage servicing rights, at fair value (1)	1,089,448		725,985
Restricted cash	362,937		747,779
Due from counterparties	111,724		30,764
Derivative assets, at fair value	23,336		39,609
Total	$	9,007,966	$	8,553,586

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(1)MSR repurchase agreements are secured by a VFN issued in connection with the Company’s securitization of MSR, which is collateralized by the Company’s MSR.

Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity

The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at June 30, 2022 and December 31, 2021:

	June 30, 2022							December 31, 2021
(dollars in thousands)	Amount Outstanding		Net Counterparty Exposure (1)		Percent of Equity		Weighted Average Days to Maturity	Amount Outstanding		Net Counterparty Exposure (1)		Percent of Equity		Weighted Average Days to Maturity
Credit Suisse	$	423,880	$	94,723	4	%	212	$	125,000	$	353,975	13	%	181
All other counterparties (2)	7,534,367		455,350		18	%	77	7,531,445		314,258		11	%	65
Total	$	7,958,247	$	550,073				$	7,656,445	$	668,233

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(1)Represents the net carrying value of the assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.

(2)Represents amounts outstanding with 20 and 19 counterparties at June 30, 2022 and December 31, 2021, respectively.