Note 3 - Repurchase Agreements

6 Months Ended

Jun. 30, 2023

Notes to Financial Statements

Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block]

NOTE 3. REPURCHASE AGREEMENTS

The Company pledges certain of its RMBS as collateral under repurchase agreements with financial institutions. Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is generally paid at the termination of a borrowing. If the fair value of the pledged securities declines, lenders will typically require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of the pledged securities increases, lenders may release collateral back to the Company. As of June 30, 2023, the Company had met all margin call requirements.

As of June 30, 2023 and December 31, 2022, the Company’s repurchase agreements had remaining maturities as summarized below:

($ in thousands)
	OVERNIGHT		BETWEEN 2			BETWEEN 31			GREATER
	(1 DAY OR		AND			AND			THAN
	LESS)		30 DAYS			90 DAYS			90 DAYS			TOTAL
June 30, 2023
Fair market value of securities pledged, including accrued interest receivable	$	-	$	3,524,215		$	592,188		$	266,904		$	4,383,307
Repurchase agreement liabilities associated with these securities	$	-	$	3,382,436		$	565,230		$	254,051		$	4,201,717
Net weighted average borrowing rate		-		5.26	%		5.24	%		5.33	%		5.26	%
December 31, 2022
Fair market value of securities pledged, including accrued interest receivable	$	-	$	2,496,769		$	884,632		$	142,658		$	3,524,059
Repurchase agreement liabilities associated with these securities	$	-	$	2,404,329		$	837,299		$	136,817		$	3,378,445
Net weighted average borrowing rate		-		4.43	%		4.51	%		4.15	%		4.44	%

Included in the table above are repurchase agreements with outstanding principal balances of approximately $254.0 million and $190.3 million as of  June 30, 2023 and December 31, 2022, respectively, with interest rates indexed to SOFR that reprice daily.

In addition, cash pledged to counterparties for repurchase agreements was approximately $30.6 million and $13.3 million as of June 30, 2023 and December 31, 2022, respectively.

If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets, which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender, including the accrued interest receivable and cash posted by the Company as collateral. At June 30, 2023, the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable and securities posted by the counterparty (if any), and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately $200.9 million. The Company did not have an amount at risk with any individual counterparty that was greater than 10% of the Company’s equity at June 30, 2023 and December 31, 2022.