REPURCHASE AGREEMENTS AND OTHER BORROWINGS

6 Months Ended

Jun. 30, 2020

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements and Other Borrowings

NOTE 3. REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS

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, 2020, the Company had met all margin call requirements.

As of June 30, 2020 and December 31, 2019, 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, 2020
Fair market value of securities pledged, including
	accrued interest receivable	$	24,222	$	2,449,070	$	748,704	$	82,469	$	3,304,465
Repurchase agreement liabilities associated with
	these securities	$	20,666	$	2,358,722	$	716,434	$	78,917	$	3,174,739
Net weighted average borrowing rate			0.74%		0.26%		0.27%		0.30%		0.27%
December 31, 2019
Fair market value of securities pledged, including
	accrued interest receivable	$	-	$	2,470,263	$	1,005,517	$	120,941	$	3,596,721
Repurchase agreement liabilities associated with
	these securities	$	-	$	2,361,378	$	964,368	$	122,360	$	3,448,106
Net weighted average borrowing rate			-		2.04%		1.94%		2.60%		2.03%

In addition, cash pledged to counterparties for repurchase agreements was approximately $35.6 million and $65.9 million as of June 30, 2020 and December 31, 2019, 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, 2020, 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 $164.2million. The Company did not have an amount at risk with any individual counterparty greater than 10% of the Company’s equity at June 30, 2020 and December 31, 2019.

Reverse Repurchase Agreements

As of June 30, 2020, the Company had $139.7 million of reverse repurchase agreements outstanding used primarily to borrow securities to cover short sales of U.S. Treasury securities, for which we had associated obligations to return borrowed securities at fair value of $139.8 million. The Company had no reverse repurchase agreements outstanding as of December 31, 2019.