REPURCHASE AGREEMENTS AND OTHER BORROWINGS

9 Months Ended

Sep. 30, 2022

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements and Other Borrowings

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 September 30, 2022, the Company had met all margin call

requirements.

As of September 30, 2022 and December 31, 2021, 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

(1)

September 30, 2022

Fair market value of securities pledged, including

accrued interest receivable

$

-

$

1,731,976

$

1,413,061

$

61,316

$

3,206,353

Repurchase agreement liabilities associated with

these securities

$

-

$

1,707,215

$

1,372,870

$

53,776

$

3,133,861

Net weighted average borrowing rate

- 

2.96%

3.07%

2.84%

3.00%

December 31, 2021

Fair market value of securities pledged, including

accrued interest receivable

$

-

$

4,624,396

$

1,848,080

$

52,699

$

6,525,175

Repurchase agreement liabilities associated with

these securities

$

-

$

4,403,182

$

1,789,327

$

51,597

$

6,244,106

Net weighted average borrowing rate

-

0.15%

0.13%

0.15%

0.15%

Includes repurchase agreements with outstanding principal balances of approximately $

103.7

 million as of September 30, 2022, with interest

rates indexed to Secured Overnight Financing Rate (“SOFR”) that reprice daily.

In addition, cash pledged to counterparties for repurchase agreements was approximately $

49.4

 million and $

57.3

 million as of

September 30, 2022 and December 31, 2021, 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 September 30, 2022, 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 $

117.4

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 September 30, 2022 and December 31, 2021.