Repurchase Agreements (Notes)

12 Months Ended

Dec. 31, 2018

Disclosure of Repurchase Agreements [Abstract]

Repurchase agreements

REPURCHASE AGREEMENTS

The Company’s repurchase agreements outstanding as of December 31, 2018 and December 31, 2017 are summarized in the following tables:

	December 31, 2018						December 31, 2017
Collateral Type	Balance		Weighted Average Rate		Fair Value of Collateral Pledged		Balance		Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	1,887,878	2.66	%	$	1,998,922	$	836,281	1.47	%	$	867,120
Agency CMBS	919,833		2.51	%	986,861		1,003,146		1.44	%	1,071,904
Agency CMBS IO	253,258		2.96	%	285,247		324,163		2.17	%	372,077
Non-Agency CMBS IO	207,015		3.38	%	240,574		263,694		2.43	%	311,571
Non-Agency CMBS	—		—	%	—		15,508		2.47	%	18,212
U.S. Treasuries	—		—	%	—		123,110		1.85	%	124,215
Total repurchase agreements	$	3,267,984	2.69	%	$	3,511,604	$	2,565,902	1.67	%	$	2,765,099

The Company also had $58,915 and $156,899 payable to counterparties as of December 31, 2018 and December 31, 2017, respectively, which consisted of securities pending settlement as of those respective dates.

The following table provides information on the remaining term to maturity and original term to maturity for the Company’s repurchase agreements as of the dates indicated:

	December 31, 2018			December 31, 2017
Remaining Term to Maturity	Balance		WAVG Original Term to Maturity	Balance		WAVG Original Term to Maturity
Less than 30 days	$	2,319,911	56	$	2,240,791	49
30 to 90 days	948,073		89	274,231		90
91 to 180 days	—		—	50,880		121
Total	$	3,267,984	66	$	2,565,902	54

The following table lists the counterparties with whom the Company had approximately 10% or more of its shareholders’ equity at risk (defined as the excess of collateral pledged over the borrowings outstanding) as of the date indicated:

	December 31, 2018
Counterparty Name	Balance		Weighted Average Rate		Equity at Risk
Wells Fargo Bank, N. A. and affiliates	$	292,859	3.19	%	$	43,698

Of the amount outstanding with Wells Fargo Bank, N.A. and affiliates, $160,280 is under a committed repurchase facility which has an aggregate maximum borrowing capacity of $400,000 and is scheduled to mature on May 12, 2019, subject to early termination provisions contained in the master repurchase agreement. The facility is collateralized by CMBS IO, and its weighted average borrowing rate as of December 31, 2018 was 3.38%.

As of December 31, 2018, the Company had repurchase agreement amounts outstanding with 17 of its 36 available repurchase agreement counterparties. The Company’s counterparties, as set forth in the master repurchase agreement with the counterparty, require the Company to comply with various customary operating and financial covenants, including, but not limited to, minimum net worth and earnings, maximum declines in net worth in a given period, and maximum leverage

requirements as well as maintaining the Company’s REIT status. In addition, some of the agreements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing agreements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the master repurchase agreement. The Company was in full compliance with all covenants as of December 31, 2018.

The Company's repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its repurchase agreements to these arrangements on a gross basis. The following tables present information regarding the Company's repurchase agreements as if the Company had presented them on a net basis as of December 31, 2018 and December 31, 2017:

	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Balance Sheet		Net Amount of Liabilities Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet (1)					Net Amount
							Financial Instruments Posted as Collateral			Cash Posted as Collateral
December 31, 2018
Repurchase agreements	$	3,267,984	$	—	$	3,267,984	$	(3,267,984	)	$	—	$	—
December 31, 2017
Repurchase agreements	$	2,565,902	$	—	$	2,565,902	$	(2,565,902	)	$	—	$	—

(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of debt securities up to and not exceeding the net amount of the repurchase agreement liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented.

Please see Note 4 for information related to the Company’s derivatives which are also subject to underlying agreements with master netting or similar arrangements.