Repurchase Agreements (Notes)

3 Months Ended

Mar. 31, 2020

Disclosure of Repurchase Agreements [Abstract]

REPURCHASE AGREEMENTS

The Company’s repurchase agreements outstanding as of March 31, 2020 and December 31, 2019 are summarized in the following tables:


	March 31, 2020										December 31, 2019
Collateral Type	Balance ⁽¹⁾		Weighted Average Rate		Fair Value of Collateral Pledged ⁽¹⁾		Balance		Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	2,180,966	1.69	%	$	2,259,403	$	2,594,645	1.96	%	$	2,647,638
Agency CMBS	1,823,951		1.66	%	1,987,487		1,735,848		1.98	%	1,901,452
Agency CMBS IO	262,759		1.84	%	282,150		255,912		2.30	%	282,522
Non-Agency CMBS IO	140,430		2.30	%	170,782		165,943		2.67	%	193,013
Total repurchase agreements	$	4,408,106	1.71	%	$	4,699,822	$	4,752,348	2.01	%	$	5,024,625

(1) Please refer to Note 7 for important information regarding significant sales of MBS and payoff of associated repurchase agreement borrowings subsequent to March 31, 2020.

The amounts for fair value of collateral pledged in the table above include securities sold but not settled as of March 31, 2020, which are recorded as “receivable for securities sold” on the consolidated balance sheet and for which the Company had $1,442,492 of repurchase agreement borrowings outstanding as of March 31, 2020. The Company also had $382,371 and $6,180 payable to counterparties as of March 31, 2020 and December 31, 2019, respectively, for purchases 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:


	March 31, 2020									December 31, 2019
Remaining Term to Maturity	Balance		Weighted Average Rate		WAVG Original Term to Maturity	Balance		Weighted Average Rate		WAVG Original Term to Maturity
Less than 30 days	$	4,203,459	1.70	%	54	$	2,078,185	2.12	%	34
30 to 90 days	204,647		1.80	%	93	2,674,163		1.93	%	52

Total	$	4,408,106	1.71	%	56	$	4,752,348	2.01	%	45

As of March 31, 2020, the Company had repurchase agreement amounts outstanding with 22 of its 37 available repurchase agreement counterparties. The Company had $694,367 outstanding and $59,542, or approximately 11%, of equity at risk with JP Morgan Chase at a weighted average borrowing rate of 1.63%. The Company did not have more than 10% of its equity at risk with any of its other counterparties as of March 31, 2020. The Company has a committed repurchase facility with Wells Fargo that has an aggregate maximum borrowing capacity of $250,000, of which it had $146,470 outstanding at a weighted average borrowing rate of 1.81% as of March 31, 2020. The facility is available to the Company until its maturity date of June 11, 2021.

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 believes it was in full compliance with all covenants in master repurchase agreements under which there were amounts outstanding as of March 31, 2020.

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 March 31, 2020 and December 31, 2019:


	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
March 31, 2020
Repurchase agreements	$	4,408,106	$	—	$	4,408,106	$	(4,408,106)	$	—	$	—

December 31, 2019
Repurchase agreements	$	4,752,348	$	—	$	4,752,348	$	(4,752,348)	$	—	$	—

(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS 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.