| Schedule of Repurchase Agreements by Maturity |
At June 30, 2023 and December 31, 2022, the Company’s repurchase agreements had the following characteristics and remaining maturities:
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June 30, 2023 |
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Collateral Type |
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| (in thousands) |
Agency RMBS |
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Non-Agency Securities |
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Agency Derivatives |
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Mortgage Servicing Rights |
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U.S. Treasuries (1)
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Total Amount Outstanding |
| Within 30 days |
$ |
3,133,072 |
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$ |
23,602 |
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$ |
3,329 |
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$ |
— |
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$ |
— |
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$ |
3,160,003 |
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| 30 to 59 days |
1,809,482 |
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23,818 |
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— |
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— |
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— |
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1,833,300 |
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| 60 to 89 days |
1,432,666 |
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183 |
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354 |
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— |
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— |
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1,433,203 |
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| 90 to 119 days |
1,330,683 |
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— |
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8,630 |
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— |
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— |
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1,339,313 |
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| 120 to 364 days |
1,042,005 |
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— |
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— |
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260,000 |
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— |
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1,302,005 |
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| Total |
$ |
8,747,908 |
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$ |
47,603 |
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$ |
12,313 |
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$ |
260,000 |
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$ |
— |
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$ |
9,067,824 |
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Weighted average borrowing rate |
5.23 |
% |
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6.61 |
% |
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5.72 |
% |
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8.67 |
% |
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— |
% |
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5.33 |
% |
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December 31, 2022 |
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Collateral Type |
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| (in thousands) |
Agency RMBS |
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Non-Agency Securities |
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Agency Derivatives |
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Mortgage Servicing Rights |
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U.S. Treasuries (1)
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Total Amount Outstanding |
| Within 30 days |
$ |
2,570,254 |
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$ |
59,648 |
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$ |
4,177 |
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$ |
— |
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$ |
57,116 |
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$ |
2,691,195 |
| 30 to 59 days |
1,774,622 |
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10,984 |
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— |
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— |
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375,131 |
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2,160,737 |
| 60 to 89 days |
2,280,675 |
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177 |
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503 |
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— |
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255,282 |
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2,536,637 |
| 90 to 119 days |
696,283 |
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— |
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8,393 |
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— |
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200,766 |
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905,442 |
| 120 to 364 days |
— |
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— |
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— |
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309,000 |
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— |
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309,000 |
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| Total |
$ |
7,321,834 |
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$ |
70,809 |
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$ |
13,073 |
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$ |
309,000 |
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$ |
888,295 |
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$ |
8,603,011 |
Weighted average borrowing rate |
3.70 |
% |
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5.73 |
% |
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4.83 |
% |
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7.91 |
% |
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4.49 |
% |
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3.95 |
% |
____________________
(1)U.S. Treasury securities effectively borrowed under reverse repurchase agreements.
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| Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets |
The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of the Company’s repurchase agreements:
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| (in thousands) |
June 30,
2023 |
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December 31,
2022 |
| Available-for-sale securities, at fair value |
$ |
8,900,438 |
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$ |
7,426,953 |
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Mortgage servicing rights, at fair value (1)
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432,838 |
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667,238 |
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| Restricted cash |
277,940 |
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324,654 |
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| Due from counterparties |
248,607 |
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22,055 |
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| Derivative assets, at fair value |
12,089 |
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14,738 |
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U.S. Treasuries (2)
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— |
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877,632 |
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| Total |
$ |
9,871,912 |
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$ |
9,333,270 |
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____________________
(1)MSR repurchase agreements are secured by a VFN issued in connection with the Company’s securitization of MSR, which is collateralized by the Company’s MSR.
(2)U.S. Treasury securities effectively borrowed under reverse repurchase agreements..
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