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Repurchase Agreements
 6 Months Ended
Jun. 30, 2018
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements
Repurchase Agreements
 
The Company’s repurchase agreements are accounted for as secured borrowings and bear interest that is generally LIBOR-based.  (See Notes 2(k) and 7)  At June 30, 2018, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 14 days and an effective repricing period of 9 months, including the impact of related Swaps.  At December 31, 2017, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 16 days and an effective repricing period of 11 months, including the impact of related Swaps.
 
The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at June 30, 2018 and December 31, 2017:
(Dollars in Thousands)
 
June 30,
2018
 
December 31,
2017
Repurchase agreement borrowings secured by Agency MBS
 
$
2,111,547

 
$
2,501,340

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
2,283,312

 
$
2,705,754

Weighted average haircut on Agency MBS (1)
 
4.52
%
 
4.65
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,364,458

 
$
1,256,033

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements
 
$
1,813,359

 
$
1,652,983

Weighted average haircut on Legacy Non-Agency MBS (1)
 
21.24
%
 
21.87
%
Repurchase agreement borrowings secured by RPL/NPL MBS
 
$
499,294

 
$
567,140

Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements
 
$
634,073

 
$
726,540

Weighted average haircut on RPL/NPL MBS (1)
 
22.01
%
 
22.05
%
Repurchase agreements secured by U.S. Treasuries
 
$
220,931

 
$
470,334

Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
 
$
220,731

 
$
472,095

Weighted average haircut on U.S. Treasuries (1)
 
1.00
%
 
1.47
%
Repurchase agreements secured by CRT securities 
 
$
410,157

 
$
459,058

Fair value of CRT securities pledged as collateral under repurchase agreements
 
$
516,486

 
$
595,900

Weighted average haircut on CRT securities (1)
 
20.43
%
 
22.16
%
Repurchase agreements secured by MSR related assets
 
$
297,063

 
$
317,255

Fair value of MSR related assets pledged as collateral under repurchase agreements
 
$
381,390

 
$
482,158

Weighted average haircut on MSR related assets (1)
 
21.70
%
 
33.19
%
Repurchase agreements secured by residential whole loans (2)
 
$
988,831

 
$
1,043,747

Fair value of residential whole loans pledged as collateral under repurchase agreements
 
$
1,382,068

 
$
1,474,704

Weighted average haircut on residential whole loans (1)
 
25.55
%
 
26.10
%
 
(1)
Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
(2) Excludes $53,000 and $206,000 of unamortized debt issuance costs at June 30, 2018 and December 31, 2017, respectively.

The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at June 30, 2018 and December 31, 2017:

 
 
June 30, 2018
 
December 31, 2017
 Balance 
 
Weighted Average Interest Rate
Balance
 
Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
5,682,864

 
2.92
%
 
$
6,161,008

 
2.39
%
Over 30 days to 3 months
 
209,417

 
3.24

 
453,899

 
2.76

Total repurchase agreements
 
5,892,281

 
2.93
%
 
6,614,907

 
2.42
%
Less debt issuance costs
 
53

 
 
 
206

 
 
Total repurchase agreements less debt
  issuance costs
 
$
5,892,228

 
 
 
$
6,614,701

 
 


The following table presents contractual maturity information about the Company’s borrowings under repurchase agreements, all of which are accounted for as secured borrowings, at June 30, 2018, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:

 
 
June 30, 2018
Contractual Maturity
 
Overnight
 
Within 30 Days
 
Over 30 Days to 3 Months
 
Over 3 Months to 12 Months
 
Over 12 months
 
Total
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
 
$
—

 
$
2,111,547

 
$
—

 
$
—

 
$
—

 
$
2,111,547

Legacy Non-Agency MBS
 
—

 
1,268,585

 
95,873

 
—

 
—

 
1,364,458

RPL/NPL MBS
 
—

 
439,865

 
59,429

 
—

 
—

 
499,294

U.S. Treasuries
 
—

 
220,931

 
—

 
—

 
—

 
220,931

CRT securities
 
—

 
404,042

 
6,115

 
—

 
—

 
410,157

MSR related assets
 
—

 
249,063

 
48,000

 
—

 
—

 
297,063

Residential whole loans
 
—

 
—

 
234,665

 
754,166

 
—

 
988,831

Total (1)
 
$
—

 
$
4,694,033

 
$
444,082

 
$
754,166

 
$
—

 
$
5,892,281

 
 
 
 
 
 
 
 
 
 
 
 
 
Weighted Average Interest Rate
 
—
%
 
2.65
%
 
3.65
%
 
4.28
%
 
—
%
 
2.93
%
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross amount of recognized liabilities for repurchase agreements in Note 8
 
$
5,892,281

Amounts related to repurchase agreements not included in offsetting disclosure in Note 8
 
$
—



(1)
Excludes $53,000 of unamortized debt issuance costs at June 30, 2018.

The Company had repurchase agreement borrowings with 26 and 31 counterparties at June 30, 2018 and December 31, 2017. The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at June 30, 2018:
 
 
 
June 30, 2018
 
 
Counterparty
Rating (1)
 
Amount 
at Risk (2)
 
Weighted 
Average Months 
to Maturity for
Repurchase Agreements
 
Percent of
Stockholders’ Equity
Counterparty
 
 
 
 
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Goldman Sachs (3)
 
BBB+/A3/A
 
$
228,240

 
1
 
7.1
%
Wells Fargo (4)
 
A+/Aa2/AA-
 
215,022

 
5
 
6.7


(1)
As rated at June 30, 2018 by S&P, Moody’s and Fitch, Inc., respectively.  The counterparty rating presented is the lowest published for these entities.
(2)
The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities.
(3)
Includes $110.1 million at risk with Goldman Sachs Lending Partners and $118.2 million at risk with Goldman Sachs Bank USA.
(4)
Includes $207.8 million at risk with Wells Fargo Bank, NA and $7.2 million at risk with Wells Fargo Securities LLC.