XML 43 R30.htm IDEA: XBRL DOCUMENT v3.10.0.1
Repurchase Agreements and Other Advances (Tables)
 12 Months Ended
Dec. 31, 2018
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Company's borrowings under repurchase agreements and associated assets pledged as collateral
The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at December 31, 2018 and 2017:
 
(Dollars in Thousands)
 
December 31, 2018
 
December 31, 2017
Repurchase agreement borrowings secured by Agency MBS
 
$
2,384,357

 
$
2,501,340

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
2,572,597

 
$
2,705,754

Weighted average haircut on Agency MBS (1)
 
4.60
%
 
4.65
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,447,585

 
$
1,256,033

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements
 
$
1,817,650

 
$
1,652,983

Weighted average haircut on Legacy Non-Agency MBS (1)
 
21.38
%
 
21.87
%
Repurchase agreement borrowings secured by RPL/NPL MBS
 
$
1,084,532

 
$
567,140

Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements
 
$
1,377,250

 
$
726,540

Weighted average haircut on RPL/NPL MBS (1)
 
21.31
%
 
22.05
%
Repurchase agreements secured by U.S. Treasuries
 
$
—

 
$
470,334

Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
 
$
—

 
$
472,095

Weighted average haircut on U.S. Treasuries (1)
 
—
%
 
1.47
%
Repurchase agreements secured by CRT securities 
 
$
391,586

 
$
459,058

Fair value of CRT securities pledged as collateral under repurchase agreements
 
$
480,315

 
$
595,900

Weighted average haircut on CRT securities (1)
 
20.01
%
 
22.16
%
Repurchase agreements secured by residential whole loans (2)
 
$
2,020,508

 
$
1,043,747

Fair value of residential whole loans pledged as collateral under repurchase agreements (3)(4)
 
$
2,441,931

 
$
1,474,704

Weighted average haircut on residential whole loans (1)
 
16.55
%
 
26.10
%
Repurchase agreements secured by MSR-related assets
 
$
474,127

 
$
317,255

Fair value of MSR-related assets pledged as collateral under repurchase agreements
 
$
611,807

 
$
482,158

Weighted average haircut on MSR-related assets (1)
 
21.88
%
 
33.19
%
Repurchase agreements secured by other interest-earning assets
 
$
76,419

 
$
—

Fair value of other interest-earning assets pledged as collateral under repurchase agreements
 
$
81,494

 
$
—

Weighted average haircut on other interest-earning assets (1)
 
21.15
%
 
—
%

(1)  Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
(2) Excludes $27,000 and $206,000 of unamortized debt issuance costs at December 31, 2018 and 2017, respectively.
(3) At December 31, 2018 includes Non-Agency MBS with an aggregate fair value of $27.0 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.
(4) At December 31, 2018 and 2017, includes residential whole loans held at carrying value with an aggregate fair value of $1.7 billion and $478.5 million and aggregate amortized cost of $1.6 billion and $448.7 million, respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $738.6 million and $996.2 million, respectively.
Schedule of repricing information about borrowings under repurchase agreements
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 December 31, 2018 and 2017:
 
 
 
December 31, 2018
 
December 31, 2017
Time Until Interest Rate Reset
 
Balance
 
Weighted
Average
Interest Rate
 
Balance 
 
Weighted
Average
Interest Rate
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
6,747,166

 
3.35
%
 
$
6,161,008

 
2.39
%
Over 30 days to 3 months
 
368,857

 
3.10

 
453,899

 
2.76

Over 3 months to 12 months
 
763,091

 
4.18

 
—

 
—

Total repurchase agreements
 
$
7,879,114

 
3.42
%
 
$
6,614,907

 
2.42
%
Less debt issuance costs
 
27

 
 
 
206

 
 
Total repurchase agreements less debt
  issuance costs
 
$
7,879,087

 
 
 
$
6,614,701

 
 
Schedule of contractual maturity information about repurchase agreements
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 December 31, 2018 and does not reflect the impact of derivative contracts that hedge such repurchase agreements:
 
 
 
December 31, 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
 
$
—

 
$
2,152,612

 
$
231,745

 
$
—

 
$
—

 
$
2,384,357

Legacy Non-Agency MBS
 
—

 
1,402,625

 
44,960

 
—

 
—

 
1,447,585

RPL/NPL MBS
 
—

 
1,081,192

 
3,340

 
—

 
—

 
1,084,532

CRT securities
 
—

 
385,597

 
5,989

 
—

 
—

 
391,586

Residential whole loans
 
—

 
911,445

 
198,665

 
910,398

 
—

 
2,020,508

MSR-related assets
 
—

 
342,227

 
131,900

 
—

 
—

 
474,127

Other
 
—

 
5,850

 
—

 
70,569

 
—

 
76,419

Total (1)
 
$
—

 
$
6,281,548

 
$
616,599

 
$
980,967

 
$
—

 
$
7,879,114

 
 
 
 
 
 
 
 
 
 
 
 
 
Weighted Average Interest Rate
 
—
%
 
3.31
%
 
3.41
%
 
4.18
%
 
—
%
 
3.42
%

(1)
Excludes $27,000 of unamortized debt issuance costs at December 31, 2018.

Schedule of information about counterparty for repurchase agreements for which the entity had greater than 5% of stockholders' equity at risk
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 December 31, 2018:
 
 
December 31, 2018
Counterparty
Counterparty
Rating (1)
 
Amount at
Risk (2)
 
Weighted
Average Months
to Maturity for
Repurchase
Agreements
 
Percent of
Stockholders’
Equity
(Dollars in Thousands)
 
 
 
 
 
 
 
Goldman Sachs (3)
BBB+/A3/A
 
$
319,685

 
1
 
9.4
%
RBC (4)
AA-/Aa2/AA
 
251,802

 
1
 
7.4

Wells Fargo (5)
A+/Aa2/AA-
 
188,901

 
2
 
5.5

Barclay's Bank
BBB/Aa3/A
 
174,998

 
4
 
5.1


(1)
As rated at December 31, 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 $190.4 million at risk with Goldman Sachs Bank USA and $129.3 million at risk with Goldman Sachs Lending Partners.
(4)
Includes $248.4 million at risk with RBC Barbados and $3.4 million at risk with RBC New York. Counterparty ratings are not published for RBC Barbados and RBS Capital Market LLC.
(5)
Includes $187.6 million at risk with Wells Fargo Bank, NA and $1.3 million at risk with Wells Fargo Securities LLC.