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Financing Agreements (Tables)
 6 Months Ended
Jun. 30, 2020
Disclosure of Repurchase Agreements [Abstract]  
Financing Agreements

The following tables present the components of the Company’s Financing agreements at June 30, 2020 and December 31, 2019:

 
 
June 30, 2020
(In Thousands)
 
Unpaid Principal Balance
 
Amortized Cost Balance
 
Fair Value/Carrying Value(1)
Financing agreements, at fair value
 
 
 
 
 
 
Agreements with non-mark-to-market collateral provisions
 
$
2,036,597

 
$
2,036,597

 
$
2,036,597

Agreements with mark-to-market collateral provisions
 
1,656,248

 
1,656,248

 
1,656,248

Senior secured credit agreement
 
500,000

 
480,959

 
480,959

Other
 
27,000

 
18,360

 
20,520

Total Financing agreements, at fair value
 
$
4,219,845

 
$
4,192,164

 
$
4,194,324

 
 
 
 
 
 
 
Other financing agreements
 
 
 
 
 
 
Securitized debt
 
$
498,136

 
 
 
$
495,582

Convertible senior notes
 
230,000

 
 
 
224,563

Senior notes
 
100,000

 
 
 
96,887

Total Financing agreements at carrying value
 
$
828,136

 
 
 
$
817,032

Total Financing agreements
 
$
5,047,981

 
 
 
$
5,011,356


(1)
Financing agreements at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. Other financing arrangements are reported at their carrying value (amortized cost basis) as the fair value option was not elected on these liabilities. Consequently, Total Financing agreements as presented reflects a summation of balances reported at fair value and carrying value.

Set out below is information about the Company’s Financing agreements that existed as of December 31, 2019. During the second quarter of 2020, outstanding repurchase agreement transactions at that time were renegotiated as part of a reinstatement agreement that was entered into by the Company on June 26, 2020. The Company elected to account for these reinstated transactions under the fair value option from the time these repurchase agreements were reinstated. Accordingly, as of June 30, 2020 such liabilities are reported as Financing agreements at fair value.

 
 
December 31, 2019
(In Thousands)
 
Unpaid Principal Balance
 
Carrying Value
Repurchase agreements
 
$
9,140,944

 
$
9,139,821

Securitized debt
 
573,900

 
570,952

Convertible senior notes
 
230,000

 
223,971

Senior notes
 
100,000

 
96,862

Total Financing agreements at carrying value
 
$
10,044,844

 
$
10,031,606
Financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral
The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at June 30, 2020 and December 31, 2019:
(Dollars in Thousands)
 
June 30,
2020
 
December 31,
2019
Non-mark-to-market financing secured by residential whole loans at carrying value
 
$
1,778,845

 
$
—

Fair value of residential whole loans at carrying value pledged as collateral under financing agreements
 
$
2,668,741

 
$
—

Weighted average haircut on residential whole loans at carrying value
 
34.29
%
 
—
%
Non-mark-to-market financing secured by residential whole loans at fair value
 
$
257,752

 
$
—

Fair value of residential whole loans at fair value pledged as collateral under financing agreements
 
$
425,673

 
$
—

Weighted average haircut on residential whole loans at fair value
 
32.80
%
 
—
%
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 financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at June 30, 2020 and December 31, 2019:
(Dollars in Thousands)
 
June 30,
2020
 
December 31,
2019
Mark-to-market financing agreements secured by residential whole loans (1)
 
$
1,386,592

 
$
4,743,094

Fair value of residential whole loans pledged as collateral under financing agreements (2)
 
$
2,166,740

 
$
5,986,267

Weighted average haircut on residential whole loans (3)
 
33.81
%
 
20.07
%
Mark-to-market financing agreement borrowings secured by Agency MBS
 
$
—

 
$
1,557,675

Fair value of Agency MBS pledged as collateral under financing agreements
 
$
—

 
$
1,656,373

Weighted average haircut on Agency MBS (3)
 
—
%
 
4.46
%
Mark-to-market financing agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,282

 
$
1,121,802

Fair value of Legacy Non-Agency MBS pledged as collateral under financing agreements
 
$
2,564

 
$
1,420,797

Weighted average haircut on Legacy Non-Agency MBS (3)
 
50.00
%
 
20.27
%
Mark-to-market financing agreement borrowings secured by RPL/NPL MBS
 
$
29,785

 
$
495,091

Fair value of RPL/NPL MBS pledged as collateral under financing agreements
 
$
51,540

 
$
635,005

Weighted average haircut on RPL/NPL MBS (3)
 
38.10
%
 
21.52
%
Mark-to-market financing agreements secured by CRT securities 
 
$
54,469

 
$
203,569

Fair value of CRT securities pledged as collateral under financing agreements
 
$
94,106

 
$
252,175

Weighted average haircut on CRT securities (3)
 
42.40
%
 
18.84
%
Mark-to-market financing agreements secured by MSR-related assets
 
$
146,642

 
$
962,515

Fair value of MSR-related assets pledged as collateral under financing agreements
 
$
255,035

 
$
1,217,002

Weighted average haircut on MSR-related assets (3)
 
38.24
%
 
21.18
%
Mark-to-market financing agreements secured by other interest-earning assets
 
$
37,478

 
$
57,198

Fair value of other interest-earning assets pledged as collateral under financing agreements
 
$
48,471

 
$
61,708

Weighted average haircut on other interest-earning assets (3)
 
20.00
%
 
22.01
%
 
(1)
Excludes $0 and $1.1 million of unamortized debt issuance costs at June 30, 2020 and December 31, 2019, respectively.
(2)
At June 30, 2020 and December 31, 2019, includes RPL/NPL MBS with an aggregate fair value of $179.1 million and $238.8 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.
(3) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
Schedule of repricing information about borrowings under repurchase agreements

The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at June 30, 2020 and December 31, 2019:

 
 
June 30, 2020
 
December 31, 2019
 Balance 
 
Weighted Average Interest Rate
Balance
 
Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
3,367,675

 
3.52
%
 
$
4,472,120

 
2.55
%
Over 30 days to 3 months
 
266,837

 
3.83

 
2,746,384

 
3.43

Over 3 months to 12 months
 
58,333

 
4.40

 
1,014,441

 
3.36

Over 12 months
 
—

 
—

 
907,999

 
3.44

Total financing agreements
 
$
3,692,845

 
3.55
%
 
$
9,140,944

 
2.99
%
Less debt issuance costs
 
—

 
 
 
1,123

 
 
Total financing agreements less debt
  issuance costs
 
$
3,692,845

 
 
 
$
9,139,821

 
 
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 financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at June 30, 2020:
 
 
 
June 30, 2020
 
 
Counterparty
Rating (1)
 
Amount 
at Risk (2)
 
Weighted 
Average Months 
to Repricing for
Repurchase Agreements
 
Percent of
Stockholders’ Equity
Counterparty
 
 
 
 
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Barclays Bank
 
BBB/Aa3/A
 
$
857,112

 
1
 
34.0
%
Credit Suisse
 
BBB+/Baa2/A-
 
639,993

 
1
 
25.4

Wells Fargo (3)
 
A+/Aa2/AA-
 
377,036

 
0
 
15.0

Athene (4)
 
BBB+/N/A/BBB+
 
171,786

 
1
 
6.8

Goldman Sachs (5)
 
BBB+/A3/A
 
162,224

 
3
 
6.4


(1)
As rated at June 30, 2020 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 financing 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 $367.0 million at risk with Wells Fargo Bank, NA and approximately $10.1 million at risk with Wells Fargo Securities LLC.
(4)
Includes amounts at risk with various Athene affiliates that collectively exceed 5% of stockholders’ equity.
(5)
Includes $20.4 million at risk with Goldman Sachs and $141.8 million at risk with Goldman Sachs Bank USA.