REPURCHASE AGREEMENTS

12 Months Ended

Dec. 31, 2019

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

NOTE 6. REPURCHASE AGREEMENTS

The Company pledges certain of its RMBS as collateral under repurchase agreements with financial institutions. Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is generally paid at the termination of a borrowing. If the fair value of the pledged securities declines, lenders will typically require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of the pledged securities increases, lenders may release collateral back to the Company. As of September 30, 2019, the Company had met all margin call requirements.

As of December 31, 2019 and December 31, 2018, the Company’s repurchase agreements had remaining maturities as summarized below:

($ in thousands)
		OVERNIGHT		BETWEEN 2		BETWEEN 31			GREATER
		(1 DAY OR		AND		AND			THAN
		LESS)		30 DAYS		90 DAYS			90 DAYS		TOTAL
December 31, 2019
Fair value of securities pledged, including accrued
	interest receivable	$	-	$	137,992	$	80,550	$	-	$	218,542
Repurchase agreement liabilities associated with
	these securities	$	-	$	132,573	$	77,381	$	-	$	209,954
Net weighted average borrowing rate			-		2.02%		1.92%		-		1.98%
December 31, 2018
Fair value of securities pledged, including accrued
	interest receivable	$	-	$	107,876	$	105,251	$	-	$	213,127
Repurchase agreement liabilities associated with
	these securities	$	-	$	101,327	$	99,069	$	-	$	200,396
Net weighted average borrowing rate			-		2.56%		2.56%		-		2.56%

In addition, cash pledged to counterparties as collateral for repurchase agreements was approximately $3.8 million and $0.2 million as of December 31, 2019 and 2018, respectively.

If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets, which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender, including the accrued interest receivable, and cash posted by the Company as collateral, if any. At December 31, 2019 and December 31, 2018, the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable, and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately $11.8 million and $12.4 million, respectively. The Company did not have an amount at risk with any individual counterparty greater than 10% of the Company’s equity at December 31, 2019. Summary information regarding amounts at risk with individual counterparties greater than 10% of equity at December 31, 2018 is presented in the table below.

($ in thousands)
			% of	Weighted
			Stockholders'	Average
		Amount	Equity	Maturity
Repurchase Agreement Counterparties		at Risk	at Risk	(in Days)
December 31, 2018
Mirae Asset Securities (USA) Inc.	$	3,012	13.9%	17
ED&F Man Capital Markets Inc.		2,908	12.1%	40