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Secured Financing Agreements (Tables)
6 Months Ended
Jun. 30, 2020
Disclosure of Repurchase Agreements [Abstract]  
Schedule of repurchase agreements
 
June 30, 2020 (1)
December 31, 2019
Secured financing agreements outstanding secured by:
 
 
Agency RMBS (in thousands)
$
77,008

$
6,247,275

Agency CMBS (in thousands)
2,046,782

2,013,515

Non-agency RMBS and Loans held for investment (in thousands)
3,619,627

5,166,755

Total:
$
5,743,417

$
13,427,545

 
 
 
MBS pledged as collateral at fair value on Secured financing agreements:
 

 

Agency RMBS (in thousands)
$
99,938

$
6,602,039

Agency CMBS (in thousands)
2,158,413

2,102,520

Non-agency RMBS and Loans held for investment (in thousands)
5,181,023

6,694,685

Total:
$
7,439,374

$
15,399,244

 
 
 
Average balance of Secured financing agreements secured by:
 

 

Agency RMBS (in thousands)
$
2,551,002

$
8,062,881

Agency CMBS (in thousands)
2,142,221

1,993,372

Non-agency RMBS and Loans held for investment (in thousands)
4,737,808

4,436,133

Total:
$
9,431,031

$
14,492,386

 
 
 
Average borrowing rate of Secured financing agreements secured by:
 

 

Agency RMBS (in thousands)
1.15
%
2.10
%
Agency CMBS (in thousands)
0.28
%
2.10
%
Non-agency RMBS and Loans held for investment (in thousands)
4.47
%
3.19
%
 
 
 
Average remaining maturity of Secured financing agreements secured by:
 

 

Agency RMBS (in thousands)
6 Days

14 Days

Agency CMBS (in thousands)
15 Days

13 Days

Non-agency RMBS and Loans held for investment (in thousands)
606 Days

255 Days

 
 
 
Average original maturity of Secured financing agreements secured by:




Agency RMBS (in thousands)
12 Days

38 Days

Agency CMBS (in thousands)
30 Days

34 Days

Non-agency RMBS and Loans held for investment (in thousands)
628 Days

279 Days

(1) June 30, 2020 balance excludes $201 million principal related to a secured borrowing which will terminate during third quarter of 2020. The fair value of the collateral on this secured borrowing was $330 million and the interest rate was 18.7%.

At June 30, 2020 and December 31, 2019, we pledged $60 million and $20 million, respectively, of margin cash collateral to our secured financing agreement counterparties. At June 30, 2020 and December 31, 2019, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.
 
June 30, 2020

December 31, 2019
 
(dollars in thousands)

Principal
Weighted Average Borrowing Rates
Range of Borrowing Rates

Principal
Weighted Average Borrowing Rates
Range of Borrowing Rates
Overnight
$

 NA
 NA

$

 NA
 NA
1 to 29 days
2,311,122

0.48%
 0.21% - 2.74%

9,709,387

2.26%
1.90% - 3.62%
30 to 59 days
296,041

2.55%
 1.97% - 2.67%

800,648

2.96%
2.15% - 3.52%
60 to 89 days (1)
65,390

2.37%
 2.15% - 2.43%

608,520

3.00%
 2.59% - 3.35%
90 to 119 days

NA
 NA


 NA
 NA
120 to 180 days
191,904

1.96%
 1.66% - 2.93%

809,077

3.38%
3.06% - 3.46%
180 days to 1 year
1,497,192

5.34%
 1.68% - 8.74%

580,886

3.42%
3.26% - 3.51%
1 to 2 years
187,187

2.92%
 1.68% - 4.50 %

427,981

3.28%
3.19% - 3.30%
2 to 3 years
400,000

7.00%
7.00% - 7.00%


 NA
 NA
Greater than 3 years
794,581

3.91%
 1.58% - 5.56 %

491,046

3.20%
3.19% - 3.20%
Total
$
5,743,417

2.93%


$
13,427,545

2.52%


(1) June 30, 2020 balance excludes $201 million principal related to a secured borrowing which will terminate during third quarter of 2020. The fair value of the collateral on this secured borrowing was $330 million and the interest rate was 18.7%.