| 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%.
|