Repurchase Agreements (Notes)

9 Months Ended

Sep. 30, 2019

Disclosure of Repurchase Agreements [Abstract]

Repurchase agreements

REPURCHASE AGREEMENTS

The Company’s repurchase agreements outstanding as of September 30, 2019 and December 31, 2018 are summarized in the following tables:

	September 30, 2019						December 31, 2018
Collateral Type	Balance		Weighted Average Rate		Fair Value of Collateral Pledged		Balance		Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	2,561,276	2.26	%	$	2,662,761	$	1,887,878	2.66	%	$	1,998,922
Agency CMBS	1,884,697		2.29	%	1,995,605		919,833		2.51	%	986,861
Agency CMBS IO	249,929		2.64	%	278,606		253,258		2.96	%	285,247
Non-Agency CMBS IO	176,967		2.94	%	207,062		207,015		3.38	%	240,574
Total repurchase agreements	$	4,872,869	2.32	%	$	5,144,034	$	3,267,984	2.69	%	$	3,511,604

The Company also had $10,429 and $58,915 payable to counterparties as of September 30, 2019 and December 31, 2018, respectively, which consisted of MBS and/or TBA securities pending settlement as of those respective dates.

The following table provides information on the remaining term to maturity and original term to maturity for the Company’s repurchase agreements as of the dates indicated:

	September 30, 2019					December 31, 2018
Remaining Term to Maturity	Balance		Weighted Average Rate		WAVG Original Term to Maturity	Balance		Weighted Average Rate		WAVG Original Term to Maturity
Less than 30 days	$	2,751,900	2.39	%	37	$	2,319,911	2.74	%	56
30 to 90 days	2,120,969		2.22	%	55	948,073		2.55	%	89
Total	$	4,872,869	2.32	%	45	$	3,267,984	2.69	%	66

As of September 30, 2019 the Company had greater than 5% of its equity at risk with Wells Fargo Bank, N.A. and its affiliates. The Company had $328,934 outstanding and $40,830 of its equity at risk as of that date at a combined weighted average borrowing rate of 2.62%, of which $174,855 of the amount outstanding was under the Company’s committed repurchase facility with Wells Fargo which has an aggregate maximum borrowing capacity of $250,000. The weighted average borrowing rate for this facility was 2.92% as of September 30, 2019 and has a maturity date of June 11, 2021.

As of September 30, 2019, the Company had repurchase agreement amounts outstanding with 22 of its 35 available repurchase agreement counterparties. The Company’s counterparties, as set forth in the master repurchase agreement with the counterparty, require the Company to comply with various customary operating and financial covenants, including, but not limited to, minimum net worth and earnings, maximum declines in net worth in a given period, and maximum leverage requirements as well as maintaining the Company’s REIT status. In addition, some of the agreements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing agreements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the master repurchase agreement. The Company was in full compliance with all covenants in master repurchase agreements under which there were amounts outstanding as of September 30, 2019.

The Company's repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its repurchase agreements to these arrangements on a gross basis. The following tables present information regarding the Company's repurchase agreements as if the Company had presented them on a net basis as of September 30, 2019 and December 31, 2018:

	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Balance Sheet		Net Amount of Liabilities Presented in the Balance Sheet		Gross Amount Not Offset in the Balance Sheet (1)					Net Amount
							Financial Instruments Posted as Collateral			Cash Posted as Collateral
September 30, 2019
Repurchase agreements	$	4,872,869	$	—	$	4,872,869	$	(4,872,869	)	$	—	$	—
December 31, 2018
Repurchase agreements	$	3,267,984	$	—	$	3,267,984	$	(3,267,984	)	$	—	$	—

(1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of debt securities up to and not exceeding the net amount of the repurchase agreement liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented.

Please see Note 4 for information related to the Company’s derivatives which are also subject to underlying agreements with master netting or similar arrangements.