| Schedule of Repurchase Agreements by Maturity |
At March 31, 2024 and December 31, 2023, the Company’s repurchase agreements had the following characteristics and remaining maturities:
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March 31, 2024 |
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Collateral Type |
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| (in thousands) |
Agency RMBS |
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Non-Agency Securities |
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Agency Derivatives |
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Mortgage Servicing Rights |
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Total Amount Outstanding |
| Within 30 days |
$ |
2,262,318 |
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$ |
— |
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$ |
7,752 |
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$ |
58,977 |
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$ |
2,329,047 |
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| 30 to 59 days |
1,367,028 |
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— |
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— |
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— |
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1,367,028 |
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| 60 to 89 days |
1,022,997 |
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— |
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— |
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— |
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1,022,997 |
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| 90 to 119 days |
702,452 |
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— |
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— |
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— |
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702,452 |
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| 120 to 364 days |
2,739,235 |
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217 |
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662 |
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200,000 |
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2,940,114 |
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| Total |
$ |
8,094,030 |
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$ |
217 |
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$ |
8,414 |
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$ |
258,977 |
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$ |
8,361,638 |
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Weighted average borrowing rate |
5.51 |
% |
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6.13 |
% |
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6.10 |
% |
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6.92 |
% |
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5.61 |
% |
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December 31, 2023 |
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Collateral Type |
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| (in thousands) |
Agency RMBS |
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Non-Agency Securities |
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Agency Derivatives |
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Mortgage Servicing Rights |
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Total Amount Outstanding |
| Within 30 days |
$ |
2,772,975 |
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$ |
— |
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$ |
1,615 |
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$ |
58,572 |
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$ |
2,833,162 |
| 30 to 59 days |
1,918,818 |
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— |
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— |
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— |
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1,918,818 |
| 60 to 89 days |
2,058,518 |
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233 |
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687 |
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— |
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2,059,438 |
| 90 to 119 days |
989,045 |
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— |
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5,744 |
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— |
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994,789 |
| 120 to 364 days |
— |
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— |
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— |
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214,000 |
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214,000 |
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| Total |
$ |
7,739,356 |
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$ |
233 |
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$ |
8,046 |
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$ |
272,572 |
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$ |
8,020,207 |
Weighted average borrowing rate |
5.64 |
% |
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6.36 |
% |
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6.14 |
% |
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7.08 |
% |
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5.74 |
% |
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| Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets |
The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of the Company’s repurchase agreements:
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| (in thousands) |
March 31,
2024 |
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December 31,
2023 |
| Available-for-sale securities, at fair value |
$ |
8,178,289 |
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$ |
8,126,028 |
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Mortgage servicing rights, at fair value (1)
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468,610 |
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463,529 |
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| Restricted cash |
24,871 |
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12,375 |
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| Due from counterparties |
237,711 |
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36,420 |
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| Derivative assets, at fair value |
9,546 |
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11,877 |
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| Total |
$ |
8,919,027 |
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$ |
8,650,229 |
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____________________
(1)As of March 31, 2024 and December 31, 2023, MSR repurchase agreements of $200.0 million and $214.0 million, respectively, were secured by a VFN issued in connection with the Company’s securitization of MSR and MSR repurchase agreements of $59.0 million and $58.6 million, respectively, were secured by a portion of the term notes issued in connection with the Company’s securitization of MSR and repurchased by the Company. The VFN and the term notes are both collateralized by the Company’s MSR.
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