v3.21.2

Borrowings | 9 Months Ended
--- | ---
Sep. 30, 2021
Debt Disclosure [Abstract] |
Borrowings | Borrowings Secured Borrowings The Company's secured borrowings consist of repurchase agreements, Other secured borrowings, and Other secured borrowings, at fair value. As of September 30, 2021 and December 31, 2020, the Company's total secured borrowings were $3.1 billion and $2.3 billion, respectively. Repurchase Agreements The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 364 days, although the Company also has repurchase agreements that provide for longer or shorter terms. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and for most repurchase agreements, interest is generally paid at the termination of the repurchase agreement, at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. Some repurchase agreements provide for periodic payments of interest, such as monthly payments. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under repurchase agreements with 24 counterparties as of both September 30, 2021 and December 31, 2020. As of September 30, 2021, remaining days to maturity on the Company's open repurchase agreements ranged from 1 day to 730 days. Interest rates on the Company's open repurchase agreements ranged from 0.10% to 3.75% as of September 30, 2021. As of December 31, 2020, remaining days to maturity on the Company's open repurchase agreements ranged from 4 days to 516 days. Interest rates on the Company's open repurchase agreements ranged from 0.20% to 5.00% as of December 31, 2020. The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS and credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), by remaining maturity as of September 30, 2021 and December 31, 2020:
|  | September 30, 2021 |  | December 31, 2020
|  |  |  | Weighted Average |  |  |  | Weighted Average
Remaining Maturity |  | Outstanding Borrowings |  | Interest Rate |  | Remaining Days to Maturity |  | Outstanding Borrowings |  | Interest Rate |  | Remaining Days to Maturity
Agency RMBS: |  | (In thousands) |  |  |  |  |  | (In thousands) |  |  |  |
30 Days or Less |  | $ | 367,272 |  |  | 0.14 | % |  | 13 |  | $ | 265,556 |  |  | 0.28 | % |  | 17
31-60 Days |  | 140,143 |  |  | 0.20 | % |  | 43 |  | 385,141 |  |  | 0.25 | % |  | 44
61-90 Days |  | 20,351 |  |  | 0.33 | % |  | 71 |  | 174,586 |  |  | 0.28 | % |  | 70
91-120 Days |  | 37,029 |  |  | 0.22 | % |  | 105 |  | — |  |  | — | % |  | — |
121-150 Days |  | 196,073 |  |  | 0.21 | % |  | 136 |  | 2,692 |  |  | 0.27 | % |  | 126
151-180 Days |  | 83,344 |  |  | 0.19 | % |  | 162 |  | 59,857 |  |  | 0.32 | % |  | 162
181-364 Days |  | 592,633 |  |  | 0.17 | % |  | 286 |  | 34,030 |  |  | 0.32 | % |  | 252
Total Agency RMBS |  | 1,436,845 |  |  | 0.17 | % |  | 157 |  | 921,862 |  |  | 0.27 | % |  | 57
Credit: |  |  |  |  |  |  |  |  |  |  |  |
30 Days or Less |  | 28,508 |  |  | 1.23 | % |  | 16 |  | 37,795 |  |  | 2.11 | % |  | 17
31-60 Days |  | 95,264 |  |  | 1.60 | % |  | 48 |  | 84,554 |  |  | 2.23 | % |  | 50
61-90 Days |  | 374,547 |  |  | 2.02 | % |  | 76 |  | 152,426 |  |  | 2.11 | % |  | 75
91-120 Days |  | 23,758 |  |  | 2.94 | % |  | 100 |  | 89,931 |  |  | 2.47 | % |  | 106
121-150 Days |  | — |  |  | — | % |  | — |  |  | 66,412 |  |  | 4.75 | % |  | 125
151-180 Days |  | 7,091 |  |  | 3.50 | % |  | 164 |  | 11,063 |  |  | 2.27 | % |  | 165
181-364 Days |  | 105,889 |  |  | 2.71 | % |  | 243 |  | 38,640 |  |  | 2.90 | % |  | 289
> 364 Days |  | 33,934 |  |  | 3.16 | % |  | 642 |  | 94,248 |  |  | 2.99 | % |  | 447
Total Credit Assets |  | 668,991 |  |  | 2.14 | % |  | 126 |  | 575,069 |  |  | 2.69 | % |  | 155
Total |  | $ | 2,105,836 |  |  | 0.80 | % |  | 147 |  | $ | 1,496,931 |  |  | 1.20 | % |  | 94
Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their contractual maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. As of September 30, 2021 and December 31, 2020, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $2.4 billion and $1.8 billion, respectively. Collateral transferred under outstanding borrowings under repurchase agreements as of September 30, 2021 and December 31, 2020 include investments in the amount of $3.0 million and $1.4 million, respectively, that were sold prior to period end but for which such sale had not yet settled. In addition, as of September 30, 2021 and December 31, 2020, the Company posted net cash collateral of $57.0 million and $28.9 million, respectively, to its counterparties. Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. As of both September 30, 2021 and December 31, 2020, there was no single counterparty for which the amount at risk relating to our repurchase agreements was greater than 10% of total equity. Other Secured Borrowings The Company has entered into agreements to finance a portfolio of unsecured loans through a recourse secured borrowing facility. The facility has a term ending in February 2022. The facility accrues interest on a floating-rate basis. As of September 30, 2021 and December 31, 2020, the Company had outstanding borrowings under this facility in the amount of $3.8 million and $8.7 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet. The effective interest rate, inclusive of related deferred financing costs, was 2.01% and 2.30% as of September 30, 2021 and December 31, 2020. As of September 30, 2021 and December 31, 2020, the fair value of unsecured loans collateralizing this borrowing was $5.7 million and $11.5 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of September 30, 2021, the Company was in compliance with all of its covenants. The Company has a non-recourse secured borrowing facility that is used to finance a portfolio of unsecured loans. The facility includes a reinvestment period ending in March 2022 (or earlier following an early amortization event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the reinvestment period, the facility will begin to amortize based on the collections from the underlying loans. The facility accrues interest on a floating rate basis. As of September 30, 2021 and December 31, 2020, the Company had outstanding borrowings under this facility in the amount of $31.8 million and $7.0 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet. The effective interest rate on this facility, inclusive of any related deferred financing costs, was 2.25% as of both September 30, 2021 and December 31, 2020. As of September 30, 2021 and December 31, 2020, the fair value of unsecured loans collateralizing this borrowing was $48.8 million and $31.8 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both September 30, 2021 and December 31, 2020, the Company was in compliance with all of its covenants. The Company has entered into an agreement to finance a portfolio of ABS backed by consumer loans through a recourse secured borrowing facility. The facility includes a revolving borrowing period ending in September 2022 (or earlier following a trigger event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the revolving borrowing period, the facility amortizes, with a final termination date in September 2024. The facility accrues interest on a floating rate basis. As of September 30, 2021 and December 31, 2020, the Company had outstanding borrowings under this facility in the amount of $46.4 million and $28.7 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet. The effective interest rate on this facility, inclusive of related deferred financing costs, was 4.70% and 5.22% as of September 30, 2021 and December 31, 2020, respectively. As of September 30, 2021 and December 31, 2020, the fair value of ABS backed by consumer loans collateralizing this borrowing was $64.4 million and $44.5 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both September 30, 2021 and December 31, 2020, the Company was in compliance with all of its covenants. The Company has completed securitization transactions, as discussed in Note 10, whereby it financed portfolios of non-QM loans. As of September 30, 2021 and December 31, 2020, the fair value of the Company's outstanding liabilities associated with these securitization transactions was $872.3 million and $754.9 million, respectively, representing the fair value of the securitization trust certificates held by third parties as of such date, and is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the Certificates held by third parties was 1.73% and 2.43% as of September 30, 2021 and December 31, 2020, respectively. As of September 30, 2021 and December 31, 2020, the fair value of non-QM loans held in the consolidated securitization trusts was $917.3 million and $801.3 million, respectively. In March 2020, the Company entered into a participation agreement with an unrelated third-party, the "Junior Participant," whereby the Company transferred to the Junior Participant an interest in a small balance commercial mortgage loan, the "Partial Loan," (together with the Company's interest, the "Whole Commercial Loan"). The Partial Loan is subordinate to the interest in the loan held by the Company. In accordance with ASC 860-10, the Partial Loan transferred to the Junior Participant does not meet the definition of a participating interest and, as a result, the Company does not recognize the transfer of the Partial Loan to the Junior Participant as a sale. The Company has recorded the Whole Commercial Loan in Loans, at fair value, on the Condensed Consolidated Balance Sheet. As of September 30, 2021 and December 31, 2020, the fair value of the Whole Commercial Loan was $18.0 million and $17.3 million, respectively. The Company's liability to the Junior Participant as of both September 30, 2021 and December 31, 2020, was $7.5 million and $6.7 million, respectively, and is included in Other secured borrowings on the Company's Condensed Consolidated Balance Sheet. Under the terms of the participation agreement, the Junior Participant is entitled to a portion of the cashflows of the underlying commercial mortgage loan. The Company and a third-party (the "Participant") have entered into participation agreements whereby in each case the Company sold a participation in a syndicated bank loan (the "Participated Loans"). Simultaneous with the execution of the participation agreement, the Company entered into a forward purchase agreement with the Participant to repurchase the Participated Loan at a predetermined price. As of September 30, 2021, the fair value of the Participated Loans was $1.8 million, and is included in Securities, at fair value on the Company's Condensed Consolidated Balance Sheet. The Company's liability to the Participant was $1.5 million, as of September 30, 2021, and is included in Other secured borrowings on the Company's Condensed Consolidated Balance Sheet. The effective interest rate on the liability to the Participant was 3.20% as of September 30, 2021. Unsecured Borrowings Senior Notes The Company has issued $86.0 million in aggregate principal amount of unsecured long-term debt, which is structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "Senior Notes"). At any time, the Company is permitted to add others of its consolidated subsidiaries as co-issuers of the Senior Notes. The Senior Notes bear interest at a rate of 5.50%, subject to adjustment based on changes, if any, in the ratings of the Senior Notes. Interest on the Senior Notes is payable semi-annually in arrears on March 1 and September 1 of each year. The Senior Notes mature on September 1, 2022. The Company may redeem the Senior Notes, at its option, in whole or in part, prior to March 1, 2022 at a price equal to 100% of the principal amount thereof, plus the applicable "make-whole" premium as of the applicable date of redemption. At any time on or after March 1, 2022, the Company may redeem the Senior Notes, in whole or in part, at a redemption price equal to 100% of the aggregate principal amount of the Senior Notes to be redeemed, plus accrued and unpaid interest. The Senior Notes are carried at amortized cost. There are a number of covenants, including several financial covenants, associated with the Senior Notes. As of both September 30, 2021 and December 31, 2020, the Company was in compliance with all of its covenants. The Company amortizes debt issuance costs over the life of the associated debt; the amortized portion of debt issuance costs is included in Interest expense on the Condensed Consolidated Statement of Operations. The Senior Notes have an effective interest rate of 5.80%, inclusive of debt issuance costs. The Senior Notes are unsecured and are effectively subordinated to secured indebtedness of the Company, to the extent of the value of the collateral securing such indebtedness. Schedule of Principal Repayments The following table details the Company's principal repayment schedule, over the next 5 years, for outstanding borrowings as of September 30, 2021:
Year |  | Repurchase Agreements(1) |  | Other Secured Borrowings(2) |  | Senior Notes(1) |  | Total
(In thousands) |  |  |  |  |  |  |  |
Next Twelve Months |  | $ | 2,071,903 |  |  | $ | 460,576 |  |  | $ | 86,000 |  |  | $ | 2,618,479 |
Year 2 |  | 33,933 |  |  | 301,549 |  |  | — |  |  | 335,482 |
Year 3 |  | — |  |  | 232,927 |  |  | — |  |  | 232,927 |
Year 4 |  | — |  |  | — |  |  | — |  |  | — |
Year 5 |  | — |  |  | — |  |  | — |  |  | — |
Total |  | $ | 2,105,836 |  |  | $ | 995,052 |  |  | $ | 86,000 |  |  | $ | 3,186,888 |
(1)Reflects the Company's contractual principal repayment dates. (2)Includes $904.1 million of expected principal repayments related to the Company's consolidated residential mortgage loan securitizations, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities.

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- Definition The entire disclosure for information about short-term and long-term debt arrangements, which includes amounts of borrowings under each line of credit, note payable, commercial paper issue, bonds indenture, debenture issue, own-share lending arrangements and any other contractual agreement to repay funds, and about the underlying arrangements, rationale for a classification as long-term, including repayment terms, interest rates, collateral provided, restrictions on use of assets and activities, whether or not in compliance with debt covenants, and other matters important to users of the financial statements, such as the effects of refinancing and noncompliance with debt covenants. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -URI http://asc.fasb.org/topic&trid=2208564 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -Subparagraph (h) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1C -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1I -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1I -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611 Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08(c)) -URI http://asc.fasb.org/extlink&oid=120395691&loc=d3e23780-122690 Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -Subparagraph (g) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1C -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611 Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1C -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611 Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1E -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495348-112611 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1I -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -Subparagraph (i) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 + Details
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