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Financing Agreements (Tables)

9 Months Ended

Sep. 30, 2022

Disclosure of Repurchase Agreements [Abstract]

The following tables present the components of, and certain information with respect to, the Company’s Financing agreements at September 30, 2022 and December 31, 2021:


	September 30, 2022
(In Thousands)	Collateral	Unpaid Principal Balance		Fair Value / Carrying Value (1)		Weighted Average Cost of Funding (2)		Weighted Average Term to Maturity (Months)
Agreements with mark-to-market collateral provisions	Residential Whole Loans	$	1,981,934	$	1,981,904	4.23	%	9.7
Agreements with mark-to-market collateral provisions	Securities	142,887		142,887		3.94	%	1.5
Total Agreements with mark-to-market collateral provisions		2,124,821		2,124,791		4.22	%
Agreements with non-mark-to-market collateral provisions	Residential Whole Loans	1,105,441		1,104,849		5.46	%	16.5
Securitized debt	Residential Whole Loans	4,116,330		3,832,311		3.00	%	See Note 14
Convertible senior notes	Unsecured	229,989		227,489		6.94	%	See below
Total Financing agreements (2)		$	7,576,581	$	7,289,440	3.60	%


	December 31, 2021
(In Thousands)	Collateral	Unpaid Principal Balance		Fair Value / Carrying Value (1)		Weighted Average Cost of Funding (2)		Weighted Average Term to Maturity (Months)
Agreements with mark-to-market collateral provisions	Residential Whole Loans	$	2,403,724	$	2,403,151	2.02	%	6.6
Agreements with mark-to-market collateral provisions	Securities	159,148		159,148		1.50	%	1.4
Total Agreements with mark-to-market collateral provisions		2,562,872		2,562,299		1.99	%
Agreements with non-mark-to-market collateral provisions	Residential Whole Loans	939,003		939,540		3.50	%	9.8
Securitized debt	Residential Whole Loans	2,645,495		2,650,473		1.96	%	See Note 14
Convertible senior notes	Unsecured	230,000		226,470		6.94	%	See below
Total Financing agreements (2)		$	6,377,370	$	6,378,782	2.44	%

(1)The Company has both financing agreements held at fair value and financings agreements held at their carrying value (amortized cost basis). Financing agreements held at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. The fair value option was not elected for financing agreements held at carrying value. Consequently, Total financing agreements as presented reflects a summation of balances reported at fair and carrying value. At September 30, 2022, the Company had the $932.5 million of agreements with mark-to-market collateral provisions held at fair value, $604.7 million of agreements with non-mark-to-market collateral provisions held at fair value, and $2.9 billion of securitized debt held at fair value, with amortized cost bases of $932.5 million, $604.7 million, and, $3.1 billion respectively. At December 31, 2021, the Company had the $1.3 billion of agreements with mark-to-market collateral provisions held at fair value, $628.3 million of agreements with non-mark-to-market collateral provisions held at fair value, and $1.3 billion of securitized debt held at fair value, with amortized cost bases of $1.3 billion, $627.0 million, and $1.3 billion, respectively.

(2)Weighted average cost of funding reflects annualized quarter-to-date interest expense divided by average balance for the financing agreements. The cost of funding for the total financing agreements includes the impact of the net carry (the difference between swap interest income received and swap interest expense paid) on the Company’s Swaps. For the quarter ended September 30, 2022, this decreased the overall funding cost by 19 basis points, and for the quarter ended December 31, 2021, this increased the overall funding cost by 5 basis points. The Company does not allocate the impact of the net carry by type of financing agreement.

The following table presents maturities with respect to the Company’s financing agreements with mark-to-market and non-mark-to-market collateral provisions:


	As of September 30, 2022
	Unpaid Principal Balance, Maturing In
(In Thousands)	Collateral	0-3 Months (1)		3-6 Months		6-12 Months		Greater than 12 Months (2)		Total
Agreements with mark-to-market collateral provisions	Residential Whole Loans	$	111,159	$	731,907	$	835,077	$	303,791	$	1,981,934
Agreements with mark-to-market collateral provisions	Securities	142,887		—		—		—		142,887
Total Agreements with mark-to-market collateral provisions		254,046		731,907		835,077		303,791		2,124,821
Agreements with non-mark-to-market collateral provisions	Residential Whole Loans	226,332		—		523,612		355,497		1,105,441

(1)$254.0 million of the mark-to-market agreements (included in the 0-3 months category) can be terminated by either party.

(2)$273.4 million of the mark-to-market agreements (included in the greater than 12 months category) have a 1 year extension option to September 2024.

Schedule of Financing Agreements with Non-Mark-to-Market Collateral Provisions and Associated Assets Pledged as Collateral

The following table presents information with respect to the Company’s financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at September 30, 2022 and December 31, 2021:


(Dollars in Thousands)	September 30, 2022			December 31, 2021
Mark-to-market financing agreements secured by residential whole loans	$	1,966,735		$	2,391,602
Fair value of residential whole loans pledged as collateral under financing agreements	$	2,470,746		$	3,301,288
Weighted average haircut on residential whole loans (1)	18.56		%	25.27		%
Mark-to-market financing agreements secured by securities at fair value	$	142,887		$	159,148
Securities at fair value pledged as collateral under financing agreements	$	227,407		$	256,685
Weighted average haircut on securities at fair value (1)	37.17		%	37.00		%
Mark-to-market financing agreements secured by real estate owned	$	15,169		$	11,549
Fair value of real estate owned pledged as collateral under financing agreements	$	39,357		$	34,606
Weighted average haircut on real estate owned (1)	51.35		%	58.46		%

(1)Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.

Schedule of Financing Agreements with Mark-to-Market Collateral Provisions and Associated Assets Pledged as Collateral

The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at September 30, 2022 and December 31, 2021:


(Dollars in Thousands)	September 30, 2022			December 31, 2021
Non-mark-to-market financing secured by residential whole loans	$	1,096,544		$	928,055
Fair value of residential whole loans pledged as collateral under financing agreements	$	1,409,574		$	1,420,283
Weighted average haircut on residential whole loans	19.24		%	29.98		%
Non-mark-to-market financing secured by real estate owned	$	8,305		$	11,485
Fair value of real estate owned pledged as collateral under financing agreements	$	25,749		$	29,894
Weighted average haircut on real estate owned	61.92		%	61.28		%

Schedule of Repricing Information About Borrowings Under Financing Agreements

The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at September 30, 2022 and December 31, 2021:


	September 30, 2022				December 31, 2021
	Amortized Cost Basis		Weighted Average Interest Rate		Amortized Cost Basis		Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
Within 30 days	$	3,009,718	5.28	%	$	3,222,268	2.36	%
Over 30 days to 3 months	220,545		4.66		257,444		2.49
Over 3 months to 12 months	—		—		22,164		4.50
Over 12 months	—		—		—		—
Total financing agreements	$	3,230,263	5.23	%	$	3,501,876	2.38	%

Schedule of Information About Counterparty for Financing Agreements for which entity had Greater than 5% of Stockholders' Equity at Risk

The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at September 30, 2022:


	September 30, 2022
	Counterparty Rating (1)	Amount at Risk (2)		Weighted Average Months to Repricing for Repurchase Agreements	Percent of Stockholders’ Equity
Counterparty
(Dollars in Thousands)
Barclays Bank (3)	BBB/Aa3/A	$	318,603	1	15.7	%
Wells Fargo	A+/Aa2/AA-	239,544		1	11.8
Credit Suisse	BBB/Baa2/BBB	187,559		1	9.2

(1)As rated at September 30, 2022 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published rating for these entities.

(2)The amount at risk reflects the difference between (a) the amount loaned to the Company through financing agreements, including interest payable, and (b) the cash and the fair value of the assets pledged by the Company as collateral, including accrued interest receivable on such assets.

(3)Includes amounts at risk with various affiliates of Athene Holding, Ltd., held via participation in a loan syndication administered by Barclays Bank.

Schedule of Company's Assets (Based on Carrying Value) Pledged as Collateral For Various Financing Arrangements

The following tables present the Company’s assets (based on carrying value) pledged as collateral for its various financing arrangements as of September 30, 2022 and December 31, 2021:


	September 30, 2022
	Financing Agreements
(In Thousands)	Non-Mark-to-Market (1)		Mark-to-Market (1)		Securitized		Total
Assets:
Residential whole loans, at carrying value	$	248,936	$	307,841	$	1,345,839	$	1,902,616
Residential whole loans, at fair value	1,171,526		2,011,619		3,106,239		6,289,384
Securities, at fair value	—		227,407		—		227,407
Other assets: REO	21,925		30,050		34,928		86,903
Total	$	1,442,387	$	2,576,917	$	4,487,006	$	8,506,310


	December 31, 2021
	Financing Agreements
(In Thousands)	Non-Mark-to-Market (1)		Mark-to-Market (1)		Securitized		Total
Assets:
Residential whole loans, at carrying value	$	693,982	$	459,349	$	1,476,588	$	2,629,919
Residential whole loans, at fair value	706,377		2,810,865		1,525,114		5,042,356
Securities, at fair value	—		256,685		—		256,685
Other assets: REO	25,692		29,374		35,379		90,445
Total	$	1,426,051	$	3,556,273	$	3,037,081	$	8,019,405

(1)An aggregate of $27.2 million and $25.7 million of accrued interest on those assets pledged against non-mark-to-market and mark-to-market financings agreements had also been pledged as of September 30, 2022 and December 31, 2021, respectively.