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Financing Agreements (Tables) | 6 Months Ended
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Jun. 30, 2023
Disclosure of Repurchase Agreements [Abstract] |
Schedule of Financing Agreements | The following tables present the components of, and certain information with respect to, the Company’s Financing agreements at June 30, 2023 and December 31, 2022:
|  | June 30, 2023
(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 and REO |  | $ | 1,939,310 |  |  | $ | 1,938,380 |  |  | 7.17 | % |  | 9.1
Agreements with mark-to-market collateral provisions |  | Securities |  | 464,064 |  |  | 464,064 |  |  | 5.67 | % |  | 0.5
Total Agreements with mark-to-market collateral provisions |  |  |  | 2,403,374 |  |  | 2,402,444 |  |  | 6.87 | % |  |
Agreements with non-mark-to-market collateral provisions |  | Residential Whole Loans and REO |  | 968,546 |  |  | 967,884 |  |  | 7.61 | % |  | 13.3
Securitized debt |  | Residential Whole Loans |  | 4,187,578 |  |  | 3,969,274 |  |  | 3.88 | % |  | See Note 14
Convertible senior notes |  | Unsecured |  | 229,989 |  |  | 228,575 |  |  | 6.94 | % |  | 11.5
Impact of net Swap carry |  |  |  |  |  |  |  | (1.38) | % |  |
Total Financing agreements (2) |  |  |  | $ | 7,789,487 |  |  | $ | 7,568,177 |  |  | 3.96 | % |  |
|  | December 31, 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 and REO |  | $ | 2,111,647 |  |  | $ | 2,111,396 |  |  | 5.74 | % |  | 6.9
Agreements with mark-to-market collateral provisions |  | Securities |  | 111,651 |  |  | 111,651 |  |  | 5.47 | % |  | 1.5
Total Agreements with mark-to-market collateral provisions |  |  |  | 2,223,298 |  |  | 2,223,047 |  |  | 5.73 | % |  |
Agreements with non-mark-to-market collateral provisions |  | Residential Whole Loans and REO |  | 1,004,260 |  |  | 1,003,604 |  |  | 6.53 | % |  | 16.8
Securitized debt |  | Residential Whole Loans |  | 3,586,397 |  |  | 3,357,590 |  |  | 3.33 | % |  | See Note 14
Convertible senior notes |  | Unsecured |  | 229,989 |  |  | 227,845 |  |  | 6.94 | % |  | 17.5
Impact of net Swap carry |  |  |  |  |  |  |  | (0.84) | % |  |
Total Financing agreements (2) |  |  |  | $ | 7,043,944 |  |  | $ | 6,812,086 |  |  | 3.70 | % |  |
(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 June 30, 2023, the Company had $553.2 million of agreements with mark-to-market collateral provisions held at fair value, $440.1 million of agreements with non-mark-to-market collateral provisions held at fair value, and $3.1 billion of securitized debt held at fair value, with amortized cost bases of $553.2 million, $440.1 million, and $3.3 billion, respectively. At December 31, 2022, the Company had $884.5 million of agreements with mark-to-market collateral provisions held at fair value, $578.9 million of agreements with non-mark-to-market collateral provisions held at fair value, and $2.4 billion of securitized debt held at fair value, with amortized cost bases of $884.5 million, $578.9 million, and $2.6 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 June 30, 2023, this decreased the overall funding cost by 138 basis points, and for the quarter ended December 31, 2022, this decreased the overall funding cost by 84 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 June 30, 2023
|  | 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 |  | $ | 401,591 |  |  | $ | 88,389 |  |  | $ | 480,381 |  |  | $ | 968,949 |  |  | $ | 1,939,310 |
Agreements with mark-to-market collateral provisions |  | Securities |  | 464,064 |  |  | — |  |  | — |  |  | — |  |  | 464,064 |
Total Agreements with mark-to-market collateral provisions |  |  |  | 865,655 |  |  | 88,389 |  |  | 480,381 |  |  | 968,949 |  |  | 2,403,374 |
Agreements with non-mark-to-market collateral provisions |  | Residential Whole Loans |  | 491,160 |  |  | 13,033 |  |  | — |  |  | 464,353 |  |  | 968,546 |
(1)$681.1 million of the mark-to-market agreements (included in the 0-3 months category) can be terminated by either party. (2)Amounts presented are based on the assumed exercise of the Company’s unilateral option to extend by one year the maturity of an Agreement with mark-market collateral provisions with $311.2 million outstanding.
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 June 30, 2023 and December 31, 2022:
(Dollars in Thousands) |  | June 30, 2023 |  | December 31, 2022
Mark-to-market financing agreements secured by residential whole loans |  | $ | 1,909,699 |  |  | $ | 2,095,002 |
Fair value of residential whole loans pledged as collateral under financing agreements |  | $ | 2,441,356 |  |  | $ | 2,632,489 |
Weighted average haircut on residential whole loans (1) |  | 20.11 | % |  | 18.33 | %
Mark-to-market financing agreements secured by securities at fair value |  | $ | 464,064 |  |  | $ | 111,651 |
Securities at fair value pledged as collateral under financing agreements |  | $ | 543,400 |  |  | $ | 177,111 |
Weighted average haircut on securities at fair value (1) |  | 12.23 | % |  | 37.43 | %
Mark-to-market financing agreements secured by real estate owned |  | $ | 28,681 |  |  | $ | 16,394 |
Fair value of real estate owned pledged as collateral under financing agreements |  | $ | 59,919 |  |  | $ | 33,367 |
Weighted average haircut on real estate owned (1) |  | 50.39 | % |  | 48.07 | %
(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 June 30, 2023 and December 31, 2022:
(Dollars in Thousands) |  | June 30, 2023 |  | December 31, 2022
Non-mark-to-market financing secured by residential whole loans |  | $ | 967,884 |  |  | $ | 994,494 |
Fair value of residential whole loans pledged as collateral under financing agreements |  | $ | 1,184,587 |  |  | $ | 1,301,685 |
Weighted average haircut on residential whole loans |  | 17.35 | % |  | 21.43 | %
Non-mark-to-market financing secured by real estate owned |  | $ | — |  |  | $ | 9,109 |
Fair value of real estate owned pledged as collateral under financing agreements |  | $ | — |  |  | $ | 22,902 |
Weighted average haircut on real estate owned |  | — | % |  | 60.23 | %
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 June 30, 2023 and December 31, 2022:
|  | June 30, 2023 |  | December 31, 2022
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 |  | $ | 3,135,319 |  |  | 7.20 | % |  | $ | 3,060,111 |  |  | 6.60 | %
Over 30 days to 3 months |  | 236,602 |  |  | 6.51 |  |  | 167,447 |  |  | 6.19 |
Over 3 months to 12 months |  | — |  |  | — |  |  | — |  |  | — |
Over 12 months |  | — |  |  | — |  |  | — |  |  | — |
Total financing agreements |  | $ | 3,371,921 |  |  | 7.15 | % |  | $ | 3,227,558 |  |  | 6.58 | %
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 June 30, 2023:
|  | June 30, 2023 |  |  |  |  |  |
|  | Amount at Risk (1) |  | Weighted Average Months to Repricing for Repurchase Agreements |  | Percent of Stockholders’ Equity |  |  |  |  |  |
Counterparty |  |  |  |  |  |  |  |  |
(Dollars in Thousands) |  |  |  |  |  |  |  |  |  |  |  |
Wells Fargo |  | $ | 267,784 |  |  | 1 |  | 13.8 | % |  |  |  |  |  |
Barclays Bank |  | 192,258 |  |  | 1 |  | 9.9 |  |  |  |  |  |  |
Atlas Securitized Products, L.P. |  | 107,587 |  |  | 1 |  | 5.5 |  |  |  |  |  |  |
Goldman Sachs Bank |  | 100,225 |  |  | 1 |  | 5.2 |  |  |  |  |  |  |
Churchill Finance LLC |  | 98,574 |  |  | 1 |  | 5.1 |  |  |  |  |  |  |
(1)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.
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 June 30, 2023 and December 31, 2022:
|  | June 30, 2023
|  | Financing Agreements
(In Thousands) |  | Non-Mark-to-Market (1) |  | Mark-to-Market (1) |  | Securitized |  | Total
Assets: |  |  |  |  |  |  |  |
Residential whole loans, at carrying value |  | $ | 65,527 |  |  | $ | 364,419 |  |  | $ | 1,233,089 |  |  | $ | 1,663,035 |
Residential whole loans, at fair value |  | 1,121,567 |  |  | 1,781,344 |  |  | 3,555,923 |  |  | 6,458,834 |
Securities, at fair value |  | — |  |  | 543,400 |  |  | — |  |  | 543,400 |
Other assets: REO |  | — |  |  | 52,376 |  |  | 30,374 |  |  | 82,750 |
Total |  | $ | 1,187,094 |  |  | $ | 2,741,539 |  |  | $ | 4,819,386 |  |  | $ | 8,748,019 |
|  | December 31, 2022
|  | Financing Agreements
(In Thousands) |  | Non-Mark-to-Market (1) |  | Mark-to-Market (1) |  | Securitized |  | Total
Assets: |  |  |  |  |  |  |  |
Residential whole loans, at carrying value |  | $ | 215,993 |  |  | $ | 284,683 |  |  | $ | 1,314,104 |  |  | $ | 1,814,780 |
Residential whole loans, at fair value |  | 1,095,556 |  |  | 2,164,158 |  |  | 2,720,757 |  |  | 5,980,471 |
Securities, at fair value |  | — |  |  | 177,111 |  |  | — |  |  | 177,111 |
Other assets: REO |  | 19,837 |  |  | 28,490 |  |  | 36,486 |  |  | 84,813 |
Total |  | $ | 1,331,386 |  |  | $ | 2,654,442 |  |  | $ | 4,071,347 |  |  | $ | 8,057,175 |
(1)An aggregate of $31.7 million and $30.9 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 June 30, 2023 and December 31, 2022, respectively.

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- Definition Tabular disclosure, as of the balance sheet date, of the amount at risk under repurchase agreements with any individual counterparty or group of related counterparties which exceeds 5 percent of stockholders' equity. This includes the name of each counterparty or group of related counterparties, the amount at risk with each, and the weighted average maturity of the repurchase agreements with each. The amount at risk under repurchase agreements is defined as the difference between (a) the amount loaned to the Company through repurchase agreements and repurchase agreements underlying Linked Transactions, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral and MBS underlying Linked Transactions, including accrued interest receivable on such securities. + References No definition available. + Details
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