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Repurchase Agreements | 9 Months Ended
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Sep. 30, 2020
Carrying Value of Federal Funds Sold, Securities Purchased under Agreements to Resell, and Deposits Paid for Securities Borrowed [Abstract] |
Repurchase Agreements | Repurchase Agreements Investment Securities The Company has entered into repurchase agreements with financial institutions to finance its investment securities portfolio (including investment securities available for sale and securities owned in Consolidated SLST and the Consolidated K-Series). These repurchase agreements provide short-term financing that bear interest rates typically based on a spread to LIBOR and are secured by the investment securities which they finance and additional collateral pledged, if any. During March 2020, in connection with the significant market disruption caused by the COVID-19 pandemic, the repurchase agreement counterparties for our investment securities increased haircuts, started to require additional collateral or determined to not roll our financing. As a result, we liquidated our investment securities at a disadvantageous time, which resulted in losses. As of September 30, 2020, we currently have no amounts outstanding under repurchase agreements to finance investment securities. At December 31, 2019, the Company had financing arrangements with fourteen counterparties and had no exposure to an individual counterparty where the amount at risk was in excess of 5% of the Company's stockholders’ equity. The following table presents detailed information about the amounts outstanding under the Company’s repurchase agreements secured by investment securities and associated assets pledged as collateral at December 31, 2019 (dollar amounts in thousands):
|  | December 31, 2019
|  |  |  |  |  | Outstanding Repurchase Agreements |  | Fair Value of Collateral Pledged |  | Amortized Cost of Collateral Pledged
Agency RMBS (1) |  |  |  |  |  | $ | 812,742 |  |  | $ | 865,765 |  |  | $ | 864,428 |
Agency CMBS (2) |  |  |  |  |  | 133,184 |  |  | 139,317 |  |  | 140,118 |
Non-Agency RMBS (3) |  |  |  |  |  | 594,286 |  |  | 797,784 |  |  | 785,952 |
CMBS (4) |  |  |  |  |  | 811,890 |  |  | 1,036,513 |  |  | 853,043 |
Balance at end of the period |  |  |  |  |  | $ | 2,352,102 |  |  | $ | 2,839,379 |  |  | $ | 2,643,541 |
(1)Collateral pledged includes Agency RMBS securities with a fair value amounting to $26.2 million included in Consolidated SLST as of December 31, 2019. (2)Collateral pledged includes Agency CMBS securities with a fair value amounting to $88.4 million included in the Consolidated K-Series as of December 31, 2019. (3)Collateral pledged includes first loss subordinated RMBS securities with a fair value amounting to $214.8 million included in Consolidated SLST as of December 31, 2019. (4)Collateral pledged includes first loss POs, IOs and mezzanine CMBS securities with a fair value amounting to $848.2 million included in the Consolidated K-Series as of December 31, 2019. As of December 31, 2019, the average days to maturity for repurchase agreements secured by investment securities was 73 days and the weighted average interest rate was 2.72%. The Company’s accrued interest payable on outstanding repurchase agreements secured by investment securities at December 31, 2019 amounted to $8.8 million and is included in accrued expenses and other liabilities on the Company’s condensed consolidated balance sheets. The following table presents contractual maturity information about the Company’s outstanding repurchase agreements secured by investment securities at December 31, 2019 (dollar amounts in thousands):
Contractual Maturity |  | December 31, 2019
Within 30 days |  | $ | 449,474 |
Over 30 days to 90 days |  | 1,647,683 |
Over 90 days |  | 254,945 |
Total |  | $ | 2,352,102 |
As of December 31, 2019, the Company had assets available to be posted as margin which included liquid assets, such as unrestricted cash and cash equivalents, and unencumbered securities that could be monetized to pay down or collateralize a liability immediately. As of December 31, 2019, the Company had $118.8 million in cash and cash equivalents and $535.8 million in unencumbered investment securities to meet additional haircuts or market valuation requirements, which collectively represented 27.8% of our outstanding repurchase agreements secured by investment securities. The following table presents information about the Company's unencumbered securities at December 31, 2019 (dollar amounts in thousands):
Unencumbered Securities |  |  | December 31, 2019
Agency RMBS |  |  | $ | 83,351 |
CMBS |  |  | 235,199 |
Non-Agency RMBS |  |  | 168,063 |
ABS |  |  | 49,214 |
Total |  |  | $ | 535,827 |
Residential Loans The Company has repurchase agreements with three financial institutions to fund the purchase of residential loans, including both first and second mortgages. The following table presents detailed information about the Company’s financings under these repurchase agreements and associated residential loans pledged as collateral at September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
| Maximum Aggregate Uncommitted Principal Amount |  | Outstanding Repurchase Agreements |  | Carrying Value of Loans Pledged (1) |  | Weighted Average Rate |  | Weighted Average Months to Maturity (2)
September 30, 2020 | $ | 1,247,483 |  |  | $ | 673,787 |  |  | $ | 938,572 |  |  | 2.46 | % |  | 2.96
December 31, 2019 | $ | 1,200,000 |  |  | $ | 754,132 |  |  | $ | 961,749 |  |  | 3.67 | % |  | 11.20
(1)Includes residential loans, at fair value of $938.6 million and $881.2 million at September 30, 2020 and December 31, 2019, respectively, and residential loans, net of $80.6 million at December 31, 2019. (2)The Company expects to roll outstanding amounts under these repurchase agreements into new repurchase agreements or other financings, or to repay outstanding amounts, prior to or at maturity. During the terms of the repurchase agreements, proceeds from the residential loans will be applied to pay any price differential and to reduce the aggregate repurchase price of the collateral. The financings under the repurchase agreements with two of the counterparties are subject to margin calls to the extent the market value of the residential loans falls below specified levels and repurchase may be accelerated upon an event of default under the repurchase agreements. During the three months ended March 31, 2020, the Company was not in compliance with the market capitalization covenants in its repurchase agreements with two counterparties. In March 2020, the Company executed an amended repurchase agreement with one counterparty to modify the terms of financial covenants. The Company also agreed to a reservation of rights with the other counterparty during the three months ended March 31, 2020 in which the counterparty elected not to declare an event of default in accordance with the terms of the repurchase agreement for non-compliance with a financial covenant. The Company subsequently executed an amended repurchase agreement with this counterparty in April to modify the terms of financial covenants. As of September 30, 2020, the Company's repurchase agreements contain various covenants, including among other things, the maintenance of certain amounts of liquidity and total stockholders' equity. The Company is in compliance with such covenants as of November 6, 2020. Costs related to the repurchase agreements which include commitment, underwriting, legal, accounting and other fees are reflected as deferred charges. Such costs are presented as a deduction from the corresponding debt liability on the Company’s accompanying condensed consolidated balance sheets in the amount of $1.3 million as of September 30, 2020 and $0.8 million as of December 31, 2019. These deferred charges are amortized as an adjustment to interest expense using the effective interest method, or straight line-method, if the result is not materially different.

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- References No definition available. + Details
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- Definition The entire disclosure for repurchase agreements (also known as repos), resale agreements (also known as reverse repurchase agreements or reverse repos), securities borrowed transactions, and securities loaned transactions. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -URI http://asc.fasb.org/topic&trid=2197590 + Details
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