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Repurchase Agreements | 3 Months Ended
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Mar. 31, 2022
Carrying Value of Federal Funds Sold, Securities Purchased under Agreements to Resell, and Deposits Paid for Securities Borrowed [Abstract] |
Repurchase Agreements | Repurchase Agreements The following table presents the carrying value of the Company's repurchase agreements as of March 31, 2022 and December 31, 2021, respectively (dollar amounts in thousands):
Repurchase Agreements Secured By: |  | March 31, 2022 |  | December 31, 2021
Residential loans |  | $ | 782,197 |  |  | $ | 554,259 |
Investment securities |  | 144,852 |  |  | — |
Total carrying value |  | $ | 927,049 |  |  | $ | 554,259 |
Residential Loans The Company has repurchase agreements with three financial institutions to fund the purchase of residential loans. The following table presents detailed information about the Company’s financings under these repurchase agreements and associated residential loans pledged as collateral at March 31, 2022 and December 31, 2021, respectively (dollar amounts in thousands):
| Maximum Aggregate Uncommitted Principal Amount |  | Outstanding Repurchase Agreements (1) |  | Net Deferred Finance Costs (2) |  | Carrying Value of Repurchase Agreements |  | Fair Value of Loans Pledged |  | Weighted Average Rate |  | Weighted Average Months to Maturity (3)
March 31, 2022 | $ | 1,440,907 |  |  | $ | 783,168 |  |  | $ | (971) |  |  | $ | 782,197 |  |  | $ | 959,789 |  |  | 3.05 | % |  | 5.60
December 31, 2021 | $ | 1,252,352 |  |  | $ | 554,784 |  |  | $ | (525) |  |  | $ | 554,259 |  |  | $ | 729,649 |  |  | 2.79 | % |  | 4.38
(1)Includes a non-mark-to-market repurchase agreement with an outstanding balance of $230.2 million, a weighted average rate of 3.29%, and months to maturity of 9.37 months as of March 31, 2022. Includes a non-mark-to-market repurchase agreement with an outstanding balance of $15.6 million, a rate of 4.00%, and months to maturity of 2.03 months as of December 31, 2021. (2)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 and are amortized as an adjustment to interest expense using the effective interest method, or straight line-method, if the result is not materially different. (3)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. As of March 31, 2022, 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 March 31, 2022 and through the date of this Quarterly Report on Form 10-Q. 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). These repurchase agreements provide short-term financing that bear interest rates typically based on a spread to SOFR and are secured by the investment securities which they finance and additional collateral pledged, if any. As of March 31, 2022, the Company had amounts outstanding under repurchase agreements with two counterparties and had no exposure where the amount of risk was in excess of 5% of the Company's stockholders’ equity. As of December 31, 2021, the Company had no amounts outstanding under repurchase agreements to finance investment securities. 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 March 31, 2022 (dollar amounts in thousands):
| March 31, 2022 |  |
| Outstanding Repurchase Agreements |  | Fair Value of Collateral Pledged |  | Amortized Cost of Collateral Pledged |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS (1) (2) | $ | 127,900 |  |  | $ | 249,691 |  |  | $ | 269,542 |  |  |  |  |  |  |  |  |  |  |
CMBS | 16,952 |  |  | 31,576 |  |  | 32,600 |  |  |  |  |  |  |  |  |  |  |
Balance at end of the period | $ | 144,852 |  |  | $ | 281,267 |  |  | $ | 302,142 |  |  |  |  |  |  |  |  |  |  |
(1)Includes first loss subordinated securities in Consolidated SLST with a fair value of $198.0 million as of March 31, 2022. (2)Collateral pledged includes restricted cash posted as margin in the amount of $5.5 million. As of March 31, 2022, the average days to maturity for repurchase agreements secured by investment securities was 10 days and the weighted average interest rate was 1.73%. The Company’s accrued interest payable on outstanding repurchase agreements secured by investment securities at March 31, 2022 amounted to $0.4 million and is included in 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 March 31, 2022 (dollar amounts in thousands):
Contractual Maturity | March 31, 2022 |  |
Within 30 days | $ | 144,852 |  |  |
Over 30 day to 90 days | — |  |  |
Over 90 days | — |  |  |
Total | $ | 144,852 |  |  |
As of March 31, 2022, the outstanding balance under our repurchase agreements secured by investment securities was funded at a weighted average advance rate of 51.7% that implies an average "haircut" of 48.3%. As of March 31, 2022, the weighted average “haircut” related to our repurchase agreement financing for our non-Agency RMBS and CMBS was approximately 48.8% and 45.0%, respectively. The financings under the repurchase agreements are subject to margin calls to the extent the market value of the investment securities falls below specified levels and repurchase may be accelerated upon an event of default under the repurchase agreements. As of March 31, 2022, 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 March 31, 2022, the Company had $303.8 million in cash and cash equivalents and $84.1 million in unencumbered investment securities to meet additional haircuts or market valuation requirements, which collectively represented 267.7% of our outstanding repurchase agreements secured by investment securities. The following table presents information about the Company's unencumbered securities at March 31, 2022 (dollar amounts in thousands):
Unencumbered Securities | March 31, 2022 |  |
Non-Agency RMBS (1) | $ | 45,373 |  |  |
CMBS | — |  |  |
ABS | 38,705 |  |  |
Total | $ | 84,078 |  |  |
(1)Includes IOs in Consolidated SLST with a fair value of $16.1 million as of March 31, 2022.

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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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