XML 48 R39.htm IDEA: XBRL DOCUMENT v3.22.1
Repurchase Agreements (Tables)
 3 Months Ended
Mar. 31, 2022
Carrying Value of Federal Funds Sold, Securities Purchased under Agreements to Resell, and Deposits Paid for Securities Borrowed [Abstract]  
Schedule of Company's 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, 2022December 31, 2021
Residential loans$782,197 $554,259 
Investment securities144,852 — 
Total carrying value$927,049 $554,259 
Schedule of Borrowings Under Financing Arrangements and Assets Pledged as Collateral 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 AgreementsFair 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.
Schedule of Repurchase Agreements Secured by 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 AgreementsFair Value of Collateral PledgedAmortized Cost of Collateral Pledged
Non-Agency RMBS (1) (2)
$127,900 $249,691 $269,542 
CMBS16,952 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.
Schedule Of Repurchase Agreements, Maturities
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 MaturityMarch 31, 2022
Within 30 days$144,852 
Over 30 day to 90 days— 
Over 90 days— 
Total$144,852 
Schedule of Unencumbered Securities The following table presents information about the Company's unencumbered securities at March 31, 2022 (dollar amounts in thousands):
Unencumbered SecuritiesMarch 31, 2022
Non-Agency RMBS (1)
$45,373 
CMBS— 
ABS38,705 
Total$84,078 
(1)Includes IOs in Consolidated SLST with a fair value of $16.1 million as of March 31, 2022.