Repurchase Agreements

12 Months Ended

Dec. 31, 2022

11. Repurchase Agreements

The following table presents the carrying value of the Company's repurchase agreements as of December 31, 2022 and 2021, respectively (dollar amounts in thousands):


Repurchase Agreements Secured By:	December 31, 2022		December 31, 2021
Residential loans	$	686,946	$	554,259
Investment securities	50,077		—
Total carrying value	$	737,023	$	554,259

As of December 31, 2022, the Company's only repurchase agreement exposure where the amount at risk was in excess of 5% of the Company's stockholders’ equity was to Bank of America at 6.82%. The amount at risk is defined as the fair value of assets pledged as collateral to the financing arrangement in excess of the financing arrangement liability.

The financings under certain of our repurchase agreements are subject to margin calls to the extent the market value of the collateral subject to repurchase agreement falls below specified levels and repurchase may be accelerated upon an event of default under the repurchase agreements. As of December 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 the liability immediately. As of December 31, 2022, the Company had $223.6 million included in cash and cash equivalents and $120.5 million in unencumbered investment securities available to meet additional haircuts or market valuation requirements. The following table presents information about the Company's unencumbered securities at December 31, 2022 (dollar amounts in thousands):


Unencumbered Securities	December 31, 2022
Non-Agency RMBS (1)	$	89,552
CMBS	30,133
ABS	856
Total	$	120,541

(1)Includes IOs in Consolidated SLST with a fair value of $21.0 million as of December 31, 2022.

The Company also had unencumbered residential loans with a fair value of $214.4 million at December 31, 2022.

Residential Loans

The Company has repurchase agreements with four 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 December 31, 2022 and 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)
December 31, 2022	$	2,030,879	$	688,487	$	(1,541)	$	686,946	$	867,033	6.65	%	16.69
December 31, 2021	$	1,252,352	$	554,784	$	(525)	$	554,259	$	729,649	2.79	%	4.38

(1)Includes non-mark-to-market repurchase agreements with an aggregate outstanding balance of $446.8 million, a weighted average rate of 6.77%, and weighted average months to maturity of 23.96 months as of December 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 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 one of the counterparties with an aggregate outstanding balance of $241.7 million as of December 31, 2022 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.

The Company, as required by a repurchase agreement with one counterparty, entered into an interest rate cap contract during the year ended December 31, 2022 that limits the indexed portion of the interest rate on the related repurchase agreement to a strike price of Term SOFR of 4.10% on the $111.0 million notional amount with an expiration date of November 17, 2024. The fair value of the interest rate cap contract of $1.5 million is included in other assets in the consolidated balance sheets as of December 31, 2022. The Company recognized unrealized losses of $0.02 million for the year ended December 31, 2022 which is included in non-interest (loss) income in the consolidated statements of operations.

As of December 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 December 31, 2022 and through the date of this Annual Report on Form 10-K.

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 December 31, 2022, the Company had amounts outstanding under repurchase agreements with one counterparty. 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 December 31, 2022 (dollar amounts in thousands):


	December 31, 2022
	Outstanding Repurchase Agreements		Fair Value of Collateral Pledged		Amortized Cost of Collateral Pledged

Non-Agency RMBS (1)	$	50,077	$	170,551	$	210,733
Balance at end of the period	$	50,077	$	170,551	$	210,733

(1)Represents first loss subordinated securities in Consolidated SLST.

As of December 31, 2022, the outstanding balance under our repurchase agreements secured by investment securities was funded at an advance rate of 30.0% that implies a "haircut" of 70.0%.

As of December 31, 2022, the days to maturity for repurchase agreements secured by investment securities was 9 days and the interest rate was 5.28%. The Company’s accrued interest payable on outstanding repurchase agreements secured by investment securities at December 31, 2022 amounted to $0.6 million and is included in other liabilities on the Company’s consolidated balance sheets.

The following table presents contractual maturity information about the Company’s outstanding repurchase agreements secured by investment securities at December 31, 2022 (dollar amounts in thousands):


Contractual Maturity	December 31, 2022
Within 30 days	$	50,077
Over 30 day to 90 days	—
Over 90 days	—
Total	$	50,077