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Repurchase Agreements | 3 Months Ended
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Mar. 31, 2023
Carrying Value of Federal Funds Sold, Securities Purchased under Agreements to Resell, and Deposits Paid for Securities Borrowed [Abstract] |
Repurchase Agreements | 12. Repurchase Agreements The following table presents the carrying value of the Company's repurchase agreements as of March 31, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
Repurchase Agreements Secured By: |  | March 31, 2023 |  | December 31, 2022
Residential loans |  | $ | 561,124 |  |  | $ | 686,946 |
Investment securities |  | 226,778 |  |  | 50,077 |
Total carrying value |  | $ | 787,902 |  |  | $ | 737,023 |
As of March 31, 2023, 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 6.88%. 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 March 31, 2023, 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 March 31, 2023, the Company had $215.8 million included in cash and cash equivalents and $127.5 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 March 31, 2023 (dollar amounts in thousands):
Unencumbered Securities | March 31, 2023 |  |
Agency RMBS | $ | 6,914 |  |  |
Non-Agency RMBS (1) (2) | 89,425 |  |  |
CMBS | 30,667 |  |  |
ABS | 492 |  |  |
Total | $ | 127,498 |  |  |
(1)Includes IOs in Consolidated SLST with a fair value of $19.1 million as of March 31, 2023. Consolidated SLST securities owned by the Company are eliminated in consolidation in accordance with GAAP. (2)Includes CDOs repurchased from our residential loan securitizations with a fair value of $6.1 million as of March 31, 2023. Repurchased CDOs are eliminated in consolidation in accordance with GAAP. The Company also had unencumbered residential loans with a fair value of $225.3 million at March 31, 2023. 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 March 31, 2023 and December 31, 2022, 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, 2023 | $ | 1,975,000 |  |  | $ | 562,371 |  |  | $ | (1,247) |  |  | $ | 561,124 |  |  | $ | 695,701 |  |  | 7.34 | % |  | 17.21
December 31, 2022 | $ | 2,030,879 |  |  | $ | 688,487 |  |  | $ | (1,541) |  |  | $ | 686,946 |  |  | $ | 867,033 |  |  | 6.65 | % |  | 16.69
(1)Includes non-mark-to-market repurchase agreements with an aggregate outstanding balance of $317.3 million, a weighted average rate of 7.45%, and weighted average months to maturity of 23.05 months as of March 31, 2023. 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. (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 one of the counterparties with an aggregate outstanding balance of $245.0 million as of March 31, 2023 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, has entered into an interest rate cap contract 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 $1.2 million and $1.5 million is included in other assets in the condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively. The Company recognized unrealized losses of $0.2 million for the three months ended March 31, 2023 which is included in non-interest (loss) income in the condensed consolidated statements of operations. As of March 31, 2023, 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, 2023 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 certain investment securities available for sale, securities owned in Consolidated SLST and CDOs repurchased from our residential loan securitizations. 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, 2023 and December 31, 2022, the Company had amounts outstanding under repurchase agreements with three counterparties. 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, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
| March 31, 2023 |  |  |  | December 31, 2022
| Outstanding Repurchase Agreements |  | Fair Value of Collateral Pledged |  | Amortized Cost of Collateral Pledged |  |  |  | Outstanding Repurchase Agreements |  | Fair Value of Collateral Pledged |  | Amortized Cost of Collateral Pledged |  |
Agency RMBS | $ | 94,306 |  |  | $ | 100,286 |  |  | $ | 99,278 |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |
Non-Agency RMBS (1) (2) | 132,472 |  |  | 268,590 |  |  | 309,778 |  |  |  |  | 50,077 |  |  | 170,551 |  |  | 210,733 |  |  |
Balance at end of the period | $ | 226,778 |  |  | $ | 368,876 |  |  | $ | 409,056 |  |  |  |  | $ | 50,077 |  |  | $ | 170,551 |  |  | $ | 210,733 |  |  |
(1)Includes first loss subordinated securities in Consolidated SLST with a fair value of $169.4 million as of March 31, 2023. Consolidated SLST securities owned by the Company are eliminated in consolidation in accordance with GAAP. (2)Includes securities repurchased from our residential loan securitizations with a fair value of $99.2 million as of March 31, 2023. Repurchased CDOs are eliminated in consolidation in accordance with GAAP. As of March 31, 2023 and December 31, 2022, the outstanding balances under our repurchase agreements secured by investment securities were funded at a weighted average advance rate of 76.6% and 30.0%, respectively, that implies an average "haircut" of 23.4% and 70.0%, respectively. As of March 31, 2023, the weighted average "haircut" related to our repurchase agreement financing for our Agency RMBS and non-Agency RMBS was approximately 5.0% and 36.5%, respectively. As of March 31, 2023 and December 31, 2022, the average days to maturity for repurchase agreements secured by investment securities were 55 days and 9 days, respectively, and the weighted average interest rates were 5.74% and 5.28%, respectively. The Company’s accrued interest payable on outstanding repurchase agreements secured by investment securities at March 31, 2023 and December 31, 2022 amounted to $1.3 million and $0.6 million, respectively, 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, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
Contractual Maturity | March 31, 2023 |  | December 31, 2022
Within 30 days | $ | 49,950 |  |  | $ | 50,077 |
Over 30 day to 90 days | 176,828 |  |  | — |
Over 90 days | — |  |  | — |
Total | $ | 226,778 |  |  | $ | 50,077 |

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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 https://asc.fasb.org/topic&trid=2197590 + Details
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