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v3.23.2

Repurchase Agreements - Narrative (Details) | 3 Months Ended | 6 Months Ended |  |
--- | --- | --- | --- | ---
Jun. 30, 2023 USD ($) counterparty | Mar. 31, 2023 | Jun. 30, 2023 USD ($) counterparty | Dec. 31, 2022 USD ($) counterparty | Jun. 30, 2022 USD ($)
Assets Sold under Agreements to Repurchase [Line Items] |  |  |  |  |
Cash and cash equivalents | $ 232,497,000 |  | $ 232,497,000 | $ 244,718,000 | $ 407,104,000
Repurchase agreements, number of counterparties | counterparty | 1 |  | 1 |  |
Financings under repurchase agreements, aggregate outstanding balance | $ 294,400,000 |  | $ 294,400,000 |  |
Number of counterparties with amounts outstanding under repurchase agreements | counterparty | 4 |  | 4 | 1 |
Interest rate caps |  |  |  |  |
Assets Sold under Agreements to Repurchase [Line Items] |  |  |  |  |
Repurchase agreements, number of counterparties | counterparty | 1 |  | 1 |  |
Interest rate | 4.10% |  | 4.10% |  |
Notional Amount | $ 111,000,000 |  | $ 111,000,000 |  |
Fair value of the interest rate cap contract | 1,700,000 |  | 1,700,000 | $ 1,500,000 |
Unrealized losses | (700,000) |  | (600,000) |  |
Repurchase agreements |  |  |  |  |
Assets Sold under Agreements to Repurchase [Line Items] |  |  |  |  |
Cash and cash equivalents | 223,100,000 |  | 223,100,000 |  |
Securities borrowed | $ 205,442,000 |  | $ 205,442,000 |  |
Weighted average advance rate | 89.90% |  | 89.90% | 30.00% |
Average interest rate haircut | 10.10% |  | 10.10% | 70.00% |
Average days to maturity |  | 9 days | 52 days |  |
Weighted average interest rate | 5.48% |  | 5.48% | 5.28% |
Accrued interest payable | $ 4,000,000 |  | $ 4,000,000 | $ 600,000 |
Repurchase agreements | Residential loans |  |  |  |  |
Assets Sold under Agreements to Repurchase [Line Items] |  |  |  |  |
Securities borrowed | 245,900,000 |  | 245,900,000 |  |
Repurchase agreements | Agency RMBS |  |  |  |  |
Assets Sold under Agreements to Repurchase [Line Items] |  |  |  |  |
Securities borrowed | $ 37,828,000 |  | $ 37,828,000 |  |
Average interest rate haircut | 4.40% |  | 4.40% |  |
Repurchase agreements | Non-Agency RMBS |  |  |  |  |
Assets Sold under Agreements to Repurchase [Line Items] |  |  |  |  |
Securities borrowed | $ 137,217,000 |  | $ 137,217,000 |  |
Average interest rate haircut | 46.10% |  | 46.10% |  |
Atlas SP |  |  |  |  |
Assets Sold under Agreements to Repurchase [Line Items] |  |  |  |  |
Repurchase agreement percentage at risk | 7.18% |  | 7.18% |  |
Bank of America |  |  |  |  |
Assets Sold under Agreements to Repurchase [Line Items] |  |  |  |  |
Repurchase agreement percentage at risk | 6.06% |  | 6.06% |  |

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- Definition Amount of currency on hand as well as demand deposits with banks or financial institutions. Includes other kinds of accounts that have the general characteristics of demand deposits. Also includes short-term, highly liquid investments that are both readily convertible to known amounts of cash and so near their maturity that they present insignificant risk of changes in value because of changes in interest rates. Excludes cash and cash equivalents within disposal group and discontinued operation. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 210 -SubTopic 10 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.5-02(1)) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480566/210-10-S99-1 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 210 -SubTopic 10 -Name Accounting Standards Codification -Section 45 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147483467/210-10-45-1 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 230 -SubTopic 10 -Section 45 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482740/230-10-45-4 + Details
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