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Repurchase Agreements | 9 Months Ended
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Sep. 30, 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 September 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
Repurchase Agreements Secured By: |  | September 30, 2023 |  | December 31, 2022
Investment securities |  | $ | 1,490,996 |  |  | $ | 50,077 |
Residential loans |  | 427,342 |  |  | 686,946 |
Single-family rental properties |  | 76,390 |  |  | — |
Total carrying value |  | $ | 1,994,728 |  |  | $ | 737,023 |
As of September 30, 2023, the Company had repurchase agreement exposure where the amount at risk was in excess of 5% of the Company's stockholders’ equity with Atlas SP and Bank of America at 7.91% and 5.68%, respectively. 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 the repurchase agreement falls below specified levels and repurchase may be accelerated upon an event of default under the repurchase agreements. As of September 30, 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 September 30, 2023, the Company had $221.2 million included in cash and cash equivalents and $172.8 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 September 30, 2023 (dollar amounts in thousands):
Unencumbered Securities | September 30, 2023 |  |
Agency RMBS | $ | 47,610 |  |  |
Non-Agency RMBS (1) (2) | 119,503 |  |  |
CMBS | 5,648 |  |  |
Total | $ | 172,761 |  |  |
(1)Includes IOs in Consolidated SLST with a fair value of $17.8 million as of September 30, 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 $40.2 million as of September 30, 2023. Repurchased CDOs are eliminated in consolidation in accordance with GAAP. The Company also had unencumbered residential loans with a fair value of $201.2 million at September 30, 2023. Residential Loans and Single-family Rental Properties The Company has repurchase agreements with five financial institutions to fund the purchase of residential loans and single-family rental properties. The following table presents detailed information about the Company’s financings under these repurchase agreements and associated assets pledged as collateral at September 30, 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 |  | Carrying Value of Assets Pledged (3) |  | Weighted Average Rate |  | Weighted Average Months to Maturity (4)
September 30, 2023 | $ | 2,175,000 |  |  | $ | 505,477 |  |  | $ | (1,745) |  |  | $ | 503,732 |  |  | $ | 683,204 |  |  | 7.81 | % |  | 8.21
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 $169.7 million, a weighted average rate of 8.09%, and weighted average months to maturity of 17.27 months as of September 30, 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)Includes residential loans with an aggregate fair value of $535.8 million and single-family rental properties with a net carrying value of $147.4 million as of September 30, 2023. Includes residential loans with an aggregate fair value of $867.0 million as of December 31, 2022. (4)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 with an aggregate outstanding balance of $335.7 million as of September 30, 2023 are subject to margin calls to the extent the market value of the collateral falls below specified levels and repurchase may be accelerated upon an event of default under the repurchase agreements. The Company’s accrued interest payable on outstanding repurchase agreements secured by residential loans and single-family rental properties at September 30, 2023 and December 31, 2022 amounted to $2.8 million and $3.6 million, respectively, and is included in other liabilities on the Company’s condensed consolidated balance sheets. 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 fixed rate (see Note 10). As of September 30, 2023, the Company's repurchase agreements contain various covenants, including among other things, the maintenance of certain amounts of liquidity and total stockholders' equity as defined in the respective agreements. The Company is in compliance with such covenants as of September 30, 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 September 30, 2023 and December 31, 2022, the Company had amounts outstanding under repurchase agreements with six counterparties and one counterparty, respectively. 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 September 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
| September 30, 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 | $ | 1,406,824 |  |  | $ | 1,487,394 |  |  | $ | 1,525,702 |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |
Non-Agency RMBS (1) (2) | 84,172 |  |  | 184,868 |  |  | 245,503 |  |  |  |  | 50,077 |  |  | 170,551 |  |  | 210,733 |  |  |
Balance at end of the period | $ | 1,490,996 |  |  | $ | 1,672,262 |  |  | $ | 1,771,205 |  |  |  |  | $ | 50,077 |  |  | $ | 170,551 |  |  | $ | 210,733 |  |  |
(1)Includes first loss subordinated securities in Consolidated SLST with a fair value of $136.7 million as of September 30, 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 $48.2 million as of September 30, 2023. Amounts included in amortized cost of collateral pledged for repurchased securities represent the current par value of the securities. Repurchased CDOs are eliminated in consolidation in accordance with GAAP. As of September 30, 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 92.9% and 30.0%, respectively, that implies an average "haircut" of 7.1% and 70.0%, respectively. As of September 30, 2023, the weighted average "haircut" related to our repurchase agreement financing for our Agency RMBS and non-Agency RMBS was approximately 4.8% and 46.9%, respectively. As of September 30, 2023 and December 31, 2022, the average days to maturity for repurchase agreements secured by investment securities were 52 days and 9 days, respectively, and the weighted average interest rates were 5.61% and 5.28%, respectively. The Company’s accrued interest payable on outstanding repurchase agreements secured by investment securities at September 30, 2023 and December 31, 2022 amounted to $9.2 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 September 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
Contractual Maturity | September 30, 2023 |  | December 31, 2022
Within 30 days | $ | 229,384 |  |  | $ | 50,077 |
Over 30 day to 90 days | 1,261,612 |  |  | — |
Over 90 days | — |  |  | — |
Total | $ | 1,490,996 |  |  | $ | 50,077 |

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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 -Topic 860 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//860/tableOfContent + Details
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