XML 55 R42.htm IDEA: XBRL DOCUMENT v3.24.1.u1
Repurchase Agreements (Tables)
 3 Months Ended
Mar. 31, 2024
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, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

Repurchase Agreements Secured By:March 31, 2024December 31, 2023
Investment securities$2,057,361 $1,862,063 
Residential loans and real estate owned
380,641 534,754 
Single-family rental properties74,006 74,296 
Total carrying value$2,512,008 $2,471,113 
Schedule of Unencumbered Securities The following table presents information about the Company's unencumbered securities at March 31, 2024 (dollar amounts in thousands):
Unencumbered SecuritiesMarch 31, 2024
Agency RMBS$85,101 
Non-Agency RMBS (1) (2)
65,972 
Total$151,073 

(1)Includes IOs in Consolidated SLST with a fair value of $16.2 million as of March 31, 2024. 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 $26.0 million as of March 31, 2024. Repurchased CDOs are eliminated in consolidation in accordance with GAAP.
Schedule of Borrowings Under Financing Arrangements and Assets Pledged as Collateral The following table summarizes assets pledged as initial margin as of March 31, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
Initial Margin Collateral
Consolidated Balance Sheet Location
March 31, 2024December 31, 2023
Agency RMBS
Investment securities available for sale, at fair value
$35,020 $— 
Restricted cash
Other assets
31,620 53,458 
Total initial margin collateral
$66,640 $53,458 
The following table presents detailed information about the Company’s financings under these repurchase agreements and associated assets pledged as collateral at March 31, 2024 and December 31, 2023, 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)
March 31, 2024$2,225,000 $456,038 $(1,391)$454,647 $607,904 7.91 %12.82
December 31, 2023$2,225,000 $611,055 $(2,005)$609,050 $805,082 7.87 %13.89
(1)Includes non-mark-to-market repurchase agreements with an aggregate outstanding balance of $103.0 million, a weighted average rate of 8.12%, and weighted average months to maturity of 12 months as of March 31, 2024. Includes non-mark-to-market repurchase agreements with an aggregate outstanding balance of $179.1 million, a weighted average rate of 8.19%, and weighted average months to maturity of 14 months as of December 31, 2023.
(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 and real estate owned with an aggregate fair value of $466.5 million and single-family rental properties with a net carrying value of $141.4 million as of March 31, 2024. Includes residential loans with an aggregate fair value of $658.3 million and single-family rental properties with a net carrying value of $146.7 million as of December 31, 2023.
(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.
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, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

March 31, 2024December 31, 2023
Outstanding Repurchase AgreementsFair Value of Collateral PledgedAmortized Cost of Collateral PledgedOutstanding Repurchase AgreementsFair Value of Collateral PledgedAmortized Cost of Collateral Pledged
Agency RMBS$1,991,485 $2,097,364 $2,098,851 $1,771,436 $1,894,052 $1,869,415 
Non-Agency RMBS (1) (2)
65,876 141,967 191,810 90,627 182,383 232,997 
Balance at end of the period$2,057,361 $2,239,331 $2,290,661 $1,862,063 $2,076,435 $2,102,412 
(1)Includes first loss subordinated securities in Consolidated SLST with a fair value of $135.1 million and $140.3 million as of March 31, 2024 and December 31, 2023, respectively. 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 $6.9 million and $42.1 million as of March 31, 2024 and December 31, 2023, respectively. Amounts included in amortized cost of collateral pledged for repurchased CDOs represent the current par value of the securities. Repurchased CDOs are eliminated in consolidation in accordance with GAAP.
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, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

Contractual MaturityMarch 31, 2024December 31, 2023
Within 30 days$667,429 $505,446 
Over 30 days to 90 days
1,389,932 1,263,000 
Over 90 days— 93,617 
Total$2,057,361 $1,862,063