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Repurchase Agreements (Tables) | 6 Months Ended
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Jun. 30, 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 June 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
Repurchase Agreements Secured By: |  | June 30, 2024 |  | December 31, 2023
Investment securities |  | $ | 2,447,851 |  |  | $ | 1,862,063 |
Residential loans and real estate owned |  | 431,227 |  |  | 534,754 |
Single-family rental properties |  | 73,211 |  |  | 74,296 |
Total carrying value |  | $ | 2,952,289 |  |  | $ | 2,471,113 |
Schedule of Unencumbered Securities | The following table presents information about the Company's unencumbered securities at June 30, 2024 (dollar amounts in thousands):
Unencumbered Securities | June 30, 2024 |  |
Agency RMBS | $ | 121,447 |  |  |
Non-Agency RMBS (1) (2) | 44,629 |  |  |
Total | $ | 166,076 |  |  |
(1)Includes IOs in Consolidated SLST with a fair value of $15.5 million as of June 30, 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 $5.5 million as of June 30, 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 June 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
Initial Margin Collateral |  | Consolidated Balance Sheet Location |  | June 30, 2024 |  | December 31, 2023
Agency RMBS |  | Investment securities available for sale, at fair value |  | $ | 34,149 |  |  | $ | — |
Restricted cash |  | Other assets |  | 23,012 |  |  | 53,458 |
Total initial margin collateral |  |  |  | $ | 57,161 |  |  | $ | 53,458 |
The following table presents detailed information about the Company’s financings under these repurchase agreements and associated assets pledged as collateral at June 30, 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)
June 30, 2024 | $ | 2,775,000 |  |  | $ | 505,542 |  |  | $ | (1,104) |  |  | $ | 504,438 |  |  | $ | 678,137 |  |  | 7.89 | % |  | 9.13
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 $87.5 million, a weighted average rate of 8.06%, and weighted average months to maturity of 9 months as of June 30, 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 carrying value of $538.3 million and single-family rental properties with a net carrying value of $139.9 million as of June 30, 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 June 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
| June 30, 2024 |  |  |  | December 31, 2023
| 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 | $ | 2,346,695 |  |  | $ | 2,458,247 |  |  | $ | 2,473,618 |  |  |  |  | $ | 1,771,436 |  |  | $ | 1,894,052 |  |  | $ | 1,869,415 |  |  |
Non-Agency RMBS (1) (2) | 101,156 |  |  | 175,046 |  |  | 224,318 |  |  |  |  | 90,627 |  |  | 182,383 |  |  | 232,997 |  |  |
Balance at end of the period | $ | 2,447,851 |  |  | $ | 2,633,293 |  |  | $ | 2,697,936 |  |  |  |  | $ | 1,862,063 |  |  | $ | 2,076,435 |  |  | $ | 2,102,412 |  |  |
(1)Includes first loss subordinated securities in Consolidated SLST with a fair value of $140.5 million and $140.3 million as of June 30, 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 $42.1 million as of December 31, 2023. 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 June 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
Contractual Maturity | June 30, 2024 |  | December 31, 2023
Within 30 days | $ | 654,815 |  |  | $ | 505,446 |
Over 30 days to 90 days | 1,715,978 |  |  | 1,263,000 |
Over 90 days | 77,058 |  |  | 93,617 |
Total | $ | 2,447,851 |  |  | $ | 1,862,063 |

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- Definition Tabular disclosure of financial instruments held by the entity for its own account for trading or investment purposes that are carried at fair value and pledged to counterparties as collateral for financing transactions. Description may include equity, fixed income, debt or other securities. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 860 -SubTopic 30 -Name Accounting Standards Codification -Section 45 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org/1943274/2147481444/860-30-45-1 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 860 -SubTopic 30 -Name Accounting Standards Codification -Section 50 -Paragraph 1A -Publisher FASB -URI https://asc.fasb.org/1943274/2147481420/860-30-50-1A + Details
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