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Financing Agreements (Tables)

6 Months Ended

Jun. 30, 2023

Disclosure of Repurchase Agreements [Abstract]

The following tables present the components of, and certain information with respect to, the Company’s Financing agreements at June 30, 2023 and December 31, 2022:


	June 30, 2023
(In Thousands)	Collateral	Unpaid Principal Balance		Fair Value / Carrying Value (1)		Weighted Average Cost of Funding (2)		Weighted Average Term to Maturity (Months)
Agreements with mark-to-market collateral provisions	Residential Whole Loans and REO	$	1,939,310	$	1,938,380	7.17	%	9.1
Agreements with mark-to-market collateral provisions	Securities	464,064		464,064		5.67	%	0.5
Total Agreements with mark-to-market collateral provisions		2,403,374		2,402,444		6.87	%
Agreements with non-mark-to-market collateral provisions	Residential Whole Loans and REO	968,546		967,884		7.61	%	13.3
Securitized debt	Residential Whole Loans	4,187,578		3,969,274		3.88	%	See Note 14
Convertible senior notes	Unsecured	229,989		228,575		6.94	%	11.5
Impact of net Swap carry						(1.38)	%
Total Financing agreements (2)		$	7,789,487	$	7,568,177	3.96	%


	December 31, 2022
(In Thousands)	Collateral	Unpaid Principal Balance		Fair Value / Carrying Value (1)		Weighted Average Cost of Funding (2)		Weighted Average Term to Maturity (Months)
Agreements with mark-to-market collateral provisions	Residential Whole Loans and REO	$	2,111,647	$	2,111,396	5.74	%	6.9
Agreements with mark-to-market collateral provisions	Securities	111,651		111,651		5.47	%	1.5
Total Agreements with mark-to-market collateral provisions		2,223,298		2,223,047		5.73	%
Agreements with non-mark-to-market collateral provisions	Residential Whole Loans and REO	1,004,260		1,003,604		6.53	%	16.8
Securitized debt	Residential Whole Loans	3,586,397		3,357,590		3.33	%	See Note 14
Convertible senior notes	Unsecured	229,989		227,845		6.94	%	17.5
Impact of net Swap carry						(0.84)	%
Total Financing agreements (2)		$	7,043,944	$	6,812,086	3.70	%

(1)The Company has both financing agreements held at fair value and financings agreements held at their carrying value (amortized cost basis). Financing agreements held at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. The fair value option was not elected for financing agreements held at carrying value. Consequently, Total financing agreements as presented reflects a summation of balances reported at fair and carrying value. At June 30, 2023, the Company had $553.2 million of agreements with mark-to-market collateral provisions held at fair value, $440.1 million of agreements with non-mark-to-market collateral provisions held at fair value, and $3.1 billion of securitized debt held at fair value, with amortized cost bases of $553.2 million, $440.1 million, and $3.3 billion, respectively. At December 31, 2022, the Company had $884.5 million of agreements with mark-to-market collateral provisions held at fair value, $578.9 million of agreements with non-mark-to-market collateral provisions held at fair value, and $2.4 billion of securitized debt held at fair value, with amortized cost bases of $884.5 million, $578.9 million, and $2.6 billion, respectively.

(2)Weighted average cost of funding reflects annualized quarter-to-date interest expense divided by average balance for the financing agreements. The cost of funding for the total financing agreements includes the impact of the net carry (the difference between swap interest income received and swap interest expense paid) on the Company’s Swaps. For the quarter ended June 30, 2023, this decreased the overall funding cost by 138 basis points, and for the quarter ended December 31, 2022, this decreased the overall funding cost by 84 basis points. The Company does not allocate the impact of the net carry by type of financing agreement.

The following table presents maturities with respect to the Company’s financing agreements with mark-to-market and non-mark-to-market collateral provisions:


	As of June 30, 2023
	Unpaid Principal Balance, Maturing In
(In Thousands)	Collateral	0-3 Months (1)		3-6 Months		6-12 Months		Greater than 12 Months (2)		Total
Agreements with mark-to-market collateral provisions	Residential Whole Loans	$	401,591	$	88,389	$	480,381	$	968,949	$	1,939,310
Agreements with mark-to-market collateral provisions	Securities	464,064		—		—		—		464,064
Total Agreements with mark-to-market collateral provisions		865,655		88,389		480,381		968,949		2,403,374
Agreements with non-mark-to-market collateral provisions	Residential Whole Loans	491,160		13,033		—		464,353		968,546

(1)$681.1 million of the mark-to-market agreements (included in the 0-3 months category) can be terminated by either party.

(2)Amounts presented are based on the assumed exercise of the Company’s unilateral option to extend by one year the maturity of an Agreement with mark-market collateral provisions with $311.2 million outstanding.

Schedule of Financing Agreements with Non-Mark-to-Market Collateral Provisions and Associated Assets Pledged as Collateral

The following table presents information with respect to the Company’s financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at June 30, 2023 and December 31, 2022:


(Dollars in Thousands)	June 30, 2023			December 31, 2022
Mark-to-market financing agreements secured by residential whole loans	$	1,909,699		$	2,095,002
Fair value of residential whole loans pledged as collateral under financing agreements	$	2,441,356		$	2,632,489
Weighted average haircut on residential whole loans (1)	20.11		%	18.33		%
Mark-to-market financing agreements secured by securities at fair value	$	464,064		$	111,651
Securities at fair value pledged as collateral under financing agreements	$	543,400		$	177,111
Weighted average haircut on securities at fair value (1)	12.23		%	37.43		%
Mark-to-market financing agreements secured by real estate owned	$	28,681		$	16,394
Fair value of real estate owned pledged as collateral under financing agreements	$	59,919		$	33,367
Weighted average haircut on real estate owned (1)	50.39		%	48.07		%

(1)Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.

Schedule of Financing Agreements with Mark-to-Market Collateral Provisions and Associated Assets Pledged as Collateral

The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at June 30, 2023 and December 31, 2022:


(Dollars in Thousands)	June 30, 2023			December 31, 2022
Non-mark-to-market financing secured by residential whole loans	$	967,884		$	994,494
Fair value of residential whole loans pledged as collateral under financing agreements	$	1,184,587		$	1,301,685
Weighted average haircut on residential whole loans	17.35		%	21.43		%
Non-mark-to-market financing secured by real estate owned	$	—		$	9,109
Fair value of real estate owned pledged as collateral under financing agreements	$	—		$	22,902
Weighted average haircut on real estate owned	—		%	60.23		%

Schedule of Repricing Information About Borrowings Under Financing Agreements

The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at June 30, 2023 and December 31, 2022:


	June 30, 2023				December 31, 2022
	Amortized Cost Basis		Weighted Average Interest Rate		Amortized Cost Basis		Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
Within 30 days	$	3,135,319	7.20	%	$	3,060,111	6.60	%
Over 30 days to 3 months	236,602		6.51		167,447		6.19
Over 3 months to 12 months	—		—		—		—
Over 12 months	—		—		—		—
Total financing agreements	$	3,371,921	7.15	%	$	3,227,558	6.58	%

Schedule of Information About Counterparty for Financing Agreements for which entity had Greater than 5% of Stockholders' Equity at Risk

The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at June 30, 2023:


	June 30, 2023
	Amount at Risk (1)		Weighted Average Months to Repricing for Repurchase Agreements	Percent of Stockholders’ Equity
Counterparty
(Dollars in Thousands)
Wells Fargo	$	267,784	1	13.8	%
Barclays Bank	192,258		1	9.9
Atlas Securitized Products, L.P.	107,587		1	5.5
Goldman Sachs Bank	100,225		1	5.2
Churchill Finance LLC	98,574		1	5.1

(1)The amount at risk reflects the difference between (a) the amount loaned to the Company through financing agreements, including interest payable, and (b) the cash and the fair value of the assets pledged by the Company as collateral, including accrued interest receivable on such assets.

Schedule of Company's Assets (Based on Carrying Value) Pledged as Collateral For Various Financing Arrangements

The following tables present the Company’s assets (based on carrying value) pledged as collateral for its various financing arrangements as of June 30, 2023 and December 31, 2022:


	June 30, 2023
	Financing Agreements
(In Thousands)	Non-Mark-to-Market (1)		Mark-to-Market (1)		Securitized		Total
Assets:
Residential whole loans, at carrying value	$	65,527	$	364,419	$	1,233,089	$	1,663,035
Residential whole loans, at fair value	1,121,567		1,781,344		3,555,923		6,458,834
Securities, at fair value	—		543,400		—		543,400
Other assets: REO	—		52,376		30,374		82,750
Total	$	1,187,094	$	2,741,539	$	4,819,386	$	8,748,019


	December 31, 2022
	Financing Agreements
(In Thousands)	Non-Mark-to-Market (1)		Mark-to-Market (1)		Securitized		Total
Assets:
Residential whole loans, at carrying value	$	215,993	$	284,683	$	1,314,104	$	1,814,780
Residential whole loans, at fair value	1,095,556		2,164,158		2,720,757		5,980,471
Securities, at fair value	—		177,111		—		177,111
Other assets: REO	19,837		28,490		36,486		84,813
Total	$	1,331,386	$	2,654,442	$	4,071,347	$	8,057,175

(1)An aggregate of $31.7 million and $30.9 million of accrued interest on those assets pledged against non-mark-to-market and mark-to-market financings agreements had also been pledged as of June 30, 2023 and December 31, 2022, respectively.