Secured Financing Agreements (Tables)

6 Months Ended

Jun. 30, 2022

Disclosure of Repurchase Agreements [Abstract]

Schedule of Secured Financing Agreements and Maturities

The secured financing agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of June 30, 2022 and December 31, 2021 were:

	June 30, 2022			December 31, 2021
Secured financing agreements outstanding secured by:
Agency RMBS (in thousands)	$	7,816		$	23,170
Agency CMBS (in thousands)	326,571			589,535
Non-Agency RMBS and Loans held for investment (in thousands) (1)	2,814,445			2,648,908
Total:	$	3,148,832		$	3,261,613
MBS pledged as collateral at fair value on Secured financing agreements:
Agency RMBS (in thousands)	$	8,408		$	28,320
Agency CMBS (in thousands)	356,239			617,457
Non-Agency RMBS and Loans held for investment (in thousands)	3,634,726			3,747,573
Total:	$	3,999,373		$	4,393,350
Average balance of Secured financing agreements secured by:
Agency RMBS (in thousands)	$	17,402		$	47,155
Agency CMBS (in thousands)	393,014			963,894
Non-Agency RMBS and Loans held for investment (in thousands)	2,869,125			2,926,880
Total:	$	3,279,541		$	3,937,929
Average borrowing rate of Secured financing agreements secured by:
Agency RMBS	1.45		%	0.68		%
Agency CMBS	1.38		%	0.21		%
Non-Agency RMBS and Loans held for investment	3.49		%	2.78		%
Average remaining maturity of Secured financing agreements secured by:
Agency RMBS	18 Days			4 Days
Agency CMBS	23 Days			13 Days
Non-Agency RMBS and Loans held for investment	278 Days			257 Days
Average original maturity of Secured financing agreements secured by:
Agency RMBS	91 Days			61 Days
Agency CMBS	55 Days			35 Days
Non-Agency RMBS and Loans held for investment	297 Days			283 Days

(1) The outstanding balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of December 31, 2021.

At June 30, 2022 and December 31, 2021, we pledged $28 million and $19 million, respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At June 30, 2022 and December 31, 2021, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

	June 30, 2022				December 31, 2021
	(dollars in thousands)
	Principal		Weighted Average Borrowing Rates	Range of Borrowing Rates	Principal (1)		Weighted Average Borrowing Rates	Range of Borrowing Rates
1 to 29 days	322,212		1.46%	1.12% - 1.75%	1,018,670		0.73%	0.11% - 1.95%
30 to 59 days	383,451		2.67%	1.18% - 4.40%	379,031		1.66%	1.55% - 1.70%
60 to 89 days	98,567		2.09%	1.73% - 2.44%	342,790		1.86%	0.90% - 2.35%
90 to 119 days	234,331		3.93%	2.42% - 4.65%	67,840		1.66%	1.66% - 1.66%
120 to 180 days	387,481		3.21%	2.45% - 3.60%	157,944		1.38%	0.95% - 1.45%
180 days to 1 year	1,137,376		3.45%	2.76% - 4.60%	895,210		3.70%	1.95% - 4.38%
1 to 2 years	585,414		4.25%	3.39% - 4.38%	143,239		3.05%	3.05% - 3.05%
Greater than 3 years	—		NA	NA	256,889		5.56%	5.56% - 5.56%
Total	$	3,148,832	3.26%		$	3,261,613	2.30%

(1) The principal balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of and December 31, 2021.