Secured Financing Agreements (Tables)

9 Months Ended

Sep. 30, 2023

Disclosure of Repurchase Agreements [Abstract]

Schedule of Secured Financing Agreements and Maturities

The secured financing agreements principal outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of September 30, 2023 and December 31, 2022 were:

	September 30, 2023			December 31, 2022
Secured financing agreements outstanding principal secured by:
Agency RMBS (in thousands)	$	—		$	3,946
Agency CMBS (in thousands)	79,751			355,934
Non-Agency RMBS and Loans held for investment (in thousands) (1)	2,551,941			3,083,551
Total:	$	2,631,692		$	3,443,431
MBS pledged as collateral at fair value on Secured financing agreements:
Agency RMBS (in thousands)	$	—		$	6,662
Agency CMBS (in thousands)	80,110			382,547
Non-Agency RMBS and Loans held for investment (in thousands)	3,590,575			4,310,513
Total:	$	3,670,685		$	4,699,722
Average balance of Secured financing agreements secured by:
Agency RMBS (in thousands)	$	2,017		$	11,714
Agency CMBS (in thousands)	159,306			376,551
Non-Agency RMBS and Loans held for investment (in thousands)	2,770,022			2,819,871
Total:	$	2,931,345		$	3,208,136
Average borrowing rate of Secured financing agreements secured by:
Agency RMBS	N/A			4.70		%
Agency CMBS	5.48		%	4.49		%
Non-Agency RMBS and Loans held for investment	8.07		%	6.86		%
Average remaining maturity of Secured financing agreements secured by:
Agency RMBS	N/A			17 Days
Agency CMBS	33 Days			25 Days
Non-Agency RMBS and Loans held for investment	436 Days			474 Days
Average original maturity of Secured financing agreements secured by:
Agency RMBS	N/A			60 Days
Agency CMBS	43 Days			42 Days
Non-Agency RMBS and Loans held for investment	462 Days			499 Days

(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively.

At September 30, 2023 and December 31, 2022, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

	September 30, 2023				December 31, 2022
	(dollars in thousands)
	Principal (1)		Weighted Average Borrowing Rates	Range of Borrowing Rates	Principal (1)		Weighted Average Borrowing Rates	Range of Borrowing Rates
Overnight	—		N/A	N/A	—		N/A	NA
1 to 29 days	$	200,131	7.62%	6.23% - 8.17%	$	493,918	4.66%	3.63% - 6.16%
30 to 59 days	490,698		6.57%	5.47% - 7.87%	762,768		6.14%	4.60% - 7.34%
60 to 89 days	93,144		6.46%	6.31% - 7.16%	225,497		6.04%	4.70% - 7.12%
90 to 119 days	84,854		6.54%	6.48% - 7.24%	43,180		6.54%	5.50% - 6.70%
120 to 180 days	364,014		7.27%	6.42% - 7.85%	401,638		5.88%	5.57% - 6.92%
180 days to 1 year	192,722		6.67%	6.64% - 6.67%	402,283		6.06%	5.63% - 6.64%
1 to 2 years	838,510		11.10%	9.07% - 13.98%	251,286		13.98%	13.98% - 13.98%
2 to 3 years	—		—%	0.00% - 0.00%	480,022		8.07%	8.07% - 8.07%
Greater than 3 years	367,619		5.11%	5.10% - 7.06%	382,839		5.14%	5.10% - 6.07%
Total	$	2,631,692	7.99%		$	3,443,431	6.61%

(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively.