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Secured Financing Agreements
 3 Months Ended
Mar. 31, 2024
Disclosure of Repurchase Agreements [Abstract]  
Secured Financing Agreements Secured Financing Agreements
Secured financing agreements include short term repurchase agreements with original maturity dates of less than one-year, long-term financing agreements with original maturity dates of more than one year and loan warehouse credit facilities collateralized by loans acquired by the Company.

At March 31, 2024 and December 31, 2023, the repurchase agreements are collateralized by Agency and Non-Agency mortgage-backed securities with interest rates generally indexed to the Secured Overnight Financing Rate (“SOFR”). The maturity dates on the repurchase agreements are all less than one year and generally are less than 180 days. The collateral pledged as security on the repurchase agreements may include the Company’s investments in bonds issued by consolidated VIEs, which are eliminated in consolidation.

The long-term financing agreements include secured financing arrangements with an original term of one year or greater which is secured by Non-Agency RMBS pledged as collateral. These long-term secured financing agreements have a maturity date of October 2025. The collateral pledged as security on the long-term financing agreements may include the Company’s investments in bonds issued by consolidated VIEs, which are eliminated in consolidation.

The warehouse credit facilities collateralized by loans are repurchase agreements intended to finance loans until they can be sold into a longer-term securitization structure. The maturity dates on the warehouse credit facilities range from three months to one year with interest rates indexed to SOFR.

The secured financing agreements generally require the Company to post collateral at a specific rate in excess of the unpaid principal balance of the agreement. For certain secured financing agreements, this may require the Company to post additional margin if the fair value of the assets were to drop. To mitigate this risk, the Company has negotiated several long-term financing agreements which are not subject to additional margin requirements upon a drop in the fair value of the collateral pledged or until the drop is greater than a threshold. At March 31, 2024 and December 31, 2023, the Company has $902 million and $924 million, respectively, of secured financing agreements which are not subject to additional margin requirements upon a change in the fair value of the collateral pledged. At March 31, 2024 and December 31, 2023, the Company has $537 million and $546 million, respectively, of secured financing agreements which are not subject to additional margin requirements until the drop in the fair value of collateral is greater than a threshold. Repurchase agreements may allow the credit counterparty to avoid the automatic stay provisions of the Bankruptcy Code, in the event of a bankruptcy of the Company, and take possession of, and liquidate, the collateral under such repurchase agreements without delay.

At March 31, 2024 and December 31, 2023, we pledged $15 million and $23 million respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At March 31, 2024, the weighted average haircut on the Company's secured financing agreements collateralized by Agency CMBS was 5.4% and Non-Agency RMBS and Loans held for investment was 26.0%. At December 31, 2023, the weighted average haircut on the Company's secured financing agreements collateralized by Agency CMBS was 5.2% and Non-Agency RMBS and Loans held for investment was 26.1%.

Certain of the long-term financing agreements and warehouse credit facilities are subject to certain covenants. These covenants include that the Company maintain its REIT status as well as maintain a net asset value or GAAP equity greater than a certain level. If the Company fails to comply with these covenants at any time, the financing may become immediately due in full. Additionally, certain financing agreements become immediately due if the total stockholders' equity of the Company drops by 50% from the most recent year end. Currently, the Company is in compliance with all covenants and does not expect to fail to comply with any of these covenants within the next twelve months. The Company has a total of $2.1 billion unused uncommitted warehouse credit facilities as of March 31, 2024.

At March 31, 2024, the Company had amounts at risk with Nomura Securities International, Inc., or Nomura, of 18% of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured
financing agreements with Nomura were 325 days. The amount at risk with Nomura was $474 million. At December 31, 2023, the Company had amounts at risk with Nomura of 17% of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 412 days. The amount at risk with Nomura was $433 million.

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 March 31, 2024 and December 31, 2023 were:

 March 31, 2024December 31, 2023
Secured financing agreements outstanding principal secured by:  
Agency CMBS (in thousands)36,434 68,502 
Non-Agency RMBS and Loans held for investment (in thousands)2,367,244 2,375,589 
Total:$2,403,678 $2,444,091 
MBS pledged as collateral at fair value on Secured financing agreements:  
Agency CMBS (in thousands)38,644 74,345 
Non-Agency RMBS and Loans held for investment (in thousands)3,514,938 3,465,071 
Total:$3,553,582 $3,539,416 
Average balance of Secured financing agreements secured by:  
Agency RMBS (in thousands)$— $1,551 
Agency CMBS (in thousands)44,632 139,746 
Non-Agency RMBS and Loans held for investment (in thousands)2,377,321 2,695,017 
Total:$2,421,953 $2,836,314 
Average borrowing rate of Secured financing agreements secured by:  
Agency CMBS5.47 %5.60 %
Non-Agency RMBS and Loans held for investment7.51 %7.56 %
Average remaining maturity of Secured financing agreements secured by:  
Agency CMBS 34 Days 32 Days
Non-Agency RMBS and Loans held for investment 378 Days 418 Days
Average original maturity of Secured financing agreements secured by:
Agency CMBS 45 Days 86 Days
Non-Agency RMBS and Loans held for investment 401 Days 445 Days

At March 31, 2024 and December 31, 2023, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.
 March 31, 2024December 31, 2023
 (dollars in thousands)
PrincipalWeighted Average Borrowing RatesRange of Borrowing RatesPrincipal Weighted Average Borrowing RatesRange of Borrowing Rates
Overnight—  N/A  N/A — N/ANA
1 to 29 days$259,229 7.56%
6.20% - 8.18%
$272,490 7.35%
6.30% - 8.22%
30 to 59 days473,497 6.71%
5.44% - 7.82%
495,636 6.68%
5.58% - 7.87%
60 to 89 days194,024 7.21%
5.84% - 7.58%
305,426 7.17%
 5.93% - 7.85%
90 to 119 days69,793 6.29%
6.29% - 6.29%
54,376 7.46%
6.59% - 7.80%
120 to 180 days187,582 6.89%
 6.35% - 7.65%
105,727 7.09%
6.72% - 7.80%
180 days to 1 year616,005 9.50%
 6.63% - 12.50%
39,620 7.06%
6.66% - 7.39%
1 to 2 years244,967 8.33%
8.33% - 8.33%
808,601 9.36%
8.36% - 12.50%
2 to 3 years— N/A N/A — N/AN/A
Greater than 3 years358,581 5.08%
5.08% - 5.08%
362,215 5.11%
5.10% - 7.15%
Total$2,403,678 7.48%$2,444,091 7.51%


Secured Financing Agreements at fair value

The Company has a secured financing agreement for which the Company has elected fair value option. The Company believes electing fair value for this financial instrument better reflects the transactional economics. The total principal balance outstanding on this secured financing at March 31, 2024 and December 31, 2023 was $359 million and $362 million, respectively. The fair value of collateral pledged was $399 million and $401 million as of March 31, 2024 and December 31, 2023, respectively. The Company carries this secured financing instrument at fair value of $340 million and $350 million as of March 31, 2024 and December 31, 2023, respectively. At March 31, 2024 and December 31, 2023, the weighted average borrowing rate on secured financing agreements at fair value was 5.1%. At March 31, 2024 and December 31, 2023, the haircut for the secured financing agreements at fair value was 7.5%. At March 31, 2024, the maturity on the secured financing agreements at fair value was four years.

The Company recognized losses on extinguishment of debt of $2 million for the year ended December 31, 2023, related to early termination of certain of its secured financing agreements. There were no such losses on extinguishment of debt during the quarter ended March 31, 2024.