Borrowings

3 Months Ended

Mar. 31, 2020

Secured Borrowings

The Company's secured borrowings consist of repurchase agreements, Other secured borrowings, and Other secured borrowings, at fair value. As of March 31, 2020 and December 31, 2019, the Company's total secured borrowings were $2.8 billion and $3.2 billion, respectively.

Repurchase Agreements

The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 180 days, although the Company also has repurchase agreements that provide for longer or shorter terms. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and for most repurchase agreements, interest is generally paid at the termination of the repurchase agreement, at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. Some repurchase agreements provide for periodic payments of interest, such as monthly payments. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or

other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted.

At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under repurchase agreements with 28 counterparties as of both March 31, 2020 and December 31, 2019.

As of March 31, 2020, remaining days to maturity on the Company's open repurchase agreements ranged from 1 day to 791 days. Interest rates on the Company's open repurchase agreements ranged from (0.15)% to 6.99% as of March 31, 2020. As of December 31, 2019, remaining days to maturity on the Company's open repurchase agreements ranged from 2 days to 882 days. Interest rates on the Company's open repurchase agreements ranged from 0.15% to 5.20% as of December 31, 2019.

The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS and credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), by remaining maturity as of March 31, 2020 and December 31, 2019:



	March 31, 2020					December 31, 2019
			Weighted Average					Weighted Average
Remaining Maturity	Outstanding Borrowings		Interest Rate		Remaining Days to Maturity	Outstanding Borrowings		Interest Rate		Remaining Days to Maturity
Agency RMBS:	(In thousands)					(In thousands)
30 Days or Less	$	353,826	1.65	%	16	$	511,996	2.08	%	17
31-60 Days	750,285		1.79	%	46	744,387		1.93	%	47
61-90 Days	182,557		1.01	%	75	594,738		1.96	%	76
91-120 Days	362		2.49	%	113	10,270		2.24	%	93
151-180 Days	—		—	%	—	3,082		2.67	%	171
Total Agency RMBS	1,287,030		1.64	%	42	1,864,473		1.98	%	48
Credit:
30 Days or Less	37,567		3.04	%	20	16,549		3.38	%	25
31-60 Days	160,313		2.81	%	44	104,491		3.14	%	48
61-90 Days	161,312		2.61	%	74	138,837		3.03	%	73
91-120 Days	104,950		3.46	%	92	—		—	%	—
121-150 Days	—		—	%	—	7,460		3.89	%	123
151-180 Days	211,624		2.70	%	171	31,498		3.87	%	173
181-360 Days	22,725		3.39	%	284	186,661		3.80	%	250
> 360 Days	47,050		3.95	%	791	95,331		4.52	%	678
Total Credit Assets	745,541		2.93	%	147	580,827		3.61	%	229
U.S. Treasury Securities:
30 Days or Less	1,654		(0.15	)%	1	—		—	%	—
Total U.S. Treasury Securities	1,654		(0.15	)%	1	—		—	%	—
Total	$	2,034,225	2.11	%	80	$	2,445,300	2.37	%	91

Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their original maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment.

As of March 31, 2020 and December 31, 2019, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $2.283 billion and $2.763 billion, respectively. Collateral transferred under outstanding borrowings under repurchase agreements as of March 31, 2020 and December 31, 2019 include investments in the amount of $360.5 million and $64.7 million, respectively, that were sold prior to period end but for which such sale had not yet settled. In addition, the Company posted net cash collateral of $98.7 million and additional securities with a fair value of $33 thousand as of March 31, 2020 to its counterparties. In addition, the Company posted net cash collateral of $31.0 million and additional securities with a fair value of $0.2 million as of December 31, 2019 to its counterparties.

Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. As of both March 31, 2020 and December 31, 2019, there was no single counterparty for which the amount at risk relating to our repurchase agreements was greater than 10% of total equity.

Other Secured Borrowings

In February 2018, the Company entered into agreements to finance a portfolio of unsecured loans through a recourse secured borrowing facility. The facility has a term ending in February 2021. The facility accrues interest on a floating-rate basis. As of March 31, 2020 and December 31, 2019, the Company had outstanding borrowings under this facility in the amount of $15.0 million and $16.0 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet. The effective interest rate, inclusive of related deferred financing costs, was 3.08% and 3.85% as of March 31, 2020 and December 31, 2019. As of March 31, 2020 and December 31, 2019, the fair value of unsecured loans collateralizing this borrowing was $19.8 million and $22.3 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of March 31, 2020, the Company was in compliance with all of its covenants.

In November 2019, the Company amended its non-recourse secured borrowing facility that is used to finance a portfolio of unsecured loans. The facility includes a reinvestment period ending in December 2020 (or earlier following an early amortization event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the reinvestment period, the facility will begin to amortize based on the collections from the underlying loans. The facility accrues interest on a floating rate basis. As of March 31, 2020 and December 2019, the Company had outstanding borrowings under this facility in the amount of $116.5 million and $102.5 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet. The effective interest rate on this facility, inclusive of related deferred financing costs, was 3.23% and 4.01%, as of March 31, 2020 and December 31, 2019, respectively. As of March 31, 2020 and December 31, 2019, the fair value of unsecured loans collateralizing this borrowing was $157.4 million and $144.1 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of March 31, 2020, the Company was in compliance with all of its covenants.

In December 2019, the Company entered into an agreement to finance a portfolio of ABS backed by consumer loans through a recourse secured borrowing facility. The facility includes a revolving borrowing period ending in June 2021 (or earlier following a trigger event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the revolving borrowing period, the facility amortizes, with a final termination date in June 2023. The facility accrues interest on a floating rate basis. As of March 31, 2020 and December 31, 2019, the Company had outstanding borrowings under this facility in the amount of $40.0 million and $31.8 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet.The effective interest rate on this facility, inclusive of related deferred financing costs, was 4.37% and 5.23% as of March 31, 2020 and December 31, 2019, respectively. As of March 31, 2020 and December 31, 2019, the fair value of ABS backed by consumer loans collateralizing this borrowing was $54.0 million and $47.9 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of March 31, 2020, the Company was in compliance with all of its covenants.

The Company has completed securitization transactions, as discussed in Note 10, whereby it financed portfolios of non-QM loans. As of March 31, 2020 and December 31, 2019, the fair value of the Company's outstanding liabilities associated with these securitization transactions was $549.7 million and $594.4 million, respectively, representing the fair value of the securitization trust certificates held by third parties as of such date, and is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the Certificates held by third parties was 3.19% as of both March 31, 2020 and December 31, 2019, respectively. As of March 31, 2020 and December 31, 2019, the fair value of non-QM loans and the carrying value of REO held in the consolidated securitization trusts was $581.8 million and $629.1 million, respectively.

In March 2020, the Company entered into a participation agreement with an unrelated third-party, the "Junior Participant," whereby the Company transferred to the Junior Participant an interest in a small balance commercial mortgage loan, the "Partial Loan," (together with the Company's interest, the "Whole Commercial Loan"). The Partial Loan is subordinate to the interest in the loan held by the Company. In accordance with ASC 860-10, the Partial Loan transferred to the Junior Participant does not meet the definition of a participating interest and, as a result, the Company does not recognize the transfer of the Partial Loan to the Junior Participant as a sale. The Company has recorded the Whole Commercial Loan in Loans, at fair value, on the Condensed Consolidated Balance Sheet. As March 31, 2020, the fair value of the Whole Commercial Loan was $16.8 million. The Company's liability to the Junior Participant as of March 31, 2020 was $6.3 million and is included in Other secured borrowings on the Company's Condensed Consolidated Balance Sheet. Under the terms of the

participation agreement, the Junior Participant is entitled to a portion of the cashflows of the underlying commercial mortgage loan.

Unsecured Borrowings

Senior Notes

On August 18, 2017, the Company issued $86.0 million in aggregate principal amount of unsecured senior notes (the "Old Senior Notes"). The total net proceeds to the Company from the issuance of the Old Senior Notes was approximately $84.7 million, after deducting debt issuance costs. The Old Senior Notes had an interest rate of 5.25%, subject to adjustment based on changes in the ratings, if any, of the Old Senior Notes. On February 13, 2019, in connection with the REIT Election, the Company exchanged all $86.0 million in principal amount of the Old Senior Notes for new unsecured long-term debt jointly and severally co-issued by certain of its consolidated subsidiaries and fully guaranteed by the Company (the "Senior Notes"). At any time, the Company is permitted to add others of its consolidated subsidiaries as co-issuers of the Senior Notes. The Senior Notes bear interest at a rate of 5.50%, subject to adjustment based on changes, if any, in the ratings of the Senior Notes. Interest on the Senior Notes is payable semi-annually in arrears on March 1 and September 1 of each year. The Senior Notes mature on September 1, 2022. The Company may redeem the Senior Notes, at its option, in whole or in part, prior to March 1, 2022 at a price equal to 100% of the principal amount thereof, plus the applicable "make-whole" premium as of the applicable date of redemption. At any time on or after March 1, 2022, the Company may redeem the Senior Notes, in whole or in part, at a redemption price equal to 100% of the aggregate principal amount of the Senior Notes to be redeemed, plus accrued and unpaid interest. The Senior Notes are carried at amortized cost. There are a number of covenants, including several financial covenants, associated with the Senior Notes. As of March 31, 2020 and December 31, 2019, the Company was in compliance with all of its covenants.

The Company amortizes debt issuance costs over the life of the associated debt; the amortized portion of debt issuance costs is included in Interest expense on the Condensed Consolidated Statement of Operations. The Senior Notes have an effective interest rate of 5.80%, inclusive of debt issuance costs.

The Senior Notes are unsecured and are effectively subordinated to secured indebtedness of the Company, to the extent of the value of the collateral securing such indebtedness.

Schedule of Principal Repayments

The following table details the Company's principal repayment schedule, over the next 5 years, for outstanding borrowings as of March 31, 2020:



Year	Repurchase Agreements⁽¹⁾		Other Secured Borrowings⁽²⁾		Senior Notes⁽¹⁾		Total
(In thousands)
Next Twelve Months	$	1,987,174	$	175,036	$	—	$	2,162,210
Year 2	—		159,148		—		159,148
Year 3	47,051		95,917		86,000		228,968
Year 4	—		74,180		—		74,180
Year 5	—		57,319		—		57,319
Total	$	2,034,225	$	561,600	$	86,000	$	2,681,825


(1)	Reflects the Company's contractual principal repayment dates.

(2)

Includes $383.7 million of expected principal repayments related to the Company's consolidated residential mortgage loan securitizations, which are projected based upon the underlying assets' scheduled repayments and may be prior to the stated contractual maturities.