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Borrowings
 12 Months Ended
Dec. 31, 2022
Debt Disclosure [Abstract]  
Borrowings Borrowings
Secured Borrowings
The Company's secured borrowings consist of repurchase agreements, Other secured borrowings, Other secured borrowings, at fair value, and HMBS-related obligations, at fair value. As of December 31, 2022 and 2021, the Company's total secured borrowings were $12.2 billion and $3.6 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 364 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 26 and 23 counterparties as of December 31, 2022 and 2021, respectively.
As of December 31, 2022, remaining days to maturity on the Company's open repurchase agreements ranged from 3 days to 263 days. Interest rates on the Company's open repurchase agreements ranged from 0.63% to 7.97% as of December 31, 2022. As of December 31, 2021, remaining days to maturity on the Company's open repurchase agreements ranged from 3 days to 638 days. Interest rates on the Company's open repurchase agreements ranged from 0.10% to 3.75% as of December 31, 2021.
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 December 31, 2022 and 2021:
December 31, 2022December 31, 2021
Weighted AverageWeighted Average
Remaining MaturityOutstanding
Borrowings		Interest RateRemaining Days to MaturityOutstanding
Borrowings		Interest RateRemaining Days to Maturity
Agency RMBS:(In thousands)(In thousands)
30 Days or Less$668,924 4.09 %14$180,059 0.17 %9
31-60 Days91,048 2.32 %45254,027 0.23 %44
61-90 Days158,782 3.96 %73154,520 0.20 %70
91-120 Days4,751 5.20 %118129,057 0.16 %105
121-150 Days16,148 4.76 %131275,915 0.17 %136
151-180 Days— — %— 71,824 0.16 %164
181-364 Days— — %— 570,694 0.20 %260
> 364 Days— — %— 3,791 0.13 %366
Total Agency RMBS939,653 3.91 %291,639,887 0.19 %144
Credit:
30 Days or Less462,284 6.40 %7377,440 2.09 %16
31-60 Days119,619 6.00 %48102,567 1.38 %44
61-90 Days119,471 6.13 %7796,823 1.50 %78
91-120 Days358,010 6.30 %11635,346 2.00 %109
121-150 Days142,939 7.12 %1443,353 1.56 %139
151-180 Days6,981 6.72 %15687,863 2.82 %151
181-364 Days391,381 6.74 %240— — %— 
> 364 Days— — %— 126,484 2.58 %462
Total Credit Assets1,600,685 6.48 %110829,876 2.08 %114
U.S. Treasury Securities:
30 Days or Less69,347 4.31 %3— — %— 
Total U.S. Treasury Securities69,347 4.31 %3— — %— 
Total$2,609,685 5.50 %78$2,469,763 0.82 %134
Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their contractual 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 December 31, 2022 and 2021, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $3.2 billion and $2.8 billion, respectively. Collateral transferred under outstanding borrowings under repurchase agreements as of December 31, 2022 and 2021, include investments in the amount of $9.2 million and $4.1 million, respectively, that were sold prior to period end but for which such sale had not yet settled. In addition, as of December 31, 2022 and 2021, the Company posted net cash collateral of $20.3 million and $70.3 million, respectively, 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. The following table provides details by counterparty for such counterparties for which the amounts at risk relating to our repurchase agreements was greater than 10% of total equity as of December 31, 2022. There was no counterparty for which the amount at risk was greater than 10% of total equity as of December 31, 2021.
CounterpartyAmount at RiskWeighted Average Remaining Days to MaturityPercentage
of Equity
(In thousands)
Nomura Holdings Inc.$208,812 1317.1 %
Royal Bank of Canada$135,233 10011.1 %
Other Secured Borrowings
The Company has 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 September 2024 (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 September 2026. The facility accrues interest on a floating rate basis. As of December 31, 2022 and 2021, the Company had outstanding borrowings under this facility in the amount of $37.8 million and $46.9 million, respectively, which is included under the caption Other secured borrowings, on the Company's Consolidated Balance Sheet. The effective interest rate on this facility, was 8.68% and 4.70% as of December 31, 2022 and 2021, respectively. As of December 31, 2022 and 2021, the fair value of ABS backed by consumer loans collateralizing this borrowing was $70.3 million and $67.5 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both December 31, 2022 and 2021, the Company was in compliance with all of its covenants.
The Company has completed securitization transactions, as discussed in Note 12, whereby it financed portfolios of non-QM loans. As of December 31, 2022 and 2021, the fair value of the Company's outstanding liabilities associated with the Company's Consolidated Residential Mortgage Loan Securitizations was $1.540 billion and $984.2 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 Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the Certificates held by third parties was 3.00% and 1.68% as of December 31, 2022 and 2021, respectively. As of December 31, 2022 and 2021, the fair value of non-QM loans held in the consolidated securitization trusts was $1.7 billion and $1.0 billion, respectively.
The Company has various warehouse lines of credit which it uses to finance its portfolio of reverse mortgage loans prior to them being sold or pooled into HMBS. There are a number of covenants, including several financial covenants, associated with these lines of credit; as of December 31, 2022, the Company was in compliance with all of these covenants. As of December 31, 2022, the Company outstanding borrowings under these financing lines was $172.9 million which is included on the Company's Consolidated Balance Sheet in Other secured borrowings. The following table provides details for each of the warehouse lines of credit.
December 31, 2022
MaturityOutstanding BorrowingsFair Value of Underlying CollateralEffective Interest Rate
(In thousands)
Facility AApril 2023$59,640 $65,652 8.43 %
Facility BApril 202364,278 59,933 6.99 %
Facility CJune 202348,954 63,644 6.90 %
$172,872 $189,229 7.46 %
The Company entered into an agreement to finance a portfolio of HECM tail draws prior to being sold or pooled into HMBS. This facility matures in April 2023 and accrues interest on a floating-rate basis. As of December 31, 2022, the Company's outstanding borrowings under this facility was $22.6 million which are included on the Company's Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 8.00% as of December 31, 2022. As of December 31, 2022, the fair value of HECM tails collateralizing this borrowing was $35.1 million, which are included in Loans, at fair value on the Consolidated Balance Sheet.
The Company entered into a line of credit agreement to finance its portfolio of HMBS-related MSRs. This facility matures in January 2025 and accrues interest on a floating-rate basis. As of December 31, 2022, the Company's outstanding borrowings under this facility were $42.8 million which are included on the Company's Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 9.37% as of December 31, 2022. As of December 31, 2022, the fair value of MSRs collateralizing this borrowing was $95.6 million.
The Company entered into an agreement to finance the repurchase of HECM loans out of HMBS pools when the MCA of a HECM loan has been reached. This facility matures in May 2023 and accrues interest on a floating-rate basis. As of December 31, 2022, the Company did not have any outstanding borrowings under this facility. The effective interest rate was 8.00% as of December 31, 2022.
The Company entered into agreements to finance a portfolio of unsecured loans through a recourse secured borrowing facility. The facility terminated in February 2022. The facility accrued interest on a floating-rate basis. As of December 31, 2021, the Company had outstanding borrowings under this facility in the amount of $2.7 million, which is included under the caption Other secured borrowings, on the Company's Consolidated Balance Sheet. The effective interest rate, inclusive of related deferred financing costs, was 2.10% as of December 31, 2021. As of December 31, 2021, the fair value of unsecured loans collateralizing this borrowing was $4.3 million.
The Company had a non-recourse secured borrowing facility that was used to finance a portfolio of unsecured loans; such facility was terminated in March 2022. The facility accrued interest on a floating rate basis. As of December 31, 2021, the Company had outstanding borrowings under this facility in the amount of $38.5 million, which is included under the caption Other secured borrowings, on the Company's Consolidated Balance Sheet. The effective interest rate on this facility, inclusive of any related deferred financing costs, was 2.25% as of December 31, 2021. As of December 31, 2021, the fair value of unsecured loans collateralizing this borrowing was $57.1 million.
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 was 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 did not meet the definition of a participating interest and, as a result, the Company did not recognize the transfer of the Partial Loan to the Junior Participant as a sale. The Company recorded the Whole Commercial Loan in Loans, at fair value, on the Consolidated Balance Sheet. The Whole Commercial Loan was repaid in February 2022. As of December 31, 2021, the fair value of the Whole Commercial Loan was $18.0 million. The Company's liability to the Junior Participant as of December 31, 2021, was $7.5 million, and is included in Other secured borrowings on the Company's Consolidated Balance Sheet.
The Company and a third-party (the "Participant") have entered into participation agreements whereby in each case the Company sold a participation in a syndicated bank loan (the "Participated Loans"). Simultaneous with the execution of the participation agreement, the Company entered into a forward purchase agreement with the Participant to repurchase the Participated Loan at a predetermined price. As of December 31, 2021, the fair value of the Participated Loans was $1.1 million, and is included in Securities, at fair value on the Company's Consolidated Balance Sheet. The Company's liability to the Participant was $1.0 million, as of December 31, 2021, and is included in Other secured borrowings on the Company's Consolidated Balance Sheet. The effective interest rate on the liability to the Participant was 3.17% as of December 31, 2021.
HMBS-related Obligations
As discussed in Note 12, the Company issues pools of HMBS which are accounted for as secured borrowings. As of December 31, 2022, the Company had HMBS-related obligations, at fair value of $7.8 billion, secured by $7.9 billion of HECM loans, REO, and HMBS-related claims or other receivables. The weighted average interest rate on the Company's HMBS-related obligations was 5.23% as of December 31, 2022.
Unsecured Borrowings
Senior Notes
The Company issued $86.0 million in aggregate principal amount of unsecured long-term debt, which was structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "5.50% Senior Notes"). The 5.50% Senior Notes bore interest at a rate of 5.50%. The 5.50% Senior Notes were repaid at maturity on September 1, 2022. The 5.50% Senior Notes were carried at amortized cost and are included in Senior Notes, net,
on the Consolidated Balance Sheet. The 5.50% Senior Notes had an effective interest rate of approximately 5.80%, inclusive of debt issuance costs.
In addition to the 5.50% Senior Notes, the Company has also issued $210.0 million in aggregate principal amount of unsecured long-term debt, which is structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "5.875% Senior Notes"). The 5.875% Senior Notes bear interest at a rate of 5.875%, subject to adjustment based on changes, if any, in the ratings of the 5.875% Senior Notes. Interest on the 5.875% Senior Notes is payable semi-annually in arrears on April 1 and October 1 of each year. The 5.875% Senior Notes mature on April 1, 2027. Prior to April 1, 2026, the Company may redeem the 5.875% Senior Notes, at its option, in whole or in part, at a premium as detailed in the indenture dated March 31, 2022. On or after April 1, 2026, the Company may redeem all or a part of the 5.875% Senior Notes at a redemption price of 100%, plus accrued and unpaid interest.
The Company has elected the FVO for the 5.875% Senior Notes which are included in Senior Notes, at fair value on the Consolidated Balance Sheet. Change in unrealized gains and losses on the Company's Senior Notes, at fair value are included in Other, net, on the Consolidated Statement of Operations.
There are a number of covenants, including several financial covenants, associated with each of the 5.50% Senior Notes and the 5.875% Senior Notes (collectively, the "Senior Notes"); as of both December 31, 2022 and 2021, the Company was in compliance with all of its covenants for the outstanding Senior Notes. 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 December 31, 2022:
Year
Repurchase Agreements(1)
Other
Secured Borrowings(2)
HMBS-related Obligations(3)
Senior Notes(1)
Total
(In thousands)
Next Twelve Months$2,609,685 $486,088 $1,566,057 $— $4,661,830 
Year 2— 313,129 1,187,826 — 1,500,955 
Year 3— 305,673 822,194 — 1,127,867 
Year 4— 272,371 702,997 — 975,368 
Year 5— 148,555 657,388 210,000 1,015,943 
Total$2,609,685 $1,525,816 $4,936,462 $210,000 $9,281,963 
(1)Reflects the Company's contractual principal repayment dates.
(2)Includes $1.250 billion of expected principal repayments related to the Company's consolidated non-QM securitizations, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities.
(3)Represents expected principal repayments projected based upon the expected repayments of the underlying HECM loans, which may be prior to the stated contractual maturities of the related HMBS.