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Borrowings
 6 Months Ended
Jun. 30, 2023
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 June 30, 2023 and December 31, 2022, the Company's total secured borrowings were $12.3 billion and $12.2 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 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 25 and 26 counterparties as of June 30, 2023 and December 31, 2022, respectively.
As of June 30, 2023, remaining days to maturity on the Company's open repurchase agreements ranged from 3 days to 697 days. Interest rates on the Company's open repurchase agreements ranged from 4.53% to 9.09% as of June 30, 2023. 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.
The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS, credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), and reverse mortgage loans, by remaining maturity as of June 30, 2023 and December 31, 2022:
June 30, 2023December 31, 2022
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$561,294 5.28 %13$668,924 4.09 %14
31-60 Days167,598 5.26 %4791,048 2.32 %45
61-90 Days5,833 5.75 %85158,782 3.96 %73
91-120 Days— — %— 4,751 5.20 %118
121-150 Days60,231 5.26 %13616,148 4.76 %131
151-180 Days2,144 6.09 %160— — %— 
Total Agency RMBS797,100 5.28 %30939,653 3.91 %29
Credit:
30 Days or Less32,734 6.65 %20462,284 6.40 %7
31-60 Days107,607 6.77 %45119,619 6.00 %48
61-90 Days346,370 6.95 %81119,471 6.13 %77
91-120 Days360,357 7.03 %116358,010 6.30 %116
121-150 Days847 6.92 %132142,939 7.12 %144
151-180 Days5,009 6.60 %1606,981 6.72 %156
181-364 Days475,256 7.45 %192391,381 6.74 %240
> 364 Days193,521 8.28 %531— — %— 
Total Credit Assets1,521,701 7.27 %1781,600,685 6.48 %110
Reverse Mortgage Loans:
61-90 Days78,734 7.56 %82— — %— 
Total Reverse Mortgage Loans78,734 7.56 %82— — %— 
U.S. Treasury Securities:
30 Days or Less160,329 5.22 %369,347 4.31 %3
Total U.S. Treasury Securities160,329 5.22 %369,347 4.31 %3
Total$2,557,864 6.53 %118$2,609,685 5.50 %78
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 both June 30, 2023 and December 31, 2022, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $3.2 billion. Collateral transferred under outstanding borrowings under repurchase agreements as of June 30, 2023 and December 31, 2022, include investments in the amount of $19.5 million and $9.2 million, respectively, that were sold prior to period end but for which such sale had not yet settled. In addition, as of June 30, 2023 and December 31, 2022, the Company posted net cash collateral of $15.3 million and $20.3 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 June 30, 2023 and December 31, 2022.
June 30, 2023:
CounterpartyAmount at RiskWeighted Average Remaining Days to MaturityPercentage
of Equity
(In thousands)
Nomura Holdings Inc.$234,594 18417.5 %
Royal Bank of Canada138,456 9910.3 %
December 31, 2022:
CounterpartyAmount at RiskWeighted Average Remaining Days to MaturityPercentage
of Equity
(In thousands)
Nomura Holdings Inc.$208,812 1317.1 %
Royal Bank of Canada135,233 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 June 30, 2023 and December 31, 2022, the Company had outstanding borrowings under this facility in the amount of $32.2 million and $37.8 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, was 9.52% and 8.68% as of June 30, 2023 and December 31, 2022, respectively. As of June 30, 2023 and December 31, 2022, the fair value of ABS backed by consumer loans collateralizing this borrowing was $73.8 million and $70.3 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both June 30, 2023 and December 31, 2022, 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 June 30, 2023 and December 31, 2022, the fair value of the Company's outstanding liabilities associated with the Company's Consolidated Residential Mortgage Loan Securitizations was $1.47 billion and $1.54 billion, 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 3.02% and 3.00% as of June 30, 2023 and December 31, 2022, respectively. As of June 30, 2023 and December 31, 2022, the fair value of non-QM loans held in the consolidated securitization trusts was $1.6 billion and $1.7 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 June 30, 2023 and December 31, 2022, the Company was in compliance with all of these covenants. As of June 30, 2023 and December 31, 2022, the Company had outstanding borrowings under these financing lines of $124.3 million and $172.9 million, respectively, which is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The following table provides details for each of the warehouse lines of credit.
June 30, 2023December 31, 2022
MaturityOutstanding BorrowingsFair Value of Underlying CollateralEffective Interest RateOutstanding BorrowingsFair Value of Underlying CollateralEffective Interest Rate
(In thousands)
Facility AMay 2024$84,427 $102,856 8.97 %$59,640 $65,652 8.43 %
Facility BApril 202419,033 20,600 7.84 %64,278 59,933 6.99 %
Facility CSeptember 202320,793 29,349 7.67 %48,954 63,644 6.90 %
$124,253 $152,805 8.58 %$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 was due to mature in April 2023 and accrues interest on a floating-rate basis; on April 10, 2023 a 90-day extension was executed. As of June 30, 2023 and December 31, 2022, the Company's outstanding borrowings under this facility was $27.0 million and $22.6 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 8.75% and 8.00%, respectively, as of June 30, 2023 and December 31, 2022. As of June 30, 2023 and December 31, 2022, the fair value of HECM tail draws collateralizing this borrowing was $37.8 million and $35.1 million, respectively, which are included in Loans, at fair value on the Condensed Consolidated Balance Sheet. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both June 30, 2023 and December 31, 2022, the Company was in compliance with all of its covenants.
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 June 30, 2023 and December 31, 2022, the Company's outstanding borrowings under this facility were $38.9 million and $42.8 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 10.17% and 9.37% as of June 30, 2023 and December 31, 2022, respectively. As of June 30, 2023 and December 31, 2022, the fair value of MSRs collateralizing this borrowing was $103.0 million and $95.6 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both June 30, 2023 and December 31, 2022, the Company was in compliance with all of its covenants.
The Company entered into an agreement to finance HECM Buyout Loans. This facility matures in August 2023 and accrues interest on a floating-rate basis. As of June 30, 2023, the Company's outstanding borrowings under this facility were $2.7 million, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. As of December 31, 2022, the Company did not have any outstanding borrowings under this facility. The effective interest rate was 8.75% as of June 30, 2023. As of June 30, 2023, the fair value of HECM Buyout Loans collateralizing this borrowing was $0.2 million. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both June 30, 2023 and December 31, 2022, the Company was in compliance with all of its covenants.
As discussed in Note 5, the Company is a party to various agreement with the MLPS Counterparty, which provide for the financing of certain HECM Buyout Loans. This facility matures in March 2025 and accrues interest on a floating-rate basis. As of June 30, 2023, the Company's outstanding borrowings under this facility were $17.9 million, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 7.14% and the fair value of HECM Buyout Loans collateralizing this borrowing was $18.1 million. There are a number of covenants, including several financial covenants, associated with this borrowing; as of June 30, 2023, the Company was in compliance with all of its covenants.
HMBS-related Obligations
As discussed in Note 12, the Company issues pools of HMBS which are accounted for as secured borrowings. As of June 30, 2023 and December 31, 2022, the Company had HMBS-related obligations, at fair value of $8.1 billion and $7.8 billion, respectively. As of June 30, 2023 and December 31, 2022, such HMBS-related obligations are secured by $8.2 billion and $7.9 billion, respectively, of HECM loans, REO, and HMBS-related claims or other receivables. The weighted average interest rate on the Company's HMBS-related obligations was 5.61% and 5.23% as of June 30, 2023 and December 31, 2022, respectively.
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 were included in Senior Notes, net, on the Condensed 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 Condensed 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 Condensed Consolidated Statement of Operations.
There are a number of covenants, including several financial covenants, associated with the 5.875% Senior Notes; as of both June 30, 2023 and December 31, 2022, 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 June 30, 2023:
Year
Repurchase Agreements(1)
Other
Secured Borrowings(2)
HMBS-related Obligations(3)
Senior Notes(1)
Total
(In thousands)
Next Twelve Months$2,364,343 $352,444 $1,318,473 $— $4,035,260 
Year 2193,521 293,817 906,903 — 1,394,241 
Year 3— 277,390 776,055 — 1,053,445 
Year 4— 190,568 801,928 210,000 1,202,496 
Year 5— 141,520 725,812 — 867,332 
Total$2,557,864 $1,255,739 $4,529,171 $210,000 $8,552,774 
(1)Reflects the Company's contractual principal repayment dates.
(2)Includes $1.013 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.