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Borrowings
 3 Months Ended
Mar. 31, 2024
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 March 31, 2024 and December 31, 2023, the Company's total secured borrowings were $12.9 billion and $13.1 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 March 31, 2024 and December 31, 2023, respectively.
As of March 31, 2024, remaining days to maturity on the Company's open repurchase agreements ranged from 1 day to 422 days. Interest rates on the Company's open repurchase agreements ranged from 4.81% to 8.85% as of March 31, 2024. As of December 31, 2023, remaining days to maturity on the Company's open repurchase agreements ranged from 2 days to 513 days. Interest rates on the Company's open repurchase agreements ranged from 4.81% to 8.68% as of December 31, 2023.
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), reverse mortgage loans, and U.S. Treasury securities by remaining maturity as of March 31, 2024 and December 31, 2023:
March 31, 2024December 31, 2023
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$497,820 5.46 %10$1,076,710 5.55 %17
31-60 Days1,240 6.08 %3915,786 5.81 %49
61-90 Days116,567 5.49 %75914 6.16 %72
151-180 Days1,656 6.12 %1591,931 6.23 %159
Total Agency RMBS617,283 5.47 %231,095,341 5.55 %18
Credit Assets:
30 Days or Less26,065 6.80 %11124,617 6.80 %22
31-60 Days108,544 6.75 %44136,434 7.03 %41
61-90 Days104,095 6.76 %7382,992 6.85 %74
91-120 Days330,090 7.57 %110290,215 7.36 %116
121-150 Days23,442 7.00 %134— — %— 
151-180 Days6,295 6.74 %1595,980 6.68 %161
181-364 Days938,848 7.52 %189867,983 7.61 %268
> 364 Days37,459 8.58 %42258,631 8.61 %513
Total Credit Assets1,574,838 7.43 %1571,566,852 7.44 %199
Reverse Mortgage Loans:
121-150 Days66,982 8.85 %128— — %— 
181-364 Days31,412 8.36 %188150,228 7.97 %282
Total Reverse Mortgage Loans98,394 8.70 %148150,228 7.97 %282
U.S. Treasury Securities:
30 Days or Less227,232 5.50 %1155,016 5.51 %2
Total U.S. Treasury Securities227,232 5.50 %1155,016 5.51 %2
Total$2,517,747 6.82 %109$2,967,437 6.67 %126
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 March 31, 2024 and December 31, 2023, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $3.1 billion and $3.7 billion, respectively. Collateral transferred under outstanding borrowings under repurchase agreements as of March 31, 2024 and December 31, 2023, include investments in the amount of $8.5 million and $346.6 million, respectively, that were sold prior to period end but for which such sale had not yet settled. As of December 31, 2023, such amount included $341.1 million of Agency RMBS that had been acquired as a result of the Arlington merger and then subsequently sold but for which such sale transaction had not yet settled. In addition, as of March 31, 2024 and December 31, 2023, the Company posted (received) net cash collateral of $2.2 million and $(11.2) million, respectively, to its counterparties. In addition, as of March 31, 2024 additional securities with a fair value of $0.4 million were posted by the Company as a result of margin calls from various 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 March 31, 2024 and December 31, 2023.
March 31, 2024:
CounterpartyAmount at RiskWeighted Average Remaining Days to MaturityPercentage
of Equity
(In thousands)
Nomura Holdings Inc.$260,829 16416.8 %
December 31, 2023:
CounterpartyAmount at RiskWeighted Average Remaining Days to MaturityPercentage
of Equity
(In thousands)
Nomura Holdings Inc.$216,886 24614.2 %
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 March 31, 2024 and December 31, 2023, the Company had outstanding borrowings under this facility in the amount of $19.7 million and $25.8 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 9.95% and 9.83% as of March 31, 2024 and December 31, 2023, respectively. As of March 31, 2024 and December 31, 2023, the fair value of ABS backed by consumer loans collateralizing this borrowing was $67.1 million and $69.8 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both March 31, 2024 and December 31, 2023, the Company was in compliance with all of its covenants.
The Company has completed securitization transactions, as discussed in Note 13, whereby it financed portfolios of non-QM loans. As of March 31, 2024 and December 31, 2023, the fair value of the Company's outstanding liabilities associated with the Company's Consolidated Residential Mortgage Loan Securitizations was $1.41 billion and $1.42 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 3.04% and 3.03% as of March 31, 2024 and December 31, 2023, respectively. As of March 31, 2024 and December 31, 2023, the fair value of non-QM loans held in the Consolidated Residential Mortgage Loan Securitization trusts was $1.5 billion and $1.6 billion, respectively.
The Company has completed a securitization transaction, as discussed in Note 13, whereby it financed a portfolio of reverse mortgage loans. As of March 31, 2024, the fair value of the Company's outstanding liabilities associated with the Company's Reverse Mortgage Securitizations was $162.5 million, 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 4.50%. Collateral held in the RM Issuing Entity as of March 31, 2024 includes the fair value of reverse mortgage loans of $184.2 million and $4.7 million of cash held in a securitization reserve fund.
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 March 31, 2024 and December 31, 2023, the Company was in compliance with all of these covenants. As of March 31, 2024 and December 31, 2023, the Company had outstanding borrowings under these financing lines of $108.6 million and $160.1 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.
March 31, 2024December 31, 2023
MaturityOutstanding BorrowingsFair Value of Underlying CollateralEffective Interest RateOutstanding BorrowingsFair Value of Underlying CollateralEffective Interest Rate
(In thousands)(In thousands)
Facility AMay 2024$52,407 $61,670 8.77 %$83,393 $99,340 8.95 %
Facility BApril 202456,180 60,820 7.97 %76,717 88,251 8.21 %
$108,587 $122,490 8.36 %$160,110 $187,591 8.60 %
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 extended in January 2024 and matures in May 2024, and accrues interest on a floating-rate basis. As of March 31, 2024 and December 31, 2023, the Company's outstanding borrowings under this facility was $17.5 million and $18.7 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 9.00% as of both March 31, 2024 and December 31, 2023. As of March 31, 2024 and December 31, 2023, the fair value of HECM tail draws collateralizing this borrowing was $28.6 million and $29.2 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 March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023, the Company's outstanding borrowings under this facility were $20.4 million and $26.6 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 10.44% and 10.46% as of March 31, 2024 and December 31, 2023, respectively. As of March 31, 2024 and December 31, 2023, the fair value of MSRs collateralizing this borrowing was $94.4 million and $88.4 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both March 31, 2024 and December 31, 2023, the Company was in compliance with all of its covenants.
As discussed in Note 5, the Company is a party to various agreements with the MLPS Counterparty, which provide for the financing of certain HECM Buyout Loans. This facility was executed in March 2023 with a three-year term and accrues interest on a floating-rate basis. As of March 31, 2024 and December 31, 2023, the Company's outstanding borrowings under this facility were $14.8 million and $14.7 million, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 7.68% and 7.59% as of March 31, 2024 and December 31, 2023, respectively. As of March 31, 2024 and December 31, 2023, and the fair value of HECM Buyout Loans collateralizing this borrowing was $14.9 million and $14.9 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of March 31, 2024 and December 31, 2023, the Company was in compliance with all of its covenants.
HMBS-related Obligations
As discussed in Note 13, the Company issues pools of HMBS which are accounted for as secured borrowings. As of March 31, 2024 and December 31, 2023, the Company had HMBS-related obligations, at fair value of $8.6 billion and $8.4 billion, respectively. As of March 31, 2024 and December 31, 2023, such HMBS-related obligations are secured by $8.7 billion and $8.5 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 6.23% and 6.46% as of March 31, 2024 and December 31, 2023, respectively.
Unsecured Borrowings
Senior Notes
The Company has 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.
Upon the completion of the Arlington Merger, the Company assumed Arlington's liabilities including various unsecured debt. The Company assumed $34.9 million Arlington's 6.75% Senior Notes, which bear interest at a rate of 6.75% and are due March 15, 2025 (the "6.75% Senior Notes"). Interest on the 6.75% Senior Notes is payable quarterly in arrears on February 1, May 1, August 1, and November 1 of each year. The Company may redeem the 6.75% Senior Notes, at its option, in whole or in part, at a redemption price equal to 100% of the outstanding principal amount of the 6.75% Senior Notes being redeemed plus accrued and unpaid interest to, but excluding, the date of redemption. The 6.75% Senior Notes are obligations of a certain subsidiary of the Company and are fully guaranteed by the Company.
The Company also assumed $37.8 million of Arlington's 6.00% Senior Notes, which bear interest at a rate of 6.00% and are due August 1, 2026 (the "6.00% Senior Notes"). Interest on the 6.00% Senior Notes is payable quarterly in arrears on March 15, June 15, September 15, and December 15 of each year. The Company may redeem the 6.00% Senior Notes, at its option, in whole or in part, at a redemption price equal to 100% of the outstanding principal amount of the 6.00% Senior Notes being redeemed plus accrued and unpaid interest to the date of redemption. The 6.00% Senior Notes are obligations of a certain subsidiary of the Company and are fully guaranteed by the Company.
The Company has elected the FVO for the 5.875% Senior Notes, 6.75% Senior Notes, and 6.00% Senior Notes (collectively the "Senior Notes"), which are included in Unsecured borrowings, at fair value on the Condensed Consolidated Balance Sheet. Change in unrealized gains and losses on the Company's Senior Notes are included in Unrealized gains (losses) on Unsecured borrowings, at fair value, on the Condensed Consolidated Statement of Operations.
There are a number of covenants, including several financial covenants, associated with the Senior Notes; as of both March 31, 2024 and December 31, 2023, the Company was in compliance with all of its covenants for its 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.
Subordinated Notes
The Company also assumed $15.0 million of Arlington's unregistered junior subordinated unsecured debt securities (the "Trust Preferred Debt"). The Trust Preferred Debt includes $10.0 million, which bears interest at a rate of three-month term SOFR plus 3.26%, payable quarterly in arrears, and which matures on October 7, 2033; and $5.0 million, which bears interest at a rate of three-month term SOFR plus 2.51%, payable quarterly in arrears, and which matures on July 7, 2035. The Trust Preferred Debt may be redeemed in whole or in part at any time and from time to time at the Company’s option, at a redemption price equal to the principal amount plus accrued and unpaid interest. The Company has elected the FVO for the Trust Preferred Debt, which is included in Unsecured borrowings, at fair value on the Condensed Consolidated Balance Sheet, and change in unrealized gains and losses on the Company's Trust Preferred Debt are included in Unrealized gains (losses) on Unsecured borrowings, at fair value, on the Condensed Consolidated Statement of Operations. The Trust Preferred Debt is an obligation of a certain subsidiary of the Company and is fully guaranteed by the Company.
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, 2024:
Year
Repurchase Agreements(1)
Other
Secured Borrowings(2)
HMBS-related Obligations(3)
Unsecured Borrowings(1)
Total
(In thousands)
Next Twelve Months$2,480,288 $377,346 $1,231,518 $34,931 $4,124,083 
Year 237,459 255,077 949,487 — 1,242,023 
Year 3— 232,158 910,446 37,750 1,180,354 
Year 4— 184,251 838,304 210,000 1,232,555 
Year 5— 150,451 851,779 — 1,002,230 
Total$2,517,747 $1,199,283 $4,781,534 $282,681 $8,781,245 
(1)Reflects the Company's contractual principal repayment dates.
(2)Includes $896.6 million and $121.8 million of expected principal repayments related to the Company's consolidated non-QM and reverse mortgage loan securitizations, respectively, 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.