Securitized Debt

All of the Company’s securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Company’s securitized debt is accounted for as secured borrowings. Thus, the residential mortgage loans or RMBS held as collateral are recorded in the assets of the Company as Loans held for investment or Non-Agency RMBS and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition.

Securitized Debt Collateralized by Non-Agency RMBS

At December 31, 2017 and December 31, 2016 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $219 million and $350 million, respectively. At December 31, 2017 and December 31, 2016, the debt carried a weighted average cost of financing equal to 6.2% and 5.2%, respectively. The debt matures between the years 2035 and 2047. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable.

During the year ended December 31, 2017, the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $166 thousand for $167 thousand. This transaction resulted in a net loss on the extinguishment of debt of $1 thousand, which is reflected in earnings for the year ended December 31, 2017.

During the year ended December 31, 2016, the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $10 million for $11 million. This transaction resulted in a net loss on the extinguishment of debt of $355 thousand. This loss is reflected in earnings for the year ended December 31, 2016.

The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 2017 and December 31, 2016, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.



	December 31, 2017		December 31, 2016
	(dollars in thousands)
Within One Year	$	42,217	$	98,565
One to Three Years	45,916		82,563
Three to Five Years	16,524		23,854
Greater Than Five Years	4,867		31,973
Total	$	109,524	$	236,955

Maturities of the Company’s securitized debt collateralized by Non-Agency RMBS are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Note 3 for a more detailed discussion of the securities collateralizing the securitized debt.

Securitized Debt Collateralized by Loans Held for Investment

At December 31, 2017 and December 31, 2016 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $9.4 billion and $7.1 billion, respectively. At December 31, 2017 and December 31, 2016 the total securitized debt collateralized by loans held for investment carried a weighted average cost of financing equal to 4.2% and 4.0% respectively. As at December 31, 2017, the maturities of the debt ranges between the years 2023 and 2067. The debt maturity ranges as at December 31, 2016 were between the years 2021 and 2065.

During the year ended December 31, 2017, the Company acquired securitized debt collateralized by loans with an amortized cost balance of $1.0 billion for $1.1 billion. These transactions resulted in a net loss on the extinguishment of debt of $35 million, which is reflected in earnings for the year ended December 31, 2017. As the Company's securitized debt is carried at fair value with changes in fair value reflected in earnings, some of this loss was recognized during prior periods. During the year ended December 31, 2016, the Company acquired securitized debt collateralized by loans with an amortized cost balance of $609 million for $609 million. These transactions resulted in a net loss on the extinguishment of debt of $122 thousand. This loss is reflected in earnings for the year ended December 31, 2016.

The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at December 31, 2017 and December 31, 2016, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.



	December 31, 2017		December 31, 2016
	(dollars in thousands)
Within One Year	$	1,819,018	$	1,151,519
One to Three Years	2,872,572		1,841,808
Three to Five Years	2,140,434		1,423,706
Greater Than Five Years	2,439,872		2,477,123
Total	$	9,271,896	$	6,894,156

Maturities of the Company’s securitized debt collateralized by loans held for investment are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Note 4 for a more detailed discussion of the loans collateralizing the securitized debt.

Certain of the securitized debt collateralized by loans held for investment contain call provisions and are callable at par, at the option of the Company. The following table presents the par value of the callable debt by year at December 31, 2017.



December 31, 2017
(dollars in thousands)
Year	Principal
2018	$	943,573
2019	397,734
2020	4,744,768
2021	2,811,850
2022	287,157
Total	$	9,185,082