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 June 30, 2018 and December 31, 2017 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $194 million and $219 million, respectively. At June 30, 2018 and December 31, 2017, the debt carried a weighted average coupon equal to 6.3% and 6.2%, respectively. The debt matures between the years 2035 and 2046. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable.

There were no securitized debt collateralized by Non-Agency RMBS acquisitions during the quarters ended June 30, 2018 and 2017.

The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at June 30, 2018 and December 31, 2017, 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.



	June 30, 2018		December 31, 2017
	(dollars in thousands)
Within One Year	$	30,923	$	42,217
One to Three Years	37,753		45,916
Three to Five Years	11,461		16,524
Greater Than Five Years	5,600		4,867
Total	$	85,737	$	109,524

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 June 30, 2018 and December 31, 2017 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $9.4 billion. At June 30, 2018 and December 31, 2017 the total securitized debt collateralized by loans held for investment carried a weighted average coupon equal to 4.4% and 4.2%, respectively. The debt matures between the years 2023 and 2067.

During the quarter ended June 30, 2018, the Company acquired securitized debt collateralized by loans with an amortized cost balance of $155 million for $154 million. This transaction resulted in a net gain on the extinguishment of debt of $387 thousand, which is reflected in earnings for the quarter ended June 30, 2018. During the six months ended June 30, 2018, the Company acquired securitized debt collateralized by loans with an amortized cost balance of $304 million for $294 million. This transaction resulted in a net gain on the extinguishment of debt of $10 million, which is reflected in earnings for the quarter ended June 30, 2018.

During the quarter ended June 30, 2017, the Company acquired securitized debt collateralized by loans with an amortized cost balance of $197 million for $245 million. This transaction resulted in a net loss on extinguishment of debt of $48 million, which is reflected in earnings for the quarter and six months ended June 30, 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.

The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at June 30, 2018 and December 31, 2017, 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.



	June 30, 2018		December 31, 2017
	(dollars in thousands)
Within One Year	$	1,785,710	$	1,819,018
One to Three Years	2,818,626		2,872,572
Three to Five Years	2,110,377		2,140,434
Greater Than Five Years	2,493,804		2,439,872
Total	$	9,208,517	$	9,271,896

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 at the option of the Company. The following table presents the par value of the callable debt by year at June 30, 2018.



June 30, 2018
(dollars in thousands)
Year	Principal
2018	$	560,814
2019	360,602
2020	4,621,456
2021	3,197,192
2022	300,973
2023	142,144
Total	$	9,183,181