Securitized Debt

12 Months Ended

Dec. 31, 2019

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, 2019 and 2018 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $152 million and $175 million, respectively. At December 31, 2019 and 2018, the debt carried a weighted average coupon equal to 6.5% and 6.4%, respectively. As of December 31, 2019, the maturities of the debt range between the years 2035 and 2037. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable.

During the year ended December 31, 2019, the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $2.9 million for $3.5 million. This transaction resulted in a net loss on extinguishment of debt of $608 thousand, which is reflected in the earnings for the year ended December 31, 2019. The Company did not acquire any securitized debt collateralized by Non-Agency RMBS during the year ended December 31, 2018. 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.

The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 2019 and 2018, 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, 2019		December 31, 2018
	(dollars in thousands)
Within One Year	$	18,826	$	23,602
One to Three Years	18,332		30,803
Three to Five Years	4,453		8,047
Greater Than Five Years	665		3,605
Total	$	42,276	$	66,057

Maturities of the Company’s securitized debt collateralized by Non-Agency RMBS are dependent upon cash flows received from the underlying collateral. The estimate of their repayment is based on scheduled principal payments on the underlying collateral. This estimate will differ from actual amounts to the extent prepayments or 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, 2019 and 2018 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $8.2 billion and $8.6 billion, respectively. At December 31, 2019 and 2018 the total securitized debt collateralized by loans held for investment carried a weighted average coupon equal to 4.2% and 4.5%, respectively. As of December 31, 2019, the maturities of the debt range between the years 2023 and 2067.

During the year ended December 31, 2019, the Company acquired securitized debt collateralized by loans with an amortized cost balance of $324 million for $314 million. This transaction resulted in a net gain on the extinguishment of debt of $10 million, which is reflected in earnings for the year ended December 31, 2019. During the year ended December 31, 2018, the Company acquired securitized debt collateralized by loans with an amortized cost balance of $861 million for $835 million. These transactions resulted in a net gain on the extinguishment of debt of $26 million, which is reflected in earnings for the year ended December 31, 2018. 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. This transaction resulted in a net loss on the extinguishment of debt of $35 million .

The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at December 31, 2019 and 2018, 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, 2019		December 31, 2018
	(dollars in thousands)
Within One Year	$	1,582,646	$	1,608,381
One to Three Years	2,563,699		2,587,635
Three to Five Years	1,791,756		1,949,060
Greater Than Five Years	2,129,460		2,237,259
Total	$	8,067,561	$	8,382,335

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 December 31, 2019.



December 31, 2019
(dollars in thousands)
Year	Principal
2020	3,527,114
2021	2,841,599
2022	795,683
2023	105,417
Total	$	7,269,813