XML 26 R15.htm IDEA: XBRL DOCUMENT v3.21.2
Securitized Debt
 9 Months Ended
Sep. 30, 2021
Debt Disclosure [Abstract]  
Securitized Debt 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 September 30, 2021 and December 31, 2020, the Company’s securitized debt collateralized by Non-Agency RMBS was carried at amortized cost and had a principal balance of $116 million and $135 million, respectively. At September 30, 2021 and December 31, 2020, the debt carried a weighted average coupon of 6.7% and 6.5%, respectively. As of September 30, 2021, 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.

The Company did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarters ended September 30, 2021 and 2020.

The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at September 30, 2021 and December 31, 2020, 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.
 September 30, 2021December 31, 2020
 (dollars in thousands)
Within One Year$7,192 $13,552 
One to Three Years2,780 11,229 
Three to Five Years1,080 1,589 
Greater Than Five Years123 305 
Total$11,175 $26,675 
 
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 September 30, 2021 and December 31, 2020, the Company’s securitized debt collateralized by Loans held for investment had a principal balance of $7.9 billion and 8.7 billion, respectively. At September 30, 2021 and December 31, 2020, the total securitized debt collateralized by Loans held for investment carried a weighted average coupon equal to 2.4% and 3.4%, respectively. As of September 30, 2021, the maturities of the debt range between the years 2023 and 2062.

During the quarter ended September 30, 2021, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $189 million for $193 million. This transaction resulted in net loss on extinguishment of debt of $4 million. During the nine months ended September 30, 2021, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $3.9 billion for $4.2 billion. This transaction resulted in net loss on extinguishment of debt of $260 million. The Company did not acquire any securitized debt collateralized by loans held for investment during the quarter ended September 30, 2020. During the nine months ended September 30, 2020, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $147 million. This transaction resulted in a net gain on extinguishment of debt of $459 thousand.

The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at September 30, 2021 and December 31, 2020, 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.
 September 30, 2021December 31, 2020
 (dollars in thousands)
Within One Year$2,060,769 $1,837,055 
One to Three Years2,934,030 2,819,646 
Three to Five Years1,711,625 1,774,273 
Greater Than Five Years1,187,388 2,170,253 
Total$7,893,812 $8,601,227 

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 September 30, 2021. 
September 30, 2021
(dollars in thousands)
YearPrincipal
Currently callable109,717 
2021257,945 
20221,497,507 
20231,053,870 
20241,449,774 
20252,575,370 
Total$6,944,183