Secured Financing Agreements (Tables)

3 Months Ended

Mar. 31, 2023

Disclosure of Repurchase Agreements [Abstract]

Schedule of Secured Financing Agreements and Maturities

The secured financing agreements principal outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of March 31, 2023 and December 31, 2022 were:

	March 31, 2023			December 31, 2022
Secured financing agreements outstanding principal secured by:
Agency RMBS (in thousands)	$	4,191		$	3,946
Agency CMBS (in thousands)	208,494			355,934
Non-Agency RMBS and Loans held for investment (in thousands) (1)	2,993,464			3,083,551
Total:	$	3,206,149		$	3,443,431
MBS pledged as collateral at fair value on Secured financing agreements:
Agency RMBS (in thousands)	$	5,685		$	6,662
Agency CMBS (in thousands)	227,243			382,547
Non-Agency RMBS and Loans held for investment (in thousands)	4,248,617			4,310,513
Total:	$	4,481,545		$	4,699,722
Average balance of Secured financing agreements secured by:
Agency RMBS (in thousands)	$	4,095		$	11,714
Agency CMBS (in thousands)	252,102			376,551
Non-Agency RMBS and Loans held for investment (in thousands)	2,952,956			2,819,871
Total:	$	3,209,153		$	3,208,136
Average borrowing rate of Secured financing agreements secured by:
Agency RMBS	5.44		%	4.70		%
Agency CMBS	5.05		%	4.49		%
Non-Agency RMBS and Loans held for investment	7.52		%	6.86		%
Average remaining maturity of Secured financing agreements secured by:
Agency RMBS	13 Days			17 Days
Agency CMBS	45 Days			25 Days
Non-Agency RMBS and Loans held for investment	471 Days			474 Days
Average original maturity of Secured financing agreements secured by:
Agency RMBS	31 Days			60 Days
Agency CMBS	56 Days			42 Days
Non-Agency RMBS and Loans held for investment	489 Days			499 Days

(1) The outstanding balance for secured financing agreements in the table above is net of $6 million and $1 million of deferred financing cost as of March 31, 2023 and December 31, 2022, respectively.

At March 31, 2023 and December 31, 2022, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

	March 31, 2023				December 31, 2022
	(dollars in thousands)
	Principal (1)		Weighted Average Borrowing Rates	Range of Borrowing Rates	Principal (1)		Weighted Average Borrowing Rates	Range of Borrowing Rates
Overnight	—		N/A	N/A	—		N/A	NA
1 to 29 days	$	613,425	6.42%	5.10% - 7.60%	$	493,918	4.66%	3.63% - 6.16%
30 to 59 days	383,381		6.12%	4.95% - 7.19%	762,768		6.14%	4.60% - 7.34%
60 to 89 days	211,194		5.67%	5.00% - 6.92%	225,497		6.04%	4.70% - 7.12%
90 to 119 days	74,203		5.90%	5.90% - 5.90%	43,180		6.54%	5.50% - 6.70%
120 to 180 days	373,651		6.78%	5.88% - 7.72%	401,638		5.88%	5.57% - 6.92%
180 days to 1 year	318,258		6.38%	6.18% - 6.91%	402,283		6.06%	5.63% - 6.64%
1 to 2 years	850,563		10.75%	8.54% - 13.98%	251,286		13.98%	13.98% - 13.98%
2 to 3 years	—		—%	0.00% - 0.00%	480,022		8.07%	8.07% - 8.07%
Greater than 3 years	381,474		5.16%	5.10% - 6.50%	382,839		5.14%	5.10% - 6.07%
Total	$	3,206,149	7.36%		$	3,443,431	6.61%

(1) The outstanding balance for secured financing agreements in the table above is net of $6 million and $1 million of deferred financing cost as of March 31, 2023 and December 31, 2022, respectively.