The Company primarily finances its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to three months. The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a time frame as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. Under the terms of the repurchase agreements the Company may rehypothecate pledged U.S. Treasury securities it receives from its repurchase agreement as incremental collateral in order to increase the Company’s cash position. At December 31, 2019 and December 31, 2018, the Company did not have any rehypothecated U.S. Treasury securities.

Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company’s portfolio. For all the repurchase agreements with outstanding borrowings, the Company was in compliance with the terms of such financial tests as of December 31, 2019.



	December 31, 2019					December 31, 2018
Securities Pledged	Repurchase Agreement Borrowings		Weighted Average Interest Rate on Borrowings Outstanding at end of period		Weighted Average Remaining Maturity (days)	Repurchase Agreement Borrowings		Weighted Average Interest Rate on Borrowings Outstanding at end of period		Weighted Average Remaining Maturity (days)
Short Term Borrowings:
Agency CMBS	$	1,352,248	2.05	%	26	$	1,392,649	2.71	%	40
Agency RMBS	348,274		1.99	%	52	14,650		3.09	%	21
Non-Agency RMBS	30,481		3.56	%	9	30,922		4.06	%	18
Non-Agency CMBS	190,390		3.05	%	35	134,814		4.05	%	48
Residential Whole Loans⁽¹⁾	102,029		3.51	%	27	863,356		4.08	%	93
Residential Bridge Loans⁽¹⁾	29,869		3.93	%	28	204,754		4.50	%	25
Commercial Loans⁽¹⁾	62,746		4.04	%	28	131,788		4.55	%	26
Securitized commercial loans⁽¹⁾	116,087		3.93	%	49	7,543		4.30	%	15
Other securities	56,762		3.23	%	34	38,361		4.18	%	26
Subtotal	2,288,886		2.41	%	32	2,818,837		3.45	%	54
Long Term Borrowings:
Residential Whole Loans ^{(1) (2)}	374,143		3.27	%	898	—		—	%	—
Commercial Loans ⁽²⁾	161,848		3.88	%	590	—		—	%	—
Subtotal	535,991		3.45	%	805	—		—	%	—
Repurchase agreements borrowings	$	2,824,877	2.61	%	179	$	2,818,837	3.45	%	54
Less unamortized debt issuance costs	76		N/A		N/A	—		N/A		N/A
Repurchase agreements borrowings, net	$	2,824,801	2.61	%	179	$	2,818,837	3.45	%	54



	December 31, 2019						December 31, 2018
	Assets Pledged		Accrued Interest		Assets Pledged and Accrued Interest		Assets Pledged		Accrued Interest		Assets Pledged and Accrued Interest
Assets pledged for borrowings under repurchase agreements:
Agency CMBS, at fair value	$	1,400,230	$	3,916	$	1,404,146	$	1,486,142	$	4,262	$	1,490,404
Agency RMBS, at fair value	356,687		1,336		358,023		19,837		453		20,290
Non-Agency RMBS, at fair value	45,816		414		46,230		50,555		479		51,034
Non-Agency CMBS, at fair value	246,797		951		247,748		186,552		915		187,467
Residential Whole Loans, at fair value ⁽¹⁾	529,495		3,704		533,199		1,041,885		8,145		1,050,030
Residential Bridge Loans⁽¹⁾	34,897		471		35,368		221,486		3,528		225,014
Commercial Loans, at fair value⁽¹⁾	350,213		1,855		352,068		196,123		1,067		197,190
Securitized commercial loans, at fair value⁽¹⁾	171,640		674		172,314		13,688		88		13,776
Other securities, at fair value	80,031		128		80,159		59,780		147		59,927
Cash⁽²⁾	43,499		—		43,499		1,226		—		1,226
Total	$	3,259,305	$	13,449	$	3,272,754	$	3,277,274	$	19,084	$	3,296,358

A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At December 31, 2019 and December 31, 2018, investments held by counterparties as security for repurchase agreements totaled approximately $3.2 billion and approximately $3.3 billion, respectively. Cash collateral held by repurchase agreement counterparties at December 31, 2019 and December 31, 2018 was approximately $43.5 million and $1.2 million, respectively. Cash posted by repurchase agreement counterparties at December 31, 2019 and December 31, 2018, was approximately $709 thousand and $17.8 million, respectively. In addition, at December 31, 2019 and December 31, 2018, the Company held securities with a fair value of $0 and $5.2 million, respectively, received as collateral from its repurchase agreement counterparties to satisfy margin requirements. The Company has the ability to repledge collateral received from its repurchase counterparties.

In October 2017, the Company issued $115.0 million aggregate principal amount of 6.75% convertible senior unsecured notes for net proceeds of $111.1 million. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity.

In August 2019, the Company issued an additional $40.0 million aggregate principal amount of 6.75% convertible senior unsecured notes (the "August 2019 Reopened Notes") for net proceeds of $38.8 million after subtracting underwriting commissions and debt offering expenses. The August 2019 Reopened Notes have substantially identical terms as the existing notes issued in October 2017. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by us except during the final three months prior to maturity.

In December 2019, the Company issued another $50.0 million aggregate principal amount of 6.75% convertible senior unsecured notes (the "December 2019 Reopened Notes") for net proceeds of $49.2 million. The December 2019 Reopened Notes have substantially identical terms as the existing notes issued in October 2017. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by us except during the final three months prior to maturity.

The notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the agreement. The initial conversion rate was 83.1947 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $12.02 per share of common stock.

CMSC Trust issued $25.0 million in commercial pass-through certificates. The outstanding principal balance of the trust certificates was $24.0 million at December 31, 2019, with a fair value of $24.1 million. The trust certificates bear a fixed interest rate of 8.9% and mature on June 6, 2020. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic change in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net."

The Company owns $13.5 million of the trust certificates which was eliminated in consolidation and the remaining $10.6 million is held by related parties and is carried at a fair value of $10.6 million and recorded in "Securitized debt, net" in the consolidated balance sheets. The securitized debt of the CMSC Trust can only be settled with the commercial loan, with an outstanding principal balance of $24.0 million at December 31, 2019, that serves as collateral for the securitized debt and is non-recourse to the Company.



Classes	Principal Balance		Coupon	Fair Value		Contractual Maturity
Class A	$	219,431	2.9%	$	219,567	3/15/2021
Class B	101,200		3.3%	101,326		3/15/2021
Class C	308,400		3.8%	309,171		3/15/2021
Class HRR	45,300		10.2%	45,314		3/15/2021
Class X-CP⁽¹⁾	N/A		1.2%	1,026		4/15/2020
Class X-EXT⁽¹⁾	N/A		—%	31		3/15/2021
	$	674,331		$	676,435

The Company acquired $30.6 million of the class C certificates and the entire class of HRR certificates principal, which are eliminated in consolidation and the remaining RETL debt with a fair value of $600.5 million is recorded in "Securitized debt, net" in the consolidated balance sheets. Of the remaining outstanding principal balance of $598.5 million, excluding the interest-only debt securities, $60.6 million is owned by related parties and $537.9 million is owned by third parties. The securitized debt of the RETL 2019 Trust can only be settled with the commercial loan, with an outstanding principal balance of approximately $674.3 million at December 31, 2019, that serves as collateral for the securitized debt and is non-recourse to the Company. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic change in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net."

In May 2019, the Company completed a residential mortgage-backed securitization comprised of $945.5 million of Non-QM Residential Whole Loans, issuing $919.0 million of mortgage-backed notes. The Company did not elect the fair value option for these notes and accordingly they are recorded at their principal balance less unamortized deferred financing costs and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates at December 31, 2019 (dollars in thousands):



Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1	$	681,668	3.3%	$	681,666	4/25/2049
Class A-2	36,525		3.5%	36,524		4/25/2049
Class A-3	57,866		3.8%	57,864		4/25/2049
Class M-1	25,055		4.8%	25,055		4/25/2049
Subtotal	$	801,114		$	801,109
Less: Unamortized Deferred Financing Costs	N/A			5,298
Total	$	801,114		$	795,811

The Company retained the non-offered securities in the securitization, which include the class B, Class A-IO-S and Class XS certificates. These non-offered securities are eliminated in the consolidation. The securitized debt of the Arroyo Trust can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At December 31, 2019, Residential Whole Loans, with an outstanding principal balance of approximately $814.0 million, serve as collateral for the Arroyo Trust's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three-year anniversary of the closing date or ii) the date on which the aggregate collateral balance is 20% of the original principal balance. The notes are redeemable at their face value plus accrued interest.

net" in the consolidated balance sheets. The remaining outstanding principal balance of $83.6 million is owned by related parties. The securitized debt of the MRCD Trust can only be settled with the commercial loan, with an outstanding principal balance of approximately $245.0 million at December 31, 2019, that serves as collateral for the securitized debt and is non-recourse to the Company. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic change in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net."