Financings (Tables)

12 Months Ended

Dec. 31, 2019

Debt Disclosure [Abstract]

Summary of certain characteristics of the Company's repurchase agreements

The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2019 and December 31, 2018 (dollars in thousands):

	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

(1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation.

(2)

Certain Residential Whole Loans and Commercial Loans were financed under two new longer term repurchase agreements. The Company entered into a $700.0 million residential and $200.0 million commercial facility. These facilities automatically roll until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral.

Schedule of repurchase agreements collateralized by investments

At December 31, 2019 and December 31, 2018, repurchase agreements collateralized by investments had the following remaining maturities:

(dollars in thousands)	December 31, 2019		December 31, 2018
1 to 29 days	$	1,480,286	$	1,867,957
30 to 59 days	552,786		144,778
60 to 89 days	255,814		555,695
Greater than or equal to 90 days	535,991		250,407
Total	$	2,824,877	$	2,818,837

Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty

At December 31, 2019, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands):

	December 31, 2019
Counterparty	Amount of Collateral at Risk, at fair value		Weighted Average Remaining Maturity (days)	Percentage of Stockholders' Equity
Credit Suisse AG, Cayman Islands Branch	$	132,306	1024	23.4	%
Barclays Capital Inc.	73,203		38	13.0	%

Summary of collateral positions, with respect to borrowings under repurchase agreements, securitized debt, derivatives and clearing margin account

The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2019 and December 31, 2018 (dollars in thousands):

	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

(1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.

(2) Cash posted as collateral is included in "Due from counterparties" in the Company's Consolidated Balance Sheets.

Schedule of commercial mortgage pass-through certificates

The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at December 31, 2019 (dollars in thousands):

 

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

(1) Class X-CP and Class X-EXT are interest-only classes with an initial notional balance of $308.4 million each.

The following table summarizes MRCD Trust's commercial mortgage pass-through certificates at December 31, 2019 (dollars in thousands):

 

Classes	Principal Balance		Coupon	Fair Value		Contractual Maturity
Class A	$	234,500	4.3%	$	198,104	12/9/2024
Class HRR	10,500		12.0%	10,443		12/9/2024
	$	245,000		$	208,547

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