The Company has primarily financed 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 six 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 timeframe 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.

The market disruptions surrounding COVID-19 resulted in the decline of our asset values making, it challenging to obtain repurchase agreement financing with favorable terms or at all. The Company's repurchase agreement counterparties have increased borrowing rates and increased haircuts. The Company expects to continue to expand and diversify its financing sources as an alternative to short term repurchase agreements with daily margin requirements, reducing its exposure to margin volatility.

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 the reporting period ended March 31, 2020, the Company breached certain financial statement covenants in repurchase agreements with two counterparties with borrowings outstanding as of May 5, 2020. Both counterparties have waived the breaches until August 1, 2020. In addition, the Company would have been in breach of certain covenants in another seven repurchase agreements with borrowings outstanding as of March 31, 2020, but with respect to those seven agreements, the Company has either modified the covenants or paid off the repurchase agreement borrowings in full.


	March 31, 2020									December 31, 2019
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	$	437,577	1.38	%	27	$	1,352,248	2.05 %		26
Agency RMBS	11,852		2.35	%	21	348,274		1.99 %		52
Non-Agency CMBS	214,972		3.04	%	24	190,390		3.05 %		35
Non-Agency RMBS	20,148		3.09	%	8	30,481		3.56 %		9
Residential Whole Loans ⁽¹⁾	272,458		2.99	%	129	266,294		3.14	%	202
Residential Bridge Loans ⁽¹⁾	24,222		3.79	%	28	29,869		3.93 %		28
Commercial Loans ⁽¹⁾	47,547		3.90	%	28	62,746		4.04 %		28
Securitized commercial loans ⁽¹⁾	32,803		2.76	%	29	116,087		3.93 %		49
Other securities	53,244		3.15	%	28	56,762		3.23 %		34
Subtotal	1,114,823		2.42	%	51	2,453,151		2.44	%	51
Long Term Borrowings:
Residential Whole Loans ^{(1) (2)}	285,409		2.67	%	1004	209,878		3.55	%	1358
Commercial Loans ⁽²⁾	153,549		2.73	%	503	161,848		3.88 %		590
Subtotal	438,958		2.70	%	829	371,726		3.70	%	1024
Repurchase agreements borrowings	$	1,553,781	2.50	%	271	$	2,824,877	2.61	%	179
Less unamortized debt issuance costs	66		N/A		N/A	76		N/A		N/A
Repurchase agreements borrowings, net	$	1,553,715	2.50	%	271	$	2,824,801	2.61	%	179

(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.


	March 31, 2020
Counterparty	Amount of Collateral at Risk, at fair value		Weighted Average Remaining Maturity (days)	Percentage of Stockholders’ Equity
Credit Suisse AG, Cayman Islands Branch	$	143,835	782	78.9	%
Barclays Capital Inc.	42,491		24	23.3	%
Nomura Securities International, Inc.	31,848		28	17.5	%
JP Morgan Securities LLC	29,526		23	16.2	%


	March 31, 2020										December 31, 2019
	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	$	457,400	$	1,036	$	458,436	$	1,400,230	$	3,916	$	1,404,146
Agency RMBS, at fair value	14,442		354		14,796		356,687		1,336		358,023
Non-Agency CMBS, at fair value	239,351		1,085		240,436		246,797		951		247,748
Non-Agency RMBS, at fair value	26,296		336		26,632		45,816		414		46,230
Residential Whole Loans, at fair value⁽¹⁾	576,769		4,732		581,501		529,495		3,704		533,199
Residential Bridge Loans⁽¹⁾	27,571		359		27,930		34,897		471		35,368
Commercial Loans, at fair value⁽¹⁾	320,308		1,723		322,031		350,213		1,855		352,068
Securitized commercial loans, at fair value ⁽¹⁾	39,649		127		39,776		171,640		674		172,314
Other securities, at fair value	47,307		136		47,443		80,031		128		80,159
Cash ⁽²⁾	90,540		—		90,540		43,499		—		43,499
Total	$	1,839,633	$	9,888	$	1,849,521	$	3,259,305	$	13,449	$	3,272,754

A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At March 31, 2020 and December 31, 2019, investments held by counterparties as security for repurchase agreements totaled approximately $1.7 billion and $3.2 billion, respectively. Cash collateral held by counterparties at March 31, 2020 and December 31, 2019 was approximately $90.5 million and $43.5 million, respectively. Cash posted by repurchase agreement counterparties at March 31, 2020 and December 31, 2019, was approximately $8.6 million and $709 thousand, respectively. In addition, at March 31, 2020 and December 31, 2019, the Company held securities with a fair value of $1.8 million and $0, 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.

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. 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.

CMSC Trust issued $25.0 million in commercial pass-through certificates. The outstanding principal balance of the trust certificates was $23.9 million at March 31, 2020, with a fair value of $23.8 million. The trust certificates bear a fixed interest rate of 8.9% and mature on July 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 $13.4 million of the trust certificates which was eliminated in consolidation and the remaining $10.5 million is held by related parties and is carried at a fair value of $10.5 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 $23.9 million at March 31, 2020, 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	$	64,835	1.9%	$	59,246	3/15/2021
Class B	101,200		2.3%	87,781		3/15/2021
Class C	308,400		2.8%	265,490		3/15/2021
Class HRR	45,300		9.2%	40,658		3/15/2021
Class X-CP⁽¹⁾	N/A		2.8%	130		4/15/2020
Class X-EXT⁽¹⁾	N/A		N/A	31		3/15/2021
	$	519,735		$	453,336

At March 31, 2020, the Company owned some of the class C certificates with a fair value $26.3 million and the entire class of HRR certificates principal, which are eliminated in consolidation and the remaining RETL debt with a fair value of $386.4 million is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining outstanding principal balance of $443.9 million, excluding the interest-only debt securities, $49.6 million is owned by related parties and $394.2 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 $519.7 million at March 31, 2020, 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 cost 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 March 31, 2020 (dollars in thousands):


Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1	$	634,467	3.3%	$	634,464	4/25/2049
Class A-2	33,996		3.5%	33,995		4/25/2049
Class A-3	53,859		3.8%	53,857		4/25/2049
Class M-1	25,055		4.8%	25,055		4/25/2049
Subtotal	$	747,377		$	747,371
Less: Unamortized Deferred Financing Costs	N/A			5,074
Total	$	747,377		$	742,297