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Financings
 12 Months Ended
Dec. 31, 2021
Debt Disclosure [Abstract]  
Financings Financings
Repurchase Agreements
    The Company has primarily financed its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and historically had terms ranging from one month to 12 months.  The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets.  Under these 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 normally 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.

The market disruptions surrounding COVID-19 pandemic in 2020 resulted in the decline of the Company's 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. In the second quarter of 2020 in order to manage the severe market conditions and the resulting large margin demands from lenders and pressure on the Company’s liquidity, the Company entered into three longer term financing arrangements to reduce its exposure to short-term financings with daily mark to market exposure. Below is a summary of each of these financing arrangements.

Residential Whole Loan Facility

On April 21, 2020, the Company entered into amendments with respect to certain of its loan warehouse facilities. These amendments mainly served to convert an existing residential whole loan facility into a term facility by removing any mark to market margin requirements, and to consolidate the Company’s Non-Qualified Mortgage loans, which were previously financed by three separate, unaffiliated counterparties, into a single facility. The target advance rate under the amended and restated facility was approximately 84% of the aggregate unpaid principal balance of the loans. The facility had an original maturity of October 20, 2021. All principal payments and income generated by the loans during the term of the facility were used to pay principal and interest on the facility. Upon the securitization or sale by the Company of any whole loan subject to this amended and restated facility, the counterparty was entitled to receive a recapture premium fee of 30% of all realized value on any whole loans above such counterparty’s amortized basis as well as an exit fee of 0.50% of the loan amount in circumstances where the counterparty was not involved in the disposition of the loans. The financing cost of this facility was reflective of the challenging market conditions, at time, when the Company entered into the agreement.

On June 29, 2020, the Company securitized approximately $355.8 million of the Residential Whole Loans and paid down the facility by approximately $339.4 million (see "Securitized Debt" below for additional details). As part of the financing arrangements noted above, the Company had agreed to pay the lender a fee of 30% of all realized value on the Residential Whole Loans above the counterparty's amortized basis upon securitization or sale. As a result of refinancing the Residential Whole Loans through a securitization, the Company accrued a premium recapture fee of approximately $20.5 million, to be paid at the maturity of the facility, and recorded in "Financing fees" in the Consolidated Statements of Operations.

On October 6, 2020 the Company entered into an amendment of its Residential Whole Loan Facility. The amendment converted the existing Residential Whole Loan Facility to a limited mark to market margin facility that bore an interest rate of LIBOR plus 2.75%, with a LIBOR floor of 0.25%. The target advance rate under the amended facility was 85% and the facility scheduled maturity was on October 5, 2021. In connection with this amendment to the facility the Company paid $12.0 million of the premium recapture fee. The balance of $8.5 million was paid on November 5, 2021 when the amended facility matured after a one month extension and the Company entered into a new amended Residential Whole Loan Facility. The premium recapture fee was eliminated for new and remaining investments financed under this facility.

On November 5, 2021, the Company entered into a further amendment of its Residential Whole Loan Facility. The amended facility has a stated capacity of $500.0 million. and bears an interest rate to LIBOR plus 2.00%, with a LIBOR floor of 0.25%. The facility is available to finance five types of residential mortgages: Non-Agency mortgage loans, Non-QM loans, investor loans, re-performing and non-performing loans. The advance rates may differ by type of loan, but for performing Non-
QM loans the advance rate is 90%. The facility matures on November 4, 2022. The facility is a mark to market margin facility; however, the margin requirement is only triggered if the fair value of the collateral declines to below the aggregate outstanding principal amount of the collateral.

The Company finances its Non-QM Residential Whole Loans held in RMI 2015 Trust under this facility. As of December 31, 2021, the Company had outstanding borrowings of $396.5 million. The borrowing is secured by against Non-QM Residential Whole Loans with a fair value of $451.7 million.

Non-Agency CMBS and Non-Agency RMBS Facility

On May 4, 2020, the Company supplemented one of its existing securities repurchase facilities to consolidate most of its CMBS and RMBS assets, which were financed by multiple counterparties, into a single term facility with limited mark to market margin requirements. Pursuant to the agreement, a margin deficit will not occur until such time as the loan to value ratio surpasses a certain threshold (the “LTV Trigger”), on a weighted average basis per asset type, calculated on a portfolio level. If this threshold was reached, the Company may elect to provide cash margin or sell certain assets to the extent necessary to lower the ratio. The term of this facility was 12 months, subject to a 12 month extensions at the counterparty’s option. All interest income generated by the assets during the term of the facility was paid to the Company no less often than monthly. Interest on the facility was due from the Company at a rate of three-month LIBOR plus 5.00% payable quarterly in arrears. Half of all principal repayments on the underlying assets was applied to repay the obligations owed to the counterparty, with the remainder paid to the Company, unless the LTV Trigger has occurred, in which case all principal payments will be applied to repay the obligations.

On May 5, 2021, the Company amended its Non-Agency CMBS and Non-Agency RMBS financing facility to, among other things, extend the facility for an additional 12 months and reduce the interest rate. The amended facility has improved advance rates and bears interest at a rate of three-month LIBOR plus 2.00%. As of December 31, 2021, the outstanding balance under this facility was $102.9 million. The borrowing is secured by investments with a fair market value of $181.0 million as of December 31, 2021.

Commercial Whole Loan Facility
On May 5, 2021, the Company amended its Commercial Whole Loan Facility to, among other things, convert the term to a 12-month facility with a stated capacity of up to $100 million. The facility has a 12-month extension option, subject to the lender's consent.
As of December 31, 2021, the Company had approximately $63.7 million in borrowings, with a weighted average interest rate of 2.27% under its Commercial Whole Loan Facility. The borrowing is secured by the performing commercial loans that are held in CRE LLC with an estimated fair market value of $87.1 million as of December 31, 2021.

Financial Metrics
Certain of the Company’s financing arrangements provide the counterparty with the right to terminate the agreement and accelerate amounts due under the associated agreement if the Company does not maintain financial metrics. Although specific to each financing arrangement, typical financial metrics include minimum equity and liquidity requirements, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross-default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. The Company was in compliance with the terms of such financial tests as of December 31, 2021.

As of December 31, 2021, the Company had borrowings under five of its master repurchase agreements. The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2021 and December 31, 2020 (dollars in thousands):
 December 31, 2021December 31, 2020
Securities PledgedRepurchase
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 RMBS$976 1.02 %58$1,418 1.34 %59
Non-Agency CMBS— — %010,313 2.25 %14
Non-Agency RMBS(1)
38,354 2.94 %4— — %0
Residential Whole Loans(2)
1,439 2.57 %529,800 3.71 %15
Residential Bridge Loans(2)
4,368 2.61 %511,254 2.73 %36
Commercial Loans(2)
6,463 3.20 %534,375 3.32 %75
Membership Interest— — %018,844 2.90 %29
Other securities2,457 3.50 %182,594 4.51 %19
Total short term borrowings54,057 2.92 %6108,598 3.19 %39
Long Term Borrowings:
Non-Agency CMBS and Non-Agency RMBS Facility
Non-Agency CMBS(1)
59,802 2.14 %12566,767 5.23 %126
Non-Agency RMBS15,632 2.14 %12514,643 5.23 %126
Other Securities27,506 2.22 %12513,677 5.24 %126
Subtotal102,940 2.16 %12595,087 5.23 %126
Residential Whole Loan Facility
Residential Whole Loans(2)
396,531 2.25 %30830,224 3.00 %278
Commercial Whole Loan Facility
Commercial Loans 63,661 2.27 %268124,937 2.17 %287
Total long term borrowings563,132 2.24 %270250,248 3.74 %225
Repurchase agreements borrowings$617,189 2.30 %247$358,846 3.57 %169
Less unamortized debt issuance costs— N/AN/A1,923 N/AN/A
Repurchase agreements borrowings, net$617,189 2.30 %247$356,923 3.57 %169
(1)Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation.
(2)Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation.


    At December 31, 2021 and December 31, 2020, repurchase agreements collateralized by investments had the following remaining maturities:
(dollars in thousands)December 31, 2021December 31, 2020
1 to 29 days$53,081 $59,856 
30 to 59 days370 13,421 
60 to 89 days606 35,321 
Greater than or equal to 90 days563,132 250,248 
Total$617,189 $358,846 
    At December 31, 2021, 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, 2021
CounterpartyAmount of Collateral
at Risk, at fair
value		Weighted Average
Remaining
Maturity (days)		Percentage of
Stockholders'
Equity
Credit Suisse AG, Cayman Islands Branch$84,150 28043.6 %
Citigroup Global Markets Inc. 78,544 12540.7 %

Collateral for Borrowings under Repurchase Agreements
    The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2021 and December 31, 2020 (dollars in thousands):
 December 31, 2021December 31, 2020
 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 RMBS, at fair value$1,172 $19 $1,191 $1,708 $49 $1,757 
Non-Agency CMBS, at fair value(1)
107,624 504 108,128 152,275 649 152,924 
Non-Agency RMBS, at fair value66,555 343 66,898 25,382 160 25,542 
Residential Whole Loans, at fair value(2)
453,447 2,674 456,121 97,566 543 98,109 
Residential Bridge Loans(2)
5,207 91 5,298 12,960 180 13,140 
Commercial Loans, at fair value(2)
101,459 360 101,819 310,523 1,850 312,373 
Membership interest(3)
— — — 33,690 — 33,690 
Other securities, at fair value51,648 100 51,748 48,754 44 48,798 
Cash(4)
3,151 — 3,151 1,817 — 1,817 
Total$790,263 $4,091 $794,354 $684,675 $3,475 $688,150 
(1)Includes securities eliminated upon VIE consolidation.
(2)Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.
(3)The pledged amount relates to the Company's non-controlling membership interest in its wholly owned subsidiary WMC RETL LLC, which was financed under a repurchase agreement. The membership interest is eliminated in consolidation.
(4)Cash posted as collateral is included in "Due from counterparties" in the Company's Consolidated Balance Sheets.

A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At December 31, 2021 and December 31, 2020, investments held by counterparties as security for repurchase agreements totaled approximately $787.1 million and approximately $682.9 million, respectively. Cash collateral held by counterparties at December 31, 2021 and December 31, 2020 was approximately $3.2 million and $1.8 million, respectively. Cash posted by repurchase agreement counterparties at December 31, 2021 and December 31, 2020 was $0 and $320 thousand, respectively.
Convertible Senior Unsecured Notes
    
6.75% Convertible Senior Unsecured Notes due 2024

In September 2021, the Company issued $86.3 million aggregate principal amount of the 2024 Notes for net proceeds of $83.3 million. Interest on the 2024 Notes is paid semiannually. The 2024 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 2024 Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the 2024 Notes. The initial conversion rate was 337.9520 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $2.96 per share of common stock. The 2024 Notes mature on September 15, 2024, 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.

6.75% Convertible Senior Unsecured Notes due 2022

    At December 31, 2021 and December 31, 2020, the Company had $37.7 million and $175.0 million aggregate principal amount, respectively, of the 2022 Notes outstanding. Interest on the 2022 Notes is paid semiannually. The 2022 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 2022 Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the 2022 Notes. The initial and current 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 2022 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.

The 2022 Notes Exchanges and Repurchases

On July 1, 2020, the Company issued an aggregate of 1,354,084 shares of its common stock, par value $0.01 per share (the “Common Stock”), in exchange for $5.0 million aggregate principal amount of the 2022 Notes pursuant to separate privately negotiated exchange agreements entered into on July 1, 2020 (collectively, the “Exchange Agreement”) between the Company and certain holders of the 2022 Notes. The Company did not receive any cash proceeds as a result of the Exchange Agreement, and the 2022 Notes exchanged pursuant to the Exchange Agreement were retired and cancelled. The common stock was issued in reliance upon the exemption set forth in Section 3(a)(9) of the Securities Act of 1933 for securities exchanged by the Company and an existing security holder where no commission or other remuneration is paid or given directly or indirectly by the Company for soliciting such exchange.

During the quarter ended December 31, 2020, the Company repurchased $25.0 million aggregate principal amount of the 2022 Notes at an approximate 13% discount to par value, plus accrued and unpaid interest.

During the quarter ended March 31, 2021, the Company repurchased $6.7 million aggregate principal amount of the 2022 Notes at an approximate 6.3% discount to par value, plus accrued and unpaid interest.

During August 2021, the Company repurchased $22.3 million aggregate principal amount of the 2022 Notes at an approximate 2.8% discount to par value, plus accrued and unpaid interest.

During September 2021, the Company used the net proceeds from the issuance of the 2024 Notes and $20.3 million in cash on hand to repurchase $100.3 million of the 2022 Notes at par, plus accrued and unpaid interest.

During December 2021, the Company repurchased $8.0 million aggregate principal amount of its 2022 Notes at a 1% premium to par value, plus accrued and unpaid interest.

Securitized Debt

Residential Mortgage-Backed Notes

Arroyo Trust 2019

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, 2021 (dollars in thousands):
 
ClassesPrincipal BalanceCoupon Carrying ValueContractual Maturity
Offered Notes:
Class A-1$277,549 3.3%$277,549 4/25/2049
Class A-214,885 3.5%14,885 4/25/2049
Class A-323,583 3.8%23,583 4/25/2049
Class M-125,055 4.8%25,055 4/25/2049
Subtotal$341,072 $341,072 
Less: Unamortized Deferred Financing CostsN/A3,501 
Total$341,072 $337,571 

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 were eliminated in consolidation. The securitized debt of the Arroyo Trust 2019 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, 2021, Residential Whole Loans, with an outstanding principal balance of approximately $358.9 million, served as collateral for the Arroyo Trust 2019'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.

Arroyo Trust 2020

In June 2020, the Company completed a residential mortgage-backed securitization comprised of $355.8 million of Non-QM Residential Whole Loans, issuing $341.7 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 2020's residential mortgage pass-through certificates at December 31, 2021 (dollars in thousands):
 
ClassesPrincipal BalanceCoupon Carrying ValueContractual Maturity
Offered Notes:
Class A-1A$125,469 1.7%$125,469 3/25/2055
Class A-1B14,888 2.1%14,888 3/25/2055
Class A-213,518 2.9%13,518 3/25/2055
Class A-317,963 3.3%17,963 3/25/2055
Class M-111,739 4.3%11,739 3/25/2055
Subtotal$183,577 $183,577 
Less: Unamortized Deferred Financing CostsN/A2,030 
Total$183,577 $181,547 

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 were eliminated in consolidation. The securitized debt of the Arroyo Trust 2020 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, 2021, Residential Whole Loans, with an outstanding principal balance of approximately $188.2 million serve as collateral for the Arroyo Trust 2020'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 equal to or less than 30% of the original principal balance. The notes are redeemable at their face value plus accrued interest.


Commercial Mortgage-Backed Notes
CSMC 2014 USA

The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at December 31, 2021 (dollars in thousands):
 
ClassesPrincipal BalanceCoupon Fair Value Contractual Maturity
Class A-1$120,391 3.3 %$124,143 9/11/2025
Class A-2531,700 4.0 %559,447 9/11/2025
Class B136,400 4.2 %133,776 9/11/2025
Class C94,500 4.3 %91,460 9/11/2025
Class D153,950 4.4 %142,388 9/11/2025
Class E180,150 4.4 %160,325 9/11/2025
Class F153,600 4.4 %117,912 9/11/2025
Class X-1(1)
n/a0.7 %12,347 9/11/2025
Class X-2(1)
n/a0.2 %2,572 9/11/2025
$1,370,691 $1,344,370 
(1) Class X-1 and Class X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of December 31, 2021, respectively.

At December 31, 2021, the Company owned a portion of the class F certificates with an outstanding principal balance of $14.9 million, which is eliminated in consolidation. The remaining CSMC USA debt that we elected the fair value option had a fair value of $1.3 billion, and is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining outstanding principal balance of $1.4 billion, $198.3 million is owned by related parties and $1.2 billion is owned by third parties. The securitized debt of the CSMC USA can only be settled with the commercial loan with an outstanding principal balance of approximately $1.4 billion at December 31, 2021, 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 changes in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net."