Financings (Tables)

12 Months Ended

Dec. 31, 2021

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, 2021 and December 31, 2020 (dollars in thousands):


	December 31, 2021					December 31, 2020
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 RMBS	$	976	1.02	%	58	$	1,418	1.34	%	59
Non-Agency CMBS	—		—	%	0	10,313		2.25	%	14
Non-Agency RMBS(1)	38,354		2.94	%	4	—		—	%	0
Residential Whole Loans(2)	1,439		2.57	%	5	29,800		3.71	%	15
Residential Bridge Loans(2)	4,368		2.61	%	5	11,254		2.73	%	36
Commercial Loans(2)	6,463		3.20	%	5	34,375		3.32	%	75

Membership Interest	—		—	%	0	18,844		2.90	%	29
Other securities	2,457		3.50	%	18	2,594		4.51	%	19
Total short term borrowings	54,057		2.92	%	6	108,598		3.19	%	39
Long Term Borrowings:
Non-Agency CMBS and Non-Agency RMBS Facility
Non-Agency CMBS(1)	59,802		2.14	%	125	66,767		5.23	%	126
Non-Agency RMBS	15,632		2.14	%	125	14,643		5.23	%	126
Other Securities	27,506		2.22	%	125	13,677		5.24	%	126
Subtotal	102,940		2.16	%	125	95,087		5.23	%	126
Residential Whole Loan Facility
Residential Whole Loans(2)	396,531		2.25	%	308	30,224		3.00	%	278
Commercial Whole Loan Facility
Commercial Loans	63,661		2.27	%	268	124,937		2.17	%	287
Total long term borrowings	563,132		2.24	%	270	250,248		3.74	%	225
Repurchase agreements borrowings	$	617,189	2.30	%	247	$	358,846	3.57	%	169
Less unamortized debt issuance costs	—		N/A		N/A	1,923		N/A		N/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.

Schedule of repurchase agreements collateralized by investments

At December 31, 2021 and December 31, 2020, repurchase agreements collateralized by investments had the following remaining maturities:


(dollars in thousands)	December 31, 2021		December 31, 2020

1 to 29 days	$	53,081	$	59,856
30 to 59 days	370		13,421
60 to 89 days	606		35,321

Greater than or equal to 90 days	563,132		250,248
Total	$	617,189	$	358,846

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, 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
Counterparty	Amount of Collateral at Risk, at fair value		Weighted Average Remaining Maturity (days)	Percentage of Stockholders' Equity
Credit Suisse AG, Cayman Islands Branch	$	84,150	280	43.6	%
Citigroup Global Markets Inc.	78,544		125	40.7	%

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, 2021 and December 31, 2020 (dollars in thousands):


	December 31, 2021						December 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 value	66,555		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 value	51,648		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.

Schedule of commercial mortgage pass-through certificates

The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates at December 31, 2021 (dollars in thousands):


Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1	$	277,549	3.3%	$	277,549	4/25/2049
Class A-2	14,885		3.5%	14,885		4/25/2049
Class A-3	23,583		3.8%	23,583		4/25/2049
Class M-1	25,055		4.8%	25,055		4/25/2049
Subtotal	$	341,072		$	341,072
Less: Unamortized Deferred Financing Costs	N/A			3,501
Total	$	341,072		$	337,571

The following table summarizes the issued Arroyo Trust 2020's residential mortgage pass-through certificates at December 31, 2021 (dollars in thousands):


Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1A	$	125,469	1.7%	$	125,469	3/25/2055
Class A-1B	14,888		2.1%	14,888		3/25/2055
Class A-2	13,518		2.9%	13,518		3/25/2055
Class A-3	17,963		3.3%	17,963		3/25/2055
Class M-1	11,739		4.3%	11,739		3/25/2055
Subtotal	$	183,577		$	183,577
Less: Unamortized Deferred Financing Costs	N/A			2,030
Total	$	183,577		$	181,547

The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at December 31, 2021 (dollars in thousands):


Classes	Principal Balance		Coupon		Fair Value		Contractual Maturity
Class A-1	$	120,391	3.3	%	$	124,143	9/11/2025
Class A-2	531,700		4.0	%	559,447		9/11/2025
Class B	136,400		4.2	%	133,776		9/11/2025
Class C	94,500		4.3	%	91,460		9/11/2025
Class D	153,950		4.4	%	142,388		9/11/2025
Class E	180,150		4.4	%	160,325		9/11/2025
Class F	153,600		4.4	%	117,912		9/11/2025
Class X-1(1)	n/a		0.7	%	12,347		9/11/2025
Class X-2(1)	n/a		0.2	%	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.