Financings (Tables)

6 Months Ended

Jun. 30, 2022

Summary of certain characteristics of the Company's repurchase agreements

The following table summarizes certain characteristics of the Company’s repurchase agreements at June 30, 2022 and December 31, 2021 (dollars in thousands):


	June 30, 2022					December 31, 2021
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	$	329	1.82	%	32	$	976	1.02	%	58

Non-Agency RMBS (1)	31,628		3.44	%	1	38,354		2.94	%	4
Residential Whole Loans (2)	1,116		4.12	%	26	1,439		2.57	%	5
Residential Bridge Loans (2)	4,166		4.13	%	26	4,368		2.61	%	5
Commercial Loans (2)	6,463		4.73	%	26	6,463		3.20	%	5
Other Securities	2,126		4.09	%	18	2,457		3.50	%	18
Total short-term borrowings	45,828		3.72	%	8	54,057		2.92	%	6
Long-Term Borrowings:
Non-Agency CMBS and Non-Agency RMBS Facility
Non-Agency CMBS (1)	55,155		2.28	%	234	59,802		2.14	%	125
Non-Agency RMBS	21,943		2.28	%	307	15,632		2.14	%	125
Other Securities	23,948		2.28	%	308	27,506		2.22	%	125
Subtotal	101,046		2.28	%	267	102,940		2.16	%	125
Residential Whole Loan Facility
Residential Whole Loans (2)	344,544		3.61	%	127	396,531		2.25	%	308
Commercial Whole Loan Facility
Commercial Loans	63,658		2.64	%	87	63,661		2.27	%	268
Total long-term borrowings	509,248		3.23	%	150	563,132		2.24	%	270
Repurchase Agreements Borrowings	$	555,076	3.27	%	138	$	617,189	2.30	%	247
Less Unamortized Debt Issuance Costs	—		N/A		N/A	—		N/A		N/A
Repurchase Agreements Borrowings, net	$	555,076	3.27	%	138	$	617,189	2.30	%	247

(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 June 30, 2022 and December 31, 2021, repurchase agreements collateralized by investments had the following remaining maturities:


(dollars in thousands)	June 30, 2022		December 31, 2021

1 to 29 days	$	54,127	$	53,081
30 to 59 days	30,257		370
60 to 89 days	—		606

Greater than or equal to 90 days	470,692		563,132
Total	$	555,076	$	617,189

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

At June 30, 2022, 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):


	June 30, 2022
Counterparty	Amount of Collateral at Risk, at fair value		Weighted Average Remaining Maturity (days)	Percentage of Stockholders’ Equity
Credit Suisse AG, Cayman Islands Branch	$	82,801	112	59.0	%
Citigroup Global Markets Inc.	60,229		267	42.9	%

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 June 30, 2022 and December 31, 2021 (dollars in thousands):


	June 30, 2022						December 31, 2021
	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	$	264	$	6	$	270	$	1,172	$	19	$	1,191
Non-Agency CMBS, at fair value(1)	94,809		413		95,222		107,624		504		108,128
Non-Agency RMBS, at fair value	63,469		334		63,803		66,555		343		66,898
Residential Whole Loans, at fair value(2)	402,870		2,949		405,819		453,447		2,674		456,121
Residential Bridge Loans(2)	5,095		66		5,161		5,207		91		5,298
Commercial Loans, at fair value(2)	101,487		346		101,833		101,459		360		101,819


Other securities, at fair value	40,534		75		40,609		51,648		100		51,748
Cash(3)	784		—		784		3,151		—		3,151
Total	$	709,312	$	4,189	$	713,501	$	790,263	$	4,091	$	794,354

(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)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 2019's residential mortgage pass-through certificates at June 30, 2022 (dollars in thousands):


Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1	$	203,885	3.3%	$	203,885	4/25/2049
Class A-2	10,934		3.5%	10,934		4/25/2049
Class A-3	17,323		3.8%	17,323		4/25/2049
Class M-1	25,055		4.8%	25,055		4/25/2049
Subtotal	$	257,197		$	257,197
Less: Unamortized Deferred Financing Costs	N/A			3,056
Total	$	257,197		$	254,141

The following table summarizes the issued Arroyo Trust 2020's residential mortgage pass-through certificates at June 30, 2022 (dollars in thousands):


Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1A	$	82,908	1.7%	$	82,908	3/25/2055
Class A-1B	9,838		2.1%	9,838		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	$	135,966		$	135,966
Less: Unamortized Deferred Financing Costs	N/A			1,788
Total	$	135,966		$	134,178

The following table summarizes the issued Arroyo Trust 2022-1's residential mortgage pass-through certificates at June 30, 2022 (dollars in thousands):


Classes	Principal Balance		Coupon	Fair Value		Contractual Maturity
Offered Notes:
Class A-1A	$	223,469	2.5%	$	211,365	12/25/2056
Class A-1B	82,942		3.3%	74,912		12/25/2056
Class A-2	21,168		3.6%	18,250		12/25/2056
Class A-3	28,079		3.7%	23,241		12/25/2056
Class M-1	17,928		3.7%	14,000		12/25/2056


Total	$	373,586		$	341,768

The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at June 30, 2022 (dollars in thousands):


Classes	Principal Balance		Coupon		Fair Value		Contractual Maturity
Class A-1	$	120,391	3.3	%	$	112,237	9/11/2025
Class A-2	531,700		4.0	%	502,516		9/11/2025
Class B	136,400		4.2	%	125,513		9/11/2025
Class C	94,500		4.3	%	83,954		9/11/2025
Class D	153,950		4.4	%	142,388		9/11/2025
Class E	180,150		4.4	%	141,159		9/11/2025
Class F	153,600		4.4	%	110,014		9/11/2025
Class X-1(1)	N/A		0.5	%	12,347		9/11/2025
Class X-2(1)	N/A		—	%	2,572		9/11/2025
	$	1,370,691			$	1,232,700

(1) Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of June 30, 2022, respectively.