Document And Entity Information
Document And Entity Information - shares | 9 Months Ended | |
Sep. 30, 2018 | Nov. 06, 2018 | |
Document and Entity Information [Abstract] | ||
Entity Registrant Name | NEW YORK MORTGAGE TRUST INC | |
Document Type | 10-Q | |
Current Fiscal Year End Date | --12-31 | |
Entity Common Stock, Shares Outstanding | 141,214,528 | |
Amendment Flag | false | |
Entity Emerging Growth Company | false | |
Entity Small Business | false | |
Entity Central Index Key | 1,273,685 | |
Entity Filer Category | Large Accelerated Filer | |
Document Period End Date | Sep. 30, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q3 |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
ASSETS | |||
Investment securities, available for sale, at fair value (including pledged securities of $899,065 and $1,076,187, as of September 30, 2018 and December 31, 2017, respectively, and $51,751 and $47,922 held in securitization trusts as of September 30, 2018 and December 31, 2017, respectively) | $ 1,287,188 | $ 1,413,081 | |
Multi-family loans held in securitization trusts, at fair value | 10,070,834 | 9,657,421 | |
Derivative assets | 8,760 | 10,101 | |
Cash and cash equivalents | 57,471 | 95,191 | |
Investment in unconsolidated entities | 43,736 | 51,143 | |
Preferred equity and mezzanine loan investments | 198,277 | 138,920 | |
Real estate held for sale in consolidated variable interest entities | 29,558 | 64,202 | |
Goodwill | 25,222 | 25,222 | |
Receivables and other assets | 102,659 | 108,567 | |
Total Assets | [1] | 12,326,911 | 12,056,285 |
Liabilities: | |||
Financing arrangements | 1,130,659 | 1,276,918 | |
Securitized debt | 53,597 | 81,537 | |
Mortgages and notes payable in consolidated variable interest entities | 32,486 | 57,124 | |
Accrued expenses and other liabilities | 88,186 | 82,126 | |
Subordinated debentures | 45,000 | 45,000 | |
Convertible notes | 130,251 | 128,749 | |
Total Liabilities | [1] | 11,218,222 | 11,080,284 |
Commitments and Contingencies | |||
Stockholders' Equity: | |||
Common stock, $0.01 par value, 400,000,000 shares authorized, 141,214,528 and 111,909,909 shares issued and outstanding as of September 30, 2018 and December 31, 2017, respectively | 1,412 | 1,119 | |
Additional paid-in capital | 927,585 | 751,155 | |
Accumulated other comprehensive (loss) income | (35,323) | 5,553 | |
Accumulated deficit | (75,736) | (75,717) | |
Company's stockholders' equity | 1,107,693 | 971,865 | |
Non-controlling interest in consolidated variable interest entities | 996 | 4,136 | |
Total equity | 1,108,689 | 976,001 | |
Total Liabilities and Stockholders' Equity | 12,326,911 | 12,056,285 | |
Series B Preferred Stock | |||
Stockholders' Equity: | |||
Preferred stock | 72,397 | 72,397 | |
Series C Preferred Stock | |||
Stockholders' Equity: | |||
Preferred stock | 86,862 | 86,862 | |
Series D Preferred Stock | |||
Stockholders' Equity: | |||
Preferred stock | 130,496 | 130,496 | |
Financing arrangements, portfolio investments | |||
Liabilities: | |||
Financing arrangements | 1,130,659 | 1,276,918 | |
Financing arrangements, residential mortgage loans | |||
Liabilities: | |||
Financing arrangements | 177,226 | 149,063 | |
Residential collateralized debt obligations | |||
Liabilities: | |||
Collateralized debt obligations | 56,504 | 70,308 | |
Multi-family collateralized debt obligations, at fair value | |||
Liabilities: | |||
Collateralized debt obligations | 9,504,313 | 9,189,459 | |
Residential mortgage loans held in securitization trusts, net | |||
ASSETS | |||
Residential mortgage loans, net | 60,459 | 73,820 | |
Residential mortgage loans, at fair value | |||
ASSETS | |||
Residential mortgage loans, net | 181,910 | 87,153 | |
Distressed residential mortgage loans, net (including $96,493 and $121,791 held in securitization trusts as of September 30, 2018 and December 31, 2017, respectively) | |||
ASSETS | |||
Residential mortgage loans, net | $ 260,837 | $ 331,464 | |
[1] | Our condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of September 30, 2018 and December 31, 2017, assets of consolidated VIEs totaled $10,381,126 and $10,041,468, respectively, and the liabilities of consolidated VIEs totaled $9,680,332 and $9,436,421, respectively. See Note 10 for further discussion. |
CONDENSED CONSOLIDATED BALANC_2
CONDENSED CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Distressed residential mortgage loans held in securitization trusts, carrying amount | $ 96,493 | $ 121,791 |
Assets of consolidated VIEs | 10,381,126 | 10,041,468 |
Liabilities of consolidated VIEs | $ 9,680,332 | $ 9,436,421 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 200,000,000 | 200,000,000 |
Preferred stock, shares issued (in shares) | 12,000,000 | 12,000,000 |
Preferred stock, shares outstanding (in shares) | 12,000,000 | |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 400,000,000 | 400,000,000 |
Common stock, shares issued (in shares) | 141,214,528 | 111,909,909 |
Common stock, shares outstanding (in shares) | 141,214,528 | 111,909,909 |
Series B Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, cumulative redeemable dividend rate | 7.75% | 7.75% |
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | $ 25 |
Preferred stock, shares authorized (in shares) | 6,000,000 | 6,000,000 |
Preferred stock, shares issued (in shares) | 3,000,000 | 3,000,000 |
Preferred stock, shares outstanding (in shares) | 3,000,000 | 3,000,000 |
Series C Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, cumulative redeemable dividend rate | 7.875% | 7.875% |
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | $ 25 |
Preferred stock, shares authorized (in shares) | 4,140,000 | 4,140,000 |
Preferred stock, shares issued (in shares) | 3,600,000 | 3,600,000 |
Preferred stock, shares outstanding (in shares) | 3,600,000 | 3,600,000 |
Series D Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, cumulative redeemable dividend rate | 8.00% | 8.00% |
Preferred stock, liquidation preference per share (in dollars per share) | $ 25 | $ 25 |
Preferred stock, shares authorized (in shares) | 5,750,000 | 5,750,000 |
Preferred stock, shares issued (in shares) | 5,400,000 | 5,400,000 |
Preferred stock, shares outstanding (in shares) | 5,400,000 | 5,400,000 |
Collateral Pledged | ||
Pledged securities | $ 899,065 | $ 1,076,187 |
Available-for-sale securities | ||
Investment securities, available for sale held in securitization trusts | $ 51,751 | $ 47,922 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
INTEREST INCOME: | ||||
Investment securities and other | $ 17,021 | $ 9,716 | $ 50,269 | $ 29,716 |
Total interest income | 110,249 | 91,382 | 326,863 | 263,748 |
INTEREST EXPENSE: | ||||
Investment securities and other | 10,548 | 5,759 | 30,673 | 17,132 |
Total interest expense | 90,646 | 78,062 | 270,009 | 220,801 |
NET INTEREST INCOME | 19,603 | 13,320 | 56,854 | 42,947 |
OTHER INCOME (LOSS): | ||||
Recovery of loan losses | (840) | (563) | (1,235) | (452) |
Realized gain (loss) on investment securities and related hedges, net | 299 | 4,059 | (11,778) | 3,951 |
Realized gain on distressed residential mortgage loans at carrying value, net | 1,806 | 6,689 | 3,054 | 21,024 |
Net gain on residential mortgage loans at fair value | 643 | 717 | 573 | 717 |
Unrealized gain on investment securities and related hedges, net | 2,275 | 1,192 | 26,574 | 1,687 |
Unrealized gain on multi-family loans and debt held in securitization trusts, net | 12,303 | 2,353 | 31,867 | 5,184 |
Income from operating real estate and real estate held for sale in consolidated variable interest entities | 1,380 | 2,429 | 4,759 | 4,746 |
Other income | 4,757 | 6,916 | 8,981 | 12,037 |
Total other income | 24,303 | 24,918 | 65,265 | 49,798 |
GENERAL, ADMINISTRATIVE AND OPERATING EXPENSES: | ||||
General and administrative expenses | 6,196 | 4,242 | 16,129 | 14,196 |
Base management and incentive fees | 844 | 1,386 | 2,486 | 4,355 |
Expenses related to distressed residential mortgage loans | 2,117 | 2,225 | 5,531 | 6,682 |
Expenses related to operating real estate and real estate held for sale in consolidated variable interest entities | 755 | 3,143 | 3,234 | 7,558 |
Total general, administrative and operating expenses | 9,912 | 10,996 | 27,380 | 32,791 |
INCOME FROM OPERATIONS BEFORE INCOME TAXES | 33,994 | 27,242 | 94,739 | 59,954 |
Income tax (benefit) expense | (454) | 507 | (547) | 2,187 |
NET INCOME | 34,448 | 26,735 | 95,286 | 57,767 |
Net (income) loss attributable to non-controlling interest in consolidated variable interest entities | (475) | 1,110 | (2,001) | 3,597 |
NET INCOME ATTRIBUTABLE TO COMPANY | 33,973 | 27,845 | 93,285 | 61,364 |
Preferred stock dividends | (5,925) | (3,225) | (17,775) | (9,675) |
NET INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS | $ 28,048 | $ 24,620 | $ 75,510 | $ 51,689 |
Basic earnings per common share (in dollars per share) | $ 0.21 | $ 0.22 | $ 0.63 | $ 0.46 |
Diluted earnings per common share (in dollars per share) | $ 0.20 | $ 0.21 | $ 0.60 | $ 0.45 |
Weighted average shares outstanding-basic (in shares) | 132,413 | 111,886 | 119,955 | 111,824 |
Weighted average shares outstanding-diluted (in shares) | 152,727 | 131,580 | 140,044 | 129,931 |
Convertible notes | ||||
INTEREST EXPENSE: | ||||
Interest expense | $ 2,669 | $ 2,630 | $ 7,971 | $ 7,220 |
Securitized debt | ||||
INTEREST EXPENSE: | ||||
Interest expense | 1,110 | 1,651 | 3,684 | 5,937 |
Subordinated debentures | ||||
INTEREST EXPENSE: | ||||
Subordinated debentures | 712 | 589 | 2,023 | 1,699 |
Multi-family loans held in securitization trusts | ||||
INTEREST INCOME: | ||||
Interest income | 86,458 | 76,186 | 257,179 | 213,242 |
Residential mortgage loans | ||||
INTEREST INCOME: | ||||
Interest income | 2,844 | 1,556 | 7,415 | 4,163 |
Distressed residential mortgage loans | ||||
INTEREST INCOME: | ||||
Interest income | 3,926 | 3,924 | 12,000 | 16,627 |
Multi-family collateralized debt obligations | ||||
INTEREST EXPENSE: | ||||
Interest expense | 75,145 | 67,030 | 224,310 | 187,835 |
Residential collateralized debt obligations | ||||
INTEREST EXPENSE: | ||||
Interest expense | $ 462 | $ 403 | $ 1,348 | $ 978 |
CONDENSED CONSOLIDATED STATEM_2
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Income Statement [Abstract] | ||||
NET INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS | $ 28,048 | $ 24,620 | $ 75,510 | $ 51,689 |
OTHER COMPREHENSIVE (LOSS) INCOME | ||||
(Decrease) increase in fair value of available for sale securities | (9,874) | 4,560 | (40,876) | 11,946 |
Reclassification adjustment for net gain included in net income | 0 | (3,538) | 0 | (4,298) |
Decrease in fair value of derivative instruments utilized for cash flow hedges | 0 | (176) | 0 | (84) |
TOTAL OTHER COMPREHENSIVE (LOSS) INCOME | (9,874) | 846 | (40,876) | 7,564 |
COMPREHENSIVE INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS | $ 18,174 | $ 25,466 | $ 34,634 | $ 59,253 |
CONDENSED CONSOLIDATED STATEM_3
CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS' EQUITY - 9 months ended Sep. 30, 2018 - USD ($) $ in Thousands | Total | Common Stock | Preferred Stock | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit) | Accumulated Other Comprehensive Income (Loss) | Total Company Stockholders' Equity | Non-Controlling Interest in Consolidated VIE |
Beginning balance at Dec. 31, 2017 | $ 976,001 | $ 1,119 | $ 289,755 | $ 751,155 | $ (75,717) | $ 5,553 | $ 971,865 | $ 4,136 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Net income | 95,286 | 93,285 | 93,285 | 2,001 | ||||
Common stock issuance, net | 176,723 | 293 | 0 | 176,430 | 176,723 | |||
Dividends declared on common stock | (75,529) | (75,529) | (75,529) | |||||
Dividends declared on preferred stock | (17,775) | (17,775) | (17,775) | |||||
Decrease in fair value of available for sale securities | (40,876) | (40,876) | (40,876) | |||||
Decrease in non-controlling interest related to distributions from and de-consolidation of variable interest entities | (5,141) | (5,141) | ||||||
Ending balance at Sep. 30, 2018 | $ 1,108,689 | $ 1,412 | $ 289,755 | $ 927,585 | $ (75,736) | $ (35,323) | $ 1,107,693 | $ 996 |
CONDENSED CONSOLIDATED STATEM_4
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Cash Flows from Operating Activities: | ||
Net income | $ 95,286 | $ 57,767 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Net (accretion) amortization | (19,109) | 2,248 |
Realized loss (gain) on investment securities and related hedges, net | 11,778 | (3,951) |
Net gain on distressed residential mortgage and residential mortgage loans | (3,627) | (21,741) |
Unrealized gain on investment securities and related hedges, net | (26,574) | (1,687) |
Gain on sale of real estate held for sale in consolidated variable interest entities | (2,328) | 0 |
Impairment of real estate under development in consolidated variable interest entities | 2,091 | 0 |
Unrealized gain on loans and debt held in multi-family securitization trusts | (31,867) | (5,184) |
Net decrease in loans held for sale | 1,492 | 24 |
Recovery of loan losses | (1,235) | (452) |
Income from unconsolidated entity, preferred equity and mezzanine loan investments | (24,020) | (21,507) |
Distributions of income from unconsolidated entity, preferred equity and mezzanine loan investments | 15,957 | 17,348 |
Amortization of stock based compensation, net | 1,906 | 1,268 |
Changes in operating assets and liabilities: | ||
Receivables and other assets | (995) | (7,823) |
Accrued expenses and other liabilities | 326 | 9,875 |
Net cash provided by operating activities | 19,081 | 26,185 |
Cash Flows from Investing Activities: | ||
Cash received from initial consolidation of variable interest entities | 0 | 112 |
Net proceeds from sale of real estate in consolidated variable interest entities | 33,192 | 0 |
Proceeds from sales of investment securities | 26,899 | 100,937 |
Purchases of investment securities | (140,241) | (129,923) |
Purchases of other assets | (131) | (23) |
Capital expenditures on operating real estate and real estate held for sale in consolidated variable interest entities | (311) | (191) |
Funding of preferred equity, equity and mezzanine loan investments | (65,668) | (45,101) |
Principal repayments received on preferred equity and mezzanine loan investments | 9,543 | 18,947 |
Return of capital from unconsolidated entity investments | 11,871 | 23,395 |
Net proceeds from other derivative instruments settled during the period | 17,719 | 3,950 |
Principal paydowns on investment securities - available for sale | 193,070 | 170,133 |
Proceeds from sale of real estate owned | 3,183 | 5,656 |
Net cash provided by investing activities | 141,234 | 299,227 |
Cash Flows from Financing Activities: | ||
Net payments made on financing arrangements | (118,596) | (197,590) |
Proceeds from issuance of convertible notes | 0 | 126,995 |
Common stock issuance, net | 174,995 | 574 |
Payments made on mortgages and notes payable in consolidated variable interest entities | (25,781) | (266) |
Proceeds from mortgages and notes payable in consolidated variable interest entities | 1,130 | 4,425 |
Payments of secured debt | (29,170) | (62,098) |
Net cash used in financing activities | (200,742) | (328,950) |
Net Decrease in Cash, Cash Equivalents and Restricted Cash | (40,427) | (3,538) |
Cash, Cash Equivalents and Restricted Cash - Beginning of Period | 106,195 | 139,530 |
Cash, Cash Equivalents and Restricted Cash - End of Period | 65,768 | 135,992 |
Supplemental Disclosure: | ||
Cash paid for interest | 308,346 | 245,891 |
Cash paid for income taxes | 1,711 | 2,153 |
Non-Cash Investment Activities: | ||
Sales of investment securities not yet settled | 0 | 1,261 |
Purchase of investment securities not yet settled | 0 | 181,718 |
Transfer from residential loans to real estate owned | 5,805 | 6,221 |
Cash, Cash Equivalents and Restricted Cash Reconciliation: | ||
Total cash, cash equivalents, and restricted cash | 106,195 | 139,530 |
Multi-family collateralized debt obligations | ||
Non-Cash Investment Activities: | ||
Consolidation of multi-family collateralized debt obligations | 767,477 | 1,472,073 |
Multi-family loans held in securitization trust | ||
Non-Cash Investment Activities: | ||
Consolidation of multi-family loans held in securitization trusts | 805,163 | 1,537,526 |
Common Stock | ||
Cash Flows from Financing Activities: | ||
Dividends paid on stock | (69,668) | (71,501) |
Preferred Stock | ||
Cash Flows from Financing Activities: | ||
Dividends paid on stock | (17,835) | (9,675) |
Distressed residential mortgage loans | ||
Cash Flows from Investing Activities: | ||
Principal repayments received on loans | 13,367 | 14,190 |
Purchases of residential mortgage loans and distressed residential mortgage loans | (118,679) | (81,472) |
Distressed residential mortgage loans held in securitization trusts, net | ||
Cash Flows from Investing Activities: | ||
Principal repayments received on loans | 93,153 | 179,108 |
Multi-family collateralized debt obligations | ||
Cash Flows from Investing Activities: | ||
Principal repayments received on loans | 101,953 | 104,962 |
Multi-family loans held in securitization trust | ||
Cash Flows from Investing Activities: | ||
Purchases of residential mortgage loans and distressed residential mortgage loans | (37,686) | (65,453) |
Residential collateralized debt obligations | ||
Cash Flows from Financing Activities: | ||
Payments of secured debt | (13,859) | (14,856) |
Collateralized debt obligation | ||
Cash Flows from Financing Activities: | ||
Payments of secured debt | $ (101,958) | $ (104,958) |
Organization
Organization | 9 Months Ended |
Sep. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization New York Mortgage Trust, Inc., together with its consolidated subsidiaries ("NYMT," "we," "our," or the “Company"), is a real estate investment trust, or REIT, in the business of acquiring, investing in, financing and managing mortgage-related and residential housing-related assets. Our objective is to deliver long-term stable distributions to our stockholders over changing economic conditions through a combination of net interest margin and net realized capital gains from a diversified investment portfolio. Our portfolio includes, without limitation, residential mortgage loans, including distressed residential and second mortgage loans, multi-family CMBS, preferred equity and joint venture equity investments in, and mezzanine loans to, owners of multi-family properties, equity and debt securities issued by entities that invest in residential and commercial real estate, non-Agency RMBS, and Agency RMBS consisting of fixed-rate, adjustable-rate and hybrid adjustable-rate RMBS. The Company conducts its business through the parent company, New York Mortgage Trust, Inc., and several subsidiaries, including special purpose subsidiaries established for residential loan, distressed residential loan and CMBS securitization purposes, taxable REIT subsidiaries ("TRSs") and qualified REIT subsidiaries ("QRSs"). The Company consolidates all of its subsidiaries under generally accepted accounting principles in the United States of America (“GAAP”). The Company is organized and conducts its operations to qualify as a REIT for federal income tax purposes. As such, the Company will generally not be subject to federal income taxes on that portion of its income that is distributed to stockholders if it distributes at least 90% of its REIT taxable income to its stockholders by the due date of its federal income tax return and complies with various other requirements. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Definitions – The following defines certain of the commonly used terms in these financial statements: “RMBS” refers to residential mortgage-backed securities comprised of adjustable-rate, hybrid adjustable-rate, fixed-rate, interest only and inverse interest only and principal only securities; “Agency RMBS” refers to RMBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by a government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. government, such as the Government National Mortgage Association (“Ginnie Mae”); “non-Agency RMBS” refers to RMBS backed by prime jumbo residential mortgage loans, including performing, re-performing and non-performing mortgage loans; "IO RMBS" refers to RMBS comprised of IOs; “IOs” refers collectively to interest only and inverse interest only mortgage-backed securities that represent the right to the interest component of the cash flow from a pool of mortgage loans; “POs” refers to mortgage-backed securities that represent the right to the principal component of the cash flow from a pool of mortgage loans; “Agency IOs” refers to Agency RMBS comprised of IO RMBS; “ARMs” refers to adjustable-rate residential mortgage loans; “prime ARM loans” and “residential securitized loans” each refer to prime credit quality residential ARM loans held in our securitization trusts; “Agency ARMs” refers to Agency RMBS comprised of adjustable-rate and hybrid adjustable-rate RMBS; “Agency fixed-rate RMBS” refers to Agency RMBS comprised of fixed-rate RMBS; “CMBS” refers to commercial mortgage-backed securities comprised of commercial mortgage pass-through securities, as well as IO or PO securities that represent the right to a specific component of the cash flow from a pool of commercial mortgage loans; “Multi-family CMBS” refers to CMBS backed by commercial mortgage loans on multi-family properties; “CDOs” refers to collateralized debt obligations; and “CLO” refers to collateralized loan obligations. Basis of Presentation – The accompanying condensed consolidated balance sheet as of December 31, 2017 has been derived from audited financial statements. The accompanying condensed consolidated balance sheet as of September 30, 2018 , the accompanying condensed consolidated statements of operations for the three and nine months ended September 30, 2018 and 2017 , the accompanying condensed consolidated statements of comprehensive income for the three and nine months ended September 30, 2018 and 2017 , the accompanying condensed consolidated statement of changes in stockholders’ equity for the nine months ended September 30, 2018 and the accompanying condensed consolidated statements of cash flows for the nine months ended September 30, 2018 and 2017 are unaudited. In our opinion, all adjustments (which include only normal recurring adjustments) necessary to present fairly the Company’s financial position, results of operations and cash flows have been made. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP have been condensed or omitted in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. These condensed consolidated financial statements should be read in conjunction with the audited consolidated financial statements and notes thereto included in our Annual Report on Form 10-K for the year ended December 31, 2017 , as filed with the U.S. Securities and Exchange Commission (“SEC”). The results of operations for the three and nine months ended September 30, 2018 are not necessarily indicative of the operating results for the full year. The accompanying condensed consolidated financial statements have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Management has made significant estimates in several areas, including valuation of its CMBS investments, multi-family loans held in securitization trusts and multi-family CDOs, as well as, income recognition on distressed residential mortgage loans purchased at a discount. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially impact the Company’s results of operations and its financial condition. Reclassifications – Certain prior period amounts have been reclassified in the condensed consolidated financial statements to conform to current period presentation. Principles of Consolidation and Variable Interest Entities – The accompanying condensed consolidated financial statements of the Company include the accounts of all its subsidiaries which are majority-owned, controlled by the Company or a variable interest entity ("VIE") where the Company is the primary beneficiary. All significant intercompany accounts and transactions have been eliminated in consolidation. A VIE is an entity that lacks one or more of the characteristics of a voting interest entity. A VIE is defined as an entity in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The Company consolidates a VIE when it is the primary beneficiary of such VIE, herein referred to as a "Consolidated VIE". As primary beneficiary, the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. Business Combinations – The Company evaluates each purchase transaction to determine whether the acquired assets meet the definition of a business. The Company accounts for business combinations by applying the acquisition method in accordance with Accounting Standards Codification (“ASC”) 805, Business Combinations ("ASC 805"). Transaction costs related to acquisition of a business are expensed as incurred and excluded from the fair value of consideration transferred. The identifiable assets acquired, liabilities assumed and non-controlling interests, if any, in an acquired entity are recognized and measured at their estimated fair values. The excess of the fair value of consideration transferred over the fair values of identifiable assets acquired, liabilities assumed and non-controlling interests, if any, in an acquired entity, net of fair value of any previously held interest in the acquired entity, is recorded as goodwill. Such valuations require management to make significant estimates and assumptions, especially with respect to intangible assets and liabilities. Contingent consideration is classified as a liability or equity, as applicable. Contingent consideration in connection with the acquisition of a business is measured at fair value on acquisition date, and unless classified as equity, is remeasured at fair value each reporting period thereafter until the consideration is settled, with changes in fair value included in net income. Net cash paid to acquire a business is classified as investing activities on the accompanying condensed consolidated statements of cash flows. On March 31, 2017 , the Company determined that it became the primary beneficiary of 200 RHC Hoover, LLC ("Riverchase Landing") and The Clusters, LLC ("The Clusters"), two VIEs that each own a multi-family apartment community and in which the Company held preferred equity investments. Accordingly, on this date, the Company consolidated both Riverchase Landing and The Clusters into its condensed consolidated financial statements in accordance with ASC 810, Consolidation ("ASC 810"). These transactions were accounted for by applying the acquisition method for business combinations under ASC 805 ( see Note 10 ). In March 2018, Riverchase Landing completed the sale of its multi-family apartment community and redeemed the Company's preferred equity investment. The Company de-consolidated Riverchase Landing as of the date of the sale. Investment Securities Available for Sale – The Company's investment securities, where the fair value option has not been elected and which are reported at fair value with unrealized gains and losses reported in Other Comprehensive Income (“OCI”), include Agency RMBS, non-Agency RMBS and CMBS. The Company has elected the fair value option for its Agency IOs and certain Agency ARMs and Agency fixed-rate RMBS which were transferred from our Agency IO portfolio, which measures unrealized gains and losses through earnings in the accompanying condensed consolidated statements of operations. The fair value option was elected for these investment securities to better match the accounting for these investment securities with the related derivative instruments within the Agency IO portfolio, which are not designated as hedging instruments for accounting purposes. As of September 30, 2018 , the Company fully exited its Agency IO strategy. The Company generally intends to hold its investment securities until maturity; however, from time to time, it may sell any of its securities as part of the overall management of its business. As a result, our investment securities are classified as available for sale securities. Realized gains and losses recorded on the sale of investment securities available for sale are based on the specific identification method and included in realized gain (loss) on investment securities and related hedges in the accompanying condensed consolidated statements of operations. Interest income on our investment securities available for sale is accrued based on the outstanding principal balance and their contractual terms. Purchase premiums or discounts on investment securities are amortized or accreted to interest income over the estimated life of the investment securities using the effective yield method. Adjustments to amortization are made for actual prepayment activity. Interest income on certain of our credit sensitive securities, such as our CMBS that were purchased at a discount to par value, is recognized based on the security’s effective yield. The effective yield on these securities is based on management’s estimate of the projected cash flows from each security, which are estimated based on assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, management reviews and, if appropriate, adjusts its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield (or interest income) recognized on these securities. A portion of the purchase discount on the Company’s first loss PO multi-family CMBS is designated as non-accretable purchase discount or credit reserve, which is intended to partially mitigate the Company’s risk of loss on the mortgages collateralizing such multi-family CMBS, and is not expected to be accreted into interest income. The amount designated as a credit reserve may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit reserve is more favorable than forecasted, a portion of the amount designated as credit reserve may be accreted into interest income over time. Conversely, if the performance of a security with a credit reserve is less favorable than forecasted, the amount designated as credit reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could be required. The Company accounts for debt securities that are of high credit quality (generally those rated AA or better by a Nationally Recognized Statistical Rating Organization, or NRSRO) at date of acquisition in accordance with ASC 320-10, Investments - Debt and Equity Securities ("ASC 320-10"). The Company accounts for debt securities that are not of high credit quality (i.e., those whose risk of loss is less than remote) or securities that can be contractually prepaid such that we would not recover our initial investment at the date of acquisition in accordance with ASC 325-40, Investments - Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company considers credit ratings, the underlying credit risk and other market factors in determining whether the debt securities are of high credit quality; however, securities rated lower than AA or an equivalent rating are not considered of high credit quality and are accounted for in accordance with ASC 325-40. If ratings are inconsistent among NRSROs, the Company uses the lower rating in determining whether the securities are of high credit quality. The Company assesses its impaired securities on at least a quarterly basis and designates such impairments as either “temporary” or “other-than-temporary”. When the fair value of an investment security is less than its amortized cost as of the reporting balance sheet date, the security is considered impaired. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, the Company recognizes an other-than-temporary impairment through earnings equal to the entire difference between the investment’s amortized cost and its fair value as of the balance sheet date. If the Company does not expect to sell an other-than-temporarily impaired security, only the portion of the other-than-temporary impairment related to credit losses is recognized through earnings with the remainder recognized as a component of other comprehensive income (loss) on the accompanying condensed consolidated balance sheets. Impairments recognized through other comprehensive income (loss) do not impact earnings. Following the recognition of an other-than-temporary impairment through earnings, a new cost basis is established for the security, which may not be adjusted for subsequent recoveries in fair value through earnings. However, other-than-temporary impairments recognized through earnings may be accreted back to the amortized cost basis of the security on a prospective basis through interest income. The determination as to whether an other-than-temporary impairment exists and, if so, the amount considered other-than-temporarily impaired is subjective, as such determinations are based on both factual and subjective information available at the time of assessment as well the Company’s estimates of the future performance and cash flow projections. As a result, the timing and amount of other-than-temporary impairments constitute material estimates that are susceptible to significant change. In determining the other-than temporary impairment related to credit losses for securities that are not of high credit quality, the Company compares the present value of the remaining cash flows expected to be collected at the prior reporting date or purchase date, whichever is most recent, against the present value of the cash flows expected to be collected at the current financial reporting date. The Company considers information available about the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities and delinquency rates. Residential Mortgage Loans Held in Securitization Trusts – Residential mortgage loans held in securitization trusts are comprised of certain ARM loans transferred to Consolidated VIEs that have been securitized into sequentially rated classes of beneficial interests. The Company accounted for these securitization trusts as financings which are consolidated into the Company’s financial statements. Residential mortgage loans held in securitization trusts are carried at their unpaid principal balances, net of unamortized premium or discount, unamortized loan origination costs and allowance for loan losses. Interest income is accrued and recognized as revenue when earned according to the terms of the mortgage loans and when, in the opinion of management, it is collectible. The accrual of interest on loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business, but in all cases when payment becomes greater than 90 days delinquent. Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. The Company establishes an allowance for loan losses based on management's judgment and estimate of credit losses inherent in our portfolio of residential mortgage loans held in securitization trusts. Estimation involves the consideration of various credit-related factors, including but not limited to, macro-economic conditions, current housing market conditions, loan-to-value ratios, delinquency status, historical credit loss severity rates, purchased mortgage insurance, the borrower's current economic condition and other factors deemed to warrant consideration. Additionally, management looks at the balance of any delinquent loan and compares that to the current value of the collateralizing property. Management utilizes various home valuation methodologies including appraisals, broker pricing opinions, internet-based property data services to review comparable properties in the same area or consults with a broker in the property's area. Residential Mortgage Loans, at fair value – Certain of the Company’s acquired residential mortgage loans, including distressed residential mortgage loans and second mortgage loans, are presented at fair value on its condensed consolidated balance sheets as a result of a fair value election made at the time of acquisition pursuant to ASC 825, Financial Instruments . Changes in fair value are recorded in current period earnings in net gain (loss) on residential mortgage loans at fair value in the Company's condensed consolidated statements of operations. Premiums and discounts associated with the purchase of residential mortgage loans, at fair value are amortized or accreted into interest income over the life of the related loan using the effective interest method. Any premium amortization or discount accretion is reflected as a component of interest income, residential mortgage loans in the Company's condensed consolidated statements of operations. Residential mortgage loans at fair value are considered past due when they are 30 days past their contractual due date, and are placed on nonaccrual status when delinquent for more than 90 days. Interest accrued but not yet collected at the time loans are placed on nonaccrual is reversed and subsequently recognized only to the extent it is received in cash or until it qualifies for return to accrual status. Loans are restored to accrual status only when contractually current or the collection of future payments is reasonably assured. Acquired Distressed Residential Mortgage Loans – Distressed residential mortgage loans are comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired by the Company at a discount, with evidence of credit deterioration since their origination and where it is probable that the Company will not collect all contractually required principal payments. Distressed residential mortgage loans held in securitization trusts are distressed residential mortgage loans transferred to Consolidated VIEs that have been securitized into beneficial interests. The Company accounted for these securitization trusts as financings which are consolidated into the Company’s financial statements. Acquired distressed residential mortgage loans that have evidence of deteriorated credit quality at acquisition are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality ("ASC 310-30"). Management evaluates whether there is evidence of credit quality deterioration as of the acquisition date using indicators such as past due or modified status, risk ratings, recent borrower credit scores and recent loan-to-value percentages. Acquired distressed residential mortgage loans are recorded at fair value at the date of acquisition, with no allowance for loan losses. Under ASC 310-30, the acquired loans may be accounted for individually or aggregated and accounted for as a pool of loans if the loans being aggregated have common risk characteristics. A pool is accounted for as a single asset with a single composite interest rate and an expectation of aggregate cash flows. Once a pool is assembled, it is treated as if it was one loan for purposes of applying the accounting guidance. Under ASC 310-30, the excess of cash flows expected to be collected over the carrying amount of the loans, referred to as the “accretable yield,” is accreted into interest income over the life of the loans in each pool or individually using a level yield methodology. Accordingly, our acquired distressed residential mortgage loans accounted for under ASC 310-30 are not subject to classification as nonaccrual classification in the same manner as our residential mortgage loans that were not distressed when acquired by us. Rather, interest income on acquired distressed residential mortgage loans relates to the accretable yield recognized at the pool level or on an individual loan basis, and not to contractual interest payments received at the loan level. The difference between contractually required principal and interest payments and the cash flows expected to be collected, referred to as the “nonaccretable difference,” includes estimates of both the impact of prepayments and expected credit losses over the life of the individual loan, or the pool (for loans grouped into a pool). Management monitors actual cash collections against its expectations, and revised cash flow estimates are prepared as necessary. A decrease in expected cash flows in subsequent periods may indicate that the loan pool or individual loan, as applicable, is impaired, thus requiring the establishment of an allowance for loan losses by a charge to the provision for loan losses. An increase in expected cash flows in subsequent periods initially reduces any previously established allowance for loan losses by the increase in the present value of cash flows expected to be collected, and results in a recalculation of the amount of accretable yield for the loan pool. The adjustment of accretable yield due to an increase in expected cash flows is accounted for prospectively as a change in estimate. The additional cash flows expected to be collected are reclassified from the nonaccretable difference to the accretable yield, and the amount of periodic accretion is adjusted accordingly over the remaining life of the loans in the pool or individual loan, as applicable. The impacts of (i) prepayments, (ii) changes in variable interest rates and (iii) any other changes in the timing of expected cash flows are recognized prospectively as adjustments to interest income. A distressed residential mortgage loan disposal, which may include a loan sale, receipt of payment in full from the borrower or foreclosure, results in removal of the loan from the loan pool at its allocated carrying amount. In the event of a sale of the loan and receipt of payment (in full or partial) from the borrower, a gain or loss on sale is recognized and reported based on the difference between the sales proceeds or payment from the borrower and the allocated carrying amount of the acquired distressed residential mortgage loan. In the case of a foreclosure, an individual loan is removed from the pool and a loss on sale is recognized if the carrying value exceeds the fair value of the collateral less costs to sell. A gain is not recognized if the fair value of collateral less costs to sell exceeds the carrying value. The Company uses the specific allocation method for the removal of loans as the estimated cash flows and related carrying amount for each individual loan are known. In these cases, the remaining accretable yield is unaffected and any material change in remaining effective yield caused by the removal of the loan from the pool is addressed by the re-assessment of the estimate of cash flows for the pool prospectively. Acquired distressed residential mortgage loans subject to modification are not removed from the pool even if those loans would otherwise be considered troubled debt restructurings because the pool, and not the individual loan, represents the unit of account. For individual loans not accounted for in pools that are sold or satisfied by payment in full, a gain or loss on sale is recognized and reported based on the difference between the sales proceeds and the carrying amount of the acquired distressed residential mortgage loan. In the case of a foreclosure, a loss is recognized if the carrying value exceeds the fair value of the underlying collateral less costs to sell. A gain is not recognized if the fair value of the underlying collateral less costs to sell exceeds the carrying value. Multi-Family Loans Held in Securitization Trusts – Multi-family loans held in securitization trusts are comprised of multi-family mortgage loans held in Freddie Mac-sponsored multi-family K-Series securitizations of which we, or one of our "special purpose entities" ("SPEs") own the first loss POs and certain IOs and mezzanine securities and that we consolidate (the “Consolidated K-Series”). Based on a number of factors, management determined that the Company was the primary beneficiary of each VIE within the Consolidated K-Series, met the criteria for consolidation and, accordingly, has consolidated these securitizations, including their assets, liabilities, income and expenses in our financial statements. The Company has elected the fair value option on each of the assets and liabilities held within the Consolidated K-Series, which requires that changes in valuations be reflected in the Company's accompanying consolidated statements of operations. In accordance with ASC 810, the Company measures both the financial assets and financial liabilities of a qualifying consolidated collateralized financing entity ("CFE") using the fair value of either the CFE’s financial assets or financial liabilities, whichever is more observable. As the Company’s multi-family securitization trusts are considered qualifying CFEs, the Company determines the fair value of multi-family loans held in securitization trusts based on the fair value of its multi-family collateralized debt obligations and its retained interests from these securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable. Interest income is accrued and recognized as revenue when earned according to the terms of the multi-family loans and when, in the opinion of management, it is collectible. The accrual of interest on multi-family loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business, but in all cases when payment becomes greater than 90 days delinquent. The multi-family loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. Preferred Equity and Mezzanine Loan Investments - The Company invests in preferred equity of and mezzanine loans to entities that have significant real estate assets. A preferred equity investment is an equity investment in the entity that owns the underlying property. Preferred equity is not secured by the underlying property, but holders have priority relative to common equity holders on cash flow distributions and proceeds from capital events. In addition, preferred equity holders may be able to enhance their position and protect their equity position with covenants that limit the entity’s activities and grant the holder the exclusive right to control the property after an event of default. Mezzanine loans are secured by a pledge of the borrower’s equity ownership in the property. Unlike a mortgage, this loan does not represent a lien on the property. Therefore, it is always junior and subordinate to any first lien as well as second liens, if applicable, on the property. These loans are senior to any preferred equity or common equity interests in the entity that owns the property. Preferred equity and mezzanine loan investments for which the characteristics, facts and circumstances indicate that loan accounting treatment is appropriate are stated at unpaid principal balance, adjusted for any unamortized premium or discount, deferred fees or expenses, net of valuation allowances. The Company accretes or amortizes any discounts or premiums and deferred fees and expenses over the life of the related asset utilizing the effective interest method or straight line-method, if the result is not materially different. The Company has evaluated its preferred equity and mezzanine loan investments for accounting treatment as loans versus equity investment utilizing the guidance provided by the ADC Arrangements Subsection of ASC 310, Receivables . Management evaluates the collectibility of both interest and principal of each of these loans, if circumstances warrant, to determine whether they are impaired. A loan is impaired when, based on current information and events, it is probable that we will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the amount of the loss accrual is calculated by comparing the carrying amount of the investment to the estimated fair value of the loan or, as a practical expedient, to the value of the collateral if the loan is collateral dependent. Interest income is accrued and recognized as revenue when earned according to the terms of the loans and when, in the opinion of management, it is collectible. The accrual of interest on loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business, but in all cases when payment becomes greater than 90 days delinquent. Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. Preferred equity and mezzanine loan investments where the risks and payment characteristics are equivalent to an equity investment are accounted for using the equity method of accounting. See “ Investment in Unconsolidated Entities ”. Investment in Unconsolidated Entities – Non-controlling, unconsolidated ownership interests in an entity may be accounted for using the equity method or the cost method. In circumstances where the Company has a non-controlling interest but either owns a significant interest or is able to exert influence over the affairs of the enterprise, the Company utilizes the equity method of accounting. Under the equity method of accounting, the initial investment is increased each period for additional capital contributions and a proportionate share of the entity’s earnings or preferred return and decreased for cash distributions and a proportionate share of the entity’s losses. Management periodically reviews its investments for impairment based on projected cash flows from the entity over the holding period. When any impairment is identified, the investments are written down to recoverable amounts. The Company may elect the fair value option for an investment in an unconsolidated entity that is accounted for using the equity method. The Company elected the fair value option for certain investments in unconsolida |
Investment Securities Available
Investment Securities Available for Sale | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities Available for Sale | Investment Securities Available For Sale Investment securities available for sale consisted of the following as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Amortized Cost Unrealized Fair Value Amortized Cost Unrealized Fair Value Gains Losses Gains Losses Agency RMBS Agency ARMs Freddie Mac $ 27,479 $ — $ (1,238 ) $ 26,241 $ 33,623 $ 16 $ (852 ) $ 32,787 Fannie Mae 46,456 9 (1,705 ) 44,760 54,958 6 (1,236 ) 53,728 Ginnie Mae 3,855 — (136 ) 3,719 4,750 — (193 ) 4,557 Total Agency ARMs 77,790 9 (3,079 ) 74,720 93,331 22 (2,281 ) 91,072 Agency Fixed- Rate Freddie Mac 89,023 — (3,806 ) 85,217 20,804 — (736 ) 20,068 Fannie Mae 942,868 — (47,372 ) 895,496 1,038,363 669 (12,174 ) 1,026,858 Ginnie Mae — — — — 365 — (6 ) 359 Total Agency Fixed-Rate 1,031,891 — (51,178 ) 980,713 1,059,532 669 (12,916 ) 1,047,285 Agency IOs Freddie Mac — — — — 8,436 19 (2,756 ) 5,699 Fannie Mae — — — — 11,310 22 (2,989 ) 8,343 Ginnie Mae — — — — 21,621 230 (4,714 ) 17,137 Total Agency IOs — — — — 41,367 271 (10,459 ) 31,179 Total Agency RMBS 1,109,681 9 (54,257 ) 1,055,433 1,194,230 962 (25,656 ) 1,169,536 Non-Agency RMBS 98,301 58 (115 ) 98,244 100,291 1,852 (18 ) 102,125 CMBS (1) 114,529 18,982 — 133,511 123,203 18,217 — 141,420 Total investment securities available for sale $ 1,322,511 $ 19,049 $ (54,372 ) $ 1,287,188 $ 1,417,724 $ 21,031 $ (25,674 ) $ 1,413,081 (1) Included in CMBS is $51.8 million and $47.9 million of investment securities available for sale held in securitization trusts as of September 30, 2018 and December 31, 2017 , respectively. Realized Gain or Loss Activity The Company did not sell investment securities available for sale during the three months ended September 30, 2018 . During the nine months ended September 30, 2018 , the Company received total proceeds of approximately $26.9 million from the sale of investment securities available for sale, realizing a net loss of approximately $12.3 million . During the three and nine months ended September 30, 2017 , the Company received total proceeds of approximately $49.5 million and $102.2 million , respectively, from the sale of investment securities available for sale, realizing a net gain of approximately $3.0 million and $0.7 million , respectively. Weighted Average Life Actual maturities of our available for sale securities are generally shorter than stated contractual maturities (with maturities up to 30 years ), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of September 30, 2018 and December 31, 2017 , the weighted average life of the Company’s available for sale securities portfolio was approximately 5.7 years and 7.1 years , respectively. The following table sets forth the weighted average lives of our investment securities available for sale as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): Weighted Average Life September 30, 2018 December 31, 2017 0 to 5 years $ 365,791 $ 426,061 Over 5 to 10 years 917,955 970,336 10+ years 3,442 16,684 Total $ 1,287,188 $ 1,413,081 Portfolio Interest Reset Periods The following tables set forth the stated reset periods of our investment securities available for sale at September 30, 2018 and December 31, 2017 at carrying value (dollar amounts in thousands): September 30, 2018 December 31, 2017 Less than 6 6 to 24 More than Total Less than 6 to 24 More than Total Agency RMBS $ 6,770 $ 16,043 $ 1,032,620 $ 1,055,433 $ 26,876 $ 24,726 $ 1,117,934 $ 1,169,536 Non-Agency RMBS 50,000 13,845 34,399 98,244 84,461 — 17,664 102,125 CMBS — — 133,511 133,511 70,791 — 70,629 141,420 Total investment securities available for sale $ 56,770 $ 29,888 $ 1,200,530 $ 1,287,188 $ 182,128 $ 24,726 $ 1,206,227 $ 1,413,081 Unrealized Losses in OCI The following tables present the Company's investment securities available for sale in an unrealized loss position reported through OCI, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 Less than 12 months Greater than 12 months Total Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Agency RMBS $ 768,749 $ (34,876 ) $ 285,758 $ (19,381 ) $ 1,054,507 $ (54,257 ) Non-Agency RMBS 12,825 (107 ) 178 (8 ) 13,003 (115 ) Total investment securities available for sale $ 781,574 $ (34,983 ) $ 285,936 $ (19,389 ) $ 1,067,510 $ (54,372 ) At September 30, 2018 , the Company does not intend to sell any of its investments that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. Gross unrealized losses on the Company’s Agency RMBS were $54.3 million at September 30, 2018 . Agency RMBS are issued by GSEs and enjoy either the implicit or explicit backing of the full faith and credit of the U.S. Government. While the Company’s Agency RMBS are not rated by any rating agency, they are currently perceived by market participants to be of high credit quality, with risk of default limited to the unlikely event that the U.S. Government would not continue to support the GSEs. Given the credit quality inherent in Agency RMBS, the Company does not consider any of the current impairments on its Agency RMBS to be credit related. In assessing whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at its maturity, the Company considers for each impaired security, the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at September 30, 2018 any unrealized losses on its Agency RMBS were temporary. December 31, 2017 Less than 12 months Greater than 12 months Total Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Agency RMBS $ 511,313 $ (1,807 ) $ 342,963 $ (13,390 ) $ 854,276 $ (15,197 ) Non-Agency RMBS — — 193 (18 ) 193 (18 ) Total investment securities available for sale $ 511,313 $ (1,807 ) $ 343,156 $ (13,408 ) $ 854,469 $ (15,215 ) Other than Temporary Impairment For the three and nine months ended September 30, 2018 and 2017 , the Company recognized no other-than-temporary impairment through earnings. |
Residential Mortgage Loans Held
Residential Mortgage Loans Held in Securitization Trusts, Net and Real Estate Owned | 9 Months Ended |
Sep. 30, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Residential Mortgage Loans Held in Securitization Trusts, Net and Real Estate Owned | Residential Mortgage Loans Held in Securitization Trusts, Net and Real Estate Owned Residential mortgage loans held in securitization trusts, net consist of the following as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): September 30, 2018 December 31, 2017 Unpaid principal balance $ 63,717 $ 77,519 Deferred origination costs – net 405 492 Reserve for loan losses (3,663 ) (4,191 ) Total $ 60,459 $ 73,820 Allowance for Loan Losses - The following table presents the activity in the Company's allowance for loan losses on residential mortgage loans held in securitization trusts for the nine months ended September 30, 2018 and 2017 , respectively (dollar amounts in thousands): Nine Months Ended September 30, 2018 2017 Balance at beginning of period $ 4,191 $ 3,782 (Recovery of) provision for loan losses (93 ) 306 Transfer to real estate owned — (303 ) Charge-offs (435 ) (60 ) Balance at the end of period $ 3,663 $ 3,725 On an ongoing basis, the Company evaluates the adequacy of its allowance for loan losses. The Company’s allowance for loan losses as of September 30, 2018 was $3.7 million , representing 575 basis points of the outstanding principal balance of residential loans held in securitization trusts, as compared to 541 basis points as of December 31, 2017 . As part of the Company’s allowance for loan loss adequacy analysis, management will assess an overall level of allowances while also assessing credit losses inherent in each non-performing residential mortgage loan held in securitization trusts. These estimates involve the consideration of various credit related factors, including but not limited to, current housing market conditions, current loan to value ratios, delinquency status, the borrower’s current economic and credit status and other relevant factors. Real Estate Owned – The Company had no real estate owned held in residential securitization trusts at September 30, 2018 . The Company had real estate owned held in residential securitization trusts of $0.1 million at December 31, 2017 . Real estate owned held in residential securitization trusts are included in receivables and other assets on the accompanying condensed consolidated balance sheets and write downs are included in recovery of (provision for) loan losses in the accompanying condensed consolidated statements of operations for reporting purposes. All of the Company’s mortgage loans and real estate owned held in residential securitization trusts are pledged as collateral for the Residential CDOs issued by the Company. The Company’s net investment in the residential securitization trusts, which is the maximum amount of the Company’s investment that is at risk to loss and represents the difference between (i) the carrying amount of the mortgage loans, real estate owned and receivables held in residential securitization trusts and (ii) the amount of Residential CDOs outstanding, was $5.0 million and $4.4 million as of September 30, 2018 and December 31, 2017 , respectively. Delinquency Status of Our Residential Mortgage Loans Held in Securitization Trusts As of September 30, 2018 , we had 23 delinquent loans with an aggregate principal amount outstanding of approximately $11.9 million categorized as residential mortgage loans held in securitization trusts, net, of which $7.0 million , or 59% , are under some form of temporary modified payment plan. The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts as of September 30, 2018 (dollar amounts in thousands): September 30, 2018 Days Late Number of Delinquent Loans Total Unpaid Principal % of Loan Portfolio 30 - 60 1 $ 134 0.21 % 61 - 90 2 $ 335 0.53 % 90 + 20 $ 11,447 17.97 % As of December 31, 2017 , we had 26 delinquent loans with an aggregate principal amount outstanding of approximately $16.5 million categorized as residential mortgage loans held in securitization trusts, net, of which $10.2 million , or 62% , are under some form of temporary modified payment plan. The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, including REO through foreclosure, as of December 31, 2017 (dollar amounts in thousands): December 31, 2017 Days Late Number of Delinquent Loans Total Unpaid Principal % of Loan Portfolio 30 - 60 1 $ 203 0.26 % 61 - 90 1 $ 173 0.22 % 90 + 24 $ 16,147 20.80 % Real estate owned through foreclosure 1 $ 118 0.15 % The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts and REO held in residential securitization trusts as of September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 December 31, 2017 New York 34.3 % 31.8 % Massachusetts 20.5 % 20.7 % New Jersey 13.8 % 11.9 % Florida 9.8 % 8.8 % Maryland 5.1 % 5.2 % |
Residential Mortgage Loans, At
Residential Mortgage Loans, At Fair Value | 9 Months Ended |
Sep. 30, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Residential Mortgage Loans, at Fair Value | Residential Mortgage Loans, At Fair Value Certain of the Company’s residential mortgage loans, including distressed residential mortgage loans and second mortgages, are presented at fair value on its condensed consolidated balance sheets as a result of a fair value election made at time of acquisition. Subsequent changes in fair value are reported in current period earnings and presented in net gain (loss) on residential mortgage loans at fair value on the Company’s condensed consolidated statements of operations. The Company’s residential mortgage loans at fair value consist of the following as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): Principal Premium/(Discount) Unrealized Gains/(Losses) Carrying Value September 30, 2018 $ 189,461 $ (6,588 ) $ (963 ) $ 181,910 December 31, 2017 92,105 (4,911 ) (41 ) 87,153 As of September 30, 2018 , the Company is committed to purchase $0.8 million of second mortgage loans from originators. The following table presents the components of net gain (loss) on residential mortgage loans at fair value for the nine months ended September 30, 2018 and 2017 , respectively (dollar amounts in thousands): September 30, 2018 September 30, 2017 Net realized gain on payoff and sale of loans $ 1,496 $ 493 Net unrealized (losses) gains (923 ) 224 The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential mortgage loans at fair value as of September 30, 2018 and December 31, 2017 , respectively, are as follows: September 30, 2018 December 31, 2017 California 26.7 % 35.9 % Florida 13.7 % 6.6 % New Jersey 5.5 % 7.7 % New York 5.1 % 3.8 % The following table presents the difference between the fair value and the aggregate unpaid principal balance of the Company's residential mortgage loans at fair value greater than 90 days past due and in non-accrual status as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): Fair Value Unpaid Principal Balance Difference September 30, 2018 $ 4,917 $ 5,442 $ (525 ) December 31, 2017 1,048 1,214 (166 ) Residential mortgage loans, including distressed residential mortgage loans and second mortgages, with a fair value of approximately $110.9 million and $44.2 million at September 30, 2018 and December 31, 2017 , respectively, are pledged as collateral for master repurchase agreements with Deutsche Bank AG, Cayman Islands Branch ( see Note 14 ). |
Distressed Residential Mortgage
Distressed Residential Mortgage Loans | 9 Months Ended |
Sep. 30, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Distressed Residential Mortgage Loans | Distressed Residential Mortgage Loans As of September 30, 2018 and December 31, 2017 , the carrying value of the Company’s distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, amounts to approximately $260.8 million and $331.5 million , respectively. The Company considers its purchase price for the distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, to be at fair value at the date of acquisition. The Company only establishes an allowance for loan losses subsequent to acquisition. The following table presents information regarding the estimates of the contractually required payments, the cash flows expected to be collected, and the estimated fair value of the distressed residential mortgage loans acquired during the nine months ended September 30, 2017 (dollar amounts in thousands): September 30, 2017 Contractually required principal and interest $ 76,529 Nonaccretable yield (6,467 ) Expected cash flows to be collected 70,062 Accretable yield (58,767 ) Fair value at the date of acquisition $ 11,295 Distressed residential mortgage loans purchased during the nine months ended September 30, 2018 are presented in the accompanying condensed consolidated balance sheets at fair value ( see Note 5 ). The following table details activity in accretable yield for the distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, for the nine months ended September 30, 2018 and 2017 , respectively (dollar amounts in thousands): September 30, 2018 September 30, 2017 Balance at beginning of period $ 303,949 $ 530,511 Additions 6,007 91,356 Disposals (64,876 ) (263,475 ) Accretion (11,999 ) (16,635 ) Balance at end of period (1) $ 233,081 $ 341,757 (1) Accretable yield is the excess of the distressed residential mortgage loans’ cash flows expected to be collected over the purchase price. The cash flows expected to be collected represents the Company’s estimate of the amount and timing of undiscounted principal and interest cash flows. Additions include accretable yield estimates for purchases made during the period and reclassification to accretable yield from nonaccretable yield. Disposals include distressed residential mortgage loan dispositions, which include refinancing, sale and foreclosure of the underlying collateral and resulting removal of the distressed residential mortgage loans from the accretable yield, and reclassifications from accretable to nonaccretable yield. The reclassifications between accretable and nonaccretable yield and the accretion of interest income is based on various estimates regarding loan performance and the value of the underlying real estate securing the loans. As the Company continues to update its estimates regarding the loans and the underlying collateral, the accretable yield may change. Therefore, the amount of accretable income recorded in each of the nine month periods ended September 30, 2018 and 2017 is not necessarily indicative of future results. The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, as of September 30, 2018 and December 31, 2017 , respectively, are as follows: September 30, 2018 December 31, 2017 Florida 10.7 % 11.2 % North Carolina 8.6 % 8.3 % Georgia 6.6 % 5.8 % California 5.7 % 6.9 % New York 5.5 % 5.7 % South Carolina 5.4 % 5.0 % Ohio 5.2 % 5.1 % The Company's distressed residential mortgage loans held in securitization trusts with a carrying value of approximately $96.5 million and $121.8 million at September 30, 2018 and December 31, 2017 , respectively, are pledged as collateral for certain of the Securitized Debt issued by the Company ( see Note 10 ). In addition, distressed residential mortgage loans with a carrying value of approximately $143.8 million and $182.6 million at September 30, 2018 and December 31, 2017 , respectively, are pledged as collateral for a master repurchase agreement with Deutsche Bank AG, Cayman Islands Branch ( see Note 14 ). |
Consolidated K-Series
Consolidated K-Series | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Consolidated K-Series | Consolidated K-Series The Company has elected the fair value option on the assets and liabilities held within the Consolidated K-Series, which requires that changes in valuations in the assets and liabilities of the Consolidated K-Series be reflected in the Company's condensed consolidated statements of operations. Our investment in the Consolidated K-Series is limited to the multi-family CMBS comprised of first loss POs, certain IOs and mezzanine securities issued by certain Freddie Mac K-Series securitizations with an aggregate net carrying value of $566.5 million and $468.0 million at September 30, 2018 and December 31, 2017 , respectively ( see Note 10 ). The Consolidated K-Series is comprised of eight and seven Freddie Mac K-Series securitizations as of September 30, 2018 and December 31, 2017 , respectively. The condensed consolidated balance sheets of the Consolidated K-Series at September 30, 2018 and December 31, 2017 , respectively, are as follows (dollar amounts in thousands): Balance Sheets September 30, 2018 December 31, 2017 Assets Multi-family loans held in securitization trusts $ 10,070,834 $ 9,657,421 Receivables 32,533 33,562 Total Assets $ 10,103,367 $ 9,690,983 Liabilities and Equity Multi-family CDOs $ 9,504,313 $ 9,189,459 Accrued expenses 31,966 33,136 Total Liabilities 9,536,279 9,222,595 Equity 567,088 468,388 Total Liabilities and Equity $ 10,103,367 $ 9,690,983 The multi-family loans held in securitization trusts had aggregate unpaid principal balances of approximately $10.1 billion and $9.4 billion at September 30, 2018 and December 31, 2017 , respectively. The multi-family CDOs had aggregate unpaid principal balances of approximately $10.1 billion and $9.4 billion at September 30, 2018 and December 31, 2017 , respectively. As of September 30, 2018 and December 31, 2017 , the current weighted average interest rate on these multi-family CDOs was 4.06% and 3.92% , respectively. The Company does not have any claims to the assets or obligations for the liabilities of the Consolidated K-Series (other than those securities represented by our first loss and mezzanine securities). We have elected the fair value option for the Consolidated K-Series. The net fair value of our investment in the Consolidated K-Series, which represents the difference between the carrying values of multi-family loans held in securitization trusts less the carrying value of multi-family CDOs, approximates the fair value of our underlying securities ( see Note 18 ). The condensed consolidated statements of operations of the Consolidated K-Series for the three and nine months ended September 30, 2018 and 2017 , respectively, are as follows (dollar amounts in thousands): Three Months Ended Nine Months Ended Statements of Operations 2018 2017 2018 2017 Interest income $ 86,458 $ 76,186 $ 257,179 $ 213,242 Interest expense 75,145 67,030 224,310 187,835 Net interest income 11,313 9,156 32,869 25,407 Unrealized gain on multi-family loans and debt held in securitization trusts, net 12,303 2,353 31,867 5,184 Net income $ 23,616 $ 11,509 $ 64,736 $ 30,591 The geographic concentrations of credit risk exceeding 5% of the total loan balances related to our CMBS investments included in investment securities available for sale and multi-family loans held in securitization trusts as of September 30, 2018 and December 31, 2017 , respectively, are as follows: September 30, 2018 December 31, 2017 California 13.8 % 14.7 % Texas 11.8 % 12.7 % New York 6.1 % 6.5 % Maryland 5.1 % 5.5 % |
Investment in Unconsolidated En
Investment in Unconsolidated Entities | 9 Months Ended |
Sep. 30, 2018 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Investments in Unconsolidated Entities | Investment in Unconsolidated Entities The Company's investments in unconsolidated entities accounted for under the equity method consist of the following as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Investment Name Ownership Interest Carrying Amount Ownership Interest Carrying Amount BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively) 45% $ 8,675 45% $ 8,320 Total - Equity Method $ 8,675 $ 8,320 The Company's investments in unconsolidated entities accounted for under the equity method using the fair value option consist of the following as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Investment Name Ownership Interest Carrying Amount Ownership Interest Carrying Amount Morrocroft Neighborhood Stabilization Fund II, LP 11% $ 13,451 11% $ 12,623 Evergreens JV Holdings, LLC 85% 7,970 85% 4,220 The Preserve at Port Royal Venture, LLC 77% 13,640 77% 13,040 WR Savannah Holdings, LLC (1) — — 90% 12,940 Total - Fair Value Option $ 35,061 $ 42,823 (1) The Company's equity investment was redeemed during the three months ended September 30, 2018. The following table presents income from investments in unconsolidated entities for the three and nine months ended September 30, 2018 and September 30, 2017 (dollar amounts in thousands): Three Months Ended September 30, Nine Months Ended September 30, Investment Name 2018 2017 2018 2017 Autumnwood Investments LLC $ — $ 64 $ — $ 137 200 RHC Hoover, LLC — — — 275 BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively) 265 252 777 741 Morrocroft Neighborhood Stabilization Fund II, LP 149 394 829 1,374 Evergreens JV Holdings, LLC 3,643 161 4,008 464 Bent Tree JV Holdings, LLC — 1,210 — 1,795 Summerchase LR Partners LLC — 194 — 556 Lake Mary Realty Partners, LLC — 2,312 — 2,745 The Preserve at Port Royal Venture, LLC 449 440 1,351 1,266 WR Savannah Holdings, LLC (1) 113 405 1,743 1,030 (1) Includes income recognized from redemption of the Company's investment during the three and nine months ended September 30, 2018 . |
Preferred Equity and Mezzanine
Preferred Equity and Mezzanine Loan Investments | 9 Months Ended |
Sep. 30, 2018 | |
Variable Interest Entity, Nonconsolidated, Carrying Amount, Assets and Liabilities, Net [Abstract] | |
Preferred Equity and Mezzanine Loan Investments | Preferred Equity and Mezzanine Loan Investments P referred equity and mezzanine loan investments consist of the following as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Investment amount $ 200,047 $ 140,560 Deferred loan fees, net (1,770 ) (1,640 ) Total $ 198,277 $ 138,920 There were no delinquent preferred equity and mezzanine loan investments as of September 30, 2018 and December 31, 2017 . As of September 30, 2018 , the Company is committed to fund an additional $1.7 million of preferred equity on an existing investment. The geographic concentrations of credit risk exceeding 5% of the total preferred equity and mezzanine loan investment amounts as of September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 December 31, 2017 New York 22.1 % 24.1 % Texas 13.8 % 24.3 % Florida 12.1 % 3.9 % Georgia 9.9 % 3.4 % Virginia 7.6 % 10.8 % Alabama 7.4 % 7.1 % Tennessee 5.6 % — South Carolina 5.1 % 7.0 % |
Use of Special Purpose Entities
Use of Special Purpose Entities and Variable Interest Entities | 9 Months Ended |
Sep. 30, 2018 | |
Variable Interest Entity, Consolidated, Carrying Amount, Assets and Liabilities, Net [Abstract] | |
Use of Special Purpose Entities and Variable Interest Entities | Use of Special Purpose Entities and Variable Interest Entities The Company uses SPEs to facilitate transactions that involve securitizing financial assets or re-securitizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company has entered into resecuritization and financing transactions which required the Company to analyze and determine whether the SPEs that were created to facilitate the transactions are VIEs in accordance with ASC 810 , and if so, whether the Company is the primary beneficiary requiring consolidation. The Company evaluated the following resecuritization or financing transactions: 1) its Residential CDOs; 2) its multi-family CMBS re-securitization transaction and 3) its distressed residential mortgage loan securitization transaction (each a “Financing VIE” and collectively, the “Financing VIEs”) and concluded that the entities created to facilitate each of the transactions are VIEs and that the Company is the primary beneficiary of these VIEs. Accordingly, the Company continues to consolidate the Financing VIEs as of September 30, 2018 . The Company invests in multi-family CMBS consisting of PO securities that represent the first loss of the securitizations from which they were issued, and certain IOs and mezzanine CMBS securities issued from Freddie Mac-sponsored multi-family K-Series securitization trusts. The Company has evaluated these CMBS investments in Freddie Mac-sponsored K-Series securitization trusts to determine whether they are VIEs and if so, whether the Company is the primary beneficiary requiring consolidation. The Company has determined that eight and seven Freddie Mac-sponsored multi-family K-Series securitization trusts are VIEs as of September 30, 2018 and December 31, 2017 , respectively. The Company also determined that it is the primary beneficiary of each VIE within the Consolidated K-Series and, accordingly, has consolidated its assets, liabilities, income and expenses in the accompanying condensed consolidated financial statements ( see Notes 2 and 7 ). Of the Company’s multi-family CMBS investments included in the Consolidated K-Series, seven and six of these investments are not included as collateral to any Financing VIE as of September 30, 2018 and December 31, 2017 , respectively. In analyzing whether the Company is the primary beneficiary of the Consolidated K-Series and the Financing VIEs, the Company considered its involvement in each of the VIEs, including the design and purpose of each VIE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIEs. In determining whether the Company would be considered the primary beneficiary, the following factors were assessed: • whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and • whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. RB Development Holding Company, LLC ("RBDHC"), a wholly-owned subsidiary of the Company, owns 50% of Kiawah River View Investors LLC ("KRVI"), a limited liability company that owns developed land and residential homes under development in Kiawah Island, SC, for which RiverBanc LLC ("RiverBanc"), a wholly-owned subsidiary of the Company, is the manager. The Company has evaluated KRVI to determine if it is a VIE and if so, whether the Company is the primary beneficiary requiring consolidation. The Company has determined that KRVI is a VIE for which RBDHC is the primary beneficiary as the Company, collectively through RiverBanc and RBDHC, has both the power to direct the activities that most significantly impact the economic performance of KRVI and has a right to receive benefits or absorb losses of KRVI that could be potentially significant to KRVI. Accordingly, the Company has consolidated KRVI in its condensed consolidated financial statements with a non-controlling interest for the third-party ownership of KRVI membership interests. The Company evaluates the home pricing and lot values of the real estate under development that is owned by KRVI, which is included in other assets on the Company's condensed consolidated balance sheets, on a quarterly basis. Based on the evaluation during the quarter ended June 30, 2018, the Company determined that the real estate under development with a carrying amount of $22.4 million was no longer recoverable and was impaired. The Company recognized a $2.1 million impairment loss which is included in other income in the Company's condensed consolidated statements of operations for the nine months ended September 30, 2018 . For the nine months ended September 30, 2018 , $1.0 million of this impairment loss is included in net income attributable to non-controlling interest in consolidated variable interest entities on the accompanying condensed consolidated statements of operations, resulting in a net loss to the Company of $1.1 million . Fair value was determined based on the sales comparison approach which derives a value indication by comparing the subject property to similar properties that have been recently sold and assumes a purchaser will not pay more for a particular property than a similar substitute property. On March 31, 2017 , (the "Changeover Date"), the Company reconsidered its evaluation of its variable interests in Riverchase Landing and The Clusters, two VIEs that each own a multi-family apartment community and in which the Company held a preferred equity investment. The Company determined that it gained the power to direct the activities, and became primary beneficiary, of Riverchase Landing and The Clusters on the Changeover Date. Prior to the Changeover Date, the Company accounted for Riverchase Landing as an investment in an unconsolidated entity and for The Clusters as a preferred equity investment. On the Changeover Date, the Company consolidated Riverchase Landing and The Clusters into its condensed consolidated financial statements. These transactions were accounted for by applying the acquisition method for business combinations. The estimated Changeover Date fair value of the consideration transferred totaled $ 12.5 million , which consisted of the estimated fair value of the Company's preferred equity investments in both Riverchase Landing and The Clusters. The Company determined the estimated fair value of its preferred equity investments in Riverchase Landing and The Clusters using assumptions for the timing and amount of expected future cash flows from the underlying multi-family apartment communities and a discount rate. The following table summarizes the estimated fair values of the assets and liabilities of Riverchase Landing and The Clusters at the Changeover Date (dollar amounts in thousands). Cash $ 112 Operating real estate (1) 62,322 Lease intangibles (1) 5,340 Receivables and other assets 2,260 Total assets 70,034 Mortgages payable 51,570 Accrued expenses and other liabilities 1,519 Total liabilities 53,089 Non-controlling interest (2) 4,462 Net assets consolidated $ 12,483 (1) Reclassified to real estate held for sale in consolidated variable interest entities on the condensed consolidated balance sheets in 2017 ( see Note 11 ). (2) Represents third party ownership of membership interests in Riverchase Landing and The Clusters. The fair value of the non-controlling interests in Riverchase Landing and The Clusters, both private companies, was estimated using assumptions for the timing and amount of expected future cash flows from the underlying multi-family apartment communities and a discount rate. In March 2018, Riverchase Landing completed the sale of its multi-family apartment community and redeemed the Company's preferred equity investment. The Company de-consolidated Riverchase Landing as of the date of the sale. Prior to March 2018, the Company did not have any claims to the assets or obligations for the liabilities of Riverchase Landing. As of September 30, 2018 , the Company does not have any claims to the assets or obligations for the liabilities of The Clusters. The Consolidated K-Series, the Financing VIEs, KRVI, Riverchase Landing (as of December 31, 2017 ) and The Clusters are collectively referred to in this footnote as "Consolidated VIEs". The following tables present a summary of the assets and liabilities of these Consolidated VIEs as of September 30, 2018 and December 31, 2017 , respectively. Intercompany balances have been eliminated for purposes of this presentation. Assets and Liabilities of Consolidated VIEs as of September 30, 2018 (dollar amounts in thousands): Financing VIEs Other VIEs Multi-family CMBS Re- securitization (1) Distressed Residential Mortgage Loan Securitization (2) Residential Mortgage Loan Securitization Multi- family CMBS (3) Other Total Cash and cash equivalents $ — $ — $ — $ — $ 781 $ 781 Investment securities available for sale, at fair value held in securitization trusts 51,751 — — — — 51,751 Residential mortgage loans held in securitization trusts, net — — 60,459 — — 60,459 Distressed residential mortgage loans held in securitization trusts, net — 96,493 — — — 96,493 Multi-family loans held in securitization trusts, at fair value 1,109,276 — — 8,961,558 — 10,070,834 Real estate held for sale in consolidated variable interest entities — — — — 29,558 29,558 Receivables and other assets 4,131 14,320 1,021 28,474 23,304 71,250 Total assets $ 1,165,158 $ 110,813 $ 61,480 $ 8,990,032 $ 53,643 $ 10,381,126 Residential collateralized debt obligations $ — $ — $ 56,504 $ — $ — $ 56,504 Multi-family collateralized debt obligations, at fair value 1,040,174 — — 8,464,139 — 9,504,313 Securitized debt 29,870 23,727 — — — 53,597 Mortgages and notes payable in consolidated variable interest entities — — — — 32,486 32,486 Accrued expenses and other liabilities 4,115 317 25 27,999 976 33,432 Total liabilities $ 1,074,159 $ 24,044 $ 56,529 $ 8,492,138 $ 33,462 $ 9,680,332 (1) The Company classified the multi-family CMBS issued by two K-Series securitizations and held by this Financing VIE as available for sale securities as the purpose is not to trade these securities. The Financing VIE consolidated one K-Series securitization that issued certain of the multi-family CMBS owned by the Company, including its assets, liabilities, income and expenses, in its financial statements, as based on a number of factors, the Company determined that it was the primary beneficiary and has a controlling financial interest in this particular K-Series securitization ( see Note 7 ). (2) The Company engaged in this transaction for the purpose of financing distressed residential mortgage loans acquired by the Company. The distressed residential mortgage loans serving as collateral for the financing are comprised of performing, re-performing and, to a lesser extent, non-performing, fixed- and adjustable-rate, fully-amortizing, interest only and balloon, seasoned mortgage loans secured by first liens on one - to four - family properties. Balances as of September 30, 2018 are related to a securitization transaction that closed in April 2016 that involved the issuance of $177.5 million of Class A Notes representing the beneficial ownership in a pool of performing and re-performing seasoned mortgage loans. The Company holds 5% of the Class A Notes issued as part of the securitization transaction, which were eliminated in consolidation. (3) Seven of the Company’s Freddie Mac-sponsored multi-family K-Series securitizations included in the Consolidated K-Series were not held in a Financing VIE as of September 30, 2018 . Assets and Liabilities of Consolidated VIEs as of December 31, 2017 (dollar amounts in thousands): Financing VIEs Other VIEs Multi-family CMBS Re- securitization (1) Distressed Residential Mortgage Loan Securitization (2) Residential Mortgage Loan Securitization Multi- family CMBS (3) Other Total Cash and cash equivalents $ — $ — $ — $ — $ 808 $ 808 Investment securities available for sale, at fair value held in securitization trusts 47,922 — — — — 47,922 Residential mortgage loans held in securitization trusts, net — — 73,820 — — 73,820 Distressed residential mortgage loans held in securitization trusts, net — 121,791 — — — 121,791 Multi-family loans held in securitization trusts, at fair value 1,157,726 — — 8,499,695 — 9,657,421 Real estate held for sale in consolidated variable interest entities — — — — 64,202 64,202 Receivables and other assets 4,333 15,428 935 29,301 25,507 75,504 Total assets $ 1,209,981 $ 137,219 $ 74,755 $ 8,528,996 $ 90,517 $ 10,041,468 Residential collateralized debt obligations $ — $ — $ 70,308 $ — $ — $ 70,308 Multi-family collateralized debt obligations, at fair value 1,094,044 — — 8,095,415 — 9,189,459 Securitized debt 29,164 52,373 — — — 81,537 Mortgages and notes payable in consolidated variable interest entities — — — — 57,124 57,124 Accrued expenses and other liabilities 4,316 2,957 24 28,969 1,727 37,993 Total liabilities $ 1,127,524 $ 55,330 $ 70,332 $ 8,124,384 $ 58,851 $ 9,436,421 (1) The Company classified the multi-family CMBS issued by two K-Series securitizations and held by this Financing VIE as available for sale securities as the purpose is not to trade these securities. The Financing VIE consolidated one K-Series securitization that issued certain of the multi-family CMBS owned by the Company, including its assets, liabilities, income and expenses, in its financial statements, as based on a number of factors, the Company determined that it was the primary beneficiary and has a controlling financial interest in this particular K-Series securitization ( see Note 7 ). (2) The Company engaged in this transaction for the purpose of financing distressed residential mortgage loans acquired by the Company. The distressed residential mortgage loans serving as collateral for the financing are comprised of performing, re-performing and, to a lesser extent, non-performing, fixed- and adjustable-rate, fully-amortizing, interest only and balloon, seasoned mortgage loans secured by first liens on one - to four - family properties. Balances as of December 31, 2017 are related to a securitization transaction that closed in April 2016 that involved the issuance of $177.5 million of Class A Notes representing the beneficial ownership in a pool of performing and re-performing seasoned mortgage loans. The Company holds 5% of the Class A Notes issued as part of the securitization transaction, which have been eliminated in consolidation. (3) Six of the Company’s Freddie Mac-sponsored multi-family K-Series securitizations included in the Consolidated K-Series were not held in a Financing VIE as of December 31, 2017 . The following table summarizes the Company’s securitized debt collateralized by multi-family CMBS and distressed residential mortgage loans (dollar amounts in thousands): Multi-family CMBS Re-securitization (1) Distressed Residential Mortgage Loan Securitizations Principal Amount at September 30, 2018 $ 33,218 $ 24,051 Principal Amount at December 31, 2017 $ 33,350 $ 53,089 Carrying Value at September 30, 2018 (2) $ 29,870 $ 23,727 Carrying Value at December 31, 2017 (2) $ 29,164 $ 52,373 Pass-through rate of Notes issued 5.35% 4.00% (1) The Company engaged in the re-securitization transaction primarily for the purpose of obtaining non-recourse financing on a portion of its multi-family CMBS portfolio. As a result of engaging in this transaction, the Company remains economically exposed to the first loss position on the underlying multi-family CMBS transferred to the Consolidated VIE. The holders of the Note issued in this re-securitization transaction have no recourse to the general credit of the Company, but the Company does have the obligation, under certain circumstances, to repurchase assets upon the breach of certain representations and warranties. The Company will receive all remaining cash flow, if any, through its retained ownership. (2) Classified as securitized debt in the liability section of the Company’s accompanying condensed consolidated balance sheets. The following table presents contractual maturity information about the Financing VIEs’ securitized debt as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): Scheduled Maturity (principal amount) September 30, 2018 December 31, 2017 Within 24 months $ 24,051 $ 53,089 Over 24 months to 36 months — — Over 36 months 33,218 33,350 Total 57,269 86,439 Discount (3,312 ) (4,232 ) Debt issuance cost (360 ) (670 ) Carrying value $ 53,597 $ 81,537 There is no guarantee that the Company will receive any cash flows from these securitization trusts. Residential Mortgage Loan Securitization Transaction The Company has completed four residential mortgage loan securitizations (other than the distressed residential mortgage loan securitizations discussed above) since inception; the first three were accounted for as permanent financings and have been included in the Company’s accompanying condensed consolidated financial statements. The fourth was accounted for as a sale and, accordingly, is not included in the Company’s accompanying condensed consolidated financial statements. Unconsolidated VIEs The Company has evaluated its multi-family CMBS investments in two Freddie Mac-sponsored K-Series securitizations and its preferred equity, mezzanine loan and other equity investments as of September 30, 2018 and December 31, 2017 , respectively, to determine whether they are VIEs and should be consolidated by the Company. Based on a number of factors, the Company determined that, except for The Clusters as of September 30, 2018 and both Riverchase Landing and The Clusters as of December 31, 2017 , it does not have a controlling financial interest and is not the primary beneficiary of these VIEs. The following tables present the classification and carrying value of unconsolidated VIEs as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 Investment securities, available for sale, at fair value, held in securitization trusts Receivables and other assets Preferred equity and mezzanine loan investments Investment in unconsolidated entities Total Multi-family CMBS $ 51,751 $ 72 $ — $ — $ 51,823 Preferred equity investments in multi-family properties — — 187,508 8,675 196,183 Mezzanine loan on multi-family properties — — 10,769 — 10,769 Equity investments in entities that invest in residential properties — — — 13,451 13,451 Total assets $ 51,751 $ 72 $ 198,277 $ 22,126 $ 272,226 December 31, 2017 Investment securities, available for sale, at fair value, held in securitization trusts Receivables and other assets Preferred equity and mezzanine loan investments Investment in unconsolidated entities Total Multi-family CMBS $ 47,922 $ 73 $ — $ — $ 47,995 Preferred equity investments in multi-family properties — — 132,009 8,320 140,329 Mezzanine loan on multi-family properties — — 6,911 — 6,911 Equity investments in entities that invest in multi-family and residential properties — — — 25,562 25,562 Total assets $ 47,922 $ 73 $ 138,920 $ 33,882 $ 220,797 Our maximum loss exposure on the multi-family CMBS investments, preferred equity, mezzanine loan and equity investments is approximately $272.2 million and $220.8 million at September 30, 2018 and December 31, 2017 , respectively. The Company’s maximum exposure does not exceed the carrying value of its investments. |
Real Estate Held for Sale in Co
Real Estate Held for Sale in Consolidated VIEs | 9 Months Ended |
Sep. 30, 2018 | |
Real Estate [Abstract] | |
Real Estate Held for Sale in Consolidated VIEs | Real Estate Held for Sale in Consolidated VIEs On March 31, 2017 , the Company determined that it became the primary beneficiary of Riverchase Landing and The Clusters, two VIEs that each own a multi-family apartment community and in which the Company held preferred equity investments. Accordingly, on this date, the Company consolidated both Riverchase Landing and The Clusters into its condensed consolidated financial statements ( see Note 10). During the second quarter of 2017, Riverchase Landing determined to actively market its multi-family apartment community for sale. Accordingly, the Company classified the real estate assets in Riverchase Landing as held for sale as of December 31, 2017 in the accompanying condensed consolidated balance sheets. The Company also ceased depreciation of the operating real estate assets and amortization of the related lease intangible asset in Riverchase Landing as of June 5, 2017. In March 2018, Riverchase Landing completed the sale of its multi-family apartment community and redeemed the Company's preferred equity investment. Riverchase Landing recognized a net gain on sale of approximately $2.3 million which is included in other income and is allocated to net income attributable to non-controlling interest in consolidated variable interest entities on the accompanying condensed consolidated statements of operations. The Company de-consolidated Riverchase Landing as of the date of the sale. During the third quarter of 2017, The Clusters determined to actively market its multi-family apartment community for sale. The Company anticipates completing a sale to a third party buyer in 2018. Accordingly, the Company classified the real estate assets in The Clusters as held for sale as of September 30, 2018 and December 31, 2017 in the accompanying condensed consolidated balance sheets. The Company also ceased depreciation of the operating real estate assets and amortization of the related lease intangible asset in The Clusters as of September 1, 2017. The following is a summary of the real estate held for sale in consolidated variable interest entities as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Land $ 2,650 $ 7,000 Building and improvements 25,975 53,468 Furniture, fixtures and equipment 885 2,150 Lease intangible 2,802 5,340 Real estate held for sale before accumulated depreciation and amortization 32,312 67,958 Accumulated depreciation (1) (418 ) (647 ) Accumulated amortization of lease intangible (1) (2,336 ) (3,109 ) Real estate held for sale in consolidated variable interest entities $ 29,558 $ 64,202 (1) There were no depreciation and amortization expenses for the three and nine months ended September 30, 2018 . Depreciation and amortization expenses for the three months ended September 30, 2017 totaled $0.2 million and $0.9 million , respectively. Depreciation and amortization expenses for the nine months ended September 30, 2017 totaled $0.6 million and $3.1 million , respectively. No gain or loss was recognized by the Company or allocated to non-controlling interests related to the initial classification of the real estate assets as held for sale. |
Derivative Instruments and Hedg
Derivative Instruments and Hedging Activities | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities | Derivative Instruments and Hedging Activities The Company enters into derivative instruments in connection with its risk management activities. These derivative instruments may include interest rate swaps, swaptions, futures and options on futures. The Company may also purchase or sell TBAs, purchase options on U.S. Treasury futures or invest in other types of mortgage derivative securities. The Company's derivative instruments are currently comprised of interest rate swaps, which are designated as trading instruments. The following table presents the fair value of derivative instruments and their location in our condensed consolidated balance sheets at September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): Type of Derivative Instrument Balance Sheet Location September 30, 2018 December 31, 2017 Interest rate swaps (1) Derivative assets $ 8,760 $ 10,101 (1) Variation margin payable of $8.5 million and variation margin receivable of $9.3 million is included as an adjustment to the carrying value of the derivative assets at September 30, 2018 and December 31, 2017 , respectively. The tables below summarize the volume activity of derivative instruments for the nine months ended September 30, 2018 and 2017 , respectively (dollar amounts in thousands): Notional Amount For the Nine Months Ended September 30, 2018 Type of Derivative Instrument December 31, 2017 Additions Settlement, Expiration or Exercise September 30, 2018 Interest rate swaps $ 345,500 $ 50,000 $ — $ 395,500 Notional Amount For the Nine Months Ended September 30, 2017 Type of Derivative Instrument December 31, 2016 Additions Settlement, Expiration or Exercise September 30, 2017 TBA securities (1) $ 149,000 $ 1,466,000 $ (1,440,000 ) $ 175,000 U.S. Treasury futures 17,100 123,900 (135,500 ) 5,500 Interest rate swap futures (151,700 ) 413,800 (349,000 ) (86,900 ) Eurodollar futures (2,575,000 ) 5,989,000 (5,054,000 ) (1,640,000 ) Options on U.S. Treasury futures — 5,000 (5,000 ) — Swaptions 154,000 — — 154,000 Interest rate swaps 15,000 — — 15,000 (1) Open TBA purchases and sales involving the same counterparty, same underlying deliverable and the same settlement date are reflected in our condensed consolidated financial statements on a net basis. The following table presents the components of realized and unrealized gains and losses related to our derivative instruments included in other income category in our condensed consolidated statements of operations for the three and nine months ended September 30, 2018 and 2017 (dollar amounts in thousands): Three Months Ended September 30, 2018 2017 Realized Gains (Losses) Unrealized Gains (Losses) Realized Gains (Losses) Unrealized Gains (Losses) TBA securities $ — $ — $ 1,470 $ (265 ) Eurodollar futures — — 62 39 Interest rate swaps — 2,275 — 36 Swaptions — — — 171 U.S. Treasury and interest rate swap futures and options — — (583 ) 505 Total $ — $ 2,275 $ 949 $ 486 Nine Months Ended September 30, 2018 2017 Realized Gains (Losses) Unrealized Gains (Losses) Realized Gains (Losses) Unrealized Gains (Losses) TBA securities $ — $ — $ 3,285 $ (1,080 ) Eurodollar futures — — 849 (886 ) Interest rate swaps — 16,379 — 110 Swaptions — — — 239 U.S. Treasury and interest rate swap futures and options — — (999 ) 699 Total $ — $ 16,379 $ 3,135 $ (918 ) The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): September 30, 2018 December 31, 2017 Swap Maturities Notional Amount Weighted Average Fixed Interest Rate Weighted Average Notional Amount Weighted Average Fixed Interest Rate Weighted Average 2024 $ 98,000 2.18 % 2.34 % $ 98,000 2.18 % 1.36 % 2027 247,500 2.39 % 2.34 % 247,500 2.39 % 1.39 % 2028 50,000 3.13 % 2.31 % — — — Total $ 395,500 2.43 % 2.34 % $ 345,500 2.33 % 1.38 % The use of derivatives exposes the Company to counterparty credit risks in the event of a default by a counterparty. If a counterparty defaults under the applicable derivative agreement, the Company may be unable to collect payments to which it is entitled under its derivative agreements and may have difficulty collecting the assets it pledged as collateral against such derivatives. The Company has in place with all counterparties bi-lateral margin agreements requiring a party to post collateral to the Company for any valuation deficit. This arrangement is intended to limit the Company’s exposure to losses in the event of a counterparty default. Currently, all of the Company's interest rate swaps outstanding are cleared through CME Group Inc. ("CME Clearing") which is the parent company of the Chicago Mercantile Exchange Inc. CME Clearing serves as the counterparty to every cleared transaction, becoming the buyer to each seller and the seller to each buyer, limiting the credit risk by guaranteeing the financial performance of both parties and netting down exposures. |
Financing Arrangements, Portfol
Financing Arrangements, Portfolio Investments | 9 Months Ended |
Sep. 30, 2018 | |
Banking and Thrift [Abstract] | |
Financing Arrangements, Portfolio Investments | Financing Arrangements, Portfolio Investments The Company has entered into repurchase agreements with third party financial institutions to finance its investment portfolio. These financing arrangements are short-term borrowings that bear interest rates typically based on a spread to LIBOR, and are secured by the securities which they finance. At September 30, 2018 , the Company had repurchase agreements with an outstanding balance of $1.1 billion and a weighted average interest rate of 2.90% . At December 31, 2017 , the Company had repurchase agreements with an outstanding balance of $1.3 billion and a weighted average interest rate of 2.18% . The following table presents detailed information about the Company’s borrowings under financing arrangements and associated assets pledged as collateral at September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Outstanding Financing Arrangements Fair Value of Collateral Pledged Amortized Cost of Collateral Pledged Outstanding Financing Arrangements Fair Value of Collateral Pledged Amortized Cost of Collateral Pledged Agency ARMs RMBS $ 49,689 $ 51,750 $ 53,699 $ 86,349 $ 90,343 $ 92,586 Agency Fixed-rate RMBS 802,636 847,316 891,660 842,474 890,359 902,744 Non-Agency RMBS — — — 38,160 51,841 50,693 CMBS (1) 278,334 405,623 282,492 309,935 421,156 322,092 Balance at end of the period $ 1,130,659 $ 1,304,689 $ 1,227,851 $ 1,276,918 $ 1,453,699 $ 1,368,115 (1) Includes first loss PO and mezzanine CMBS securities with a fair value amounting to $405.6 million and $377.5 million included in the Consolidated K-Series as of September 30, 2018 and December 31, 2017 , respectively. As of September 30, 2018 and December 31, 2017 , the average days to maturity for financing arrangements were 29 days and 44 days , respectively. The Company’s accrued interest payable on outstanding financing arrangements at September 30, 2018 and December 31, 2017 amounts to $5.2 million and $2.5 million , respectively, and is included in accrued expenses and other liabilities on the Company’s condensed consolidated balance sheets. The following table presents contractual maturity information about the Company’s outstanding financing arrangements, at September 30, 2018 and December 31, 2017 (dollar amounts in thousands): Contractual Maturity September 30, 2018 December 31, 2017 Within 30 days $ 822,582 $ 1,081,911 Over 30 days to 90 days 308,077 95,007 Over 90 days — 100,000 Total $ 1,130,659 $ 1,276,918 As of September 30, 2018 , the outstanding balance under our financing arrangements was funded at a weighted average advance rate of 90.3% that implies an average haircut of 9.7% . As of September 30, 2018 , the weighted average “haircut” related to our repurchase agreement financing for our Agency RMBS and CMBS was approximately 5% and 25% , respectively. In the event we are unable to obtain sufficient short-term financing through existing financings arrangements, or our lenders start to require additional collateral, we may have to liquidate our investment securities at a disadvantageous time, which could result in losses. Any losses resulting from the disposition of our investment securities in this manner could have a material adverse effect on our operating results and net profitability. At September 30, 2018 and December 31, 2017 , the Company had financing arrangements with ten counterparties. As of September 30, 2018 and December 31, 2017 , the Company's only exposure where the amount at risk was in excess of 5% of the Company's stockholders’ equity was to Deutsche Bank AG, London Branch at 7.4% and 5.0% , respectively. The amount at risk is defined as the fair value of securities pledged as collateral to the financing arrangement in excess of the financing arrangement liability. As of September 30, 2018 , our available liquid assets included unrestricted cash and cash equivalents and unencumbered securities that we believe may be posted as margin. The Company had $57.5 million in cash and cash equivalents and $429.4 million in unencumbered investment securities to meet additional haircuts or market valuation requirements. The unencumbered securities that we believe may be posted as margin as of September 30, 2018 included $156.5 million of Agency RMBS, $173.6 million of CMBS and $99.3 million of non-Agency RMBS and other investment securities. The cash and unencumbered securities, which collectively represent 43.1% of our financing arrangements, are liquid and could be monetized to pay down or collateralize a liability immediately. Financing Arrangements, Residential Mortgage Loans The Company has a master repurchase agreement with Deutsche Bank AG, Cayman Islands Branch with a maximum aggregate committed principal amount of $100.0 million and a maximum uncommitted principal amount of $150.0 million to fund the purchase of residential mortgage loans, expiring on June 8, 2019 . The outstanding balance on this master repurchase agreement as of September 30, 2018 and December 31, 2017 amounts to approximately $141.5 million and $123.6 million , respectively, bearing interest at one-month LIBOR plus 2.40% and 2.50% , respectively ( 4.62% and 4.05% at September 30, 2018 and December 31, 2017 , respectively). The Company expects to roll outstanding borrowings under this master repurchase agreement into a new repurchase agreement or other financing prior to or at maturity. The Company also has a master repurchase agreement with Deutsche Bank AG, Cayman Islands Branch with a maximum aggregate committed principal amount of $25.0 million and a maximum uncommitted principal amount of $25.0 million to fund the purchase of residential mortgage loans, particularly second mortgage loans, expiring on November 24, 2018 . The outstanding balance on this master repurchase agreement as of September 30, 2018 and December 31, 2017 amounts to approximately $35.9 million and $26.1 million , respectively, bearing interest at one-month LIBOR plus 3.50% ( 5.72% and 5.05% at September 30, 2018 and December 31, 2017 , respectively). The Company expects to roll outstanding borrowings under this master repurchase agreement into a new repurchase agreement or other financing prior to or at maturity. During the terms of the master repurchase agreements, proceeds from the residential mortgage loans, including the Company's distressed residential mortgage loans, will be applied to pay any price differential and to reduce the aggregate repurchase price of the collateral. The financings under the master repurchase agreements are subject to margin calls to the extent the market value of the residential mortgage loans falls below specified levels and repurchase may be accelerated upon an event of default under the master repurchase agreements. The master repurchase agreements contain various covenants, including among other things, the maintenance of certain amounts of net worth, liquidity and leverage ratios. The Company is in compliance with such covenants as of November 6, 2018 . |
Financing Arrangements, Residen
Financing Arrangements, Residential Mortgage Loans | 9 Months Ended |
Sep. 30, 2018 | |
Banking and Thrift [Abstract] | |
Financing Arrangements, Residential Mortgage Loans | Financing Arrangements, Portfolio Investments The Company has entered into repurchase agreements with third party financial institutions to finance its investment portfolio. These financing arrangements are short-term borrowings that bear interest rates typically based on a spread to LIBOR, and are secured by the securities which they finance. At September 30, 2018 , the Company had repurchase agreements with an outstanding balance of $1.1 billion and a weighted average interest rate of 2.90% . At December 31, 2017 , the Company had repurchase agreements with an outstanding balance of $1.3 billion and a weighted average interest rate of 2.18% . The following table presents detailed information about the Company’s borrowings under financing arrangements and associated assets pledged as collateral at September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Outstanding Financing Arrangements Fair Value of Collateral Pledged Amortized Cost of Collateral Pledged Outstanding Financing Arrangements Fair Value of Collateral Pledged Amortized Cost of Collateral Pledged Agency ARMs RMBS $ 49,689 $ 51,750 $ 53,699 $ 86,349 $ 90,343 $ 92,586 Agency Fixed-rate RMBS 802,636 847,316 891,660 842,474 890,359 902,744 Non-Agency RMBS — — — 38,160 51,841 50,693 CMBS (1) 278,334 405,623 282,492 309,935 421,156 322,092 Balance at end of the period $ 1,130,659 $ 1,304,689 $ 1,227,851 $ 1,276,918 $ 1,453,699 $ 1,368,115 (1) Includes first loss PO and mezzanine CMBS securities with a fair value amounting to $405.6 million and $377.5 million included in the Consolidated K-Series as of September 30, 2018 and December 31, 2017 , respectively. As of September 30, 2018 and December 31, 2017 , the average days to maturity for financing arrangements were 29 days and 44 days , respectively. The Company’s accrued interest payable on outstanding financing arrangements at September 30, 2018 and December 31, 2017 amounts to $5.2 million and $2.5 million , respectively, and is included in accrued expenses and other liabilities on the Company’s condensed consolidated balance sheets. The following table presents contractual maturity information about the Company’s outstanding financing arrangements, at September 30, 2018 and December 31, 2017 (dollar amounts in thousands): Contractual Maturity September 30, 2018 December 31, 2017 Within 30 days $ 822,582 $ 1,081,911 Over 30 days to 90 days 308,077 95,007 Over 90 days — 100,000 Total $ 1,130,659 $ 1,276,918 As of September 30, 2018 , the outstanding balance under our financing arrangements was funded at a weighted average advance rate of 90.3% that implies an average haircut of 9.7% . As of September 30, 2018 , the weighted average “haircut” related to our repurchase agreement financing for our Agency RMBS and CMBS was approximately 5% and 25% , respectively. In the event we are unable to obtain sufficient short-term financing through existing financings arrangements, or our lenders start to require additional collateral, we may have to liquidate our investment securities at a disadvantageous time, which could result in losses. Any losses resulting from the disposition of our investment securities in this manner could have a material adverse effect on our operating results and net profitability. At September 30, 2018 and December 31, 2017 , the Company had financing arrangements with ten counterparties. As of September 30, 2018 and December 31, 2017 , the Company's only exposure where the amount at risk was in excess of 5% of the Company's stockholders’ equity was to Deutsche Bank AG, London Branch at 7.4% and 5.0% , respectively. The amount at risk is defined as the fair value of securities pledged as collateral to the financing arrangement in excess of the financing arrangement liability. As of September 30, 2018 , our available liquid assets included unrestricted cash and cash equivalents and unencumbered securities that we believe may be posted as margin. The Company had $57.5 million in cash and cash equivalents and $429.4 million in unencumbered investment securities to meet additional haircuts or market valuation requirements. The unencumbered securities that we believe may be posted as margin as of September 30, 2018 included $156.5 million of Agency RMBS, $173.6 million of CMBS and $99.3 million of non-Agency RMBS and other investment securities. The cash and unencumbered securities, which collectively represent 43.1% of our financing arrangements, are liquid and could be monetized to pay down or collateralize a liability immediately. Financing Arrangements, Residential Mortgage Loans The Company has a master repurchase agreement with Deutsche Bank AG, Cayman Islands Branch with a maximum aggregate committed principal amount of $100.0 million and a maximum uncommitted principal amount of $150.0 million to fund the purchase of residential mortgage loans, expiring on June 8, 2019 . The outstanding balance on this master repurchase agreement as of September 30, 2018 and December 31, 2017 amounts to approximately $141.5 million and $123.6 million , respectively, bearing interest at one-month LIBOR plus 2.40% and 2.50% , respectively ( 4.62% and 4.05% at September 30, 2018 and December 31, 2017 , respectively). The Company expects to roll outstanding borrowings under this master repurchase agreement into a new repurchase agreement or other financing prior to or at maturity. The Company also has a master repurchase agreement with Deutsche Bank AG, Cayman Islands Branch with a maximum aggregate committed principal amount of $25.0 million and a maximum uncommitted principal amount of $25.0 million to fund the purchase of residential mortgage loans, particularly second mortgage loans, expiring on November 24, 2018 . The outstanding balance on this master repurchase agreement as of September 30, 2018 and December 31, 2017 amounts to approximately $35.9 million and $26.1 million , respectively, bearing interest at one-month LIBOR plus 3.50% ( 5.72% and 5.05% at September 30, 2018 and December 31, 2017 , respectively). The Company expects to roll outstanding borrowings under this master repurchase agreement into a new repurchase agreement or other financing prior to or at maturity. During the terms of the master repurchase agreements, proceeds from the residential mortgage loans, including the Company's distressed residential mortgage loans, will be applied to pay any price differential and to reduce the aggregate repurchase price of the collateral. The financings under the master repurchase agreements are subject to margin calls to the extent the market value of the residential mortgage loans falls below specified levels and repurchase may be accelerated upon an event of default under the master repurchase agreements. The master repurchase agreements contain various covenants, including among other things, the maintenance of certain amounts of net worth, liquidity and leverage ratios. The Company is in compliance with such covenants as of November 6, 2018 . |
Residential Collateralized Debt
Residential Collateralized Debt Obligations | 9 Months Ended |
Sep. 30, 2018 | |
Debt Disclosure [Abstract] | |
Residential Collateralized Debt Obligations | Residential Collateralized Debt Obligations The Company’s Residential CDOs, which are recorded as liabilities on the Company’s condensed consolidated balance sheets, are secured by ARM loans pledged as collateral, which are recorded as assets of the Company. As of September 30, 2018 and December 31, 2017 , the Company had Residential CDOs outstanding of $56.5 million and $70.3 million , respectively. As of September 30, 2018 and December 31, 2017 , the current weighted average interest rate on these Residential CDOs was 2.83% and 2.16% , respectively. The Residential CDOs are collateralized by ARM loans with a principal balance of $63.7 million and $77.5 million at September 30, 2018 and December 31, 2017 , respectively. The Company retained the owner trust certificates, or residual interest, for three securitizations, and, as of September 30, 2018 and December 31, 2017 , had a net investment in the residential securitization trusts of $5.0 million and $4.4 million , respectively. Debt Convertible Notes On January 23, 2017 , the Company issued $138.0 million aggregate principal amount of its 6.25% Senior Convertible Notes due 2022 , including $18.0 million aggregate principal amount of the Convertible Notes issued upon exercise of the underwriter's over-allotment option, in an underwritten public offering. The net proceeds to the Company from the sale of the Convertible Notes, after deducting the underwriter's discounts, commissions and offering expenses, were approximately $127.0 million with the total cost to the Company of approximately 8.24% . The Convertible Notes were issued at 96% of the principal amount, bear interest at a rate equal to 6.25% per year, payable semi-annually in arrears on January 15 and July 15 of each year, and are expected to mature on January 15, 2022 , unless earlier converted or repurchased. The Company does not have the right to redeem the Convertible Notes prior to maturity and no sinking fund is provided for the Convertible Notes. Holders of the Convertible Notes will be permitted to convert their Convertible Notes into shares of the Company's common stock at any time prior to the close of business on the business day immediately preceding January 15, 2022 . The conversion rate for the Convertible Notes, which is subject to adjustment upon the occurrence of certain specified events, initially equals 142.7144 shares of the Company’s common stock per $1,000 principal amount of Convertible Notes, which is equivalent to a conversion price of approximately $7.01 per share of the Company’s common stock, based on a $1,000 principal amount of the Convertible Notes. The Convertible Notes are senior unsecured obligations of the Company that rank senior in right of payment to the Company's subordinated debentures and any of its other indebtedness that is expressly subordinated in right of payment to the Convertible Notes. During the nine months ended September 30, 2018 , none of the Convertible Notes were converted. As of November 6, 2018 , the Company has not been notified, and is not aware, of any event of default under the covenants for the Convertible Notes. Subordinated Debentures Subordinated debentures are trust preferred securities that are fully guaranteed by the Company with respect to distributions and amounts payable upon liquidation, redemption or repayment. The following table summarizes the key details of the Company’s subordinated debentures as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): NYM Preferred Trust I NYM Preferred Trust II Principal value of trust preferred securities $ 25,000 $ 20,000 Interest rate Three month LIBOR plus 3.75%, resetting quarterly Three month LIBOR plus 3.95%, resetting quarterly Scheduled maturity March 30, 2035 October 30, 2035 As of November 6, 2018 , the Company has not been notified, and is not aware, of any event of default under the covenants for the subordinated debentures. Mortgages and Notes Payable in Consolidated VIEs On March 31, 2017 , the Company consolidated both Riverchase Landing and The Clusters into its condensed consolidated financial statements (s ee Note 10) . In March 2018, Riverchase Landing completed the sale of its multi-family apartment community and redeemed the Company's preferred equity investment. The Company de-consolidated Riverchase Landing as of the date of the sale. The Clusters' real estate investment is subject to a mortgage payable and the Company has no obligation for this liability as of September 30, 2018 . The Company also consolidates KRVI into its condensed consolidated financial statements ( see Note 10 ). KRVI's real estate under development is subject to a note payable of $5.1 million that has an unused commitment of $3.3 million as of September 30, 2018 . The Company has not been notified, and is not aware, of any event of default under the covenants of KRVI's note payable as of November 6, 2018 . The mortgages and notes payable in the consolidated VIEs as of September 30, 2018 are described below (dollar amounts in thousands): Assumption/Origination Date Mortgage Note Amount Maturity Date Interest Rate Net Deferred Finance Costs The Clusters 6/30/2014 $ 27,445 7/6/2024 4.49 % $ 58 KRVI 12/16/2016 $ 5,098 12/16/2019 6.75 % $ — As of September 30, 2018 , maturities for debt on the Company's condensed consolidated balance sheet are as follows (dollar amounts in thousands): Fiscal Year Total 2018 $ — 2019 5,098 2020 — 2021 — 2022 138,000 2023 — Thereafter 72,445 $ 215,543 |
Debt
Debt | 9 Months Ended |
Sep. 30, 2018 | |
Debt Disclosure [Abstract] | |
Debt | Residential Collateralized Debt Obligations The Company’s Residential CDOs, which are recorded as liabilities on the Company’s condensed consolidated balance sheets, are secured by ARM loans pledged as collateral, which are recorded as assets of the Company. As of September 30, 2018 and December 31, 2017 , the Company had Residential CDOs outstanding of $56.5 million and $70.3 million , respectively. As of September 30, 2018 and December 31, 2017 , the current weighted average interest rate on these Residential CDOs was 2.83% and 2.16% , respectively. The Residential CDOs are collateralized by ARM loans with a principal balance of $63.7 million and $77.5 million at September 30, 2018 and December 31, 2017 , respectively. The Company retained the owner trust certificates, or residual interest, for three securitizations, and, as of September 30, 2018 and December 31, 2017 , had a net investment in the residential securitization trusts of $5.0 million and $4.4 million , respectively. Debt Convertible Notes On January 23, 2017 , the Company issued $138.0 million aggregate principal amount of its 6.25% Senior Convertible Notes due 2022 , including $18.0 million aggregate principal amount of the Convertible Notes issued upon exercise of the underwriter's over-allotment option, in an underwritten public offering. The net proceeds to the Company from the sale of the Convertible Notes, after deducting the underwriter's discounts, commissions and offering expenses, were approximately $127.0 million with the total cost to the Company of approximately 8.24% . The Convertible Notes were issued at 96% of the principal amount, bear interest at a rate equal to 6.25% per year, payable semi-annually in arrears on January 15 and July 15 of each year, and are expected to mature on January 15, 2022 , unless earlier converted or repurchased. The Company does not have the right to redeem the Convertible Notes prior to maturity and no sinking fund is provided for the Convertible Notes. Holders of the Convertible Notes will be permitted to convert their Convertible Notes into shares of the Company's common stock at any time prior to the close of business on the business day immediately preceding January 15, 2022 . The conversion rate for the Convertible Notes, which is subject to adjustment upon the occurrence of certain specified events, initially equals 142.7144 shares of the Company’s common stock per $1,000 principal amount of Convertible Notes, which is equivalent to a conversion price of approximately $7.01 per share of the Company’s common stock, based on a $1,000 principal amount of the Convertible Notes. The Convertible Notes are senior unsecured obligations of the Company that rank senior in right of payment to the Company's subordinated debentures and any of its other indebtedness that is expressly subordinated in right of payment to the Convertible Notes. During the nine months ended September 30, 2018 , none of the Convertible Notes were converted. As of November 6, 2018 , the Company has not been notified, and is not aware, of any event of default under the covenants for the Convertible Notes. Subordinated Debentures Subordinated debentures are trust preferred securities that are fully guaranteed by the Company with respect to distributions and amounts payable upon liquidation, redemption or repayment. The following table summarizes the key details of the Company’s subordinated debentures as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): NYM Preferred Trust I NYM Preferred Trust II Principal value of trust preferred securities $ 25,000 $ 20,000 Interest rate Three month LIBOR plus 3.75%, resetting quarterly Three month LIBOR plus 3.95%, resetting quarterly Scheduled maturity March 30, 2035 October 30, 2035 As of November 6, 2018 , the Company has not been notified, and is not aware, of any event of default under the covenants for the subordinated debentures. Mortgages and Notes Payable in Consolidated VIEs On March 31, 2017 , the Company consolidated both Riverchase Landing and The Clusters into its condensed consolidated financial statements (s ee Note 10) . In March 2018, Riverchase Landing completed the sale of its multi-family apartment community and redeemed the Company's preferred equity investment. The Company de-consolidated Riverchase Landing as of the date of the sale. The Clusters' real estate investment is subject to a mortgage payable and the Company has no obligation for this liability as of September 30, 2018 . The Company also consolidates KRVI into its condensed consolidated financial statements ( see Note 10 ). KRVI's real estate under development is subject to a note payable of $5.1 million that has an unused commitment of $3.3 million as of September 30, 2018 . The Company has not been notified, and is not aware, of any event of default under the covenants of KRVI's note payable as of November 6, 2018 . The mortgages and notes payable in the consolidated VIEs as of September 30, 2018 are described below (dollar amounts in thousands): Assumption/Origination Date Mortgage Note Amount Maturity Date Interest Rate Net Deferred Finance Costs The Clusters 6/30/2014 $ 27,445 7/6/2024 4.49 % $ 58 KRVI 12/16/2016 $ 5,098 12/16/2019 6.75 % $ — As of September 30, 2018 , maturities for debt on the Company's condensed consolidated balance sheet are as follows (dollar amounts in thousands): Fiscal Year Total 2018 $ — 2019 5,098 2020 — 2021 — 2022 138,000 2023 — Thereafter 72,445 $ 215,543 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Loans Sold to Third Parties – In the normal course of business, the Company is obligated to repurchase loans based on violations of representations and warranties in the loan sale agreements. The Company did not repurchase any loans during the nine months ended September 30, 2018 . Outstanding Litigation – The Company is at times subject to various legal proceedings arising in the ordinary course of business. As of September 30, 2018 , the Company does not believe that any of its current legal proceedings, individually or in the aggregate, will have a material adverse effect on the Company’s operations, financial condition or cash flows. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments The Company has established and documented processes for determining fair values. Fair value is based upon quoted market prices, where available. If listed prices or quotes are not available, then fair value is based upon internally developed models that primarily use inputs that are market-based or independently-sourced market parameters, including interest rate yield curves. A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: Level 1 - inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. Level 2 - inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 - inputs to the valuation methodology are unobservable and significant to the fair value measurement. The following describes the valuation methodologies used for the Company’s financial instruments measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy. a. Investment Securities Available for Sale – Fair value for the investment securities in our portfolio, except the CMBS held in securitization trusts, are valued using a third-party pricing service or are based on quoted prices provided by dealers who make markets in similar financial instruments. Dealer valuations typically incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the security. If quoted prices for a security are not reasonably available from a dealer, the security will be classified as a Level 3 security and, as a result, management will determine fair value by modeling the security based on its specific characteristics and available market information. Management reviews all prices used in determining fair value to ensure they represent current market conditions. This review includes surveying similar market transactions, comparisons to interest pricing models as well as offerings of like securities by dealers. The Company's investment securities, except the CMBS held in securitization trusts, are valued based upon readily observable market parameters and are classified as Level 2 fair values. The Company’s CMBS held in securitization trusts are comprised of securities for which there are not substantially similar securities that trade frequently. The Company classifies these securities as Level 3 fair values. Fair value of the Company’s CMBS investments held in securitization trusts is based on an internal valuation model that considers expected cash flows from the underlying loans and yields required by market participants. The significant unobservable inputs used in the measurement of these investments are projected losses of certain identified loans within the pool of loans and a discount rate. The discount rate used in determining fair value incorporates default rate, loss severity and current market interest rates. The discount rate ranges from 4.5% to 9.5% . Significant increases or decreases in these inputs would result in a significantly lower or higher fair value measurement. b. Multi - Family Loans Held in Securitization Trusts – Multi-family loans held in securitization trusts are carried at fair value as a result of a fair value election and classified as Level 3 fair values. The Company determines the fair value of multi-family loans held in securitization trusts based on the fair value of its Multi-Family CDOs and its retained interests from these securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable. c. Derivative Instruments – The fair value of interest rate swaps are based on dealer quotes and are presented net of variation margin payments pledged or received. The Company’s derivatives are classified as Level 2 fair values. d. Multi-Family CDOs – Multi-Family CDOs are recorded at fair value and classified as Level 3 fair values. The fair value of Multi-Family CDOs is determined using a third party pricing service or are based on quoted prices provided by dealers who make markets in similar financial instruments. The dealers will consider contractual cash payments and yields expected by market participants. Dealers also incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the security. e. Investment in Unconsolidated Entities – Fair value for investments in unconsolidated entities is determined based on a valuation model using assumptions for the timing and amount of expected future cash flow for income and realization events for the underlying assets in the unconsolidated entities and a discount rate. This fair value measurement is generally based on unobservable inputs and, as such, is classified as Level 3 in the fair value hierarchy. f. Residential Mortgage Loans - Certain of the Company’s acquired residential mortgage loans, including distressed residential mortgage loans and second mortgages, are recorded at fair value and classified as Level 3 in the fair value hierarchy. The fair value for first lien mortgages is determined using prices obtained from a third party pricing service. The fair value is based upon cash flow models that primarily use market-based inputs such as current interest and discount rates but also include unobservable market data inputs such as prepayment speeds, default rates and loss severities. The fair value for second mortgage residential loans is based upon an internal cash flow model that considers current interest rates, prepayment speeds, default rates, and loss severities. Any changes to the valuation methodology are reviewed by management to ensure the changes are appropriate. As markets and products develop and the pricing for certain products becomes more transparent, the Company continues to refine its valuation methodologies. The methods described above may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of each reporting date, which may include periods of market dislocation, during which time price transparency may be reduced. This condition could cause the Company’s financial instruments to be reclassified from Level 2 to Level 3 in future periods. The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2018 and December 31, 2017 , respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands): Measured at Fair Value on a Recurring Basis at September 30, 2018 December 31, 2017 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Assets carried at fair value Investment securities available for sale: Agency RMBS $ — $ 1,055,433 $ — $ 1,055,433 $ — $ 1,169,536 $ — $ 1,169,536 Non-Agency RMBS — 98,244 — 98,244 — 102,125 — 102,125 CMBS — 81,760 51,751 133,511 — 93,498 47,922 141,420 Multi-family loans held in securitization trusts — — 10,070,834 10,070,834 — — 9,657,421 9,657,421 Residential mortgage loans, at fair value — — 181,910 181,910 — — 87,153 87,153 Derivative assets: Interest rate swaps — 8,760 — 8,760 — 10,101 — 10,101 Investments in unconsolidated entities — — 35,061 35,061 — — 42,823 42,823 Total $ — $ 1,244,197 $ 10,339,556 $ 11,583,753 $ — $ 1,375,260 $ 9,835,319 $ 11,210,579 Liabilities carried at fair value Multi-family collateralized debt obligations $ — $ — $ 9,504,313 $ 9,504,313 $ — $ — $ 9,189,459 $ 9,189,459 Total $ — $ — $ 9,504,313 $ 9,504,313 $ — $ — $ 9,189,459 $ 9,189,459 The following table details changes in valuation for the Level 3 assets for the nine months ended September 30, 2018 and 2017 , respectively (amounts in thousands): Level 3 Assets: Nine Months Ended September 30, 2018 2017 Balance at beginning of period $ 9,835,319 $ 7,061,842 Total (losses)/gains (realized/unrealized) Included in earnings (1) (280,300 ) 38,978 Included in other comprehensive income 901 208 Contributions — 1,300 Paydowns/Distributions (133,101 ) (139,751 ) Sales (7,105 ) (4,100 ) Purchases (2) 923,842 1,598,018 Balance at the end of period $ 10,339,556 $ 8,556,495 (1) Amounts included in interest income from multi-family loans held in securitization trusts, interest income from residential mortgage loans, realized gain on distressed residential mortgage loans, net gain on residential mortgage loans at fair value, unrealized gain on multi-family loans and debt held in securitization trusts, and other income. (2) During the nine months ended September 30, 2018 and 2017 , the Company purchased PO securities, certain IOs and mezzanine CMBS securities issued from Freddie Mac-sponsored multi-family K-Series securitization trusts. The Company determined that the securitization trusts are VIEs and that the Company is the primary beneficiary of the VIEs. As a result, during the nine months ended September 30, 2018 and 2017 , the Company consolidated assets of these Freddie Mac sponsored multi-family K-Series securitization trusts in the amounts of $0.8 billion and $1.5 billion , respectively ( see Notes 2 and 7 ). The following table details changes in valuation for the Level 3 liabilities for the nine months ended September 30, 2018 and 2017 , respectively (amounts in thousands): Level 3 Liabilities: Nine Months Ended September 30, 2018 2017 Balance at beginning of period $ 9,189,459 $ 6,624,896 Total gains (realized/unrealized) Included in earnings (1) (350,674 ) (1,389 ) Purchases (2) 767,477 1,472,073 Paydowns (101,949 ) (104,961 ) Balance at the end of period $ 9,504,313 $ 7,990,619 (1) Amounts included in interest expense on Multi-Family CDOs and unrealized gain on multi-family loans and debt held in securitization trusts. (2) During the nine months ended September 30, 2018 and 2017 , the Company purchased PO securities, certain IOs and mezzanine CMBS securities issued from Freddie Mac-sponsored multi-family K-Series securitization trusts. The Company determined that the securitization trusts are VIEs and that the Company is the primary beneficiary of the VIEs. As a result, during the nine months ended September 30, 2018 and 2017 , the Company consolidated liabilities of these Freddie Mac sponsored multi-family K-Series securitization trusts in the amounts of $0.8 billion and $1.5 billion , respectively ( see Notes 2 and 7 ). The following table details the changes in unrealized gains (losses) included in earnings for our Level 3 multi-family loans and debt held in securitization trusts for the three and nine months ended September 30, 2018 and 2017 , respectively (dollar amounts in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2018 2017 2018 2017 Change in unrealized (losses) gains – assets $ (33,153 ) $ (19,767 ) $ (252,899 ) $ 56,995 Change in unrealized gains (losses) – liabilities 45,456 22,120 284,766 (51,811 ) Net change in unrealized gains included in earnings for assets and liabilities $ 12,303 $ 2,353 $ 31,867 $ 5,184 The following table presents assets measured at fair value on a non-recurring basis as of September 30, 2018 and December 31, 2017 , respectively, on the Company's condensed consolidated balance sheets (dollar amounts in thousands): Assets Measured at Fair Value on a Non-Recurring Basis at September 30, 2018 December 31, 2017 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Residential mortgage loans held in securitization trusts – impaired loans, net $ — $ — $ 6,336 $ 6,336 $ — $ — $ 10,317 $ 10,317 Real estate owned held in residential securitization trusts — — — — — — 111 111 The following table presents gains (losses) incurred for assets measured at fair value on a non-recurring basis for the three and nine months ended September 30, 2018 and 2017 , respectively, on the Company’s condensed consolidated statements of operations (dollar amounts in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2018 2017 2018 2017 Residential mortgage loans held in securitization trusts – impaired loans, net $ (17 ) $ 199 $ 93 $ (6 ) Real estate owned held in residential securitization trusts — (297 ) — (303 ) Residential Mortgage Loans Held in Securitization Trusts – Impaired Loans, net – Impaired residential mortgage loans held in securitization trusts are recorded at amortized cost less specific loan loss reserves. Impaired loan value is based on management’s estimate of the net realizable value taking into consideration local market conditions of the property, updated appraisal values of the property and estimated expenses required to remediate the impaired loan. Real Estate Owned Held in Residential Securitization Trusts – Real estate owned held in the residential securitization trusts are recorded at net realizable value. Any subsequent adjustment will result in the reduction in carrying value with the corresponding amount charged to earnings. Net realizable value is based on an estimate of disposal taking into consideration local market conditions of the property, updated appraisal values of the property and estimated expenses required to sell the property. The following table presents the carrying value and estimated fair value of the Company’s financial instruments at September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): September 30, 2018 December 31, 2017 Fair Value Hierarchy Level Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets: Cash and cash equivalents Level 1 $ 57,471 $ 57,471 $ 95,191 $ 95,191 Investment securities available for sale (1) Level 2 or 3 1,287,188 1,287,188 1,413,081 1,413,081 Residential mortgage loans held in securitization trusts, net Level 3 60,459 60,228 73,820 72,131 Distressed residential mortgage loans, at carrying value, net (2) Level 3 260,837 263,935 331,464 334,765 Residential mortgage loans, at fair value (3) Level 3 181,910 181,910 87,153 87,153 Multi-family loans held in securitization trusts Level 3 10,070,834 10,070,834 9,657,421 9,657,421 Derivative assets Level 2 8,760 8,760 10,101 10,101 Mortgage loans held for sale, net (4) Level 3 3,284 3,622 5,507 5,598 Mortgage loans held for investment (4) Level 3 1,760 1,760 1,760 1,900 Preferred equity and mezzanine loan investments (5) Level 3 198,277 199,885 138,920 140,129 Investments in unconsolidated entities (6) Level 3 43,736 43,795 51,143 51,212 Financial Liabilities: Financing arrangements, portfolio investments Level 2 1,130,659 1,130,659 1,276,918 1,276,918 Financing arrangements, residential mortgage loans Level 2 177,226 177,226 149,063 149,063 Residential collateralized debt obligations Level 3 56,504 54,228 70,308 66,865 Multi-family collateralized debt obligations Level 3 9,504,313 9,504,313 9,189,459 9,189,459 Securitized debt Level 3 53,597 57,236 81,537 87,891 Subordinated debentures Level 3 45,000 44,988 45,000 45,002 Convertible notes Level 2 130,251 137,923 128,749 140,060 (1) Includes $51.8 million and $47.9 million of investment securities for sale held in securitization trusts as of September 30, 2018 and December 31, 2017 , respectively. (2) Includes distressed residential mortgage loans held in securitization trusts with a carrying value amounting to approximately $96.5 million and $121.8 million at September 30, 2018 and December 31, 2017 , respectively, and distressed residential mortgage loans with a carrying value amounting to approximately $164.3 million and $209.7 million at September 30, 2018 and December 31, 2017 , respectively. (3) Includes distressed residential mortgage loans with a carrying value amounting to $112.5 million and $36.9 million at September 30, 2018 and December 31, 2017 , respectively, and second mortgages with a carrying value amounting to $69.4 million and $50.2 million at September 30, 2018 and December 31, 2017 , respectively. (4) Included in receivables and other assets in the accompanying condensed consolidated balance sheets. (5) Includes preferred equity and mezzanine loan investments accounted for as loans ( see Note 9 ). (6) Includes investments in unconsolidated entities accounted for under the fair value option with a carrying value of $35.1 million and $42.8 million at September 30, 2018 and December 31, 2017 , respectively ( see Note 8) . In addition to the methodology to determine the fair value of the Company’s financial assets and liabilities reported at fair value on a recurring basis and non-recurring basis, as previously described, the following methods and assumptions were used by the Company in arriving at the fair value of the Company’s other financial instruments in the table immediately above: a. Cash and cash equivalents – Estimated fair value approximates the carrying value of such assets. b. Residential mortgage loans held in securitization trusts, net – Residential mortgage loans held in the securitization trusts are recorded at amortized cost, net of allowance for loan losses. Fair value is based on an internal valuation model that considers the aggregated characteristics of groups of loans such as, but not limited to, collateral type, index, interest rate, margin, length of fixed-rate period, life cap, periodic cap, underwriting standards, age and credit estimated using the estimated market prices for similar types of loans. c. Distressed residential mortgage loans, net – Fair value is estimated using pricing models taking into consideration current interest rates, loan amount, payment status and property type, and forecasts of future interest rates, home prices and property values, prepayment speeds, default, loss severities, and actual purchases and sales of similar loans. d. Mortgage loans held for sale, net – The fair value of mortgage loans held for sale, net are estimated by the Company based on the price that would be received if the loans were sold as whole loans taking into consideration the aggregated characteristics of the loans such as, but not limited to, collateral type, index, interest rate, margin, length of fixed interest rate period, life time cap, periodic cap, underwriting standards, age and credit. e. Preferred equity and mezzanine loan investments – Estimated fair value is determined by both market comparable pricing and discounted cash flows. The discounted cash flows are based on the underlying contractual cash flows and estimated changes in market yields. The fair value also reflects consideration of changes in credit risk since the origination or time of initial investment. f. Financing arrangements – The fair value of these financing arrangements approximates cost as they are short term in nature. g. Residential collateralized debt obligations – The fair value of these CDOs is based on discounted cash flows as well as market pricing on comparable obligations. h. Securitized debt – The fair value of securitized debt is based on discounted cash flows using management’s estimate for market yields. i. Subordinated debentures – The fair value of these subordinated debentures is based on discounted cash flows using management’s estimate for market yields. j. Convertible notes – The fair value is based on quoted prices provided by dealers who make markets in similar financial instruments. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2018 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity | Stockholders' Equity (a) Dividends on Preferred Stock The Company had 200,000,000 authorized shares of preferred stock, par value $0.01 per share, with 12,000,000 shares issued and outstanding as of September 30, 2018 and December 31, 2017 . On June 4, 2013, the Company issued 3,000,000 shares of 7.75% Series B Cumulative Redeemable Preferred Stock (“Series B Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25 per share, in an underwritten public offering, for net proceeds of approximately $72.4 million , after deducting underwriting discounts and offering expenses. As of September 30, 2018 and December 31, 2017 , there were 6,000,000 shares of Series B Preferred Stock authorized. The Series B Preferred Stock is entitled to receive a dividend at a rate of 7.75% per year on the $25 liquidation preference and is senior to the common stock with respect to dividends and distribution of assets upon liquidation, dissolution or winding up. On April 22, 2015, the Company issued 3,600,000 shares of 7.875% Series C Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25 per share, in an underwritten public offering, for net proceeds of approximately $86.9 million , after deducting underwriting discounts and offering expenses. As of September 30, 2018 and December 31, 2017 , there were 4,140,000 shares of Series C Preferred Stock authorized. The Series C Preferred Stock is entitled to receive a dividend at a rate of 7.875% per year on the $25 liquidation preference and is senior to the common stock with respect to dividends and distribution of assets upon liquidation, dissolution or winding up. On October 13, 2017, the Company issued 5,400,000 shares of 8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series D Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25 per share, in an underwritten public offering, for net proceeds of approximately $130.5 million , after deducting underwriting discounts and offering expenses. As of September 30, 2018 and December 31, 2017 , there were 5,750,000 shares of Series D Preferred Stock authorized. The Series D Preferred Stock is entitled to receive a dividend at a fixed rate from and including the issue date to, but excluding, October 15, 2027 of 8.00% per year on the $25 liquidation preference. Beginning October 15, 2027, the Series D Preferred Stock is entitled to receive a dividend at a floating rate equal to three-month LIBOR plus a spread of 5.695% per year on the $25 liquidation preference. The Series D Preferred Stock is senior to the common stock with respect to dividends and distribution of assets upon liquidation, dissolution or winding up. The Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, holders of the Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock voting together as a single class with the holders of all other classes or series of our preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors (the “Board”) until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of the Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of Series B Preferred Stock, Series C Preferred Stock, or Series D Preferred Stock. The Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock are not redeemable by the Company prior to June 4, 2018, April 22, 2020, and October 15, 2027, respectively, except under circumstances intended to preserve the Company’s qualification as a REIT and except upon the occurrence of a Change of Control (as defined in the Articles Supplementary designating the Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock, respectively). On and after June 4, 2018, April 22, 2020, and October 15, 2027, the Company may, at its option, redeem the Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock, respectively, in whole or in part, at any time or from time to time, for cash at a redemption price equal to $25.00 per share, plus any accumulated and unpaid dividends. In addition, upon the occurrence of a Change of Control, the Company may, at its option, redeem the Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock in whole or in part, within 120 days after the first date on which such Change of Control occurred, for cash at a redemption price of $25.00 per share, plus any accumulated and unpaid dividends. Each of the Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by the Company or converted into the Company’s common stock in connection with a Change of Control. Upon the occurrence of a Change of Control, each holder of Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock will have the right (unless the Company has exercised its right to redeem the Series B Preferred Stock, Series C Preferred Stock, or Series D Preferred Stock, respectively) to convert some or all of the Series B Preferred Stock, Series C Preferred Stock, or Series D Preferred Stock held by such holder into a number of shares of our common stock per share of Series B Preferred Stock, Series C Preferred Stock or Series D Preferred Stock determined by a formula, in each case, on the terms and subject to the conditions described in the applicable Articles Supplementary for such series. From the time of original issuance of the Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock through September 30, 2018 , the Company has declared and paid all required quarterly dividends on such series of stock. The following table presents the relevant dates with respect to such quarterly cash dividends on the Series B Preferred Stock and Series C Preferred Stock commencing January 1, 2017 through September 30, 2018 and on the Series D Preferred Stock from its time of original issuance through September 30, 2018 : Cash Dividend Per Share Declaration Date Record Date Payment Date Series B Preferred Stock Series C Preferred Stock Series D Preferred Stock September 17, 2018 October 1, 2018 October 15, 2018 $ 0.484375 $ 0.4921875 $ 0.50 June 18, 2018 July 1, 2018 July 15, 2018 0.484375 0.4921875 0.50 March 19, 2018 April 1, 2018 April 15, 2018 0.484375 0.4921875 0.50 December 7, 2017 January 1, 2018 January 15, 2018 0.484375 0.4921875 0.51111 (1) September 14, 2017 October 1, 2017 October 15, 2017 0.484375 0.4921875 — June 14, 2017 July 1, 2017 July 15, 2017 0.484375 0.4921875 — March 16, 2017 April 1, 2017 April 15, 2017 0.484375 0.4921875 — (1) Cash dividend for the partial quarterly period that began on October 13, 2017 and ended on January 14, 2018. (b) Dividends on Common Stock The following table presents cash dividends declared by the Company on its common stock with respect to each of the quarterly periods commencing January 1, 2017 and ended September 30, 2018 : Period Declaration Date Record Date Payment Date Cash Dividend Per Share Third Quarter 2018 September 17, 2018 September 27, 2018 October 26, 2018 $ 0.20 Second Quarter 2018 June 18, 2018 June 28, 2018 July 26, 2018 0.20 First Quarter 2018 March 19, 2018 March 29, 2018 April 26, 2018 0.20 Fourth Quarter 2017 December 7, 2017 December 18, 2017 January 25, 2018 0.20 Third Quarter 2017 September 14, 2017 September 25, 2017 October 25, 2017 0.20 Second Quarter 2017 June 14, 2017 June 26, 2017 July 25, 2017 0.20 First Quarter 2017 March 16, 2017 March 27, 2017 April 25, 2017 0.20 (c) Public Offering of Common Stock On August 14, 2018, the Company issued 14,375,000 shares of its common stock through an underwritten public offering, at a public offering price of $6.16 per share, resulting in total net proceeds to the Company of $86.0 million after deducting underwriting discounts and commissions and offering expenses. (d) Equity Distribution Agreements On August 10, 2017, the Company entered into an equity distribution agreement (the “Equity Distribution Agreement”) with Credit Suisse Securities (USA) LLC (“Credit Suisse”), as sales agent, pursuant to which the Company may offer and sell shares of its common stock, par value $0.01 per share, having a maximum aggregate sales price of up to $100.0 million , from time to time through Credit Suisse. On September 10, 2018, the Company entered into an amendment to the Equity Distribution Agreement that increased the maximum aggregate sales price to $177.1 million . The Company has no obligation to sell any of the shares of common stock issuable under the Equity Distribution Agreement and may at any time suspend solicitations and offers under the Equity Distribution Agreement. During the three months ended September 30, 2018 , the Company issued 2,443,487 shares of its common stock under the Equity Distribution Agreement, at an average sales price of $6.31 per share, resulting in total net proceeds to the Company of $15.2 million after deducting the placement fees. During the nine months ended September 30, 2018 , the Company issued 14,588,631 shares of its common stock under the Equity Distribution Agreement, at an average sales price of $6.19 per share, resulting in total net proceeds to the Company of $89.0 million after deducting the placement fees. As of September 30, 2018 , approximately $86.4 million of common stock remains available for issuance under the Equity Distribution Agreement. |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share The Company calculates basic earnings per common share by dividing net income attributable to the Company's common stockholders for the period by weighted-average shares of common stock outstanding for that period. Diluted earnings per common share takes into account the effect of dilutive instruments, such as convertible notes and performance share awards, and the number of incremental shares that are to be added to the weighted-average number of shares outstanding. During the three and nine months ended September 30, 2018 and September 30, 2017 , the Company's Convertible Notes were determined to be dilutive and were included in the calculation of diluted earnings per common share under the "if-converted" method. Under this method, the periodic interest expense (net of applicable taxes) for dilutive notes is added back to the numerator and the number of shares that the notes are entitled to (if converted, regardless of whether they are in or out of the money) are included in the denominator. During the three and nine months ended September 30, 2018 , PSUs awarded under the Company's 2018 Long-Term Equity Incentive Program ("2018 Long-Term EIP") ( see Note 21 ) were also determined to be dilutive and were included in the calculation of diluted earnings per common share under the treasury stock method. Under this method, common equivalent shares are calculated assuming that target PSUs vest according to the PSU Agreements and unrecognized compensation cost is used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period. The following table presents the computation of basic and diluted earnings per common share for the periods indicated (dollar and share amounts in thousands, except per share amounts): Three Months Ended September 30, Nine Months Ended September 30, 2018 2017 (1) 2018 2017 (1) Basic Earnings per Common Share Net income attributable to Company $ 33,973 $ 27,845 $ 93,285 $ 61,364 Less: Preferred stock dividends (5,925 ) (3,225 ) (17,775 ) (9,675 ) Net income attributable to Company's common stockholders $ 28,048 $ 24,620 $ 75,510 $ 51,689 Basic weighted average common shares outstanding 132,413 111,886 119,955 111,824 Basic Earnings per Common Share $ 0.21 $ 0.22 $ 0.63 $ 0.46 Diluted Earnings per Common Share: Net income attributable to Company $ 33,973 $ 27,845 $ 93,285 $ 61,364 Less: Preferred stock dividends (5,925 ) (3,225 ) (17,775 ) (9,675 ) Add back: Interest expense on convertible notes for the period, net of tax 2,570 2,428 7,838 6,982 Net income attributable to Company's common stockholders $ 30,618 $ 27,048 $ 83,348 $ 58,671 Weighted average common shares outstanding 132,413 111,886 119,955 111,824 Net effect of assumed PSUs vested 620 — 395 — Net effect of assumed convertible notes conversion to common shares 19,694 19,694 19,694 18,107 Diluted weighted average common shares outstanding 152,727 131,580 140,044 129,931 Diluted Earnings per Common Share $ 0.20 $ 0.21 $ 0.60 $ 0.45 (1) There were no dilutive PSU awards during the three and nine months ended September 30, 2017 . |
Stock Based Compensation
Stock Based Compensation | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Stock Based Compensation | Stock Based Compensation In May 2017, the Company’s stockholders approved the 2017 Plan, with such stockholder action resulting in the termination of the Company’s 2010 Stock Incentive Plan (the “2010 Plan”). The terms of the 2017 Plan are substantially the same as the 2010 Plan. However, any outstanding awards under the 2010 Plan will continue in accordance with the terms of the 2010 Plan and any award agreement executed in connection with such outstanding awards. At September 30, 2018 , there were 217,163 shares of non-vested restricted stock outstanding under the 2010 Plan. Pursuant to the 2017 Plan, eligible employees, officers and directors of the Company are offered the opportunity to acquire the Company's common stock through the award of restricted stock and other equity awards under the 2017 Plan. The maximum number of shares that may be issued under the 2017 Plan is 5,570,000 . Of the common stock authorized at September 30, 2018 , 3,865,174 shares are available for issuance under the 2017 Plan. The Company’s non-employee directors have been issued 131,975 shares under the 2017 Plan as of September 30, 2018 . The Company’s employees have been issued 292,459 of restricted stock under the 2017 Plan as of September 30, 2018 . At September 30, 2018 , there were 290,373 shares of non-vested restricted stock outstanding and 1,280,392 common shares reserved for issuance in connection with outstanding PSUs under the 2017 Plan. (a) Restricted Common Stock Awards During the three and nine months ended September 30, 2018 , the Company recognized non-cash compensation expense on its restricted common stock awards of $0.3 million and $1.0 million , respectively. During the three and nine months ended September 30, 2017 , the Company recognized non-cash compensation expense on its restricted common stock awards of $0.8 million and $1.5 million , respectively. Dividends are paid on all restricted common stock issued, whether those shares have vested or not. In general, non-vested restricted stock is forfeited upon the recipient's termination of employment. A summary of the activity of the Company's non-vested restricted stock collectively under the 2010 Plan and 2017 Plan for the nine months ended September 30, 2018 and 2017 , respectively, is presented below: 2018 2017 Number of Non-vested Restricted Shares Weighted Average Per Share Grant Date Fair Value (1) Number of Non-vested Restricted Shares Weighted Average Per Share Grant Date Fair Value (1) Non-vested shares at January 1 422,928 $ 6.36 319,058 $ 6.40 Granted 289,792 5.63 332,921 6.54 Vested (200,064 ) 6.55 (229,051 ) 6.67 Forfeited (5,120 ) 6.25 — — Non-vested shares as of September 30 507,536 5.91 422,928 6.36 Weighted-average of restricted stock granted during the period 289,792 $ 5.63 332,921 $ 6.54 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. At September 30, 2018 and 2017 , the Company had unrecognized compensation expense of $2.3 million and $1.9 million , respectively, related to the non-vested shares of restricted common stock under the 2010 Plan and 2017 Plan. The unrecognized compensation expense at September 30, 2018 is expected to be recognized over a weighted average period of 2.1 years. The total fair value of restricted shares vested during the nine months ended September 30, 2018 and 2017 was approximately $1.1 million and $1.5 million , respectively. The requisite service period for restricted shares at issuance is three years. (b) Performance Share Awards In May 2015, the Compensation Committee of the Board of Directors approved a PSA under the 2010 Plan to the Company’s Chairman and Chief Executive Officer. At the time of grant, the target number of shares pursuant to the PSA consisted of 89,629 shares of common stock. The PSA had a grant date fair value of approximately $0.4 million . The grant date fair value of the PSA was determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return and the common stock total shareholder return of its peer companies to determine the total shareholder return of the Company’s common stock relative to its peer companies over a future period of three years. For the PSA granted in 2015, the inputs used by the model to determine the fair value were (i) historical stock return volatilities of the Company and its peer companies over the most recent three year period, (ii) a risk free rate based on the three year U.S. Treasury rate on grant date, and (iii) historical pairwise stock return correlations between the Company and its peer companies over the most recent three year period. Under the terms of the agreement pursuant to which the PSA was granted, vesting of the PSA would occur at the end of three years based on three -year total shareholder return in April 2018. At the end of the three-year performance period in April 2018, no shares were issued under the PSA award. (c) Performance Stock Units During the nine months ended September 30, 2018, the Compensation Committee and the Board of Directors approved the grant of PSUs to the Chief Executive Officer, Chief Financial Officer and certain other employees as part of our 2018 Long-Term EIP. The awards were issued pursuant to and are consistent with the terms and conditions of the 2017 Plan. The PSU awards are subject to performance-based vesting under the 2017 Plan pursuant to the PSU Agreements. At the time of grant, the target number of shares pursuant to the PSU awards totaled 842,792 shares of common stock. The PSU awards had a grant date fair value of approximately $3.5 million . Vesting of the PSUs will occur at the end of three years based on the following: • If three -year TSR performance relative to the Company's identified performance peer group (the "Relative TSR") is less than 30 th percentile, then 0% of the target PSUs will vest; • If three -year Relative TSR performance is equal to the 30 th percentile, then Threshold % (as defined in the individual PSU Agreements) of the target PSUs will vest; • If three -year Relative TSR performance is equal to the 50 th percentile, then 100% of the target PSUs will vest; and • If three -year Relative TSR performance is greater than or equal to the 80 th percentile, then Maximum % (as defined in the individual PSU Agreements) of the target PSUs will vest. The percentage of target PSUs that vest for performance between the 30 th , 50 th , and 80 th percentiles will be calculated using linear interpolation. Total shareholder return for the Company and each member of the peer group will be determined by dividing (i) the sum of the cumulative amount of such entity’s dividends per share for the performance period and the arithmetic average per share volume weighted average price (the “VWAP”) of such entity’s common stock for the last thirty (30) consecutive trading days of the performance period minus the arithmetic average per share VWAP of such entity’s common stock for the last thirty (30) consecutive trading days immediately prior to the performance period by (ii) the arithmetic average per share VWAP of such entity’s common stock for the last thirty (30) consecutive trading days immediately prior to the performance period. Each PSU represents an unfunded promise to receive one share of the Company's common stock once the performance condition has been satisfied. The grant date fair value of the PSUs was determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return and the common stock total shareholder return of its identified performance peer companies to determine the Relative TSR of the Company’s common stock over a future period of three years. For the PSUs granted in 2018, the inputs used by the model to determine the fair value are (i) historical stock price volatilities of the Company and its identified performance peer companies over the most recent three year period and correlation between each company's stock and the identified performance peer group over the same time series and (ii) a risk free rate for the period interpolated from the U.S. Treasury yield curve on grant date. Compensation expense related to the PSUs was $0.3 million and $0.6 million for the three and nine months ended September 30, 2018 , respectively. As of September 30, 2018 , there was $3.0 million of unrecognized compensation cost related to the non-vested portion of the PSUs. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the three and nine months ended September 30, 2018 and September 30, 2017 , the Company qualified to be taxed as a REIT under the Internal Revenue Code for U.S. federal income tax purposes. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 100% of its taxable income to stockholders and does not engage in prohibited transactions. Certain activities the Company performs may produce income that will not be qualifying income for REIT purposes. The Company has designated its TRSs to engage in these activities. The tables below reflect the taxes accrued at the TRS level and the tax attributes included in the consolidated financial statements. The income tax provision for the three and nine months ended September 30, 2018 and September 30, 2017 is comprised of the following components (dollar amounts in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2018 2017 2018 2017 Current income tax (benefit) expense $ (94 ) $ 541 $ (87 ) $ 2,280 Deferred income tax benefit (360 ) (34 ) (460 ) (93 ) Total provision $ (454 ) $ 507 $ (547 ) $ 2,187 Deferred Tax Assets and Liabilities The major sources of temporary differences included in the deferred tax assets and their deferred tax effect as of September 30, 2018 and December 31, 2017 are as follows (dollar amounts in thousands): September 30, 2018 December 31, 2017 Deferred tax assets Net operating loss carryforward $ 3,019 $ 295 GAAP/Tax basis differences 3,379 2,237 Total deferred tax assets (1) 6,398 2,532 Deferred tax liabilities Deferred tax liabilities 9 144 Total deferred tax liabilities (2) 9 144 Valuation allowance (1) (5,723 ) (2,182 ) Total net deferred tax asset $ 666 $ 206 (1) Included in receivables and other assets in the accompanying condensed consolidated balance sheets. (2) Included in accrued expenses and other liabilities in the accompanying condensed consolidated balance sheets. As of September 30, 2018 , the Company, through wholly owned TRSs, had incurred net operating losses in the aggregate amount of approximately $8.9 million . The Company’s carryforward net operating losses can be carried forward indefinitely until they are offset by future taxable income. At September 30, 2018 , the Company has recorded a valuation allowance against certain deferred tax assets as management does not believe that it is more likely than not that these deferred tax assets will be realized. The Company files income tax returns with the U.S. federal government and various state and local jurisdictions. The Company's federal, state and city income tax returns are subject to examination by the Internal Revenue Service and related tax authorities generally for three years after they were filed. The Company has assessed its tax positions for all open years and concluded that there are no material uncertainties to be recognized. In addition, based on the Company’s evaluation, the Company has concluded that there are no significant uncertain tax positions requiring recognition in the Company’s financial statements. On December 22, 2017, H.R.1, informally known as the Tax Cuts and Jobs Act (the “TCJA”) was signed into law. The TCJA makes major changes to the Internal Revenue Code, including several provisions of the Internal Revenue Code that may affect the taxation of real estate investment trusts and holders of their securities. The most significant of these changes, among other things, include lowering U.S. corporate income tax rates, net operating loss utilization rules, limitation on the deduction of business interest, and income recognition rules. We have recognized the tax effects of the TCJA in the three and nine months ended September 30, 2018 and the year ended December 31, 2017 through the measurement of deferred tax assets at the reduced corporate tax rate. We will continue to analyze and monitor the application of TCJA to our business and continue to assess our provision for income taxes as future guidance is issued. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2018 | |
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | |
Basis of Presentation | Basis of Presentation – The accompanying condensed consolidated balance sheet as of December 31, 2017 has been derived from audited financial statements. The accompanying condensed consolidated balance sheet as of September 30, 2018 , the accompanying condensed consolidated statements of operations for the three and nine months ended September 30, 2018 and 2017 , the accompanying condensed consolidated statements of comprehensive income for the three and nine months ended September 30, 2018 and 2017 , the accompanying condensed consolidated statement of changes in stockholders’ equity for the nine months ended September 30, 2018 and the accompanying condensed consolidated statements of cash flows for the nine months ended September 30, 2018 and 2017 are unaudited. In our opinion, all adjustments (which include only normal recurring adjustments) necessary to present fairly the Company’s financial position, results of operations and cash flows have been made. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP have been condensed or omitted in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. These condensed consolidated financial statements should be read in conjunction with the audited consolidated financial statements and notes thereto included in our Annual Report on Form 10-K for the year ended December 31, 2017 , as filed with the U.S. Securities and Exchange Commission (“SEC”). The results of operations for the three and nine months ended September 30, 2018 are not necessarily indicative of the operating results for the full year. The accompanying condensed consolidated financial statements have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Management has made significant estimates in several areas, including valuation of its CMBS investments, multi-family loans held in securitization trusts and multi-family CDOs, as well as, income recognition on distressed residential mortgage loans purchased at a discount. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially impact the Company’s results of operations and its financial condition. |
Reclassifications | Reclassifications – Certain prior period amounts have been reclassified in the condensed consolidated financial statements to conform to current period presentation. |
Principles of Consolidation and Variable Interest Entities | Principles of Consolidation and Variable Interest Entities – The accompanying condensed consolidated financial statements of the Company include the accounts of all its subsidiaries which are majority-owned, controlled by the Company or a variable interest entity ("VIE") where the Company is the primary beneficiary. All significant intercompany accounts and transactions have been eliminated in consolidation. A VIE is an entity that lacks one or more of the characteristics of a voting interest entity. A VIE is defined as an entity in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The Company consolidates a VIE when it is the primary beneficiary of such VIE, herein referred to as a "Consolidated VIE". As primary beneficiary, the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. |
Business Combinations | Business Combinations – The Company evaluates each purchase transaction to determine whether the acquired assets meet the definition of a business. The Company accounts for business combinations by applying the acquisition method in accordance with Accounting Standards Codification (“ASC”) 805, Business Combinations ("ASC 805"). Transaction costs related to acquisition of a business are expensed as incurred and excluded from the fair value of consideration transferred. The identifiable assets acquired, liabilities assumed and non-controlling interests, if any, in an acquired entity are recognized and measured at their estimated fair values. The excess of the fair value of consideration transferred over the fair values of identifiable assets acquired, liabilities assumed and non-controlling interests, if any, in an acquired entity, net of fair value of any previously held interest in the acquired entity, is recorded as goodwill. Such valuations require management to make significant estimates and assumptions, especially with respect to intangible assets and liabilities. Contingent consideration is classified as a liability or equity, as applicable. Contingent consideration in connection with the acquisition of a business is measured at fair value on acquisition date, and unless classified as equity, is remeasured at fair value each reporting period thereafter until the consideration is settled, with changes in fair value included in net income. Net cash paid to acquire a business is classified as investing activities on the accompanying condensed consolidated statements of cash flows. |
Investment Securities Available for Sale | Investment Securities Available for Sale – The Company's investment securities, where the fair value option has not been elected and which are reported at fair value with unrealized gains and losses reported in Other Comprehensive Income (“OCI”), include Agency RMBS, non-Agency RMBS and CMBS. The Company has elected the fair value option for its Agency IOs and certain Agency ARMs and Agency fixed-rate RMBS which were transferred from our Agency IO portfolio, which measures unrealized gains and losses through earnings in the accompanying condensed consolidated statements of operations. The fair value option was elected for these investment securities to better match the accounting for these investment securities with the related derivative instruments within the Agency IO portfolio, which are not designated as hedging instruments for accounting purposes. As of September 30, 2018 , the Company fully exited its Agency IO strategy. The Company generally intends to hold its investment securities until maturity; however, from time to time, it may sell any of its securities as part of the overall management of its business. As a result, our investment securities are classified as available for sale securities. Realized gains and losses recorded on the sale of investment securities available for sale are based on the specific identification method and included in realized gain (loss) on investment securities and related hedges in the accompanying condensed consolidated statements of operations. Interest income on our investment securities available for sale is accrued based on the outstanding principal balance and their contractual terms. Purchase premiums or discounts on investment securities are amortized or accreted to interest income over the estimated life of the investment securities using the effective yield method. Adjustments to amortization are made for actual prepayment activity. Interest income on certain of our credit sensitive securities, such as our CMBS that were purchased at a discount to par value, is recognized based on the security’s effective yield. The effective yield on these securities is based on management’s estimate of the projected cash flows from each security, which are estimated based on assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, management reviews and, if appropriate, adjusts its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield (or interest income) recognized on these securities. A portion of the purchase discount on the Company’s first loss PO multi-family CMBS is designated as non-accretable purchase discount or credit reserve, which is intended to partially mitigate the Company’s risk of loss on the mortgages collateralizing such multi-family CMBS, and is not expected to be accreted into interest income. The amount designated as a credit reserve may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit reserve is more favorable than forecasted, a portion of the amount designated as credit reserve may be accreted into interest income over time. Conversely, if the performance of a security with a credit reserve is less favorable than forecasted, the amount designated as credit reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could be required. The Company accounts for debt securities that are of high credit quality (generally those rated AA or better by a Nationally Recognized Statistical Rating Organization, or NRSRO) at date of acquisition in accordance with ASC 320-10, Investments - Debt and Equity Securities ("ASC 320-10"). The Company accounts for debt securities that are not of high credit quality (i.e., those whose risk of loss is less than remote) or securities that can be contractually prepaid such that we would not recover our initial investment at the date of acquisition in accordance with ASC 325-40, Investments - Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company considers credit ratings, the underlying credit risk and other market factors in determining whether the debt securities are of high credit quality; however, securities rated lower than AA or an equivalent rating are not considered of high credit quality and are accounted for in accordance with ASC 325-40. If ratings are inconsistent among NRSROs, the Company uses the lower rating in determining whether the securities are of high credit quality. The Company assesses its impaired securities on at least a quarterly basis and designates such impairments as either “temporary” or “other-than-temporary”. When the fair value of an investment security is less than its amortized cost as of the reporting balance sheet date, the security is considered impaired. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, the Company recognizes an other-than-temporary impairment through earnings equal to the entire difference between the investment’s amortized cost and its fair value as of the balance sheet date. If the Company does not expect to sell an other-than-temporarily impaired security, only the portion of the other-than-temporary impairment related to credit losses is recognized through earnings with the remainder recognized as a component of other comprehensive income (loss) on the accompanying condensed consolidated balance sheets. Impairments recognized through other comprehensive income (loss) do not impact earnings. Following the recognition of an other-than-temporary impairment through earnings, a new cost basis is established for the security, which may not be adjusted for subsequent recoveries in fair value through earnings. However, other-than-temporary impairments recognized through earnings may be accreted back to the amortized cost basis of the security on a prospective basis through interest income. The determination as to whether an other-than-temporary impairment exists and, if so, the amount considered other-than-temporarily impaired is subjective, as such determinations are based on both factual and subjective information available at the time of assessment as well the Company’s estimates of the future performance and cash flow projections. As a result, the timing and amount of other-than-temporary impairments constitute material estimates that are susceptible to significant change. In determining the other-than temporary impairment related to credit losses for securities that are not of high credit quality, the Company compares the present value of the remaining cash flows expected to be collected at the prior reporting date or purchase date, whichever is most recent, against the present value of the cash flows expected to be collected at the current financial reporting date. The Company considers information available about the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities and delinquency rates. |
Residential Mortgage Loans Held in Securitization Trusts | Residential Mortgage Loans Held in Securitization Trusts – Residential mortgage loans held in securitization trusts are comprised of certain ARM loans transferred to Consolidated VIEs that have been securitized into sequentially rated classes of beneficial interests. The Company accounted for these securitization trusts as financings which are consolidated into the Company’s financial statements. Residential mortgage loans held in securitization trusts are carried at their unpaid principal balances, net of unamortized premium or discount, unamortized loan origination costs and allowance for loan losses. Interest income is accrued and recognized as revenue when earned according to the terms of the mortgage loans and when, in the opinion of management, it is collectible. The accrual of interest on loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business, but in all cases when payment becomes greater than 90 days delinquent. Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. The Company establishes an allowance for loan losses based on management's judgment and estimate of credit losses inherent in our portfolio of residential mortgage loans held in securitization trusts. Estimation involves the consideration of various credit-related factors, including but not limited to, macro-economic conditions, current housing market conditions, loan-to-value ratios, delinquency status, historical credit loss severity rates, purchased mortgage insurance, the borrower's current economic condition and other factors deemed to warrant consideration. Additionally, management looks at the balance of any delinquent loan and compares that to the current value of the collateralizing property. Management utilizes various home valuation methodologies including appraisals, broker pricing opinions, internet-based property data services to review comparable properties in the same area or consults with a broker in the property's area. |
Residential Mortgage Loans, at fair value | Residential Mortgage Loans, at fair value – Certain of the Company’s acquired residential mortgage loans, including distressed residential mortgage loans and second mortgage loans, are presented at fair value on its condensed consolidated balance sheets as a result of a fair value election made at the time of acquisition pursuant to ASC 825, Financial Instruments . Changes in fair value are recorded in current period earnings in net gain (loss) on residential mortgage loans at fair value in the Company's condensed consolidated statements of operations. Premiums and discounts associated with the purchase of residential mortgage loans, at fair value are amortized or accreted into interest income over the life of the related loan using the effective interest method. Any premium amortization or discount accretion is reflected as a component of interest income, residential mortgage loans in the Company's condensed consolidated statements of operations. Residential mortgage loans at fair value are considered past due when they are 30 days past their contractual due date, and are placed on nonaccrual status when delinquent for more than 90 days. Interest accrued but not yet collected at the time loans are placed on nonaccrual is reversed and subsequently recognized only to the extent it is received in cash or until it qualifies for return to accrual status. Loans are restored to accrual status only when contractually current or the collection of future payments is reasonably assured. |
Acquired Distressed Residential Mortgage Loans | Acquired Distressed Residential Mortgage Loans – Distressed residential mortgage loans are comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired by the Company at a discount, with evidence of credit deterioration since their origination and where it is probable that the Company will not collect all contractually required principal payments. Distressed residential mortgage loans held in securitization trusts are distressed residential mortgage loans transferred to Consolidated VIEs that have been securitized into beneficial interests. The Company accounted for these securitization trusts as financings which are consolidated into the Company’s financial statements. Acquired distressed residential mortgage loans that have evidence of deteriorated credit quality at acquisition are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality ("ASC 310-30"). Management evaluates whether there is evidence of credit quality deterioration as of the acquisition date using indicators such as past due or modified status, risk ratings, recent borrower credit scores and recent loan-to-value percentages. Acquired distressed residential mortgage loans are recorded at fair value at the date of acquisition, with no allowance for loan losses. Under ASC 310-30, the acquired loans may be accounted for individually or aggregated and accounted for as a pool of loans if the loans being aggregated have common risk characteristics. A pool is accounted for as a single asset with a single composite interest rate and an expectation of aggregate cash flows. Once a pool is assembled, it is treated as if it was one loan for purposes of applying the accounting guidance. Under ASC 310-30, the excess of cash flows expected to be collected over the carrying amount of the loans, referred to as the “accretable yield,” is accreted into interest income over the life of the loans in each pool or individually using a level yield methodology. Accordingly, our acquired distressed residential mortgage loans accounted for under ASC 310-30 are not subject to classification as nonaccrual classification in the same manner as our residential mortgage loans that were not distressed when acquired by us. Rather, interest income on acquired distressed residential mortgage loans relates to the accretable yield recognized at the pool level or on an individual loan basis, and not to contractual interest payments received at the loan level. The difference between contractually required principal and interest payments and the cash flows expected to be collected, referred to as the “nonaccretable difference,” includes estimates of both the impact of prepayments and expected credit losses over the life of the individual loan, or the pool (for loans grouped into a pool). Management monitors actual cash collections against its expectations, and revised cash flow estimates are prepared as necessary. A decrease in expected cash flows in subsequent periods may indicate that the loan pool or individual loan, as applicable, is impaired, thus requiring the establishment of an allowance for loan losses by a charge to the provision for loan losses. An increase in expected cash flows in subsequent periods initially reduces any previously established allowance for loan losses by the increase in the present value of cash flows expected to be collected, and results in a recalculation of the amount of accretable yield for the loan pool. The adjustment of accretable yield due to an increase in expected cash flows is accounted for prospectively as a change in estimate. The additional cash flows expected to be collected are reclassified from the nonaccretable difference to the accretable yield, and the amount of periodic accretion is adjusted accordingly over the remaining life of the loans in the pool or individual loan, as applicable. The impacts of (i) prepayments, (ii) changes in variable interest rates and (iii) any other changes in the timing of expected cash flows are recognized prospectively as adjustments to interest income. A distressed residential mortgage loan disposal, which may include a loan sale, receipt of payment in full from the borrower or foreclosure, results in removal of the loan from the loan pool at its allocated carrying amount. In the event of a sale of the loan and receipt of payment (in full or partial) from the borrower, a gain or loss on sale is recognized and reported based on the difference between the sales proceeds or payment from the borrower and the allocated carrying amount of the acquired distressed residential mortgage loan. In the case of a foreclosure, an individual loan is removed from the pool and a loss on sale is recognized if the carrying value exceeds the fair value of the collateral less costs to sell. A gain is not recognized if the fair value of collateral less costs to sell exceeds the carrying value. The Company uses the specific allocation method for the removal of loans as the estimated cash flows and related carrying amount for each individual loan are known. In these cases, the remaining accretable yield is unaffected and any material change in remaining effective yield caused by the removal of the loan from the pool is addressed by the re-assessment of the estimate of cash flows for the pool prospectively. Acquired distressed residential mortgage loans subject to modification are not removed from the pool even if those loans would otherwise be considered troubled debt restructurings because the pool, and not the individual loan, represents the unit of account. For individual loans not accounted for in pools that are sold or satisfied by payment in full, a gain or loss on sale is recognized and reported based on the difference between the sales proceeds and the carrying amount of the acquired distressed residential mortgage loan. In the case of a foreclosure, a loss is recognized if the carrying value exceeds the fair value of the underlying collateral less costs to sell. A gain is not recognized if the fair value of the underlying collateral less costs to sell exceeds the carrying value. |
Multi-Family Loans Held in Securitization Trusts | Multi-Family Loans Held in Securitization Trusts – Multi-family loans held in securitization trusts are comprised of multi-family mortgage loans held in Freddie Mac-sponsored multi-family K-Series securitizations of which we, or one of our "special purpose entities" ("SPEs") own the first loss POs and certain IOs and mezzanine securities and that we consolidate (the “Consolidated K-Series”). Based on a number of factors, management determined that the Company was the primary beneficiary of each VIE within the Consolidated K-Series, met the criteria for consolidation and, accordingly, has consolidated these securitizations, including their assets, liabilities, income and expenses in our financial statements. The Company has elected the fair value option on each of the assets and liabilities held within the Consolidated K-Series, which requires that changes in valuations be reflected in the Company's accompanying consolidated statements of operations. In accordance with ASC 810, the Company measures both the financial assets and financial liabilities of a qualifying consolidated collateralized financing entity ("CFE") using the fair value of either the CFE’s financial assets or financial liabilities, whichever is more observable. As the Company’s multi-family securitization trusts are considered qualifying CFEs, the Company determines the fair value of multi-family loans held in securitization trusts based on the fair value of its multi-family collateralized debt obligations and its retained interests from these securitizations (eliminated in consolidation in accordance with GAAP), as the fair value of these instruments is more observable. Interest income is accrued and recognized as revenue when earned according to the terms of the multi-family loans and when, in the opinion of management, it is collectible. The accrual of interest on multi-family loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business, but in all cases when payment becomes greater than 90 days delinquent. The multi-family loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. |
Preferred Equity and Mezzanine Loan Investments and Mortgage Loans Held for Investment | Preferred Equity and Mezzanine Loan Investments - The Company invests in preferred equity of and mezzanine loans to entities that have significant real estate assets. A preferred equity investment is an equity investment in the entity that owns the underlying property. Preferred equity is not secured by the underlying property, but holders have priority relative to common equity holders on cash flow distributions and proceeds from capital events. In addition, preferred equity holders may be able to enhance their position and protect their equity position with covenants that limit the entity’s activities and grant the holder the exclusive right to control the property after an event of default. Mezzanine loans are secured by a pledge of the borrower’s equity ownership in the property. Unlike a mortgage, this loan does not represent a lien on the property. Therefore, it is always junior and subordinate to any first lien as well as second liens, if applicable, on the property. These loans are senior to any preferred equity or common equity interests in the entity that owns the property. Preferred equity and mezzanine loan investments for which the characteristics, facts and circumstances indicate that loan accounting treatment is appropriate are stated at unpaid principal balance, adjusted for any unamortized premium or discount, deferred fees or expenses, net of valuation allowances. The Company accretes or amortizes any discounts or premiums and deferred fees and expenses over the life of the related asset utilizing the effective interest method or straight line-method, if the result is not materially different. The Company has evaluated its preferred equity and mezzanine loan investments for accounting treatment as loans versus equity investment utilizing the guidance provided by the ADC Arrangements Subsection of ASC 310, Receivables . Management evaluates the collectibility of both interest and principal of each of these loans, if circumstances warrant, to determine whether they are impaired. A loan is impaired when, based on current information and events, it is probable that we will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the amount of the loss accrual is calculated by comparing the carrying amount of the investment to the estimated fair value of the loan or, as a practical expedient, to the value of the collateral if the loan is collateral dependent. Interest income is accrued and recognized as revenue when earned according to the terms of the loans and when, in the opinion of management, it is collectible. The accrual of interest on loans is discontinued when, in management’s opinion, the interest is not collectible in the normal course of business, but in all cases when payment becomes greater than 90 days delinquent. Loans return to accrual status when principal and interest become current and are anticipated to be fully collectible. Preferred equity and mezzanine loan investments where the risks and payment characteristics are equivalent to an equity investment are accounted for using the equity method of accounting. See “ Investment in Unconsolidated Entities ”. |
Investment in Unconsolidated Entities | Investment in Unconsolidated Entities – Non-controlling, unconsolidated ownership interests in an entity may be accounted for using the equity method or the cost method. In circumstances where the Company has a non-controlling interest but either owns a significant interest or is able to exert influence over the affairs of the enterprise, the Company utilizes the equity method of accounting. Under the equity method of accounting, the initial investment is increased each period for additional capital contributions and a proportionate share of the entity’s earnings or preferred return and decreased for cash distributions and a proportionate share of the entity’s losses. Management periodically reviews its investments for impairment based on projected cash flows from the entity over the holding period. When any impairment is identified, the investments are written down to recoverable amounts. The Company may elect the fair value option for an investment in an unconsolidated entity that is accounted for using the equity method. The Company elected the fair value option for certain investments in unconsolidated entities that own interests (directly or indirectly) in commercial and residential real estate assets because the Company determined that such presentation represents the underlying economics of the respective investment. The Company records the change in fair value of its investment in other income in the condensed consolidated statements of operations ( see Note 8 ). |
Real Estate | Operating Real Estate Held in Consolidated Variable Interest Entities, Net – The Company recorded its initial investments in income-producing real estate at fair value at the acquisition date in accordance with ASC 805. The purchase price of acquired properties was apportioned to the tangible and identified intangible assets and liabilities acquired at their respective estimated fair values. In making estimates of fair values for purposes of allocating purchase price, the Company utilized a number of sources, including independent appraisals that may be obtained in connection with the acquisition or financing of the respective real estate, its own analysis of recently-acquired and existing comparable properties, property financial results, and other market data. The Company also considered information obtained about the real estate as a result of its due diligence, including marketing and leasing activities, in estimating the fair value of the tangible and intangible assets acquired. The Company considered the value of acquired in-place leases and utilized an amortization period that is the average remaining term of the acquired leases. The Company has reclassified its operating real estate held in consolidated variable interest entities to real estate held for sale in consolidated variable interest entities as of September 30, 2018 . Real Estate - Depreciation – The Company depreciates on a straight-line basis the building component of its real estate over a 30 -year estimated useful life, building and improvements over a 10 -year to 30 -year estimated useful life, and furniture, fixtures and equipment over a 5 -year estimated useful life, all of which are judgmental determinations. Betterments and certain costs directly related to the improvement of real estate are capitalized. Expenditures for ordinary maintenance and repairs are expensed to operations as incurred. Real Estate Held for Sale in Consolidated Variable Interest Entities - The Company classifies its long-lived assets as held for sale in accordance with ASC 360, Property, Plant, and Equipment . When real estate assets are identified as held for sale, the Company discontinues depreciating (amortizing) the assets and estimates the fair value, net of selling costs, of such assets. Real estate held for sale in consolidated variable interest entities is recorded at the lower of the net carrying amount of the assets or the estimated net fair value. If the estimated net fair value of the real estate held for sale is less than the net carrying amount of the assets, an impairment charge is recorded in the condensed consolidated statements of operations with an allocation to non-controlling interests in the respective VIEs, if any. The Company assesses the net fair value of real estate held for sale each reporting period the assets remain classified as held for sale. Subsequent changes, if any, in the net fair value of the real estate assets held for sale that require an adjustment to the carrying amount are recorded in the condensed consolidated statements of operations with an allocation to non-controlling interests in the respective VIEs, if any, unless the adjustment causes the carrying amount of the assets to exceed the net carrying amount upon initial classification as held for sale. If circumstances arise that the Company previously considered unlikely and, as a result, the Company decides not to sell real estate assets previously classified as held for sale, the real estate assets are reclassified to another real estate classification. Real estate assets that are reclassified are measured at the lower of (a) their carrying amount before they were classified as held for sale, adjusted for any depreciation (amortization) expense that would have been recognized had the assets remained in their previous classification, or (b) their fair value at the date of the subsequent decision not to sell. Real Estate Sales – The Company accounts for its real estate sales in accordance with ASC 360-20, Property, Plant and Equipment - Real Estate Sales . When real estate is sold, the nature of the entire real estate component being sold is considered in relation to the entire transaction to determine whether the substance of the transaction is the sale of real estate. Profit is recognized on the date of the real estate sale provided that a) a sale is consummated, b) the buyer's initial and continuing investments are adequate to demonstrate commitment to pay for the property, c) the seller's receivable is not subject to future subordination, and d) the seller has transferred to the buyer the usual risks and rewards of ownership and does not have a substantial continuing involvement with the sold property. Sales value is calculated based off of the stated sales price plus any other proceeds that are additions to the sales price subtracting any discount needed to reduce a receivable to its present value and any services the seller commits to perform without compensation. See Note 11 for further discussion regarding sales of real estate by consolidated VIEs. Real Estate Under Development – The Company's expenditures which directly relate to the acquisition, development, construction and improvement of properties are capitalized at cost. During the development period, which culminates once a property is substantially complete and ready for intended use, operating and carrying costs such as interest expense, real estate taxes, insurance and other direct costs are capitalized. Advertising and general administrative costs that do not relate to the development of a property are expensed as incurred. Real estate under development as of September 30, 2018 and December 31, 2017 of $22.2 million and $22.9 million , respectively, is included in receivables and other assets on the condensed consolidated balance sheets. Real Estate - Impairment – The Company periodically evaluates its real estate assets for indicators of impairment. The judgments regarding the existence of impairment indicators are based on factors such as operational performance, market conditions and legal and environmental concerns, as well as the Company's ability to hold and its intent with regard to each asset. Future events could occur which would cause the Company to conclude that impairment indicators exist and an impairment is warranted. If impairment indicators exist for long-lived assets to be held and used, and the expected future undiscounted cash flows are less than the carrying amount of the asset, then the Company will record an impairment loss for the difference between the fair value of the asset and its carrying amount. If the asset is to be disposed of, then an impairment loss is recognized for the difference between the estimated fair value of the asset, net of selling costs, and its carrying amount. The Company, through one of its consolidated VIEs, recorded a $2.1 million impairment loss on real estate under development during the nine months ended September 30, 2018 which is included in other income in the Company's condensed consolidated statements of operations. $1.0 million of this impairment loss is included in net income attributable to non-controlling interest in consolidated variable interest entities for the nine months ended September 30, 2018 on the accompanying condensed consolidated statements of operations, resulting in a net loss to the Company of $1.1 million . See Note 10 for further discussion regarding impairment. |
Cash and Cash Equivalents | Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, amounts due from banks and overnight deposits. The Company maintains its cash and cash equivalents in highly rated financial institutions, and at times these balances exceed insurable amounts. |
Goodwill | Goodwill – Goodwill represents the excess of the fair value of consideration transferred in a business combination over the fair values of identifiable assets acquired, liabilities assumed and non-controlling interests, if any, in an acquired entity, net of fair value of any previously held interest in the acquired entity. Goodwill of $25.2 million as of September 30, 2018 and December 31, 2017 relates to the Company's multi-family investment reporting unit. Goodwill is not amortized but is evaluated for impairment on an annual basis, or more frequently if the Company believes indicators of impairment exist, by initially performing a qualitative screen and, if necessary, then comparing fair value of the reporting unit to its carrying value, including goodwill. If the fair value of the reporting unit is less than the carrying value, an impairment charge for the amount by which the carrying amount exceeds the reporting unit's fair value (in an amount not to exceed the total amount of goodwill allocated to the reporting unit) is recognized. |
Intangible Assets | Intangible Assets – Intangible assets consisting of acquired trade name, acquired technology, employment/non-compete agreements, and acquired in-place leases with useful lives ranging from 6 months to 10 years are included in receivables and other assets on the condensed consolidated balance sheets. Intangible assets with estimable useful lives are amortized on a straight-line basis over their respective estimated useful lives and reviewed for impairment whenever events or changes in circumstances indicate that the carrying value may not be recoverable. The useful lives of intangible assets are evaluated on an annual basis to determine whether events and circumstances warrant a revision to the remaining useful life. See " Operating Real Estate Held in Consolidated Variable Interest Entities, Net " for further discussion of acquired in-place lease intangible assets. |
Receivables and Other Assets | Receivables and Other Assets – Receivables and other assets as of September 30, 2018 and December 31, 2017 include restricted cash held by third parties of $8.3 million and $11.0 million , respectively. Interest receivable on multi-family loans held in securitization trusts is also included in the amounts of $32.5 million and $33.6 million as of September 30, 2018 and December 31, 2017 , respectively. |
Derivative Financial Instruments | Derivative Financial Instruments – In accordance with ASC 815, the Company records derivative financial instruments on its condensed consolidated balance sheets as assets or liabilities at fair value. Changes in fair value are accounted for depending on the use of the derivative instruments and whether they qualify for hedge accounting treatment. The Company uses interest rate swaps to hedge the variable cash flows associated with our variable rate borrowings. We typically pay a fixed rate and receive a floating rate, based on one or three month LIBOR, on the notional amount of the interest rate swaps. The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics and cash flows of our financing arrangements. At the inception of an interest rate swap agreement, the Company determines whether the instrument will be part of a qualifying hedge accounting relationship or whether the Company will account for the contract as a trading instrument. The Company has elected to treat all current interest swaps as trading instruments due to volatility and difficulty in effectively matching cash flows. Changes in fair value for interest rate swaps designated as trading instruments are reported in the condensed consolidated statements of operations as unrealized gain (loss) on investment securities and related hedges. All of the Company's interest rate swaps outstanding are cleared through a central clearing house. The Company exchanges variation margin for swaps based upon daily changes in fair value. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is treated as a legal settlement of the exposure under the swap contract. Previously such payments were treated as cash collateral pledged against the exposure under the swap contract. Accordingly, the Company accounted for the receipt or payment of variation margin as a direct increase of or reduction to the carrying value of the interest rate swap asset or liability on the Company's consolidated balance sheets. |
Manager Compensation | Manager Compensation – We are a party to an investment management agreement with Headlands Asset Management LLC (“Headlands”) pursuant to which Headlands provides investment management services with respect to our investments in certain distressed residential mortgage loans. From 2011 to December 2017, we were a party to an investment management agreement with the Midway Group, LP ("Midway"), pursuant to which Midway provided investment management services with respect to our investments in Agency IOs. These investment management agreements provide for the payment to our investment managers of a management fee, incentive fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. On August 2, 2018, the Company provided Headlands with written notice that it will not renew its management agreement at the end of the current term, which is set to expire on June 30, 2019. The Midway agreement was terminated effective December 31, 2017. |
Other Comprehensive Income (Loss) | Other Comprehensive Income (Loss) – The Company’s comprehensive income/(loss) attributable to the Company's common stockholders includes net income, the change in net unrealized gains/(losses) on its available for sale securities and its derivative hedging instruments, comprised of interest rate swaps until October 2017 (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of accumulated other comprehensive income/(loss) for available for sale securities, reduced by dividends declared on the Company’s preferred stock and increased/decreased for net loss/income attributable to non-controlling interest. |
Employee Benefit Plans | Employee Benefits Plans – The Company sponsors a defined contribution plan (the “Plan”) for all eligible domestic employees. The Plan qualifies as a deferred salary arrangement under Section 401(k) of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). |
Stock Based Compensation | Stock Based Compensation – The Company has awarded restricted stock to eligible employees and officers as part of their compensation. Compensation expense for equity based awards and stock issued for services are recognized over the vesting period of such awards and services based upon the fair value of the award at the grant date. In May 2015, the Company granted Performance Share Awards (“PSAs”) which cliff vest after a three -year period, subject to the achievement of certain performance criteria based on a formula tied to the Company’s achievement of three -year total shareholder return (“TSR”) and the Company’s TSR relative to the TSR of certain peer companies. The feature in this award constitutes a “market condition” which impacts the amount of compensation expense recognized for these awards. The grant date fair values of PSAs were determined through Monte-Carlo simulation analysis. During the nine months ended September 30, 2018 , the Company granted Performance Stock Units ("PSUs") to the Chief Executive Officer, Chief Financial Officer and certain other employees. The awards were issued pursuant to and are consistent with the terms and conditions of the Company’s 2017 Equity Incentive Plan (the “2017 Plan”). The PSUs are subject to performance-based vesting under the 2017 Plan pursuant to a form of PSU award agreement (the "PSU Agreement"). Vesting of the PSUs will occur after a three-year period based on the Company's relative TSR percentile ranking as compared to an identified performance peer group. The feature in this award constitutes a “market condition” which impacts the amount of compensation expense recognized for these awards. The grant date fair values of PSUs were determined through Monte-Carlo simulation analysis. |
Income Taxes | Income Taxes – The Company operates in such a manner so as to qualify as a REIT under the requirements of the Internal Revenue Code. Requirements for qualification as a REIT include various restrictions on ownership of the Company’s stock, requirements concerning distribution of taxable income and certain restrictions on the nature of assets and sources of income. A REIT must distribute at least 90% of its taxable income to its stockholders, of which 85% plus any undistributed amounts from the prior year must be distributed within the taxable year in order to avoid the imposition of an excise tax. Distribution of the remaining balance may extend until timely filing of the Company’s tax return in the subsequent taxable year. Qualifying distributions of taxable income are deductible by a REIT in computing taxable income. Certain activities of the Company are conducted through TRSs and therefore are subject to federal and various state and local income taxes. Accordingly, deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect on deferred tax assets and liabilities of a change in tax rates is recognized in income in the period that includes the enactment date. ASC 740, Income Taxes ("ASC 740"), provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. In situations involving uncertain tax positions related to income tax matters, we do not recognize benefits unless it is more likely than not that they will be sustained. ASC 740 was applied to all open taxable years as of the effective date. Management’s determinations regarding ASC 740 may be subject to review and adjustment at a later date based on factors including, but not limited to, an ongoing analysis of tax laws, regulations and interpretations thereof. The Company will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense in our condensed consolidated statements of operations. |
Earnings Per Share | Earnings Per Share – Basic earnings per share excludes dilution and is computed by dividing net income attributable to the Company's common stockholders by the weighted-average number of shares of common stock outstanding for the period. Diluted earnings per share reflects the potential dilution that could occur if securities or other contracts to issue common stock were exercised or converted into common stock or resulted in the issuance of common stock that then shared in the earnings of the Company. |
Segment Reporting | Segment Reporting – ASC 280, Segment Reporting , is the authoritative guidance for the way public entities report information about operating segments in their annual financial statements. We are a REIT focused on the business of acquiring, investing in, financing and managing mortgage-related and residential housing-related assets, and currently operate in only one reportable segment. |
Summary of Recent Accounting Pronouncements | Summary of Recent Accounting Pronouncements Revenue Recognition (Topic 606) In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (“ASU 2014-09”). This guidance created a new, principle-based revenue recognition framework that affects nearly every revenue-generating entity. ASU 2014-09 also created a new topic in the Codification, Topic 606 (“ASC 606”). In addition to superseding and replacing nearly all existing GAAP revenue recognition guidance, including industry-specific guidance, ASC 606 does the following: (1) establishes a new control-based revenue recognition model; (2) changes the basis for deciding when revenue is recognized over time or at a point in time; (3) provides new and more detailed guidance on specific aspects of revenue recognition; and (4) expands and improves disclosures about revenue. ASC 606 applies to all contracts with customers with exceptions for financial instruments and other contractual rights or obligations that are within the scope of other ASC Topics. Exclusions from the scope of ASC 606 include investment securities available for sale (subject to ASC 320, Investments - Debt and Equity Securities or ASC 325, Investments - Other ); residential mortgage loans, distressed residential mortgage loans, multi-family loans, and preferred equity and mezzanine loan investments (subject to either ASC 310, Receivables or ASC 825, Financial Instruments ); derivative assets and derivative liabilities (subject to ASC 815, Derivatives and Hedging ); and investment in unconsolidated entities (subject to either ASC 323, Investments- Equity Method and Joint Ventures or ASC 825, Financial Instruments ). In adopting the ASU effective January 1, 2018, the Company evaluated the applicability of this ASU with respect to its investment portfolio and, considering the scope exceptions listed above, the adoption of this ASU did not have a material impact on the Company's financial condition or results of operations. Financial Instruments — Credit Losses (Topic 326) In June 2016, the FASB issued ASU 2016-13, Financial Instruments — Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments ("ASU 2016-13"). The amendments require the measurement of all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts. Financial institutions and other organizations will now use forward-looking information to better inform their credit loss estimates. In addition, the ASU amends the accounting for credit losses on available-for-sale debt securities and purchased financial assets with credit deterioration. The amendments are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption as of the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018 is permitted. The Company is currently assessing the impact of this guidance as the ASU will have an effect on the Company's estimation of credit losses on distressed residential mortgage loans, residential mortgage loans held in securitization trusts, residential mortgage loans, and preferred equity and mezzanine loan investments that are accounted for as loans. Fair Value Measurement — (Topic 820) In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework - Changes to Disclosure Requirements for Fair Value Measurement ("ASU 2018-13") . These amendments add, modify, or remove disclosure requirements regarding the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements, narrative descriptions of measurement uncertainty, and the valuation processes for Level 3 fair value measurements. The amendments are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted upon issuance of this update. An entity is permitted to early adopt any removed or modified disclosures upon issuance of ASU 2018-13 and delay adoption of the additional disclosures until their effective date. |
Residential collateralized debt obligations | |
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | |
Residential Collateralized Debt Obligations, Multi-Family Collateralized Debt Obligations, Securitized Debt, and Convertible Notes | Residential Collateralized Debt Obligations (“Residential CDOs”) – We use Residential CDOs to permanently finance our residential mortgage loans held in securitization trusts. For financial reporting purposes, the ARM loans held as collateral are recorded as assets of the Company and the Residential CDOs are recorded as the Company’s debt. The Company completed four securitizations in 2005 and 2006. The first three were accounted for as a permanent financing while the fourth was accounted for as a sale and accordingly, is not included in the Company’s accompanying condensed consolidated financial statements. |
Multi-family collateralized debt obligations | |
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | |
Residential Collateralized Debt Obligations, Multi-Family Collateralized Debt Obligations, Securitized Debt, and Convertible Notes | Multi-Family Collateralized Debt Obligations (“Multi-Family CDOs”) – The Consolidated K-Series including their debt are referred to as Multi-Family CDOs in our condensed consolidated financial statements. The Multi-Family CDOs permanently finance the multi-family mortgage loans held in the Consolidated K-Series securitizations. For financial reporting purposes, the loans held as collateral are recorded as assets of the Company and the Multi-Family CDOs are recorded as the Company’s debt. We refer to the Residential CDOs and Multi-Family CDOs collectively as "CDOs" in this report. |
Securitized debt | |
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | |
Residential Collateralized Debt Obligations, Multi-Family Collateralized Debt Obligations, Securitized Debt, and Convertible Notes | Securitized Debt – Securitized debt represents third-party liabilities of Consolidated VIEs and excludes liabilities of the VIEs acquired by the Company that are eliminated on consolidation. The Company has entered into several financing transactions that resulted in the Company consolidating as VIEs the SPEs that were created to facilitate the transactions and to which underlying assets in connection with the financing were transferred. The Company engaged in these transactions primarily to obtain permanent or longer term financing on a portion of its multi-family CMBS and acquired distressed residential mortgage loans. Costs related to issuance of securitized debt which include underwriting, rating agency, legal, accounting and other fees are reflected as deferred charges. Such costs are presented as a deduction from the corresponding debt liability on the Company’s accompanying condensed consolidated balance sheets in the amount of $0.4 million and $0.7 million as of September 30, 2018 and December 31, 2017 , respectively. These deferred charges are amortized as an adjustment to interest expense using the effective interest method, or straight line-method, if the result is not materially different. |
Convertible Notes | |
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | |
Residential Collateralized Debt Obligations, Multi-Family Collateralized Debt Obligations, Securitized Debt, and Convertible Notes | Convertible Notes – On January 23, 2017, the Company issued convertible notes (the "Convertible Notes") to finance the acquisition of targeted assets and for general working capital purposes. The Company evaluated the conversion features of the Convertible Notes for embedded derivatives in accordance with ASC 815, Derivatives and Hedging ("ASC 815") and determined that the conversion features should not be bifurcated from the notes. The Convertible Notes were issued at a 4% discount. Costs related to issuance of the Convertible Notes which include underwriting, legal, accounting and other fees are reflected as deferred charges. The discount and deferred charges are amortized as an adjustment to interest expense using the effective interest method. The discount and deferred issuance costs, net of amortization, are presented as a deduction from the corresponding debt liability on the Company's accompanying condensed consolidated balance sheets in the amount of $7.7 million and $9.3 million as of September 30, 2018 and December 31, 2017 , respectively. |
Portfolio Investments | |
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | |
Financing Arrangements, Portfolio Investments and Residential Mortgage Loans | Financing Arrangements, Portfolio Investments – The Company finances the majority of its investment securities available for sale using repurchase agreements. Under a repurchase agreement, an asset is sold to a counterparty to be repurchased at a future date at a predetermined price, which represents the original sales price plus interest. The repurchase agreements are treated as collateralized financing transactions and carried at the contractual amounts, as specified in the respective agreements. Borrowings under repurchase agreements generally bear interest rates of a specified margin over LIBOR. |
Distressed Residential Mortgage Loans | |
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | |
Financing Arrangements, Portfolio Investments and Residential Mortgage Loans | Financing Arrangements, Residential Mortgage Loans – The Company finances a portion of its residential mortgage loans, including its distressed residential mortgage loans, through repurchase agreements ( see Note 14 ). The borrowing under the repurchase agreements bear an interest rate of a specified margin over one-month LIBOR. The repurchase agreements are treated as collateralized financing transactions and carried at the contractual amounts, as specified in the respective agreements. Costs related to the establishment of the repurchase agreements which include underwriting, legal, accounting and other fees are reflected as deferred charges. Such costs are presented as a deduction from the corresponding debt liability on the Company’s accompanying condensed consolidated balance sheets in the amount of $0.2 million as of September 30, 2018 and $0.7 million as of December 31, 2017 . These deferred charges are amortized as an adjustment to interest expense using the effective interest method, or straight line-method, if the result is not materially different. |
Investment Securities Availab_2
Investment Securities Available for Sale (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Available for Sale Securities | Investment securities available for sale consisted of the following as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Amortized Cost Unrealized Fair Value Amortized Cost Unrealized Fair Value Gains Losses Gains Losses Agency RMBS Agency ARMs Freddie Mac $ 27,479 $ — $ (1,238 ) $ 26,241 $ 33,623 $ 16 $ (852 ) $ 32,787 Fannie Mae 46,456 9 (1,705 ) 44,760 54,958 6 (1,236 ) 53,728 Ginnie Mae 3,855 — (136 ) 3,719 4,750 — (193 ) 4,557 Total Agency ARMs 77,790 9 (3,079 ) 74,720 93,331 22 (2,281 ) 91,072 Agency Fixed- Rate Freddie Mac 89,023 — (3,806 ) 85,217 20,804 — (736 ) 20,068 Fannie Mae 942,868 — (47,372 ) 895,496 1,038,363 669 (12,174 ) 1,026,858 Ginnie Mae — — — — 365 — (6 ) 359 Total Agency Fixed-Rate 1,031,891 — (51,178 ) 980,713 1,059,532 669 (12,916 ) 1,047,285 Agency IOs Freddie Mac — — — — 8,436 19 (2,756 ) 5,699 Fannie Mae — — — — 11,310 22 (2,989 ) 8,343 Ginnie Mae — — — — 21,621 230 (4,714 ) 17,137 Total Agency IOs — — — — 41,367 271 (10,459 ) 31,179 Total Agency RMBS 1,109,681 9 (54,257 ) 1,055,433 1,194,230 962 (25,656 ) 1,169,536 Non-Agency RMBS 98,301 58 (115 ) 98,244 100,291 1,852 (18 ) 102,125 CMBS (1) 114,529 18,982 — 133,511 123,203 18,217 — 141,420 Total investment securities available for sale $ 1,322,511 $ 19,049 $ (54,372 ) $ 1,287,188 $ 1,417,724 $ 21,031 $ (25,674 ) $ 1,413,081 (1) Included in CMBS is $51.8 million and $47.9 million of investment securities available for sale held in securitization trusts as of September 30, 2018 and December 31, 2017 , respectively. |
Weighted Average Lives of Investment Securities Available for Sale | The following table sets forth the weighted average lives of our investment securities available for sale as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): Weighted Average Life September 30, 2018 December 31, 2017 0 to 5 years $ 365,791 $ 426,061 Over 5 to 10 years 917,955 970,336 10+ years 3,442 16,684 Total $ 1,287,188 $ 1,413,081 |
Stated Reset Periods of Investment Securities Available for Sale | The following tables set forth the stated reset periods of our investment securities available for sale at September 30, 2018 and December 31, 2017 at carrying value (dollar amounts in thousands): September 30, 2018 December 31, 2017 Less than 6 6 to 24 More than Total Less than 6 to 24 More than Total Agency RMBS $ 6,770 $ 16,043 $ 1,032,620 $ 1,055,433 $ 26,876 $ 24,726 $ 1,117,934 $ 1,169,536 Non-Agency RMBS 50,000 13,845 34,399 98,244 84,461 — 17,664 102,125 CMBS — — 133,511 133,511 70,791 — 70,629 141,420 Total investment securities available for sale $ 56,770 $ 29,888 $ 1,200,530 $ 1,287,188 $ 182,128 $ 24,726 $ 1,206,227 $ 1,413,081 |
Schedule of Investment Securities Available for Sale in Unrealized Loss Position | The following tables present the Company's investment securities available for sale in an unrealized loss position reported through OCI, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 Less than 12 months Greater than 12 months Total Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Agency RMBS $ 768,749 $ (34,876 ) $ 285,758 $ (19,381 ) $ 1,054,507 $ (54,257 ) Non-Agency RMBS 12,825 (107 ) 178 (8 ) 13,003 (115 ) Total investment securities available for sale $ 781,574 $ (34,983 ) $ 285,936 $ (19,389 ) $ 1,067,510 $ (54,372 ) December 31, 2017 Less than 12 months Greater than 12 months Total Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Carrying Value Gross Unrealized Losses Agency RMBS $ 511,313 $ (1,807 ) $ 342,963 $ (13,390 ) $ 854,276 $ (15,197 ) Non-Agency RMBS — — 193 (18 ) 193 (18 ) Total investment securities available for sale $ 511,313 $ (1,807 ) $ 343,156 $ (13,408 ) $ 854,469 $ (15,215 ) |
Residential Mortgage Loans He_2
Residential Mortgage Loans Held in Securitization Trusts, Net and Real Estate Owned (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule of Residential Mortgage Loans Held in Securitization Trusts (Net) | Residential mortgage loans held in securitization trusts, net consist of the following as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): September 30, 2018 December 31, 2017 Unpaid principal balance $ 63,717 $ 77,519 Deferred origination costs – net 405 492 Reserve for loan losses (3,663 ) (4,191 ) Total $ 60,459 $ 73,820 |
Allowance for Loan Losses on Residential Mortgage Loans Held in Securitization Trusts | The following table presents the activity in the Company's allowance for loan losses on residential mortgage loans held in securitization trusts for the nine months ended September 30, 2018 and 2017 , respectively (dollar amounts in thousands): Nine Months Ended September 30, 2018 2017 Balance at beginning of period $ 4,191 $ 3,782 (Recovery of) provision for loan losses (93 ) 306 Transfer to real estate owned — (303 ) Charge-offs (435 ) (60 ) Balance at the end of period $ 3,663 $ 3,725 |
Delinquencies in Portfolio of Residential Mortgage Loans Held in Securitization Trusts | The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts as of September 30, 2018 (dollar amounts in thousands): September 30, 2018 Days Late Number of Delinquent Loans Total Unpaid Principal % of Loan Portfolio 30 - 60 1 $ 134 0.21 % 61 - 90 2 $ 335 0.53 % 90 + 20 $ 11,447 17.97 % The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, including REO through foreclosure, as of December 31, 2017 (dollar amounts in thousands): December 31, 2017 Days Late Number of Delinquent Loans Total Unpaid Principal % of Loan Portfolio 30 - 60 1 $ 203 0.26 % 61 - 90 1 $ 173 0.22 % 90 + 24 $ 16,147 20.80 % Real estate owned through foreclosure 1 $ 118 0.15 % |
Schedule of Geographic Concentration of Credit Risk Exceeding 5% of Total Loan Balances | The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts and REO held in residential securitization trusts as of September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 December 31, 2017 New York 34.3 % 31.8 % Massachusetts 20.5 % 20.7 % New Jersey 13.8 % 11.9 % Florida 9.8 % 8.8 % Maryland 5.1 % 5.2 % The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential mortgage loans at fair value as of September 30, 2018 and December 31, 2017 , respectively, are as follows: September 30, 2018 December 31, 2017 California 26.7 % 35.9 % Florida 13.7 % 6.6 % New Jersey 5.5 % 7.7 % New York 5.1 % 3.8 % |
Residential Mortgage Loans, A_2
Residential Mortgage Loans, At Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Residential Mortgage Loans At Fair Value | The Company’s residential mortgage loans at fair value consist of the following as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): Principal Premium/(Discount) Unrealized Gains/(Losses) Carrying Value September 30, 2018 $ 189,461 $ (6,588 ) $ (963 ) $ 181,910 December 31, 2017 92,105 (4,911 ) (41 ) 87,153 |
Components of Net Gain on Residential Mortgage Loans at Fair Value | The following table presents the components of net gain (loss) on residential mortgage loans at fair value for the nine months ended September 30, 2018 and 2017 , respectively (dollar amounts in thousands): September 30, 2018 September 30, 2017 Net realized gain on payoff and sale of loans $ 1,496 $ 493 Net unrealized (losses) gains (923 ) 224 |
Schedule of Geographic Concentration of Credit Risk | The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts and REO held in residential securitization trusts as of September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 December 31, 2017 New York 34.3 % 31.8 % Massachusetts 20.5 % 20.7 % New Jersey 13.8 % 11.9 % Florida 9.8 % 8.8 % Maryland 5.1 % 5.2 % The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential mortgage loans at fair value as of September 30, 2018 and December 31, 2017 , respectively, are as follows: September 30, 2018 December 31, 2017 California 26.7 % 35.9 % Florida 13.7 % 6.6 % New Jersey 5.5 % 7.7 % New York 5.1 % 3.8 % |
Residential Mortgage Loans, Fair Value Compared to Unpaid Principal | The following table presents the difference between the fair value and the aggregate unpaid principal balance of the Company's residential mortgage loans at fair value greater than 90 days past due and in non-accrual status as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): Fair Value Unpaid Principal Balance Difference September 30, 2018 $ 4,917 $ 5,442 $ (525 ) December 31, 2017 1,048 1,214 (166 ) Residential mortgage loans, including distressed residential mortgage loans and second mortgages, with a fair value of approximately $110.9 million and $44.2 million at September 30, 2018 and December 31, 2017 , respectively, are pledged as collateral for master repurchase agreements with Deutsche Bank AG, Cayman Islands Branch ( see Note 14 ). |
Distressed Residential Mortga_2
Distressed Residential Mortgage Loans (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Schedule of Information of Distressed Residential Mortgage Loans Acquired | The following table presents information regarding the estimates of the contractually required payments, the cash flows expected to be collected, and the estimated fair value of the distressed residential mortgage loans acquired during the nine months ended September 30, 2017 (dollar amounts in thousands): September 30, 2017 Contractually required principal and interest $ 76,529 Nonaccretable yield (6,467 ) Expected cash flows to be collected 70,062 Accretable yield (58,767 ) Fair value at the date of acquisition $ 11,295 |
Activity in Accretable Yield for Distressed Residential Mortgage Loans | The following table details activity in accretable yield for the distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, for the nine months ended September 30, 2018 and 2017 , respectively (dollar amounts in thousands): September 30, 2018 September 30, 2017 Balance at beginning of period $ 303,949 $ 530,511 Additions 6,007 91,356 Disposals (64,876 ) (263,475 ) Accretion (11,999 ) (16,635 ) Balance at end of period (1) $ 233,081 $ 341,757 (1) Accretable yield is the excess of the distressed residential mortgage loans’ cash flows expected to be collected over the purchase price. The cash flows expected to be collected represents the Company’s estimate of the amount and timing of undiscounted principal and interest cash flows. Additions include accretable yield estimates for purchases made during the period and reclassification to accretable yield from nonaccretable yield. Disposals include distressed residential mortgage loan dispositions, which include refinancing, sale and foreclosure of the underlying collateral and resulting removal of the distressed residential mortgage loans from the accretable yield, and reclassifications from accretable to nonaccretable yield. The reclassifications between accretable and nonaccretable yield and the accretion of interest income is based on various estimates regarding loan performance and the value of the underlying real estate securing the loans. As the Company continues to update its estimates regarding the loans and the underlying collateral, the accretable yield may change. Therefore, the amount of accretable income recorded in each of the nine month periods ended September 30, 2018 and 2017 is not necessarily indicative of future results. |
Schedule of Geographic Concentration of Credit Risk | The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts and REO held in residential securitization trusts as of September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 December 31, 2017 New York 34.3 % 31.8 % Massachusetts 20.5 % 20.7 % New Jersey 13.8 % 11.9 % Florida 9.8 % 8.8 % Maryland 5.1 % 5.2 % The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential mortgage loans at fair value as of September 30, 2018 and December 31, 2017 , respectively, are as follows: September 30, 2018 December 31, 2017 California 26.7 % 35.9 % Florida 13.7 % 6.6 % New Jersey 5.5 % 7.7 % New York 5.1 % 3.8 % |
Distressed residential mortgage loans held in securitization trusts, net | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Schedule of Geographic Concentration of Credit Risk | The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, as of September 30, 2018 and December 31, 2017 , respectively, are as follows: September 30, 2018 December 31, 2017 Florida 10.7 % 11.2 % North Carolina 8.6 % 8.3 % Georgia 6.6 % 5.8 % California 5.7 % 6.9 % New York 5.5 % 5.7 % South Carolina 5.4 % 5.0 % Ohio 5.2 % 5.1 % |
Consolidated K-Series (Tables)
Consolidated K-Series (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Schedule of Geographic Concentration of Credit Risk | The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts and REO held in residential securitization trusts as of September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 December 31, 2017 New York 34.3 % 31.8 % Massachusetts 20.5 % 20.7 % New Jersey 13.8 % 11.9 % Florida 9.8 % 8.8 % Maryland 5.1 % 5.2 % The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential mortgage loans at fair value as of September 30, 2018 and December 31, 2017 , respectively, are as follows: September 30, 2018 December 31, 2017 California 26.7 % 35.9 % Florida 13.7 % 6.6 % New Jersey 5.5 % 7.7 % New York 5.1 % 3.8 % |
Multi-family loans held in securitization trusts | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Schedule of Geographic Concentration of Credit Risk | The geographic concentrations of credit risk exceeding 5% of the total loan balances related to our CMBS investments included in investment securities available for sale and multi-family loans held in securitization trusts as of September 30, 2018 and December 31, 2017 , respectively, are as follows: September 30, 2018 December 31, 2017 California 13.8 % 14.7 % Texas 11.8 % 12.7 % New York 6.1 % 6.5 % Maryland 5.1 % 5.5 % |
Consolidated K-Series | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Condensed Consolidated Balance Sheet of the Consolidated K-Series | The condensed consolidated balance sheets of the Consolidated K-Series at September 30, 2018 and December 31, 2017 , respectively, are as follows (dollar amounts in thousands): Balance Sheets September 30, 2018 December 31, 2017 Assets Multi-family loans held in securitization trusts $ 10,070,834 $ 9,657,421 Receivables 32,533 33,562 Total Assets $ 10,103,367 $ 9,690,983 Liabilities and Equity Multi-family CDOs $ 9,504,313 $ 9,189,459 Accrued expenses 31,966 33,136 Total Liabilities 9,536,279 9,222,595 Equity 567,088 468,388 Total Liabilities and Equity $ 10,103,367 $ 9,690,983 |
Condensed Consolidated Statements of Operations of the Consolidated K-Series | The condensed consolidated statements of operations of the Consolidated K-Series for the three and nine months ended September 30, 2018 and 2017 , respectively, are as follows (dollar amounts in thousands): Three Months Ended Nine Months Ended Statements of Operations 2018 2017 2018 2017 Interest income $ 86,458 $ 76,186 $ 257,179 $ 213,242 Interest expense 75,145 67,030 224,310 187,835 Net interest income 11,313 9,156 32,869 25,407 Unrealized gain on multi-family loans and debt held in securitization trusts, net 12,303 2,353 31,867 5,184 Net income $ 23,616 $ 11,509 $ 64,736 $ 30,591 |
Investment in Unconsolidated _2
Investment in Unconsolidated Entities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule of Investments in Unconsolidated Entities | The Company's investments in unconsolidated entities accounted for under the equity method consist of the following as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Investment Name Ownership Interest Carrying Amount Ownership Interest Carrying Amount BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively) 45% $ 8,675 45% $ 8,320 Total - Equity Method $ 8,675 $ 8,320 The Company's investments in unconsolidated entities accounted for under the equity method using the fair value option consist of the following as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Investment Name Ownership Interest Carrying Amount Ownership Interest Carrying Amount Morrocroft Neighborhood Stabilization Fund II, LP 11% $ 13,451 11% $ 12,623 Evergreens JV Holdings, LLC 85% 7,970 85% 4,220 The Preserve at Port Royal Venture, LLC 77% 13,640 77% 13,040 WR Savannah Holdings, LLC (1) — — 90% 12,940 Total - Fair Value Option $ 35,061 $ 42,823 (1) The Company's equity investment was redeemed during the three months ended September 30, 2018. The following table presents income from investments in unconsolidated entities for the three and nine months ended September 30, 2018 and September 30, 2017 (dollar amounts in thousands): Three Months Ended September 30, Nine Months Ended September 30, Investment Name 2018 2017 2018 2017 Autumnwood Investments LLC $ — $ 64 $ — $ 137 200 RHC Hoover, LLC — — — 275 BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively) 265 252 777 741 Morrocroft Neighborhood Stabilization Fund II, LP 149 394 829 1,374 Evergreens JV Holdings, LLC 3,643 161 4,008 464 Bent Tree JV Holdings, LLC — 1,210 — 1,795 Summerchase LR Partners LLC — 194 — 556 Lake Mary Realty Partners, LLC — 2,312 — 2,745 The Preserve at Port Royal Venture, LLC 449 440 1,351 1,266 WR Savannah Holdings, LLC (1) 113 405 1,743 1,030 (1) Includes income recognized from redemption of the Company's investment during the three and nine months ended September 30, 2018 . |
Preferred Equity and Mezzanin_2
Preferred Equity and Mezzanine Loan Investments (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Variable Interest Entity, Nonconsolidated, Carrying Amount, Assets and Liabilities, Net [Abstract] | |
Schedule of Preferred Equity and Mezzanine Loan Investments | investments consist of the following as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Investment amount $ 200,047 $ 140,560 Deferred loan fees, net (1,770 ) (1,640 ) Total $ 198,277 $ 138,920 The geographic concentrations of credit risk exceeding 5% of the total preferred equity and mezzanine loan investment amounts as of September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 December 31, 2017 New York 22.1 % 24.1 % Texas 13.8 % 24.3 % Florida 12.1 % 3.9 % Georgia 9.9 % 3.4 % Virginia 7.6 % 10.8 % Alabama 7.4 % 7.1 % Tennessee 5.6 % — South Carolina 5.1 % 7.0 % The following tables present the classification and carrying value of unconsolidated VIEs as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 Investment securities, available for sale, at fair value, held in securitization trusts Receivables and other assets Preferred equity and mezzanine loan investments Investment in unconsolidated entities Total Multi-family CMBS $ 51,751 $ 72 $ — $ — $ 51,823 Preferred equity investments in multi-family properties — — 187,508 8,675 196,183 Mezzanine loan on multi-family properties — — 10,769 — 10,769 Equity investments in entities that invest in residential properties — — — 13,451 13,451 Total assets $ 51,751 $ 72 $ 198,277 $ 22,126 $ 272,226 December 31, 2017 Investment securities, available for sale, at fair value, held in securitization trusts Receivables and other assets Preferred equity and mezzanine loan investments Investment in unconsolidated entities Total Multi-family CMBS $ 47,922 $ 73 $ — $ — $ 47,995 Preferred equity investments in multi-family properties — — 132,009 8,320 140,329 Mezzanine loan on multi-family properties — — 6,911 — 6,911 Equity investments in entities that invest in multi-family and residential properties — — — 25,562 25,562 Total assets $ 47,922 $ 73 $ 138,920 $ 33,882 $ 220,797 The following table summarizes the Company’s securitized debt collateralized by multi-family CMBS and distressed residential mortgage loans (dollar amounts in thousands): Multi-family CMBS Re-securitization (1) Distressed Residential Mortgage Loan Securitizations Principal Amount at September 30, 2018 $ 33,218 $ 24,051 Principal Amount at December 31, 2017 $ 33,350 $ 53,089 Carrying Value at September 30, 2018 (2) $ 29,870 $ 23,727 Carrying Value at December 31, 2017 (2) $ 29,164 $ 52,373 Pass-through rate of Notes issued 5.35% 4.00% (1) The Company engaged in the re-securitization transaction primarily for the purpose of obtaining non-recourse financing on a portion of its multi-family CMBS portfolio. As a result of engaging in this transaction, the Company remains economically exposed to the first loss position on the underlying multi-family CMBS transferred to the Consolidated VIE. The holders of the Note issued in this re-securitization transaction have no recourse to the general credit of the Company, but the Company does have the obligation, under certain circumstances, to repurchase assets upon the breach of certain representations and warranties. The Company will receive all remaining cash flow, if any, through its retained ownership. (2) Classified as securitized debt in the liability section of the Company’s accompanying condensed consolidated balance sheets. |
Use of Special Purpose Entiti_2
Use of Special Purpose Entities and Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Variable Interest Entity [Line Items] | |
Schedule of Recognized Identified Assets Acquired and Liabilities Assumed | The following table summarizes the estimated fair values of the assets and liabilities of Riverchase Landing and The Clusters at the Changeover Date (dollar amounts in thousands). Cash $ 112 Operating real estate (1) 62,322 Lease intangibles (1) 5,340 Receivables and other assets 2,260 Total assets 70,034 Mortgages payable 51,570 Accrued expenses and other liabilities 1,519 Total liabilities 53,089 Non-controlling interest (2) 4,462 Net assets consolidated $ 12,483 (1) Reclassified to real estate held for sale in consolidated variable interest entities on the condensed consolidated balance sheets in 2017 ( see Note 11 ). (2) Represents third party ownership of membership interests in Riverchase Landing and The Clusters. The fair value of the non-controlling interests in Riverchase Landing and The Clusters, both private companies, was estimated using assumptions for the timing and amount of expected future cash flows from the underlying multi-family apartment communities and a discount rate. |
Schedule of Assets and Liabilities of Consolidated VIE's | The following table presents the carrying value and estimated fair value of the Company’s financial instruments at September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): September 30, 2018 December 31, 2017 Fair Value Hierarchy Level Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets: Cash and cash equivalents Level 1 $ 57,471 $ 57,471 $ 95,191 $ 95,191 Investment securities available for sale (1) Level 2 or 3 1,287,188 1,287,188 1,413,081 1,413,081 Residential mortgage loans held in securitization trusts, net Level 3 60,459 60,228 73,820 72,131 Distressed residential mortgage loans, at carrying value, net (2) Level 3 260,837 263,935 331,464 334,765 Residential mortgage loans, at fair value (3) Level 3 181,910 181,910 87,153 87,153 Multi-family loans held in securitization trusts Level 3 10,070,834 10,070,834 9,657,421 9,657,421 Derivative assets Level 2 8,760 8,760 10,101 10,101 Mortgage loans held for sale, net (4) Level 3 3,284 3,622 5,507 5,598 Mortgage loans held for investment (4) Level 3 1,760 1,760 1,760 1,900 Preferred equity and mezzanine loan investments (5) Level 3 198,277 199,885 138,920 140,129 Investments in unconsolidated entities (6) Level 3 43,736 43,795 51,143 51,212 Financial Liabilities: Financing arrangements, portfolio investments Level 2 1,130,659 1,130,659 1,276,918 1,276,918 Financing arrangements, residential mortgage loans Level 2 177,226 177,226 149,063 149,063 Residential collateralized debt obligations Level 3 56,504 54,228 70,308 66,865 Multi-family collateralized debt obligations Level 3 9,504,313 9,504,313 9,189,459 9,189,459 Securitized debt Level 3 53,597 57,236 81,537 87,891 Subordinated debentures Level 3 45,000 44,988 45,000 45,002 Convertible notes Level 2 130,251 137,923 128,749 140,060 (1) Includes $51.8 million and $47.9 million of investment securities for sale held in securitization trusts as of September 30, 2018 and December 31, 2017 , respectively. (2) Includes distressed residential mortgage loans held in securitization trusts with a carrying value amounting to approximately $96.5 million and $121.8 million at September 30, 2018 and December 31, 2017 , respectively, and distressed residential mortgage loans with a carrying value amounting to approximately $164.3 million and $209.7 million at September 30, 2018 and December 31, 2017 , respectively. (3) Includes distressed residential mortgage loans with a carrying value amounting to $112.5 million and $36.9 million at September 30, 2018 and December 31, 2017 , respectively, and second mortgages with a carrying value amounting to $69.4 million and $50.2 million at September 30, 2018 and December 31, 2017 , respectively. (4) Included in receivables and other assets in the accompanying condensed consolidated balance sheets. (5) Includes preferred equity and mezzanine loan investments accounted for as loans ( see Note 9 ). (6) Includes investments in unconsolidated entities accounted for under the fair value option with a carrying value of $35.1 million and $42.8 million at September 30, 2018 and December 31, 2017 , respectively ( see Note 8) . |
Summary of Classification and Carrying Value of Unconsolidated VIE's | investments consist of the following as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Investment amount $ 200,047 $ 140,560 Deferred loan fees, net (1,770 ) (1,640 ) Total $ 198,277 $ 138,920 The geographic concentrations of credit risk exceeding 5% of the total preferred equity and mezzanine loan investment amounts as of September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 December 31, 2017 New York 22.1 % 24.1 % Texas 13.8 % 24.3 % Florida 12.1 % 3.9 % Georgia 9.9 % 3.4 % Virginia 7.6 % 10.8 % Alabama 7.4 % 7.1 % Tennessee 5.6 % — South Carolina 5.1 % 7.0 % The following tables present the classification and carrying value of unconsolidated VIEs as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 Investment securities, available for sale, at fair value, held in securitization trusts Receivables and other assets Preferred equity and mezzanine loan investments Investment in unconsolidated entities Total Multi-family CMBS $ 51,751 $ 72 $ — $ — $ 51,823 Preferred equity investments in multi-family properties — — 187,508 8,675 196,183 Mezzanine loan on multi-family properties — — 10,769 — 10,769 Equity investments in entities that invest in residential properties — — — 13,451 13,451 Total assets $ 51,751 $ 72 $ 198,277 $ 22,126 $ 272,226 December 31, 2017 Investment securities, available for sale, at fair value, held in securitization trusts Receivables and other assets Preferred equity and mezzanine loan investments Investment in unconsolidated entities Total Multi-family CMBS $ 47,922 $ 73 $ — $ — $ 47,995 Preferred equity investments in multi-family properties — — 132,009 8,320 140,329 Mezzanine loan on multi-family properties — — 6,911 — 6,911 Equity investments in entities that invest in multi-family and residential properties — — — 25,562 25,562 Total assets $ 47,922 $ 73 $ 138,920 $ 33,882 $ 220,797 The following table summarizes the Company’s securitized debt collateralized by multi-family CMBS and distressed residential mortgage loans (dollar amounts in thousands): Multi-family CMBS Re-securitization (1) Distressed Residential Mortgage Loan Securitizations Principal Amount at September 30, 2018 $ 33,218 $ 24,051 Principal Amount at December 31, 2017 $ 33,350 $ 53,089 Carrying Value at September 30, 2018 (2) $ 29,870 $ 23,727 Carrying Value at December 31, 2017 (2) $ 29,164 $ 52,373 Pass-through rate of Notes issued 5.35% 4.00% (1) The Company engaged in the re-securitization transaction primarily for the purpose of obtaining non-recourse financing on a portion of its multi-family CMBS portfolio. As a result of engaging in this transaction, the Company remains economically exposed to the first loss position on the underlying multi-family CMBS transferred to the Consolidated VIE. The holders of the Note issued in this re-securitization transaction have no recourse to the general credit of the Company, but the Company does have the obligation, under certain circumstances, to repurchase assets upon the breach of certain representations and warranties. The Company will receive all remaining cash flow, if any, through its retained ownership. (2) Classified as securitized debt in the liability section of the Company’s accompanying condensed consolidated balance sheets. |
Schedule of Contractual Maturities of Financing VIE's | The following table presents contractual maturity information about the Financing VIEs’ securitized debt as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): Scheduled Maturity (principal amount) September 30, 2018 December 31, 2017 Within 24 months $ 24,051 $ 53,089 Over 24 months to 36 months — — Over 36 months 33,218 33,350 Total 57,269 86,439 Discount (3,312 ) (4,232 ) Debt issuance cost (360 ) (670 ) Carrying value $ 53,597 $ 81,537 As of September 30, 2018 , maturities for debt on the Company's condensed consolidated balance sheet are as follows (dollar amounts in thousands): Fiscal Year Total 2018 $ — 2019 5,098 2020 — 2021 — 2022 138,000 2023 — Thereafter 72,445 $ 215,543 |
Financing VIE | |
Variable Interest Entity [Line Items] | |
Schedule of Assets and Liabilities of Consolidated VIE's | Assets and Liabilities of Consolidated VIEs as of September 30, 2018 (dollar amounts in thousands): Financing VIEs Other VIEs Multi-family CMBS Re- securitization (1) Distressed Residential Mortgage Loan Securitization (2) Residential Mortgage Loan Securitization Multi- family CMBS (3) Other Total Cash and cash equivalents $ — $ — $ — $ — $ 781 $ 781 Investment securities available for sale, at fair value held in securitization trusts 51,751 — — — — 51,751 Residential mortgage loans held in securitization trusts, net — — 60,459 — — 60,459 Distressed residential mortgage loans held in securitization trusts, net — 96,493 — — — 96,493 Multi-family loans held in securitization trusts, at fair value 1,109,276 — — 8,961,558 — 10,070,834 Real estate held for sale in consolidated variable interest entities — — — — 29,558 29,558 Receivables and other assets 4,131 14,320 1,021 28,474 23,304 71,250 Total assets $ 1,165,158 $ 110,813 $ 61,480 $ 8,990,032 $ 53,643 $ 10,381,126 Residential collateralized debt obligations $ — $ — $ 56,504 $ — $ — $ 56,504 Multi-family collateralized debt obligations, at fair value 1,040,174 — — 8,464,139 — 9,504,313 Securitized debt 29,870 23,727 — — — 53,597 Mortgages and notes payable in consolidated variable interest entities — — — — 32,486 32,486 Accrued expenses and other liabilities 4,115 317 25 27,999 976 33,432 Total liabilities $ 1,074,159 $ 24,044 $ 56,529 $ 8,492,138 $ 33,462 $ 9,680,332 (1) The Company classified the multi-family CMBS issued by two K-Series securitizations and held by this Financing VIE as available for sale securities as the purpose is not to trade these securities. The Financing VIE consolidated one K-Series securitization that issued certain of the multi-family CMBS owned by the Company, including its assets, liabilities, income and expenses, in its financial statements, as based on a number of factors, the Company determined that it was the primary beneficiary and has a controlling financial interest in this particular K-Series securitization ( see Note 7 ). (2) The Company engaged in this transaction for the purpose of financing distressed residential mortgage loans acquired by the Company. The distressed residential mortgage loans serving as collateral for the financing are comprised of performing, re-performing and, to a lesser extent, non-performing, fixed- and adjustable-rate, fully-amortizing, interest only and balloon, seasoned mortgage loans secured by first liens on one - to four - family properties. Balances as of September 30, 2018 are related to a securitization transaction that closed in April 2016 that involved the issuance of $177.5 million of Class A Notes representing the beneficial ownership in a pool of performing and re-performing seasoned mortgage loans. The Company holds 5% of the Class A Notes issued as part of the securitization transaction, which were eliminated in consolidation. (3) Seven of the Company’s Freddie Mac-sponsored multi-family K-Series securitizations included in the Consolidated K-Series were not held in a Financing VIE as of September 30, 2018 . Assets and Liabilities of Consolidated VIEs as of December 31, 2017 (dollar amounts in thousands): Financing VIEs Other VIEs Multi-family CMBS Re- securitization (1) Distressed Residential Mortgage Loan Securitization (2) Residential Mortgage Loan Securitization Multi- family CMBS (3) Other Total Cash and cash equivalents $ — $ — $ — $ — $ 808 $ 808 Investment securities available for sale, at fair value held in securitization trusts 47,922 — — — — 47,922 Residential mortgage loans held in securitization trusts, net — — 73,820 — — 73,820 Distressed residential mortgage loans held in securitization trusts, net — 121,791 — — — 121,791 Multi-family loans held in securitization trusts, at fair value 1,157,726 — — 8,499,695 — 9,657,421 Real estate held for sale in consolidated variable interest entities — — — — 64,202 64,202 Receivables and other assets 4,333 15,428 935 29,301 25,507 75,504 Total assets $ 1,209,981 $ 137,219 $ 74,755 $ 8,528,996 $ 90,517 $ 10,041,468 Residential collateralized debt obligations $ — $ — $ 70,308 $ — $ — $ 70,308 Multi-family collateralized debt obligations, at fair value 1,094,044 — — 8,095,415 — 9,189,459 Securitized debt 29,164 52,373 — — — 81,537 Mortgages and notes payable in consolidated variable interest entities — — — — 57,124 57,124 Accrued expenses and other liabilities 4,316 2,957 24 28,969 1,727 37,993 Total liabilities $ 1,127,524 $ 55,330 $ 70,332 $ 8,124,384 $ 58,851 $ 9,436,421 (1) The Company classified the multi-family CMBS issued by two K-Series securitizations and held by this Financing VIE as available for sale securities as the purpose is not to trade these securities. The Financing VIE consolidated one K-Series securitization that issued certain of the multi-family CMBS owned by the Company, including its assets, liabilities, income and expenses, in its financial statements, as based on a number of factors, the Company determined that it was the primary beneficiary and has a controlling financial interest in this particular K-Series securitization ( see Note 7 ). (2) The Company engaged in this transaction for the purpose of financing distressed residential mortgage loans acquired by the Company. The distressed residential mortgage loans serving as collateral for the financing are comprised of performing, re-performing and, to a lesser extent, non-performing, fixed- and adjustable-rate, fully-amortizing, interest only and balloon, seasoned mortgage loans secured by first liens on one - to four - family properties. Balances as of December 31, 2017 are related to a securitization transaction that closed in April 2016 that involved the issuance of $177.5 million of Class A Notes representing the beneficial ownership in a pool of performing and re-performing seasoned mortgage loans. The Company holds 5% of the Class A Notes issued as part of the securitization transaction, which have been eliminated in consolidation. (3) Six of the Company’s Freddie Mac-sponsored multi-family K-Series securitizations included in the Consolidated K-Series were not held in a Financing VIE as of December 31, 2017 . |
Real Estate Held for Sale in _2
Real Estate Held for Sale in Consolidated VIEs (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Real Estate [Abstract] | |
Schedule of Provisional Summary Real Estate Held for Sale | The following is a summary of the real estate held for sale in consolidated variable interest entities as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Land $ 2,650 $ 7,000 Building and improvements 25,975 53,468 Furniture, fixtures and equipment 885 2,150 Lease intangible 2,802 5,340 Real estate held for sale before accumulated depreciation and amortization 32,312 67,958 Accumulated depreciation (1) (418 ) (647 ) Accumulated amortization of lease intangible (1) (2,336 ) (3,109 ) Real estate held for sale in consolidated variable interest entities $ 29,558 $ 64,202 (1) There were no depreciation and amortization expenses for the three and nine months ended September 30, 2018 . Depreciation and amortization expenses for the three months ended September 30, 2017 totaled $0.2 million and $0.9 million , respectively. Depreciation and amortization expenses for the nine months ended September 30, 2017 totaled $0.6 million and $3.1 million , respectively. |
Derivative Instruments and He_2
Derivative Instruments and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Fair Value of Derivative Instruments Not Designated | The following table presents the fair value of derivative instruments and their location in our condensed consolidated balance sheets at September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): Type of Derivative Instrument Balance Sheet Location September 30, 2018 December 31, 2017 Interest rate swaps (1) Derivative assets $ 8,760 $ 10,101 (1) Variation margin payable of $8.5 million and variation margin receivable of $9.3 million is included as an adjustment to the carrying value of the derivative assets at September 30, 2018 and December 31, 2017 , respectively |
Schedule Of Derivative Instruments Volume Activity | The tables below summarize the volume activity of derivative instruments for the nine months ended September 30, 2018 and 2017 , respectively (dollar amounts in thousands): Notional Amount For the Nine Months Ended September 30, 2018 Type of Derivative Instrument December 31, 2017 Additions Settlement, Expiration or Exercise September 30, 2018 Interest rate swaps $ 345,500 $ 50,000 $ — $ 395,500 Notional Amount For the Nine Months Ended September 30, 2017 Type of Derivative Instrument December 31, 2016 Additions Settlement, Expiration or Exercise September 30, 2017 TBA securities (1) $ 149,000 $ 1,466,000 $ (1,440,000 ) $ 175,000 U.S. Treasury futures 17,100 123,900 (135,500 ) 5,500 Interest rate swap futures (151,700 ) 413,800 (349,000 ) (86,900 ) Eurodollar futures (2,575,000 ) 5,989,000 (5,054,000 ) (1,640,000 ) Options on U.S. Treasury futures — 5,000 (5,000 ) — Swaptions 154,000 — — 154,000 Interest rate swaps 15,000 — — 15,000 (1) Open TBA purchases and sales involving the same counterparty, same underlying deliverable and the same settlement date are reflected in our condensed consolidated financial statements on a net basis. |
Schedule of Components of Realized and Unrealized Gains and Losses | The following table presents the components of realized and unrealized gains and losses related to our derivative instruments included in other income category in our condensed consolidated statements of operations for the three and nine months ended September 30, 2018 and 2017 (dollar amounts in thousands): Three Months Ended September 30, 2018 2017 Realized Gains (Losses) Unrealized Gains (Losses) Realized Gains (Losses) Unrealized Gains (Losses) TBA securities $ — $ — $ 1,470 $ (265 ) Eurodollar futures — — 62 39 Interest rate swaps — 2,275 — 36 Swaptions — — — 171 U.S. Treasury and interest rate swap futures and options — — (583 ) 505 Total $ — $ 2,275 $ 949 $ 486 Nine Months Ended September 30, 2018 2017 Realized Gains (Losses) Unrealized Gains (Losses) Realized Gains (Losses) Unrealized Gains (Losses) TBA securities $ — $ — $ 3,285 $ (1,080 ) Eurodollar futures — — 849 (886 ) Interest rate swaps — 16,379 — 110 Swaptions — — — 239 U.S. Treasury and interest rate swap futures and options — — (999 ) 699 Total $ — $ 16,379 $ 3,135 $ (918 ) |
Schedule of Interest Rate Swaps, Variable and Fixed Interest Rates | The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): September 30, 2018 December 31, 2017 Swap Maturities Notional Amount Weighted Average Fixed Interest Rate Weighted Average Notional Amount Weighted Average Fixed Interest Rate Weighted Average 2024 $ 98,000 2.18 % 2.34 % $ 98,000 2.18 % 1.36 % 2027 247,500 2.39 % 2.34 % 247,500 2.39 % 1.39 % 2028 50,000 3.13 % 2.31 % — — — Total $ 395,500 2.43 % 2.34 % $ 345,500 2.33 % 1.38 % |
Financing Arrangements, Portf_2
Financing Arrangements, Portfolio Investments (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Banking and Thrift [Abstract] | |
Schedule of Borrowings Under Financing Arrangements and Assets Pledged as Collateral | The following table presents detailed information about the Company’s borrowings under financing arrangements and associated assets pledged as collateral at September 30, 2018 and December 31, 2017 (dollar amounts in thousands): September 30, 2018 December 31, 2017 Outstanding Financing Arrangements Fair Value of Collateral Pledged Amortized Cost of Collateral Pledged Outstanding Financing Arrangements Fair Value of Collateral Pledged Amortized Cost of Collateral Pledged Agency ARMs RMBS $ 49,689 $ 51,750 $ 53,699 $ 86,349 $ 90,343 $ 92,586 Agency Fixed-rate RMBS 802,636 847,316 891,660 842,474 890,359 902,744 Non-Agency RMBS — — — 38,160 51,841 50,693 CMBS (1) 278,334 405,623 282,492 309,935 421,156 322,092 Balance at end of the period $ 1,130,659 $ 1,304,689 $ 1,227,851 $ 1,276,918 $ 1,453,699 $ 1,368,115 (1) Includes first loss PO and mezzanine CMBS securities with a fair value amounting to $405.6 million and $377.5 million included in the Consolidated K-Series as of September 30, 2018 and December 31, 2017 , respectively. |
Schedule of Contractual Maturities of Outstanding Financing Arrangements | The following table presents contractual maturity information about the Company’s outstanding financing arrangements, at September 30, 2018 and December 31, 2017 (dollar amounts in thousands): Contractual Maturity September 30, 2018 December 31, 2017 Within 30 days $ 822,582 $ 1,081,911 Over 30 days to 90 days 308,077 95,007 Over 90 days — 100,000 Total $ 1,130,659 $ 1,276,918 |
Debt (Tables)
Debt (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Debt Disclosure [Abstract] | |
Schedule of Subordinated Borrowing | The following table summarizes the key details of the Company’s subordinated debentures as of September 30, 2018 and December 31, 2017 (dollar amounts in thousands): NYM Preferred Trust I NYM Preferred Trust II Principal value of trust preferred securities $ 25,000 $ 20,000 Interest rate Three month LIBOR plus 3.75%, resetting quarterly Three month LIBOR plus 3.95%, resetting quarterly Scheduled maturity March 30, 2035 October 30, 2035 |
Schedule of Long-term Debt Instruments | The mortgages and notes payable in the consolidated VIEs as of September 30, 2018 are described below (dollar amounts in thousands): Assumption/Origination Date Mortgage Note Amount Maturity Date Interest Rate Net Deferred Finance Costs The Clusters 6/30/2014 $ 27,445 7/6/2024 4.49 % $ 58 KRVI 12/16/2016 $ 5,098 12/16/2019 6.75 % $ — |
Schedule of Maturities of Long-term Debt | The following table presents contractual maturity information about the Financing VIEs’ securitized debt as of September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): Scheduled Maturity (principal amount) September 30, 2018 December 31, 2017 Within 24 months $ 24,051 $ 53,089 Over 24 months to 36 months — — Over 36 months 33,218 33,350 Total 57,269 86,439 Discount (3,312 ) (4,232 ) Debt issuance cost (360 ) (670 ) Carrying value $ 53,597 $ 81,537 As of September 30, 2018 , maturities for debt on the Company's condensed consolidated balance sheet are as follows (dollar amounts in thousands): Fiscal Year Total 2018 $ — 2019 5,098 2020 — 2021 — 2022 138,000 2023 — Thereafter 72,445 $ 215,543 |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of Financial Instruments Measured at Fair Value on a Recurring Basis | The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2018 and December 31, 2017 , respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands): Measured at Fair Value on a Recurring Basis at September 30, 2018 December 31, 2017 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Assets carried at fair value Investment securities available for sale: Agency RMBS $ — $ 1,055,433 $ — $ 1,055,433 $ — $ 1,169,536 $ — $ 1,169,536 Non-Agency RMBS — 98,244 — 98,244 — 102,125 — 102,125 CMBS — 81,760 51,751 133,511 — 93,498 47,922 141,420 Multi-family loans held in securitization trusts — — 10,070,834 10,070,834 — — 9,657,421 9,657,421 Residential mortgage loans, at fair value — — 181,910 181,910 — — 87,153 87,153 Derivative assets: Interest rate swaps — 8,760 — 8,760 — 10,101 — 10,101 Investments in unconsolidated entities — — 35,061 35,061 — — 42,823 42,823 Total $ — $ 1,244,197 $ 10,339,556 $ 11,583,753 $ — $ 1,375,260 $ 9,835,319 $ 11,210,579 Liabilities carried at fair value Multi-family collateralized debt obligations $ — $ — $ 9,504,313 $ 9,504,313 $ — $ — $ 9,189,459 $ 9,189,459 Total $ — $ — $ 9,504,313 $ 9,504,313 $ — $ — $ 9,189,459 $ 9,189,459 |
Changes in Valuation of Level 3 Assets | The following table details changes in valuation for the Level 3 assets for the nine months ended September 30, 2018 and 2017 , respectively (amounts in thousands): Level 3 Assets: Nine Months Ended September 30, 2018 2017 Balance at beginning of period $ 9,835,319 $ 7,061,842 Total (losses)/gains (realized/unrealized) Included in earnings (1) (280,300 ) 38,978 Included in other comprehensive income 901 208 Contributions — 1,300 Paydowns/Distributions (133,101 ) (139,751 ) Sales (7,105 ) (4,100 ) Purchases (2) 923,842 1,598,018 Balance at the end of period $ 10,339,556 $ 8,556,495 (1) Amounts included in interest income from multi-family loans held in securitization trusts, interest income from residential mortgage loans, realized gain on distressed residential mortgage loans, net gain on residential mortgage loans at fair value, unrealized gain on multi-family loans and debt held in securitization trusts, and other income. (2) During the nine months ended September 30, 2018 and 2017 , the Company purchased PO securities, certain IOs and mezzanine CMBS securities issued from Freddie Mac-sponsored multi-family K-Series securitization trusts. The Company determined that the securitization trusts are VIEs and that the Company is the primary beneficiary of the VIEs. As a result, during the nine months ended September 30, 2018 and 2017 , the Company consolidated assets of these Freddie Mac sponsored multi-family K-Series securitization trusts in the amounts of $0.8 billion and $1.5 billion , respectively ( see Notes 2 and 7 ). |
Changes in Valuation of Level 3 Liabilities | The following table details changes in valuation for the Level 3 liabilities for the nine months ended September 30, 2018 and 2017 , respectively (amounts in thousands): Level 3 Liabilities: Nine Months Ended September 30, 2018 2017 Balance at beginning of period $ 9,189,459 $ 6,624,896 Total gains (realized/unrealized) Included in earnings (1) (350,674 ) (1,389 ) Purchases (2) 767,477 1,472,073 Paydowns (101,949 ) (104,961 ) Balance at the end of period $ 9,504,313 $ 7,990,619 (1) Amounts included in interest expense on Multi-Family CDOs and unrealized gain on multi-family loans and debt held in securitization trusts. (2) During the nine months ended September 30, 2018 and 2017 , the Company purchased PO securities, certain IOs and mezzanine CMBS securities issued from Freddie Mac-sponsored multi-family K-Series securitization trusts. The Company determined that the securitization trusts are VIEs and that the Company is the primary beneficiary of the VIEs. As a result, during the nine months ended September 30, 2018 and 2017 , the Company consolidated liabilities of these Freddie Mac sponsored multi-family K-Series securitization trusts in the amounts of $0.8 billion and $1.5 billion , respectively ( see Notes 2 and 7 ). |
Changes in Unrealized Gains (Losses) Included in Earnings for Level 3 Assets and Liabilities | The following table details the changes in unrealized gains (losses) included in earnings for our Level 3 multi-family loans and debt held in securitization trusts for the three and nine months ended September 30, 2018 and 2017 , respectively (dollar amounts in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2018 2017 2018 2017 Change in unrealized (losses) gains – assets $ (33,153 ) $ (19,767 ) $ (252,899 ) $ 56,995 Change in unrealized gains (losses) – liabilities 45,456 22,120 284,766 (51,811 ) Net change in unrealized gains included in earnings for assets and liabilities $ 12,303 $ 2,353 $ 31,867 $ 5,184 |
Schedule of Assets Measured at Fair Value on a Non-recurring Basis | The following table presents assets measured at fair value on a non-recurring basis as of September 30, 2018 and December 31, 2017 , respectively, on the Company's condensed consolidated balance sheets (dollar amounts in thousands): Assets Measured at Fair Value on a Non-Recurring Basis at September 30, 2018 December 31, 2017 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Residential mortgage loans held in securitization trusts – impaired loans, net $ — $ — $ 6,336 $ 6,336 $ — $ — $ 10,317 $ 10,317 Real estate owned held in residential securitization trusts — — — — — — 111 111 |
Schedule of Gains (Losses) Incurred for Assets Measured at Fair Value on a Non-recurring Basis | The following table presents gains (losses) incurred for assets measured at fair value on a non-recurring basis for the three and nine months ended September 30, 2018 and 2017 , respectively, on the Company’s condensed consolidated statements of operations (dollar amounts in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2018 2017 2018 2017 Residential mortgage loans held in securitization trusts – impaired loans, net $ (17 ) $ 199 $ 93 $ (6 ) Real estate owned held in residential securitization trusts — (297 ) — (303 ) |
Schedule of Carrying Value and Estimated Fair Value of Financial Instruments | The following table presents the carrying value and estimated fair value of the Company’s financial instruments at September 30, 2018 and December 31, 2017 , respectively (dollar amounts in thousands): September 30, 2018 December 31, 2017 Fair Value Hierarchy Level Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets: Cash and cash equivalents Level 1 $ 57,471 $ 57,471 $ 95,191 $ 95,191 Investment securities available for sale (1) Level 2 or 3 1,287,188 1,287,188 1,413,081 1,413,081 Residential mortgage loans held in securitization trusts, net Level 3 60,459 60,228 73,820 72,131 Distressed residential mortgage loans, at carrying value, net (2) Level 3 260,837 263,935 331,464 334,765 Residential mortgage loans, at fair value (3) Level 3 181,910 181,910 87,153 87,153 Multi-family loans held in securitization trusts Level 3 10,070,834 10,070,834 9,657,421 9,657,421 Derivative assets Level 2 8,760 8,760 10,101 10,101 Mortgage loans held for sale, net (4) Level 3 3,284 3,622 5,507 5,598 Mortgage loans held for investment (4) Level 3 1,760 1,760 1,760 1,900 Preferred equity and mezzanine loan investments (5) Level 3 198,277 199,885 138,920 140,129 Investments in unconsolidated entities (6) Level 3 43,736 43,795 51,143 51,212 Financial Liabilities: Financing arrangements, portfolio investments Level 2 1,130,659 1,130,659 1,276,918 1,276,918 Financing arrangements, residential mortgage loans Level 2 177,226 177,226 149,063 149,063 Residential collateralized debt obligations Level 3 56,504 54,228 70,308 66,865 Multi-family collateralized debt obligations Level 3 9,504,313 9,504,313 9,189,459 9,189,459 Securitized debt Level 3 53,597 57,236 81,537 87,891 Subordinated debentures Level 3 45,000 44,988 45,000 45,002 Convertible notes Level 2 130,251 137,923 128,749 140,060 (1) Includes $51.8 million and $47.9 million of investment securities for sale held in securitization trusts as of September 30, 2018 and December 31, 2017 , respectively. (2) Includes distressed residential mortgage loans held in securitization trusts with a carrying value amounting to approximately $96.5 million and $121.8 million at September 30, 2018 and December 31, 2017 , respectively, and distressed residential mortgage loans with a carrying value amounting to approximately $164.3 million and $209.7 million at September 30, 2018 and December 31, 2017 , respectively. (3) Includes distressed residential mortgage loans with a carrying value amounting to $112.5 million and $36.9 million at September 30, 2018 and December 31, 2017 , respectively, and second mortgages with a carrying value amounting to $69.4 million and $50.2 million at September 30, 2018 and December 31, 2017 , respectively. (4) Included in receivables and other assets in the accompanying condensed consolidated balance sheets. (5) Includes preferred equity and mezzanine loan investments accounted for as loans ( see Note 9 ). (6) Includes investments in unconsolidated entities accounted for under the fair value option with a carrying value of $35.1 million and $42.8 million at September 30, 2018 and December 31, 2017 , respectively ( see Note 8) . |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Preferred Stock | |
Class of Stock [Line Items] | |
Schedule of Dividends Declared | The following table presents the relevant dates with respect to such quarterly cash dividends on the Series B Preferred Stock and Series C Preferred Stock commencing January 1, 2017 through September 30, 2018 and on the Series D Preferred Stock from its time of original issuance through September 30, 2018 : Cash Dividend Per Share Declaration Date Record Date Payment Date Series B Preferred Stock Series C Preferred Stock Series D Preferred Stock September 17, 2018 October 1, 2018 October 15, 2018 $ 0.484375 $ 0.4921875 $ 0.50 June 18, 2018 July 1, 2018 July 15, 2018 0.484375 0.4921875 0.50 March 19, 2018 April 1, 2018 April 15, 2018 0.484375 0.4921875 0.50 December 7, 2017 January 1, 2018 January 15, 2018 0.484375 0.4921875 0.51111 (1) September 14, 2017 October 1, 2017 October 15, 2017 0.484375 0.4921875 — June 14, 2017 July 1, 2017 July 15, 2017 0.484375 0.4921875 — March 16, 2017 April 1, 2017 April 15, 2017 0.484375 0.4921875 — (1) Cash dividend for the partial quarterly period that began on October 13, 2017 and ended on January 14, 2018. |
Common Stock | |
Class of Stock [Line Items] | |
Schedule of Dividends Declared | The following table presents cash dividends declared by the Company on its common stock with respect to each of the quarterly periods commencing January 1, 2017 and ended September 30, 2018 : Period Declaration Date Record Date Payment Date Cash Dividend Per Share Third Quarter 2018 September 17, 2018 September 27, 2018 October 26, 2018 $ 0.20 Second Quarter 2018 June 18, 2018 June 28, 2018 July 26, 2018 0.20 First Quarter 2018 March 19, 2018 March 29, 2018 April 26, 2018 0.20 Fourth Quarter 2017 December 7, 2017 December 18, 2017 January 25, 2018 0.20 Third Quarter 2017 September 14, 2017 September 25, 2017 October 25, 2017 0.20 Second Quarter 2017 June 14, 2017 June 26, 2017 July 25, 2017 0.20 First Quarter 2017 March 16, 2017 March 27, 2017 April 25, 2017 0.20 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share [Abstract] | |
Computation of Basic and Dilutive Net Income Per Share | The following table presents the computation of basic and diluted earnings per common share for the periods indicated (dollar and share amounts in thousands, except per share amounts): Three Months Ended September 30, Nine Months Ended September 30, 2018 2017 (1) 2018 2017 (1) Basic Earnings per Common Share Net income attributable to Company $ 33,973 $ 27,845 $ 93,285 $ 61,364 Less: Preferred stock dividends (5,925 ) (3,225 ) (17,775 ) (9,675 ) Net income attributable to Company's common stockholders $ 28,048 $ 24,620 $ 75,510 $ 51,689 Basic weighted average common shares outstanding 132,413 111,886 119,955 111,824 Basic Earnings per Common Share $ 0.21 $ 0.22 $ 0.63 $ 0.46 Diluted Earnings per Common Share: Net income attributable to Company $ 33,973 $ 27,845 $ 93,285 $ 61,364 Less: Preferred stock dividends (5,925 ) (3,225 ) (17,775 ) (9,675 ) Add back: Interest expense on convertible notes for the period, net of tax 2,570 2,428 7,838 6,982 Net income attributable to Company's common stockholders $ 30,618 $ 27,048 $ 83,348 $ 58,671 Weighted average common shares outstanding 132,413 111,886 119,955 111,824 Net effect of assumed PSUs vested 620 — 395 — Net effect of assumed convertible notes conversion to common shares 19,694 19,694 19,694 18,107 Diluted weighted average common shares outstanding 152,727 131,580 140,044 129,931 Diluted Earnings per Common Share $ 0.20 $ 0.21 $ 0.60 $ 0.45 (1) There were no dilutive PSU awards during the three and nine months ended September 30, 2017 . |
Stock Based Compensation (Table
Stock Based Compensation (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Restricted Stock | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Schedule of Nonvested Restricted Stock Activity | A summary of the activity of the Company's non-vested restricted stock collectively under the 2010 Plan and 2017 Plan for the nine months ended September 30, 2018 and 2017 , respectively, is presented below: 2018 2017 Number of Non-vested Restricted Shares Weighted Average Per Share Grant Date Fair Value (1) Number of Non-vested Restricted Shares Weighted Average Per Share Grant Date Fair Value (1) Non-vested shares at January 1 422,928 $ 6.36 319,058 $ 6.40 Granted 289,792 5.63 332,921 6.54 Vested (200,064 ) 6.55 (229,051 ) 6.67 Forfeited (5,120 ) 6.25 — — Non-vested shares as of September 30 507,536 5.91 422,928 6.36 Weighted-average of restricted stock granted during the period 289,792 $ 5.63 332,921 $ 6.54 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. |
Income Taxes (Tables)
Income Taxes (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Income Tax Disclosure [Abstract] | |
Schedule of Components of Income Tax Provision | The income tax provision for the three and nine months ended September 30, 2018 and September 30, 2017 is comprised of the following components (dollar amounts in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2018 2017 2018 2017 Current income tax (benefit) expense $ (94 ) $ 541 $ (87 ) $ 2,280 Deferred income tax benefit (360 ) (34 ) (460 ) (93 ) Total provision $ (454 ) $ 507 $ (547 ) $ 2,187 |
Schedule of Deferred Tax Assets and Liabilities | The major sources of temporary differences included in the deferred tax assets and their deferred tax effect as of September 30, 2018 and December 31, 2017 are as follows (dollar amounts in thousands): September 30, 2018 December 31, 2017 Deferred tax assets Net operating loss carryforward $ 3,019 $ 295 GAAP/Tax basis differences 3,379 2,237 Total deferred tax assets (1) 6,398 2,532 Deferred tax liabilities Deferred tax liabilities 9 144 Total deferred tax liabilities (2) 9 144 Valuation allowance (1) (5,723 ) (2,182 ) Total net deferred tax asset $ 666 $ 206 (1) Included in receivables and other assets in the accompanying condensed consolidated balance sheets. (2) Included in accrued expenses and other liabilities in the accompanying condensed consolidated balance sheets. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) | Oct. 01, 2017USD ($) | Mar. 31, 2017variable_interest_entity | May 31, 2015 | Sep. 30, 2018USD ($)segmentsecuritization | Sep. 30, 2017USD ($) | Jun. 30, 2018USD ($) | Dec. 31, 2017USD ($)securitization | Jan. 23, 2017 | Dec. 31, 2005securitization |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Residential mortgage loans, delinquency period | 90 days | ||||||||
Real estate under development | $ 22,400,000 | ||||||||
Goodwill | $ 25,222,000 | $ 25,222,000 | |||||||
Goodwill impairment | $ 0 | ||||||||
Restricted cash | 8,297,000 | $ 34,088,000 | 11,000,000 | ||||||
Interest receivable | 32,500,000 | 33,600,000 | |||||||
Deferred finance costs, gross | 400,000 | 700,000 | |||||||
Employer contributions | $ 0 | $ 0 | |||||||
Number of operating segments | segment | 1 | ||||||||
Performance Share Awards | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Award vesting period | 3 years | ||||||||
6.25% senior convertible notes due 2022 | Convertible Notes | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Convertible note discount, percentage | 4.00% | ||||||||
Discount and deferred issuance costs, net of amortization | $ 7,700,000 | $ 9,300,000 | |||||||
Consolidated K-Series | K-Series | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Number of securitizations | securitization | 8 | 7 | 4 | ||||||
Distressed Residential Mortgage Loans | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Deferred finance costs, gross | $ 200,000 | $ 700,000 | |||||||
Riverchase Landing and The Clusters | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Number of variable interest entities consolidated | variable_interest_entity | 2 | ||||||||
RBDHC | VIE, Primary Beneficiary | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Impairment of real estatement under development | 2,100,000 | ||||||||
Net Loss Attributable to Noncontrolling Interest | RBDHC | VIE, Primary Beneficiary | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Impairment of real estatement under development | 1,000,000 | ||||||||
Net Loss Attributable to Parent | RBDHC | VIE, Primary Beneficiary | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Impairment of real estatement under development | 1,100,000 | ||||||||
Receivables and other assets | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Real estate under development | $ 22,200,000 | $ 22,900,000 | |||||||
Minimum | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Finite-lived intangible asset, useful life | 6 months | ||||||||
Maximum | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Finite-lived intangible asset, useful life | 10 years | ||||||||
Building | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Components of real estate, useful life | 30 years | ||||||||
Building and Improvements | Minimum | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Components of real estate, useful life | 10 years | ||||||||
Building and Improvements | Maximum | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Components of real estate, useful life | 30 years | ||||||||
Furniture, Fixtures and Equipment | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Components of real estate, useful life | 5 years |
Investment Securities Availab_3
Investment Securities Available for Sale - Schedule of Available for Sale Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | $ 1,322,511 | $ 1,417,724 |
Unrealized Gains | 19,049 | 21,031 |
Unrealized Losses | (54,372) | (25,674) |
Fair Value | 1,287,188 | 1,413,081 |
Agency ARMs | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 77,790 | 93,331 |
Unrealized Gains | 9 | 22 |
Unrealized Losses | (3,079) | (2,281) |
Fair Value | 74,720 | 91,072 |
Agency ARMs | Freddie Mac | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 27,479 | 33,623 |
Unrealized Gains | 0 | 16 |
Unrealized Losses | (1,238) | (852) |
Fair Value | 26,241 | 32,787 |
Agency ARMs | Fannie Mae | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 46,456 | 54,958 |
Unrealized Gains | 9 | 6 |
Unrealized Losses | (1,705) | (1,236) |
Fair Value | 44,760 | 53,728 |
Agency ARMs | Ginnie Mae | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 3,855 | 4,750 |
Unrealized Gains | 0 | 0 |
Unrealized Losses | (136) | (193) |
Fair Value | 3,719 | 4,557 |
Agency Fixed- Rate | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 1,031,891 | 1,059,532 |
Unrealized Gains | 0 | 669 |
Unrealized Losses | (51,178) | (12,916) |
Fair Value | 980,713 | 1,047,285 |
Agency Fixed- Rate | Freddie Mac | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 89,023 | 20,804 |
Unrealized Gains | 0 | 0 |
Unrealized Losses | (3,806) | (736) |
Fair Value | 85,217 | 20,068 |
Agency Fixed- Rate | Fannie Mae | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 942,868 | 1,038,363 |
Unrealized Gains | 0 | 669 |
Unrealized Losses | (47,372) | (12,174) |
Fair Value | 895,496 | 1,026,858 |
Agency Fixed- Rate | Ginnie Mae | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 0 | 365 |
Unrealized Gains | 0 | 0 |
Unrealized Losses | 0 | (6) |
Fair Value | 0 | 359 |
Agency IOs | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 0 | 41,367 |
Unrealized Gains | 0 | 271 |
Unrealized Losses | 0 | (10,459) |
Fair Value | 0 | 31,179 |
Agency IOs | Freddie Mac | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 0 | 8,436 |
Unrealized Gains | 0 | 19 |
Unrealized Losses | 0 | (2,756) |
Fair Value | 0 | 5,699 |
Agency IOs | Fannie Mae | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 0 | 11,310 |
Unrealized Gains | 0 | 22 |
Unrealized Losses | 0 | (2,989) |
Fair Value | 0 | 8,343 |
Agency IOs | Ginnie Mae | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 0 | 21,621 |
Unrealized Gains | 0 | 230 |
Unrealized Losses | 0 | (4,714) |
Fair Value | 0 | 17,137 |
Agency RMBS | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 1,109,681 | 1,194,230 |
Unrealized Gains | 9 | 962 |
Unrealized Losses | (54,257) | (25,656) |
Fair Value | 1,055,433 | 1,169,536 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 98,301 | 100,291 |
Unrealized Gains | 58 | 1,852 |
Unrealized Losses | (115) | (18) |
Fair Value | 98,244 | 102,125 |
CMBS | ||
Debt Securities, Available-for-sale, Fair Value to Amortized Cost [Abstract] | ||
Amortized Cost | 114,529 | 123,203 |
Unrealized Gains | 18,982 | 18,217 |
Unrealized Losses | 0 | 0 |
Fair Value | 133,511 | 141,420 |
CMBS | Available-for-sale securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities, available for sale held in securitization trusts | $ 51,800 | $ 47,900 |
Investment Securities Availab_4
Investment Securities Available for Sale - Narrative (Details) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Schedule of Investments [Line Items] | |||||
Proceeds from sales of investment securities | $ 49,500,000 | $ 26,900,000 | $ 102,200,000 | ||
Realized net (loss) gain on sales of investment securities available for sale | (3,000,000) | $ 12,300,000 | (700,000) | ||
Contractual maturities (up to) | 30 years | ||||
Weighted average life of available for sale securities portfolio | 5 years 270 days | 7 years 47 days | |||
Gross unrealized losses | $ 54,372,000 | $ 54,372,000 | $ 15,215,000 | ||
Other-than-temporary impairment recorded in earnings | 0 | $ 0 | 0 | $ 0 | |
Agency RMBS | |||||
Schedule of Investments [Line Items] | |||||
Gross unrealized losses | $ 54,257,000 | $ 54,257,000 | $ 15,197,000 |
Investment Securities Availab_5
Investment Securities Available for Sale - Weighted Average Lives for Available-for-Sale Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Investments, Debt and Equity Securities [Abstract] | ||
0 to 5 years | $ 365,791 | $ 426,061 |
Over 5 to 10 years | 917,955 | 970,336 |
10 years | 3,442 | 16,684 |
Total | $ 1,287,188 | $ 1,413,081 |
Investment Securities Availab_6
Investment Securities Available for Sale - Stated Reset Periods of Investment Securities Available for Sale (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | $ 1,287,188 | $ 1,413,081 |
Less than 6 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 56,770 | 182,128 |
6 to 24 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 29,888 | 24,726 |
More than 24 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 1,200,530 | 1,206,227 |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 1,055,433 | 1,169,536 |
Agency RMBS | Less than 6 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 6,770 | 26,876 |
Agency RMBS | 6 to 24 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 16,043 | 24,726 |
Agency RMBS | More than 24 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 1,032,620 | 1,117,934 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 98,244 | 102,125 |
Non-Agency RMBS | Less than 6 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 50,000 | 84,461 |
Non-Agency RMBS | 6 to 24 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 13,845 | 0 |
Non-Agency RMBS | More than 24 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 34,399 | 17,664 |
CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 133,511 | 141,420 |
CMBS | Less than 6 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 0 | 70,791 |
CMBS | 6 to 24 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | 0 | 0 |
CMBS | More than 24 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment securities available for sale | $ 133,511 | $ 70,629 |
Investment Securities Availab_7
Investment Securities Available for Sale - Schedule of Investment Securities Available for Sale in Unrealized Loss Position (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale [Line Items] | ||
Carrying Value Less Than 12 Months | $ 781,574 | $ 511,313 |
Gross Unrealized Losses Less Than 12 Months | (34,983) | (1,807) |
Carrying Value Greater Than 12 Months | 285,936 | 343,156 |
Gross Unrealized Losses Greater Than 12 Months | (19,389) | (13,408) |
Carrying Value | 1,067,510 | 854,469 |
Gross Unrealized Losses | (54,372) | (15,215) |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Carrying Value Less Than 12 Months | 768,749 | 511,313 |
Gross Unrealized Losses Less Than 12 Months | (34,876) | (1,807) |
Carrying Value Greater Than 12 Months | 285,758 | 342,963 |
Gross Unrealized Losses Greater Than 12 Months | (19,381) | (13,390) |
Carrying Value | 1,054,507 | 854,276 |
Gross Unrealized Losses | (54,257) | (15,197) |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Carrying Value Less Than 12 Months | 12,825 | 0 |
Gross Unrealized Losses Less Than 12 Months | (107) | 0 |
Carrying Value Greater Than 12 Months | 178 | 193 |
Gross Unrealized Losses Greater Than 12 Months | (8) | (18) |
Carrying Value | 13,003 | 193 |
Gross Unrealized Losses | $ (115) | $ (18) |
Residential Mortgage Loans He_3
Residential Mortgage Loans Held in Securitization Trusts, Net and Real Estate Owned - Mortgage Loans Held in Securitization Trusts, Net (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | ||
Unpaid principal balance | $ 63,717 | $ 77,519 |
Deferred origination costs – net | 405 | 492 |
Reserve for loan losses | (3,663) | (4,191) |
Total | $ 60,459 | $ 73,820 |
Residential Mortgage Loans He_4
Residential Mortgage Loans Held in Securitization Trusts, Net and Real Estate Owned - Allowance for Loan Losses on Residential Mortgage Loans Held in Securitization Trusts (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Allowance for Loan and Lease Losses [Roll Forward] | ||
Balance at beginning of period | $ 4,191 | $ 3,782 |
(Recovery of) provision for loan losses | (93) | 306 |
Transfer to real estate owned | 0 | (303) |
Charge-offs | (435) | (60) |
Balance at the end of period | $ 3,663 | $ 3,725 |
Residential Mortgage Loans He_5
Residential Mortgage Loans Held in Securitization Trusts, Net and Real Estate Owned - Narrative (Details) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018USD ($)loan | Dec. 31, 2017USD ($)loan | Sep. 30, 2017USD ($) | Dec. 31, 2016USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Allowance for loan losses | $ 3,663,000 | $ 4,191,000 | $ 3,725,000 | $ 3,782,000 |
Allowance for loan losses, basis points | 5.75% | 5.41% | ||
Real estate owned held in residential securitization trusts | $ 0 | $ 100,000 | ||
CDOs outstanding | $ 5,000,000 | $ 4,400,000 | ||
Residential Mortgage Loans Held in Securitization Trusts and Real Estate Owned Held in Residential Securitization | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of delinquent loans | loan | 23 | 26 | ||
Principal amount of delinquent loans | $ 11,900,000 | $ 16,500,000 | ||
Residential Mortgage Loans Held in Securitization Trusts and Real Estate Owned Held in Residential Securitization | Payment Deferral | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal amount of delinquent loans | $ 7,000,000 | $ 10,200,000 | ||
Delinquent loans under modified payment, percent | 59.00% | 62.00% |
Residential Mortgage Loans He_6
Residential Mortgage Loans Held in Securitization Trusts, Net and Real Estate Owned - Delinquencies in Portfolio of Residential Mortgage Loans Held in Securitization Trusts (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018USD ($)loan | Dec. 31, 2017USD ($)loan | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Real estate owned through foreclosure, Number of Delinquent Loans | loan | 1 | |
Real estate owned through foreclosure, Total Unpaid Principal | $ | $ 118 | |
Real estate owned through foreclosure, % of Loan Portfolio | 0.15% | |
30 - 60 | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Number of Delinquent Loans | loan | 1 | 1 |
Total Unpaid Principal | $ | $ 134 | $ 203 |
% of Loan Portfolio | 0.21% | 0.26% |
61 - 90 | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Number of Delinquent Loans | loan | 2 | 1 |
Total Unpaid Principal | $ | $ 335 | $ 173 |
% of Loan Portfolio | 0.53% | 0.22% |
90 | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Number of Delinquent Loans | loan | 20 | 24 |
Total Unpaid Principal | $ | $ 11,447 | $ 16,147 |
% of Loan Portfolio | 17.97% | 20.80% |
Residential Mortgage Loans He_7
Residential Mortgage Loans Held in Securitization Trusts, Net and Real Estate Owned - Schedule of Geographic Concentrations of Credit Risk (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
New York | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 22.10% | 24.10% |
Florida | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 12.10% | 3.90% |
Residential Mortgage Loans Held in Securitization Trusts and Real Estate Owned Held in Residential Securitization | Geographic Concentration Risk | New York | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 34.30% | 31.80% |
Residential Mortgage Loans Held in Securitization Trusts and Real Estate Owned Held in Residential Securitization | Geographic Concentration Risk | Massachusetts | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 20.50% | 20.70% |
Residential Mortgage Loans Held in Securitization Trusts and Real Estate Owned Held in Residential Securitization | Geographic Concentration Risk | New Jersey | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 13.80% | 11.90% |
Residential Mortgage Loans Held in Securitization Trusts and Real Estate Owned Held in Residential Securitization | Geographic Concentration Risk | Florida | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 9.80% | 8.80% |
Residential Mortgage Loans Held in Securitization Trusts and Real Estate Owned Held in Residential Securitization | Geographic Concentration Risk | Maryland | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 5.10% | 5.20% |
Residential Mortgage Loans, A_3
Residential Mortgage Loans, At Fair Value - Residential Mortgage Loans at Fair Value (Details) - First And Second Mortgage - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Principal | $ 189,461 | $ 92,105 |
Premium/(Discount) | (6,588) | (4,911) |
Unrealized Gains/(Losses) | (963) | (41) |
Carrying Value | $ 181,910 | $ 87,153 |
Residential Mortgage Loans, A_4
Residential Mortgage Loans, At Fair Value - Narrative (Details) - USD ($) $ in Millions | Sep. 30, 2018 | Dec. 31, 2017 |
Second Mortgage | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Commitment to purchase loans from originators | $ 0.8 | |
Distressed Residential Loans And Second Mortgages | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans pledged as collateral | $ 110.9 | $ 44.2 |
Residential Mortgage Loans, A_5
Residential Mortgage Loans, At Fair Value - Components of Net Gain (Loss) on Residential Mortgages (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | ||
Net realized gain on payoff and sale of loans | $ 1,496 | $ 493 |
Net unrealized (losses) gains | $ (923) | $ 224 |
Residential Mortgage Loans, A_6
Residential Mortgage Loans, At Fair Value - Concentration of Risk (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Florida | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 12.10% | 3.90% |
New York | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 22.10% | 24.10% |
Geographic Concentration Risk | Residential mortgage loans, at fair value | California | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 26.70% | 35.90% |
Geographic Concentration Risk | Residential mortgage loans, at fair value | Florida | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 13.70% | 6.60% |
Geographic Concentration Risk | Residential mortgage loans, at fair value | New Jersey | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 5.50% | 7.70% |
Geographic Concentration Risk | Residential mortgage loans, at fair value | New York | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 5.10% | 3.80% |
Residential Mortgage Loans, A_7
Residential Mortgage Loans, At Fair Value - Differences Between Fair Value and Aggregate Unpaid Principal (Details) - 90 days past due - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Fair Value | $ 4,917 | $ 1,048 |
Unpaid Principal Balance | 5,442 | 1,214 |
Difference | $ (525) | $ (166) |
Distressed Residential Mortga_3
Distressed Residential Mortgage Loans - Narrative (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Distressed residential mortgage loans held in securitization trusts, carrying amount | $ 96,493 | $ 121,791 |
Distressed residential mortgage loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Distressed residential mortgage loans held in securitization trusts, carrying amount | 260,800 | 331,500 |
Distressed residential mortgage loans | Residential Mortgage | Deutsche Bank AG, Cayman Islands Branch | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans pledged as collateral, carrying value | 143,800 | 182,600 |
Distressed residential mortgage loans held in securitization trusts, net | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Distressed residential mortgage loans held in securitization trusts, carrying amount | $ 96,500 | $ 121,800 |
Distressed Residential Mortga_4
Distressed Residential Mortgage Loans - Distressed Residential Mortgage Loans Acquired (Details) - Distressed residential mortgage loans $ in Thousands | 9 Months Ended |
Sep. 30, 2017USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Contractually required principal and interest | $ 76,529 |
Nonaccretable yield | (6,467) |
Expected cash flows to be collected | 70,062 |
Accretable yield | (58,767) |
Fair value at the date of acquisition | $ 11,295 |
Distressed Residential Mortga_5
Distressed Residential Mortgage Loans - Activity in Accretable Yield for Distressed Residential Mortgage Loans (Details) - Distressed residential mortgage loans - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance at beginning of period | $ 303,949 | $ 530,511 |
Additions | 6,007 | 91,356 |
Disposals | (64,876) | (263,475) |
Accretion | (11,999) | (16,635) |
Balance at end of period | $ 233,081 | $ 341,757 |
Distressed Residential Mortga_6
Distressed Residential Mortgage Loans - Geographic Concentrations of Credit Risk (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Florida | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 12.10% | 3.90% |
Georgia | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 9.90% | 3.40% |
New York | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 22.10% | 24.10% |
South Carolina | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 5.10% | 7.00% |
Geographic Concentration Risk | Distressed residential mortgage loans held in securitization trusts, net | Florida | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 10.70% | 11.20% |
Geographic Concentration Risk | Distressed residential mortgage loans held in securitization trusts, net | North Carolina | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 8.60% | 8.30% |
Geographic Concentration Risk | Distressed residential mortgage loans held in securitization trusts, net | Georgia | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 6.60% | 5.80% |
Geographic Concentration Risk | Distressed residential mortgage loans held in securitization trusts, net | California | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 5.70% | 6.90% |
Geographic Concentration Risk | Distressed residential mortgage loans held in securitization trusts, net | New York | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 5.50% | 5.70% |
Geographic Concentration Risk | Distressed residential mortgage loans held in securitization trusts, net | South Carolina | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 5.40% | 5.00% |
Geographic Concentration Risk | Distressed residential mortgage loans held in securitization trusts, net | Ohio | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 5.20% | 5.10% |
Consolidated K-Series - Narrati
Consolidated K-Series - Narrative (Details) $ in Millions | Sep. 30, 2018USD ($)securitization | Dec. 31, 2017USD ($)securitization | Dec. 31, 2005securitization |
Multi-family collateralized debt obligations, at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Carrying Value | $ 10,100 | $ 9,400 | |
Weighted average interest rate | 4.06% | 3.92% | |
Multi-family loans held in securitization trusts | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Carrying Value | $ 10,100 | $ 9,400 | |
Consolidated K-Series | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
K-Series, carrying value | $ 566.5 | $ 468 | |
Consolidated K-Series | K-Series | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Number of securitizations | securitization | 8 | 7 | 4 |
Consolidated K-Series - Condens
Consolidated K-Series - Condensed Balance Sheet of Consolidated K-Series (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Assets | |||
Multi-family loans held in securitization trusts | $ 10,070,834 | $ 9,657,421 | |
Total Assets | [1] | 12,326,911 | 12,056,285 |
Liabilities and Equity | |||
Total Liabilities | [1] | 11,218,222 | 11,080,284 |
Equity | 1,108,689 | 976,001 | |
Total Liabilities and Stockholders' Equity | 12,326,911 | 12,056,285 | |
Consolidated K-Series | |||
Assets | |||
Multi-family loans held in securitization trusts | 10,070,834 | 9,657,421 | |
Receivables | 32,533 | 33,562 | |
Total Assets | 10,103,367 | 9,690,983 | |
Liabilities and Equity | |||
Multi-family CDOs | 9,504,313 | 9,189,459 | |
Accrued expenses | 31,966 | 33,136 | |
Total Liabilities | 9,536,279 | 9,222,595 | |
Equity | 567,088 | 468,388 | |
Total Liabilities and Stockholders' Equity | $ 10,103,367 | $ 9,690,983 | |
[1] | Our condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of September 30, 2018 and December 31, 2017, assets of consolidated VIEs totaled $10,381,126 and $10,041,468, respectively, and the liabilities of consolidated VIEs totaled $9,680,332 and $9,436,421, respectively. See Note 10 for further discussion. |
Consolidated K-Series - Conde_2
Consolidated K-Series - Condensed Statement of Operations of Consolidated K-Series (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Condensed Income Statements, Captions [Line Items] | ||||
Interest expense | $ 90,646 | $ 78,062 | $ 270,009 | $ 220,801 |
NET INTEREST INCOME | 19,603 | 13,320 | 56,854 | 42,947 |
Unrealized gain on multi-family loans and debt held in securitization trusts, net | 12,303 | 2,353 | 31,867 | 5,184 |
NET INCOME ATTRIBUTABLE TO COMPANY | 33,973 | 27,845 | 93,285 | 61,364 |
Consolidated K-Series | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Interest income | 86,458 | 76,186 | 257,179 | 213,242 |
Interest expense | 75,145 | 67,030 | 224,310 | 187,835 |
NET INTEREST INCOME | 11,313 | 9,156 | 32,869 | 25,407 |
Unrealized gain on multi-family loans and debt held in securitization trusts, net | 12,303 | 2,353 | 31,867 | 5,184 |
NET INCOME ATTRIBUTABLE TO COMPANY | $ 23,616 | $ 11,509 | $ 64,736 | $ 30,591 |
Consolidated K-Series - Geograp
Consolidated K-Series - Geographic Concentrations of Credit Risk (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Texas | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 13.80% | 24.30% |
New York | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 22.10% | 24.10% |
Geographic Concentration Risk | Multi-family loans held in securitization trusts | California | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 13.80% | 14.70% |
Geographic Concentration Risk | Multi-family loans held in securitization trusts | Texas | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 11.80% | 12.70% |
Geographic Concentration Risk | Multi-family loans held in securitization trusts | New York | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 6.10% | 6.50% |
Geographic Concentration Risk | Multi-family loans held in securitization trusts | Maryland | ||
Concentration Risk [Line Items] | ||
Geographic concentration, percent | 5.10% | 5.50% |
Investment in Unconsolidated _3
Investment in Unconsolidated Entities (Details) - Equity Method Investments - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Schedule of Equity Method Investments [Line Items] | |||||
Carrying Amount | $ 8,675 | $ 8,675 | $ 8,320 | ||
Carrying Amount, fair value option | $ 35,061 | $ 35,061 | $ 42,823 | ||
BBA-EP320 II, L.L.C., BBA-Ten10 II, L.L.C., and Lexington on the Green Apartments, L.L.C. (collectively) | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Ownership Interest | 45.00% | 45.00% | 45.00% | ||
Carrying Amount | $ 8,675 | $ 8,675 | $ 8,320 | ||
Income from investments in unconsolidated entities | $ 265 | $ 252 | $ 777 | $ 741 | |
Morrocroft Neighborhood Stabilization Fund II, LP | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Ownership Interest | 11.00% | 11.00% | 11.00% | ||
Carrying Amount, fair value option | $ 13,451 | $ 13,451 | $ 12,623 | ||
Income from investments in unconsolidated entities | $ 149 | 394 | $ 829 | 1,374 | |
Evergreens JV Holdings, LLC | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Ownership Interest | 85.00% | 85.00% | 85.00% | ||
Carrying Amount, fair value option | $ 7,970 | $ 7,970 | $ 4,220 | ||
Income from investments in unconsolidated entities | $ 3,643 | 161 | $ 4,008 | 464 | |
The Preserve at Port Royal Venture, LLC | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Ownership Interest | 77.00% | 77.00% | 77.00% | ||
Carrying Amount, fair value option | $ 13,640 | $ 13,640 | $ 13,040 | ||
Income from investments in unconsolidated entities | $ 449 | 440 | $ 1,351 | 1,266 | |
WR Savannah Holdings, LLC | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Ownership Interest | 0.00% | 0.00% | 90.00% | ||
Carrying Amount, fair value option | $ 0 | $ 0 | $ 12,940 | ||
Income from investments in unconsolidated entities | 113 | 405 | 1,743 | 1,030 | |
Autumnwood Investments LLC | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Income from investments in unconsolidated entities | 0 | 64 | 0 | 137 | |
200 RHC Hoover, LLC | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Income from investments in unconsolidated entities | 0 | 0 | 0 | 275 | |
Bent Tree JV Holdings, LLC | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Income from investments in unconsolidated entities | 0 | 1,210 | 0 | 1,795 | |
Summerchase LR Partners LLC | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Income from investments in unconsolidated entities | 0 | 194 | 0 | 556 | |
Lake Mary Realty Partners, LLC | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Income from investments in unconsolidated entities | $ 0 | $ 2,312 | $ 0 | $ 2,745 |
Preferred Equity and Mezzanin_3
Preferred Equity and Mezzanine Loan Investments (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018USD ($)loan | Dec. 31, 2017USD ($)loan | |
Variable Interest Entity [Line Items] | ||
Total | $ 198,277 | $ 138,920 |
New York | ||
Variable Interest Entity [Line Items] | ||
Geographic concentration, percent | 22.10% | 24.10% |
Texas | ||
Variable Interest Entity [Line Items] | ||
Geographic concentration, percent | 13.80% | 24.30% |
Florida | ||
Variable Interest Entity [Line Items] | ||
Geographic concentration, percent | 12.10% | 3.90% |
Georgia | ||
Variable Interest Entity [Line Items] | ||
Geographic concentration, percent | 9.90% | 3.40% |
Virginia | ||
Variable Interest Entity [Line Items] | ||
Geographic concentration, percent | 7.60% | 10.80% |
Alabama | ||
Variable Interest Entity [Line Items] | ||
Geographic concentration, percent | 7.40% | 7.10% |
Tennessee | ||
Variable Interest Entity [Line Items] | ||
Geographic concentration, percent | 5.60% | 0.00% |
South Carolina | ||
Variable Interest Entity [Line Items] | ||
Geographic concentration, percent | 5.10% | 7.00% |
Preferred equity and mezzanine loan investments | ||
Variable Interest Entity [Line Items] | ||
Investment amount | $ 200,047 | $ 140,560 |
Deferred loan fees, net | (1,770) | (1,640) |
Total | $ 198,277 | $ 138,920 |
Number of delinquent loans | loan | 0 | 0 |
Commitment to fund amount of preferred equity | $ 1,700 |
Use of Special Purpose Entiti_3
Use of Special Purpose Entities and Variable Interest Entities - Narrative (Details) $ in Millions | Mar. 31, 2017USD ($)variable_interest_entity | Sep. 30, 2018USD ($)securitization | Jun. 30, 2018USD ($) | Dec. 31, 2017securitization |
Variable Interest Entity [Line Items] | ||||
Real estate under development | $ 22.4 | |||
Riverchase Landing and The Clusters | ||||
Variable Interest Entity [Line Items] | ||||
Consideration transferred | $ 12.5 | |||
Riverchase Landing and The Clusters | ||||
Variable Interest Entity [Line Items] | ||||
Number of variable interest entities consolidated | variable_interest_entity | 2 | |||
VIE, Primary Beneficiary | RBDHC | ||||
Variable Interest Entity [Line Items] | ||||
Noncontrolling interest, ownership by parent, percentage | 50.00% | |||
Impairment of real estatement under development | $ 2.1 | |||
VIE, Primary Beneficiary | K-Series | ||||
Variable Interest Entity [Line Items] | ||||
Number of consolidated securitizations | securitization | 8 | 7 | ||
VIE, Primary Beneficiary | Other Income | RBDHC | ||||
Variable Interest Entity [Line Items] | ||||
Impairment of real estatement under development | $ 2.1 | |||
VIE, Primary Beneficiary | Net Income Attributable to Noncontrolling Interest | RBDHC | ||||
Variable Interest Entity [Line Items] | ||||
Impairment of real estatement under development | 1 | |||
VIE, Primary Beneficiary | Net Loss Attributable to Parent | RBDHC | ||||
Variable Interest Entity [Line Items] | ||||
Impairment of real estatement under development | $ 1.1 | |||
Non-Financings, Multi-Family CMBS | K-Series | ||||
Variable Interest Entity [Line Items] | ||||
Number of securitizations, non-financing VIE's | securitization | 7 | 6 |
Use of Special Purpose Entiti_4
Use of Special Purpose Entities and Variable Interest Entities - Fair Value of Assets and Liabilities Transferred (Details) - Riverchase Landing and The Clusters $ in Thousands | Sep. 30, 2017USD ($) |
Business Acquisition [Line Items] | |
Cash | $ 112 |
Operating real estate | 62,322 |
Lease intangibles | 5,340 |
Receivables and other assets | 2,260 |
Total assets | 70,034 |
Mortgages payable | 51,570 |
Accrued expenses and other liabilities | 1,519 |
Total liabilities assumed | 53,089 |
Non-controlling interest | 4,462 |
Net assets consolidated | $ 12,483 |
Use of Special Purpose Entiti_5
Use of Special Purpose Entities and Variable Interest Entities - Assets and Liabilities of Consolidated VIEs (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018USD ($)securitization | Dec. 31, 2017USD ($)securitization | Sep. 30, 2017USD ($) | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and cash equivalents | $ 57,471 | $ 95,191 | $ 101,904 | |
Multi-family loans held in securitization trusts, at fair value | 10,070,834 | 9,657,421 | ||
Real estate held for sale in consolidated variable interest entities | 29,558 | 64,202 | ||
Receivables and other assets | 102,659 | 108,567 | ||
Total Assets | [1] | 12,326,911 | 12,056,285 | |
Securitized debt | 53,597 | 81,537 | ||
Mortgages and notes payable in consolidated variable interest entities | 32,486 | 57,124 | ||
Accrued expenses and other liabilities | 88,186 | 82,126 | ||
Total Liabilities | [1] | 11,218,222 | 11,080,284 | |
Collateralized Mortgage Obligations | Class A Notes | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Proceeds from issuance of secured debt | $ 177,500 | $ 177,500 | ||
Available-for-sale securities, debt securities, ownership percentage | 5.00% | 5.00% | ||
Residential collateralized debt obligations | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Collateralized debt obligations | $ 56,504 | $ 70,308 | ||
Multi-family collateralized debt obligations, at fair value | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Collateralized debt obligations | 9,504,313 | 9,189,459 | ||
Multi-family CMBS Re-securitization | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Investment securities available for sale | 51,751 | 47,922 | ||
Receivables and other assets | 4,131 | 4,333 | ||
Total Assets | 1,165,158 | 1,209,981 | ||
Securitized debt | 29,870 | 29,164 | ||
Accrued expenses and other liabilities | 4,115 | 4,316 | ||
Total Liabilities | 1,074,159 | 1,127,524 | ||
Multi-family CMBS Re-securitization | Multi-family collateralized debt obligations, at fair value | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Collateralized debt obligations | 1,040,174 | 1,094,044 | ||
Multi-family CMBS Re-securitization | Residential mortgage loans held in securitization trusts, net | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Residential mortgage loans held in securitization trusts, net | 0 | |||
Multi-family CMBS Re-securitization | Multi-family loans held in securitization trusts, at fair value | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Multi-family loans held in securitization trusts, at fair value | 1,109,276 | 1,157,726 | ||
Distressed Residential Mortgage Loan Securitizations | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Receivables and other assets | 14,320 | 15,428 | ||
Total Assets | 110,813 | 137,219 | ||
Securitized debt | 23,727 | 52,373 | ||
Accrued expenses and other liabilities | 317 | 2,957 | ||
Total Liabilities | 24,044 | 55,330 | ||
Distressed Residential Mortgage Loan Securitizations | Residential mortgage loans held in securitization trusts, net | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Residential mortgage loans held in securitization trusts, net | 0 | |||
Distressed Residential Mortgage Loan Securitizations | Distressed residential mortgage loans held in securitization trusts, net | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Residential mortgage loans held in securitization trusts, net | 96,493 | 121,791 | ||
Residential Mortgage Loan Securitization | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Receivables and other assets | 1,021 | 935 | ||
Total Assets | 61,480 | 74,755 | ||
Accrued expenses and other liabilities | 25 | 24 | ||
Total Liabilities | 56,529 | 70,332 | ||
Residential Mortgage Loan Securitization | Residential collateralized debt obligations | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Collateralized debt obligations | 56,504 | 70,308 | ||
Residential Mortgage Loan Securitization | Residential mortgage loans held in securitization trusts, net | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Residential mortgage loans held in securitization trusts, net | 60,459 | 73,820 | ||
Multi-family CMBS | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Receivables and other assets | 28,474 | 29,301 | ||
Total Assets | 8,990,032 | 8,528,996 | ||
Accrued expenses and other liabilities | 27,999 | 28,969 | ||
Total Liabilities | 8,492,138 | 8,124,384 | ||
Multi-family CMBS | Multi-family collateralized debt obligations, at fair value | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Collateralized debt obligations | 8,464,139 | 8,095,415 | ||
Multi-family CMBS | Residential mortgage loans held in securitization trusts, net | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Residential mortgage loans held in securitization trusts, net | 0 | |||
Multi-family CMBS | Multi-family loans held in securitization trusts, at fair value | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Multi-family loans held in securitization trusts, at fair value | 8,961,558 | 8,499,695 | ||
Other | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and cash equivalents | 781 | 808 | ||
Real estate held for sale in consolidated variable interest entities | 29,558 | 64,202 | ||
Receivables and other assets | 23,304 | 25,507 | ||
Total Assets | 53,643 | 90,517 | ||
Mortgages and notes payable in consolidated variable interest entities | 32,486 | 57,124 | ||
Accrued expenses and other liabilities | 976 | 1,727 | ||
Total Liabilities | 33,462 | 58,851 | ||
Financing And Other VIEs | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and cash equivalents | 781 | 808 | ||
Investment securities available for sale | 51,751 | 47,922 | ||
Real estate held for sale in consolidated variable interest entities | 29,558 | 64,202 | ||
Receivables and other assets | 71,250 | 75,504 | ||
Total Assets | 10,381,126 | 10,041,468 | ||
Securitized debt | 53,597 | 81,537 | ||
Mortgages and notes payable in consolidated variable interest entities | 32,486 | 57,124 | ||
Accrued expenses and other liabilities | 33,432 | 37,993 | ||
Total Liabilities | 9,680,332 | 9,436,421 | ||
Financing And Other VIEs | Residential collateralized debt obligations | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Collateralized debt obligations | 56,504 | 70,308 | ||
Financing And Other VIEs | Multi-family collateralized debt obligations, at fair value | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Collateralized debt obligations | 9,504,313 | 9,189,459 | ||
Financing And Other VIEs | Residential mortgage loans held in securitization trusts, net | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Residential mortgage loans held in securitization trusts, net | 60,459 | 73,820 | ||
Financing And Other VIEs | Distressed residential mortgage loans held in securitization trusts, net | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Residential mortgage loans held in securitization trusts, net | 96,493 | 121,791 | ||
Financing And Other VIEs | Multi-family loans held in securitization trusts, at fair value | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Multi-family loans held in securitization trusts, at fair value | $ 10,070,834 | $ 9,657,421 | ||
Multi-family collateralized mortgage backed securities | K-Series | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Number of securitizations | securitization | 2 | 2 | ||
Number of consolidated securitizations | securitization | 1 | 1 | ||
Non-Financings, Multi-Family CMBS | K-Series | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Number of securitizations, non-financing VIE's | securitization | 7 | 6 | ||
[1] | Our condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities ("VIEs") as the Company is the primary beneficiary of these VIEs. As of September 30, 2018 and December 31, 2017, assets of consolidated VIEs totaled $10,381,126 and $10,041,468, respectively, and the liabilities of consolidated VIEs totaled $9,680,332 and $9,436,421, respectively. See Note 10 for further discussion. |
Use of Special Purpose Entiti_6
Use of Special Purpose Entities and Variable Interest Entities - Securitized Debt (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Variable Interest Entity [Line Items] | ||
Carrying value | $ 53,597 | $ 81,537 |
Multi-family CMBS Re-securitization | ||
Variable Interest Entity [Line Items] | ||
Principal amount | 33,218 | 33,350 |
Carrying value | $ 29,870 | 29,164 |
Multi-family CMBS Re-securitization | LIBOR | ||
Variable Interest Entity [Line Items] | ||
Pass-through rate of Notes issued | 5.35% | |
Distressed Residential Mortgage Loan Securitizations | ||
Variable Interest Entity [Line Items] | ||
Principal amount | $ 24,051 | 53,089 |
Carrying value | $ 23,727 | $ 52,373 |
Distressed Residential Mortgage Loan Securitizations | LIBOR | ||
Variable Interest Entity [Line Items] | ||
Pass-through rate of Notes issued | 4.00% |
Use of Special Purpose Entiti_7
Use of Special Purpose Entities and Variable Interest Entities - Financing VIEs Securitized Debt by Contractual Maturity (Details) $ in Thousands | Sep. 30, 2018USD ($)securitization | Dec. 31, 2017USD ($) |
Variable Interest Entity [Line Items] | ||
Total | $ 215,543 | |
Carrying value | 53,597 | $ 81,537 |
Financing VIE | ||
Variable Interest Entity [Line Items] | ||
Within 24 months | 24,051 | 53,089 |
Over 24 months to 36 months | 0 | 0 |
Over 36 months | 33,218 | 33,350 |
Total | 57,269 | 86,439 |
Discount | (3,312) | (4,232) |
Debt issuance cost | (360) | (670) |
Carrying value | $ 53,597 | $ 81,537 |
Residential mortgage loans held In securitization trusts net | ||
Variable Interest Entity [Line Items] | ||
Number of securitizations completed to date | securitization | 4 | |
Number of securitizations, consolidated, accounted for as permanent financing | securitization | 3 |
Use of Special Purpose Entiti_8
Use of Special Purpose Entities and Variable Interest Entities - Classification and Carrying Value of Unconsolidated VIEs (Details) $ in Thousands | Sep. 30, 2018USD ($)securitization | Dec. 31, 2017USD ($)securitization |
Variable Interest Entity [Line Items] | ||
Unconsolidated VIE, maximum loss exposure | $ 272,200 | $ 220,800 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total assets | 272,226 | 220,797 |
Variable Interest Entity, Not Primary Beneficiary | Investment securities, available for sale, at fair value, held in securitization trusts | ||
Variable Interest Entity [Line Items] | ||
Total assets | 51,751 | 47,922 |
Variable Interest Entity, Not Primary Beneficiary | Receivables and other assets | ||
Variable Interest Entity [Line Items] | ||
Total assets | 72 | 73 |
Variable Interest Entity, Not Primary Beneficiary | Preferred equity and mezzanine loan investments | ||
Variable Interest Entity [Line Items] | ||
Total assets | 198,277 | 138,920 |
Variable Interest Entity, Not Primary Beneficiary | Investment in unconsolidated entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | 22,126 | 33,882 |
Variable Interest Entity, Not Primary Beneficiary | Multi-family CMBS | ||
Variable Interest Entity [Line Items] | ||
Total assets | 51,823 | 47,995 |
Variable Interest Entity, Not Primary Beneficiary | Multi-family CMBS | Investment securities, available for sale, at fair value, held in securitization trusts | ||
Variable Interest Entity [Line Items] | ||
Total assets | 51,751 | 47,922 |
Variable Interest Entity, Not Primary Beneficiary | Multi-family CMBS | Receivables and other assets | ||
Variable Interest Entity [Line Items] | ||
Total assets | 72 | 73 |
Variable Interest Entity, Not Primary Beneficiary | Multi-family CMBS | Preferred equity and mezzanine loan investments | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Multi-family CMBS | Investment in unconsolidated entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Preferred equity investments in multi-family properties | ||
Variable Interest Entity [Line Items] | ||
Total assets | 196,183 | 140,329 |
Variable Interest Entity, Not Primary Beneficiary | Preferred equity investments in multi-family properties | Investment securities, available for sale, at fair value, held in securitization trusts | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Preferred equity investments in multi-family properties | Receivables and other assets | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Preferred equity investments in multi-family properties | Preferred equity and mezzanine loan investments | ||
Variable Interest Entity [Line Items] | ||
Total assets | 187,508 | 132,009 |
Variable Interest Entity, Not Primary Beneficiary | Preferred equity investments in multi-family properties | Investment in unconsolidated entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | 8,675 | 8,320 |
Variable Interest Entity, Not Primary Beneficiary | Mezzanine loan on multi-family properties | ||
Variable Interest Entity [Line Items] | ||
Total assets | 10,769 | 6,911 |
Variable Interest Entity, Not Primary Beneficiary | Mezzanine loan on multi-family properties | Investment securities, available for sale, at fair value, held in securitization trusts | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Mezzanine loan on multi-family properties | Receivables and other assets | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Mezzanine loan on multi-family properties | Preferred equity and mezzanine loan investments | ||
Variable Interest Entity [Line Items] | ||
Total assets | 10,769 | 6,911 |
Variable Interest Entity, Not Primary Beneficiary | Mezzanine loan on multi-family properties | Investment in unconsolidated entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Equity investments in entities that invest in residential properties | ||
Variable Interest Entity [Line Items] | ||
Total assets | 13,451 | 25,562 |
Variable Interest Entity, Not Primary Beneficiary | Equity investments in entities that invest in residential properties | Investment securities, available for sale, at fair value, held in securitization trusts | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Equity investments in entities that invest in residential properties | Receivables and other assets | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Equity investments in entities that invest in residential properties | Preferred equity and mezzanine loan investments | ||
Variable Interest Entity [Line Items] | ||
Total assets | 0 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Equity investments in entities that invest in residential properties | Investment in unconsolidated entities | ||
Variable Interest Entity [Line Items] | ||
Total assets | $ 13,451 | $ 25,562 |
K-Series | Multi-family collateralized mortgage backed securities | ||
Variable Interest Entity [Line Items] | ||
Number of securitizations | securitization | 2 | 2 |
Real Estate Held for Sale in _3
Real Estate Held for Sale in Consolidated VIEs (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 9 Months Ended | |||
Mar. 31, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Investment [Line Items] | ||||||
Real estate held for sale before accumulated depreciation and amortization | $ 29,558,000 | $ 29,558,000 | $ 64,202,000 | |||
Riverchase Landing | VIE, Primary Beneficiary | ||||||
Investment [Line Items] | ||||||
Gain on sale | $ 2,300,000 | |||||
Land | 2,650,000 | 2,650,000 | 7,000,000 | |||
Building and improvements | 25,975,000 | 25,975,000 | 53,468,000 | |||
Furniture, fixtures and equipment | 885,000 | 885,000 | 2,150,000 | |||
Lease intangible | 2,802,000 | 2,802,000 | 5,340,000 | |||
Real estate held for sale before accumulated depreciation and amortization | 32,312,000 | 32,312,000 | 67,958,000 | |||
Accumulated depreciation | (418,000) | (418,000) | (647,000) | |||
Accumulated amortization of lease intangible | (2,336,000) | (2,336,000) | (3,109,000) | |||
Real estate held for sale in consolidated variable interest entities | 29,558,000 | 29,558,000 | $ 64,202,000 | |||
Depreciation | 0 | $ 200,000 | 0 | $ 600,000 | ||
Amortization | $ 0 | $ 900,000 | $ 0 | $ 3,100,000 |
Derivative Instruments and He_3
Derivative Instruments and Hedging Activities - Fair Value of Derivative Instruments (Details) - Interest rate swaps - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Variation margin payable | $ 8,500 | |
Variation margin receivable | $ 9,300 | |
Trading | ||
Derivative [Line Items] | ||
Derivative assets | $ 8,760 | $ 10,101 |
Derivative Instruments and He_4
Derivative Instruments and Hedging Activities - Activity of Derivative Instruments Not Designated as Hedges (Details) - Trading - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
TBA securities | ||
Derivative Instruments and Hedging Activities Disclosures [Roll Forward] | ||
Beginning balance | $ 149,000 | |
Additions | 1,466,000 | |
Settlement, Expiration or Exercise | (1,440,000) | |
Ending balance | 175,000 | |
U.S. Treasury futures | ||
Derivative Instruments and Hedging Activities Disclosures [Roll Forward] | ||
Beginning balance | 17,100 | |
Additions | 123,900 | |
Settlement, Expiration or Exercise | (135,500) | |
Ending balance | 5,500 | |
Interest rate swap futures | ||
Derivative Instruments and Hedging Activities Disclosures [Roll Forward] | ||
Beginning balance | (151,700) | |
Additions | 413,800 | |
Settlement, Expiration or Exercise | (349,000) | |
Ending balance | (86,900) | |
Eurodollar futures | ||
Derivative Instruments and Hedging Activities Disclosures [Roll Forward] | ||
Beginning balance | (2,575,000) | |
Additions | 5,989,000 | |
Settlement, Expiration or Exercise | (5,054,000) | |
Ending balance | (1,640,000) | |
Options on U.S. Treasury futures | ||
Derivative Instruments and Hedging Activities Disclosures [Roll Forward] | ||
Beginning balance | 0 | |
Additions | 5,000 | |
Settlement, Expiration or Exercise | (5,000) | |
Ending balance | 0 | |
Swaptions | ||
Derivative Instruments and Hedging Activities Disclosures [Roll Forward] | ||
Beginning balance | 154,000 | |
Additions | 0 | |
Settlement, Expiration or Exercise | 0 | |
Ending balance | 154,000 | |
Interest rate swaps | ||
Derivative Instruments and Hedging Activities Disclosures [Roll Forward] | ||
Beginning balance | $ 345,500 | 15,000 |
Additions | 50,000 | 0 |
Settlement, Expiration or Exercise | 0 | 0 |
Ending balance | $ 395,500 | $ 15,000 |
Derivative Instruments and He_5
Derivative Instruments and Hedging Activities - Components of Realized and Unrealized Gains and Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Unrealized Gains (Losses) | $ 2,275 | $ 1,192 | $ 26,574 | $ 1,687 |
Trading | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Realized Gains (Losses) | 0 | 949 | 0 | 3,135 |
Unrealized Gains (Losses) | 2,275 | 486 | 16,379 | (918) |
Trading | TBA securities | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Realized Gains (Losses) | 0 | 1,470 | 0 | 3,285 |
Unrealized Gains (Losses) | 0 | (265) | 0 | (1,080) |
Trading | Eurodollar futures | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Realized Gains (Losses) | 0 | 62 | 0 | 849 |
Unrealized Gains (Losses) | 0 | 39 | 0 | (886) |
Trading | Interest rate swaps | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Realized Gains (Losses) | 0 | 0 | 0 | 0 |
Unrealized Gains (Losses) | 2,275 | 36 | 16,379 | 110 |
Trading | Swaptions | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Realized Gains (Losses) | 0 | 0 | 0 | 0 |
Unrealized Gains (Losses) | 0 | 171 | 0 | 239 |
Trading | U.S. Treasury and interest rate swap futures and options | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Realized Gains (Losses) | 0 | (583) | 0 | (999) |
Unrealized Gains (Losses) | $ 0 | $ 505 | $ 0 | $ 699 |
Derivative Instruments and He_6
Derivative Instruments and Hedging Activities - Interest Rate Swaps (Details) - Designated as Hedging Instrument - Cash Flow Hedging - Interest rate swaps - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 395,500,000 | $ 345,500,000 |
Weighted Average Fixed Interest Rate | 2.43% | 2.33% |
Weighted Average Variable Interest Rate | 2.34% | 1.38% |
2,024 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 98,000,000 | $ 98,000,000 |
Weighted Average Fixed Interest Rate | 2.18% | 2.18% |
Weighted Average Variable Interest Rate | 2.34% | 1.36% |
2,027 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 247,500,000 | $ 247,500,000 |
Weighted Average Fixed Interest Rate | 2.39% | 2.39% |
Weighted Average Variable Interest Rate | 2.34% | 1.39% |
2,028 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 50,000,000 | $ 0 |
Weighted Average Fixed Interest Rate | 3.13% | 0.00% |
Weighted Average Variable Interest Rate | 2.31% | 0.00% |
Financing Arrangements, Portf_3
Financing Arrangements, Portfolio Investments - Narrative (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2018USD ($)counterparty | Dec. 31, 2017USD ($)counterparty | Sep. 30, 2017USD ($) | |
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Average days to maturity | 29 days | 44 days | |
Interest payable | $ 5,200 | $ 2,500 | |
Advance rate | 90.30% | ||
Average haircut | 9.70% | ||
Repurchase agreements, number of counterparties | counterparty | 10 | 10 | |
Cash and cash equivalents | $ 57,471 | $ 95,191 | $ 101,904 |
Unencumbered investment securities | $ 429,400 | ||
Liquidation proceeds, percentage | 43.10% | ||
Lender Concentration Risk | Stockholders' Equity | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Concentration risk, percentage | 5.00% | ||
Deutsche Bank AG, London Branch | Lender Concentration Risk | Stockholders' Equity | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Concentration risk, percentage | 7.40% | ||
CMBS | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Average haircut | 25.00% | ||
Unencumbered investment securities | $ 173,600 | ||
Agency RMBS | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Average haircut | 5.00% | 5.00% | |
Non-Agency RMBS | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Unencumbered investment securities | $ 99,300 | ||
Residential Mortgage Backed Securities | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Unencumbered investment securities | 156,500 | ||
Loans | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Repurchase agreement, amount outstanding | $ 1,100,000 | $ 1,300,000 | |
Weighted average interest rate | 2.90% | 2.18% |
Financing Arrangements, Portf_4
Financing Arrangements, Portfolio Investments - Assets Pledged as Collateral (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Outstanding Financing Arrangements | $ 1,130,659 | $ 1,276,918 |
Fair Value of Collateral Pledged | 1,304,689 | 1,453,699 |
Amortized Cost of Collateral Pledged | 1,227,851 | 1,368,115 |
Consolidated K-Series | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
K-Series, carrying value | 566,500 | 468,000 |
Agency ARMs | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Outstanding Financing Arrangements | 49,689 | 86,349 |
Fair Value of Collateral Pledged | 51,750 | 90,343 |
Amortized Cost of Collateral Pledged | 53,699 | 92,586 |
Agency Fixed- Rate | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Outstanding Financing Arrangements | 802,636 | 842,474 |
Fair Value of Collateral Pledged | 847,316 | 890,359 |
Amortized Cost of Collateral Pledged | 891,660 | 902,744 |
Non-Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Outstanding Financing Arrangements | 0 | 38,160 |
Fair Value of Collateral Pledged | 0 | 51,841 |
Amortized Cost of Collateral Pledged | 0 | 50,693 |
CMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Outstanding Financing Arrangements | 278,334 | 309,935 |
Fair Value of Collateral Pledged | 405,623 | 421,156 |
Amortized Cost of Collateral Pledged | 282,492 | 322,092 |
CMBS | Consolidated K-Series | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
K-Series, carrying value | $ 405,600 | $ 377,500 |
Financing Arrangements, Portf_5
Financing Arrangements, Portfolio Investments - Outstanding Repurchase Agreement Borrowings by Contractual Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Outstanding financing agreements | $ 1,130,659 | $ 1,276,918 |
Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Outstanding financing agreements | 822,582 | 1,081,911 |
Over 30 days to 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Outstanding financing agreements | 308,077 | 95,007 |
Over 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Outstanding financing agreements | $ 0 | $ 100,000 |
Financing Arrangements, Resid_2
Financing Arrangements, Residential Mortgage Loans (Details) - Deutsche Bank AG, Cayman Islands Branch - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Pool of Distressed Residential Mortgage Loans | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Maximum repurchase amount | $ 100,000,000 | |
Principal amount | 150,000,000 | |
Repurchase agreement, amount outstanding | $ 141,500,000 | $ 123,600,000 |
Repurchase agreement, effective interest rate | 4.62% | 4.05% |
Pool of Distressed Residential Mortgage Loans | LIBOR | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Interest rate, basis spread | 2.40% | 2.50% |
Residential Mortgage | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Maximum repurchase amount | $ 25,000,000 | |
Principal amount | 25,000,000 | $ 26,100,000 |
Repurchase agreement, amount outstanding | $ 35,900,000 | |
Repurchase agreement, effective interest rate | 5.72% | 5.05% |
Residential Mortgage | LIBOR | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Interest rate, basis spread | 3.50% |
Residential Collateralized De_2
Residential Collateralized Debt Obligations (Details) $ in Millions | Sep. 30, 2018USD ($)securitization | Dec. 31, 2017USD ($)securitization |
Debt Instrument [Line Items] | ||
Number of residential CDO securitizations | securitization | 3 | 3 |
CDOs outstanding | $ 5 | $ 4.4 |
Arm Loans | ||
Debt Instrument [Line Items] | ||
Loans pledged as collateral | 63.7 | 77.5 |
Residential collateralized debt obligations | ||
Debt Instrument [Line Items] | ||
Secured debt, carrying value | $ 56.5 | $ 70.3 |
Weighted average interest rate | 2.83% | 2.16% |
Debt - Narrative (Details)
Debt - Narrative (Details) - USD ($) | Jan. 23, 2017 | Sep. 30, 2018 | Sep. 30, 2017 |
Debt Instrument [Line Items] | |||
Proceeds from issuance of convertible notes | $ 0 | $ 126,995,000 | |
Convertible Notes | 6.25% senior convertible notes due 2022 | |||
Debt Instrument [Line Items] | |||
Face amount | $ 138,000,000 | ||
Stated interest rate | 6.25% | ||
Proceeds from issuance of convertible notes | $ 127,000,000 | ||
Debt issuance cost, percentage | 8.24% | ||
Effective interest rate | 96.00% | ||
Conversion ratio | 0.1427144 | ||
Conversion price (in dollars per share) | $ 7.01 | ||
Convertible Notes | 6.25% senior notes due 2022, over-allotment option | |||
Debt Instrument [Line Items] | |||
Face amount | $ 18,000,000 | ||
Mortgages | KRVI | VIE, Primary Beneficiary | |||
Debt Instrument [Line Items] | |||
Stated interest rate | 6.75% | ||
Long-term debt, gross | $ 5,098,000 | ||
Unused borrowing capacity | $ 3,300,000 |
Debt - Preferred Securities (De
Debt - Preferred Securities (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
NYM Preferred Trust I | ||
Debt Instrument [Line Items] | ||
Principal value of trust preferred securities | $ 25,000,000 | $ 25,000,000 |
Interest rate | Three month LIBOR plus 3.75%, resetting quarterly | Three month LIBOR plus 3.75%, resetting quarterly |
Scheduled maturity | March 30, 2035 | March 30, 2035 |
NYM Preferred Trust I | LIBOR | ||
Debt Instrument [Line Items] | ||
Interest rate, basis spread | 3.75% | 3.75% |
NYM Preferred Trust II | ||
Debt Instrument [Line Items] | ||
Principal value of trust preferred securities | $ 20,000,000 | $ 20,000,000 |
Interest rate | Three month LIBOR plus 3.95%, resetting quarterly | Three month LIBOR plus 3.95%, resetting quarterly |
Scheduled maturity | October 30, 2035 | October 30, 2035 |
NYM Preferred Trust II | LIBOR | ||
Debt Instrument [Line Items] | ||
Interest rate, basis spread | 3.95% | 3.95% |
Debt - Schedule of VIE Debt (De
Debt - Schedule of VIE Debt (Details) - VIE, Primary Beneficiary - Mortgages $ in Thousands | Sep. 30, 2018USD ($) |
The Clusters | |
Debt Instrument [Line Items] | |
Mortgage Note Amount | $ 27,445 |
Interest Rate | 4.486% |
Net Deferred Finance Costs | $ 58 |
KRVI | |
Debt Instrument [Line Items] | |
Mortgage Note Amount | $ 5,098 |
Interest Rate | 6.75% |
Net Deferred Finance Costs | $ 0 |
Debt - Schedule of Maturities o
Debt - Schedule of Maturities of Long-Term Debt (Details) $ in Thousands | Sep. 30, 2018USD ($) |
Fiscal Year | |
2,018 | $ 0 |
2,019 | 5,098 |
2,020 | 0 |
2,021 | 0 |
2,022 | 138,000 |
2,023 | 0 |
Thereafter | 72,445 |
Total | $ 215,543 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Narrative (Details) - Discount Rate - CMBS | Sep. 30, 2018 |
Minimum | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Fair value measurement input | 0.045 |
Maximum | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Fair value measurement input | 0.095 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets carried at fair value | ||
Investment securities available for sale | $ 1,287,188 | $ 1,413,081 |
Level 3 | ||
Assets carried at fair value | ||
Investments in unconsolidated entities | 43,795 | 51,212 |
Fair Value, Measurements, Recurring | ||
Assets carried at fair value | ||
Residential mortgage loans, at fair value | 181,910 | 87,153 |
Investments in unconsolidated entities | 35,061 | 42,823 |
Total | 11,583,753 | 11,210,579 |
Liabilities carried at fair value | ||
Total | 9,504,313 | 9,189,459 |
Fair Value, Measurements, Recurring | Interest rate swaps | ||
Assets carried at fair value | ||
Derivative assets | 8,760 | 10,101 |
Fair Value, Measurements, Recurring | Agency RMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 1,055,433 | 1,169,536 |
Fair Value, Measurements, Recurring | Non-Agency RMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 98,244 | 102,125 |
Fair Value, Measurements, Recurring | CMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 133,511 | 141,420 |
Fair Value, Measurements, Recurring | Multi-family loans held in securitization trusts | ||
Assets carried at fair value | ||
Multi-family loans held in securitization trusts | 10,070,834 | 9,657,421 |
Fair Value, Measurements, Recurring | Multi-family collateralized debt obligations | ||
Liabilities carried at fair value | ||
Multi-family collateralized debt obligations | 9,504,313 | 9,189,459 |
Fair Value, Measurements, Recurring | Level 1 | ||
Assets carried at fair value | ||
Residential mortgage loans, at fair value | 0 | 0 |
Investments in unconsolidated entities | 0 | 0 |
Total | 0 | 0 |
Liabilities carried at fair value | ||
Total | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Interest rate swaps | ||
Assets carried at fair value | ||
Derivative assets | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Agency RMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Non-Agency RMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | CMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Multi-family loans held in securitization trusts | ||
Assets carried at fair value | ||
Multi-family loans held in securitization trusts | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Multi-family collateralized debt obligations | ||
Liabilities carried at fair value | ||
Multi-family collateralized debt obligations | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 | ||
Assets carried at fair value | ||
Residential mortgage loans, at fair value | 0 | 0 |
Investments in unconsolidated entities | 0 | 0 |
Total | 1,244,197 | 1,375,260 |
Liabilities carried at fair value | ||
Total | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 | Interest rate swaps | ||
Assets carried at fair value | ||
Derivative assets | 8,760 | 10,101 |
Fair Value, Measurements, Recurring | Level 2 | Agency RMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 1,055,433 | 1,169,536 |
Fair Value, Measurements, Recurring | Level 2 | Non-Agency RMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 98,244 | 102,125 |
Fair Value, Measurements, Recurring | Level 2 | CMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 81,760 | 93,498 |
Fair Value, Measurements, Recurring | Level 2 | Multi-family loans held in securitization trusts | ||
Assets carried at fair value | ||
Multi-family loans held in securitization trusts | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 | Multi-family collateralized debt obligations | ||
Liabilities carried at fair value | ||
Multi-family collateralized debt obligations | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | ||
Assets carried at fair value | ||
Residential mortgage loans, at fair value | 181,910 | 87,153 |
Investments in unconsolidated entities | 35,061 | 42,823 |
Total | 10,339,556 | 9,835,319 |
Liabilities carried at fair value | ||
Total | 9,504,313 | 9,189,459 |
Fair Value, Measurements, Recurring | Level 3 | Interest rate swaps | ||
Assets carried at fair value | ||
Derivative assets | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | Agency RMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | Non-Agency RMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | CMBS | ||
Assets carried at fair value | ||
Investment securities available for sale | 51,751 | 47,922 |
Fair Value, Measurements, Recurring | Level 3 | Multi-family loans held in securitization trusts | ||
Assets carried at fair value | ||
Multi-family loans held in securitization trusts | 10,070,834 | 9,657,421 |
Fair Value, Measurements, Recurring | Level 3 | Multi-family collateralized debt obligations | ||
Liabilities carried at fair value | ||
Multi-family collateralized debt obligations | $ 9,504,313 | $ 9,189,459 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Valuation for Level 3 Assets (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance at beginning of period | $ 9,835,319 | $ 7,061,842 | |
Total (losses)/gains (realized/unrealized) | |||
Included in earnings | (280,300) | 38,978 | |
Included in other comprehensive income | 901 | 208 | |
Contributions | 0 | 1,300 | |
Paydowns/Distributions | (133,101) | (139,751) | |
Sales | (7,105) | (4,100) | |
Purchases | 923,842 | 1,598,018 | |
Balance at the end of period | 10,339,556 | 8,556,495 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets of consolidated VIEs | 10,381,126 | $ 10,041,468 | |
Consolidated K-Series | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Assets of consolidated VIEs | $ 800,000 | $ 1,500,000 |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Valuation for Level 3 Liabilities (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance at beginning of period | $ 9,189,459 | $ 6,624,896 | |
Total gains (realized/unrealized) | |||
Included in earnings | (350,674) | (1,389) | |
Purchases | 767,477 | 1,472,073 | |
Paydowns | (101,949) | (104,961) | |
Balance at the end of period | 9,504,313 | 7,990,619 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Liabilities of consolidated VIEs | 9,680,332 | $ 9,436,421 | |
Consolidated K-Series | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Liabilities of consolidated VIEs | $ 800,000 | $ 1,500,000 |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Changes in Unrealized Gains (Losses) Included in Earnings for Level 3 (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net change in unrealized gains included in earnings for assets and liabilities | $ 12,303 | $ 2,353 | $ 31,867 | $ 5,184 |
Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Change in unrealized (losses) gains – assets | (33,153) | (19,767) | (252,899) | 56,995 |
Change in unrealized gains (losses) – liabilities | 45,456 | 22,120 | 284,766 | (51,811) |
Net change in unrealized gains included in earnings for assets and liabilities | $ 12,303 | $ 2,353 | $ 31,867 | $ 5,184 |
Fair Value of Financial Instr_8
Fair Value of Financial Instruments - Assets Measured at Fair Value on a Nonrecurring Basis (Details) - Fair Value, Measurements, Nonrecurring - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Residential mortgage loans held in securitization trusts – impaired loans, net | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential mortgage loans held in securitization trusts – impaired loans, net | $ 6,336 | $ 10,317 |
Real estate owned held in residential securitization trusts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate owned held in residential securitization trusts | 0 | 111 |
Level 1 | Residential mortgage loans held in securitization trusts – impaired loans, net | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential mortgage loans held in securitization trusts – impaired loans, net | 0 | 0 |
Level 1 | Real estate owned held in residential securitization trusts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate owned held in residential securitization trusts | 0 | 0 |
Level 2 | Residential mortgage loans held in securitization trusts – impaired loans, net | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential mortgage loans held in securitization trusts – impaired loans, net | 0 | 0 |
Level 2 | Real estate owned held in residential securitization trusts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate owned held in residential securitization trusts | 0 | 0 |
Level 3 | Residential mortgage loans held in securitization trusts – impaired loans, net | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential mortgage loans held in securitization trusts – impaired loans, net | 6,336 | 10,317 |
Level 3 | Real estate owned held in residential securitization trusts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Real estate owned held in residential securitization trusts | $ 0 | $ 111 |
Fair Value of Financial Instr_9
Fair Value of Financial Instruments - Gains (losses) Incurred for Assets Measured at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Residential mortgage loans held in securitization trusts – impaired loans, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gains (losses) for assets measured at fair value on a non-recurring basis | $ (17) | $ 199 | $ 93 | $ (6) |
Real estate owned held in residential securitization trusts | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gains (losses) for assets measured at fair value on a non-recurring basis | $ 0 | $ (297) | $ 0 | $ (303) |
Fair Value of Financial Inst_10
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of the Company's Financial Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 |
Financial Assets: | |||
Cash and cash equivalents | $ 57,471 | $ 95,191 | $ 101,904 |
Investment securities available for sale | 1,287,188 | 1,413,081 | |
Derivative assets | 8,760 | 10,101 | |
Preferred equity and mezzanine loan investments, carrying value | 102,659 | 108,567 | |
Financial Liabilities | |||
Financing arrangements | 1,130,659 | 1,276,918 | |
Subordinated debentures, carrying value | 45,000 | 45,000 | |
Convertible notes, carrying value | 130,251 | 128,749 | |
Distressed residential mortgage loans held in securitization trusts, carrying amount | 96,493 | 121,791 | |
Distressed residential mortgage loans | |||
Financial Liabilities | |||
Distressed residential mortgage loans held in securitization trusts, carrying amount | 96,500 | 121,800 | |
Distressed residential mortgage loans | |||
Financial Assets: | |||
Residential mortgage loans held in securitization trusts, net | 164,300 | 209,700 | |
Financial Liabilities | |||
Distressed residential mortgage loans held in securitization trusts, carrying amount | 260,800 | 331,500 | |
Equity Method Investments | |||
Financial Assets: | |||
Investment in unconsolidated entities, carrying value | 8,675 | 8,320 | |
Investments in unconsolidated entities, estimated fair value | 35,061 | 42,823 | |
Portfolio Investments | |||
Financial Liabilities | |||
Financing arrangements | 1,130,659 | 1,276,918 | |
Residential collateralized debt obligations | |||
Financial Liabilities | |||
Secured debt, carrying value | 56,504 | 70,308 | |
Multi-family collateralized debt obligations | |||
Financial Liabilities | |||
Secured debt, carrying value | 9,504,313 | 9,189,459 | |
Residential mortgage loans, at fair value | Distressed residential mortgage loans | |||
Financial Assets: | |||
Residential mortgage loans held in securitization trusts, net | 112,500 | 36,900 | |
Residential mortgage loans, at fair value | Second Mortgage | |||
Financial Assets: | |||
Residential mortgage loans held in securitization trusts, net | 69,400 | 50,200 | |
Available-for-sale securities | |||
Financial Liabilities | |||
Investment securities, available for sale held in securitization trusts | 51,751 | 47,922 | |
Level 1 | |||
Financial Assets: | |||
Cash and cash equivalents | 57,471 | 95,191 | |
Cash and cash equivalents, estimated fair value | 57,471 | 95,191 | |
Level 3 | |||
Financial Assets: | |||
Mortgage loans held for sale, net, carrying value | 3,284 | 5,507 | |
Mortgage loans held for sale, net, estimated fair value | 3,622 | 5,598 | |
Mortgage loans held for investment, carrying value | 1,760 | 1,760 | |
Mortgage loans held for investment, estimated fair value | 1,760 | 1,900 | |
Preferred equity and mezzanine loan investments, carrying value | 198,277 | 138,920 | |
Preferred equity and mezzanine loan investments, estimated fair value | 199,885 | 140,129 | |
Investment in unconsolidated entities, carrying value | 43,736 | 51,143 | |
Investments in unconsolidated entities, estimated fair value | 43,795 | 51,212 | |
Financial Liabilities | |||
Secured debt, carrying value | 53,597 | 81,537 | |
Secured debt, estimated fair value | 57,236 | 87,891 | |
Subordinated debentures, carrying value | 45,000 | 45,000 | |
Subordinated debentures, estimated fair value | 44,988 | 45,002 | |
Level 3 | Residential collateralized debt obligations | |||
Financial Liabilities | |||
Secured debt, carrying value | 56,504 | 70,308 | |
Secured debt, estimated fair value | 54,228 | 66,865 | |
Level 3 | Multi-family collateralized debt obligations | |||
Financial Liabilities | |||
Secured debt, carrying value | 9,504,313 | 9,189,459 | |
Secured debt, estimated fair value | 9,504,313 | 9,189,459 | |
Level 3 | Residential mortgage loans held in securitization trusts | |||
Financial Assets: | |||
Residential mortgage loans held in securitization trusts, net | 60,459 | 73,820 | |
Residential mortgage loans held in securitization trusts, net, estimated fair value | 60,228 | 72,131 | |
Level 3 | Distressed residential mortgage loans | |||
Financial Assets: | |||
Residential mortgage loans held in securitization trusts, net | 260,837 | 331,464 | |
Residential mortgage loans held in securitization trusts, net, estimated fair value | 263,935 | 334,765 | |
Level 3 | Residential mortgage loans, at fair value | |||
Financial Assets: | |||
Residential mortgage loans held in securitization trusts, net | 181,910 | 87,153 | |
Residential mortgage loans held in securitization trusts, net, estimated fair value | 181,910 | 87,153 | |
Level 3 | Multi-family loans held in securitization trusts | |||
Financial Assets: | |||
Residential mortgage loans held in securitization trusts, net | 10,070,834 | 9,657,421 | |
Residential mortgage loans held in securitization trusts, net, estimated fair value | 10,070,834 | 9,657,421 | |
Level 2 | |||
Financial Assets: | |||
Derivative assets | 8,760 | 10,101 | |
Financial Liabilities | |||
Convertible notes, carrying value | 130,251 | 128,749 | |
Convertible notes, estimated fair value | 137,923 | 140,060 | |
Level 2 | Portfolio Investments | |||
Financial Liabilities | |||
Financing arrangements | 1,130,659 | 1,276,918 | |
Level 2 | Distressed residential mortgage loans | |||
Financial Liabilities | |||
Financing arrangements | $ 177,226 | $ 149,063 |
Stockholders' Equity - Narrativ
Stockholders' Equity - Narrative (Details) $ / shares in Units, $ in Millions | Aug. 14, 2018USD ($)shares | Oct. 15, 2017 | Oct. 13, 2017USD ($)$ / sharesshares | Apr. 22, 2015USD ($)$ / sharesshares | Jun. 04, 2013USD ($)$ / sharesshares | Sep. 30, 2018USD ($)$ / sharesshares | Sep. 30, 2018USD ($)$ / sharesshares | Dec. 31, 2017USD ($)directorquarter$ / sharesshares | Sep. 10, 2018USD ($) | Aug. 10, 2017USD ($)$ / shares |
Class of Stock [Line Items] | ||||||||||
Preferred stock, shares authorized (in shares) | shares | 200,000,000 | 200,000,000 | 200,000,000 | |||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Preferred stock, shares issued (in shares) | shares | 12,000,000 | 12,000,000 | 12,000,000 | |||||||
Preferred stock, shares outstanding (in shares) | shares | 12,000,000 | |||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Underwritten Public Offering | ||||||||||
Class of Stock [Line Items] | ||||||||||
Shares issued (in shares) | shares | 14,375,000 | 14,375,000 | ||||||||
Share price (in dollars per share) | $ / shares | $ 6.16 | $ 6.16 | ||||||||
Proceeds from issuance of common stock | $ | $ 86 | $ 86 | ||||||||
Equity Distribution Agreements | ||||||||||
Class of Stock [Line Items] | ||||||||||
Shares issued (in shares) | shares | 2,443,487 | 14,588,631 | ||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | |||||||||
Common stock that may be sold (up to) | $ | $ 177.1 | $ 100 | ||||||||
Proceeds from issuance of common stock | $ | $ 15.2 | $ 89 | ||||||||
Common stock reserved for issuance | $ | $ 86.4 | $ 86.4 | ||||||||
Series B Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock, shares authorized (in shares) | shares | 6,000,000 | 6,000,000 | 6,000,000 | |||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||
Preferred stock, shares issued (in shares) | shares | 3,000,000 | 3,000,000 | 3,000,000 | |||||||
Preferred stock, shares outstanding (in shares) | shares | 3,000,000 | 3,000,000 | 3,000,000 | |||||||
Shares issued (in shares) | shares | 3,000,000 | |||||||||
Preferred stock, cumulative redeemable dividend rate | 7.75% | 7.75% | 7.75% | |||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares | $ 25 | $ 25 | $ 25 | $ 25 | ||||||
Preferred stock issuance, net | $ | $ 72.4 | |||||||||
Redemption term | 120 days | |||||||||
Redemption price (in dollars per share) | $ / shares | $ 25 | $ 25 | ||||||||
Series C Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock, shares authorized (in shares) | shares | 4,140,000 | 4,140,000 | 4,140,000 | |||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||
Preferred stock, shares issued (in shares) | shares | 3,600,000 | 3,600,000 | 3,600,000 | 3,600,000 | ||||||
Preferred stock, shares outstanding (in shares) | shares | 3,600,000 | 3,600,000 | 3,600,000 | |||||||
Preferred stock, cumulative redeemable dividend rate | 7.875% | 7.875% | 7.875% | |||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares | $ 25 | $ 25 | $ 25 | $ 25 | ||||||
Preferred stock issuance, net | $ | $ 86.9 | |||||||||
Redemption term | 120 days | |||||||||
Redemption price (in dollars per share) | $ / shares | $ 25 | $ 25 | ||||||||
Series D Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock, shares authorized (in shares) | shares | 5,750,000 | 5,750,000 | 5,750,000 | |||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||
Preferred stock, shares issued (in shares) | shares | 5,400,000 | 5,400,000 | 5,400,000 | 5,400,000 | ||||||
Preferred stock, shares outstanding (in shares) | shares | 5,400,000 | 5,400,000 | 5,400,000 | |||||||
Preferred stock, cumulative redeemable dividend rate | 5.695% | 8.00% | 8.00% | 8.00% | ||||||
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares | $ 25 | $ 25 | $ 25 | $ 25 | ||||||
Preferred stock issuance, net | $ | $ 130.5 | |||||||||
Redemption term | 120 days | |||||||||
Redemption price (in dollars per share) | $ / shares | $ 25 | $ 25 | ||||||||
Series B, Series C and Series D Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Number of quarters with no dividends that results in voting rights | quarter | 6 | |||||||||
Number of elected directors pending preferred stock voting rights | director | 2 | |||||||||
Stockholders required for term changes, percentage | 66.67% | 66.67% | ||||||||
Minimum | Equity Distribution Agreements | ||||||||||
Class of Stock [Line Items] | ||||||||||
Share price (in dollars per share) | $ / shares | $ 6.31 | $ 6.31 | ||||||||
Maximum | Equity Distribution Agreements | ||||||||||
Class of Stock [Line Items] | ||||||||||
Share price (in dollars per share) | $ / shares | $ 6.19 | $ 6.19 |
Stockholders' Equity - Cash Div
Stockholders' Equity - Cash Dividends Declared - Preferred Stock (Details) - $ / shares | 3 Months Ended | ||||||
Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | |
Series B Preferred Stock | |||||||
Dividends Payable [Line Items] | |||||||
Cash Dividend Per Share (in dollars per share) | $ 0.484375 | $ 0.484375 | $ 0.484375 | $ 0.484375 | $ 0.484375 | $ 0.484375 | $ 0.484375 |
Series C Preferred Stock | |||||||
Dividends Payable [Line Items] | |||||||
Cash Dividend Per Share (in dollars per share) | 0.4921875 | 0.4921875 | 0.4921875 | 0.4921875 | $ 0.4921875 | $ 0.4921875 | $ 0.4921875 |
Series D Preferred Stock | |||||||
Dividends Payable [Line Items] | |||||||
Cash Dividend Per Share (in dollars per share) | $ 0.5 | $ 0.5 | $ 0.50 | $ 0.51111 |
Stockholders' Equity - Cash D_2
Stockholders' Equity - Cash Dividends Declared - Common Stock (Details) - $ / shares | 3 Months Ended | ||||||
Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | |
Stockholders' Equity Note [Abstract] | |||||||
Cash dividend per share (in dollars per share) | $ 0.2 | $ 0.2 | $ 0.2 | $ 0.2 | $ 0.2 | $ 0.2 | $ 0.20 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Basic Earnings per Common Share | ||||
Net income attributable to Company | $ 33,973 | $ 27,845 | $ 93,285 | $ 61,364 |
Less: Preferred stock dividends | (5,925) | (3,225) | (17,775) | (9,675) |
NET INCOME ATTRIBUTABLE TO COMPANY'S COMMON STOCKHOLDERS | $ 28,048 | $ 24,620 | $ 75,510 | $ 51,689 |
Weighted average common shares outstanding-basic (in shares) | 132,413 | 111,886 | 119,955 | 111,824 |
Basic Earnings per Common Share (in dollars per share) | $ 0.21 | $ 0.22 | $ 0.63 | $ 0.46 |
Diluted Earnings per Common Share: | ||||
Net income attributable to Company | $ 33,973 | $ 27,845 | $ 93,285 | $ 61,364 |
Less: Preferred stock dividends | (5,925) | (3,225) | (17,775) | (9,675) |
Add back: Interest expense on convertible notes for the period, net of tax | 2,570 | 2,428 | 7,838 | 6,982 |
Net income attributable to Company's common stockholders | $ 30,618 | $ 27,048 | $ 83,348 | $ 58,671 |
Weighted average common shares outstanding-basic (in shares) | 132,413 | 111,886 | 119,955 | 111,824 |
Net effect of assumed PSUs vested (in shares) | 620 | 0 | 395 | 0 |
Net effect of assumed convertible notes conversion to common shares (in shares) | 19,694 | 19,694 | 19,694 | 18,107 |
Diluted weighted average common shares outstanding (in shares) | 152,727 | 131,580 | 140,044 | 129,931 |
Diluted Earnings per Common Share (in dollars per share) | $ 0.20 | $ 0.21 | $ 0.60 | $ 0.45 |
Stock Based Compensation - Narr
Stock Based Compensation - Narrative (Details) - USD ($) $ in Millions | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||||||
Apr. 30, 2018 | May 31, 2017 | May 31, 2015 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | |
Performance Share Awards | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Award vesting period | 3 years | ||||||||
Restricted Stock | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Non-vested shares (in shares) | 507,536 | 422,928 | 507,536 | 422,928 | 422,928 | 319,058 | |||
Shares granted (in shares) | 289,792 | 332,921 | |||||||
2010 Stock Incentive Plan | Performance Share Awards | Board of Directors Chairman | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Shares granted (in shares) | 0 | 89,629 | |||||||
Fair value of shares granted | $ 0.4 | ||||||||
Fair value, expected term | 3 years | ||||||||
Fair value, expected term for volatility rate | 3 years | ||||||||
Fair value, expected term for risk free interest rate | 3 years | ||||||||
Fair value, expected term for dividend rate | 3 years | ||||||||
Award vesting period | 3 years | 3 years | |||||||
2010 Stock Incentive Plan | Restricted Stock | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Non-vested shares (in shares) | 217,163 | 217,163 | |||||||
Share-based compensation expense | $ 0.3 | $ 0.8 | $ 1 | $ 1.5 | |||||
Unrecognized compensation cost | $ 2.3 | $ 1.9 | $ 2.3 | 1.9 | |||||
Unrecognized compensation cost, period for recognition | 2 years 20 days | ||||||||
Fair value of vested shares | $ 1.1 | $ 1.5 | |||||||
Requisite service period | 3 years | ||||||||
2017 Incentive Plan | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Maximum number of shares that may be issued (in shares) | 5,570,000 | 5,570,000 | |||||||
Shares available for grant (in shares) | 3,865,174 | 3,865,174 | |||||||
2017 Incentive Plan | Director | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Shares issued (in shares) | 131,975 | ||||||||
2017 Incentive Plan | Employee | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Shares issued (in shares) | 292,459 | ||||||||
2017 Incentive Plan | Performance Share Awards | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Maximum number of shares that may be issued (in shares) | 842,792 | ||||||||
Shares available for grant (in shares) | 1,280,392 | 1,280,392 | |||||||
Share-based compensation expense | $ 0.3 | $ 0.6 | |||||||
Unrecognized compensation cost | $ 3 | $ 3 | |||||||
Fair value of shares granted | $ 3.5 | ||||||||
Award vesting period | 3 years | ||||||||
2017 Incentive Plan | Performance Share Awards | Relative TSR performance Is Less Than The Thirtieth Percentile | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Award vesting rights, percentage | 0.00% | ||||||||
2017 Incentive Plan | Performance Share Awards | Relative TSR Performance Is Equal To The Fiftieth Percentile | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Award vesting rights, percentage | 100.00% | ||||||||
2017 Incentive Plan | Performance Share Awards | Board of Directors Chairman | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Fair value, expected term | 3 years | ||||||||
Fair value, expected term for volatility rate | 3 years | ||||||||
2017 Incentive Plan | Restricted Stock | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Non-vested shares (in shares) | 290,373 | 290,373 |
Stock Based Compensation - Non-
Stock Based Compensation - Non-vested Restricted Stock (Details) - $ / shares | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Number of Non-vested Restricted Shares | ||
Forfeited (in shares) | 0 | |
Restricted Stock | ||
Number of Non-vested Restricted Shares | ||
Non-vested shares at beginning of period (in shares) | 422,928 | 319,058 |
Granted (in shares) | 289,792 | 332,921 |
Vested (in shares) | (200,064) | (229,051) |
Forfeited (in shares) | (5,120) | |
Non-vested shares at end of period (in shares) | 507,536 | 422,928 |
Weighted Average Per Share Grant Date Fair Value | ||
Non-vested shares at beginning of period (in dollars per share) | $ 6.36 | $ 6.40 |
Granted (in dollars per share) | 5.63 | 6.54 |
Vested (in dollars per share) | 6.55 | 6.67 |
Forfeited (in dollars per share) | 6.25 | 0 |
Non-vested shares at end of period (in dollars per share) | $ 5.91 | $ 6.36 |
Income Taxes - Income Tax Provi
Income Taxes - Income Tax Provision (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Income Tax Disclosure [Abstract] | ||||
Current income tax (benefit) expense | $ (94) | $ 541 | $ (87) | $ 2,280 |
Deferred income tax benefit | (360) | (34) | (460) | (93) |
Total provision | $ (454) | $ 507 | $ (547) | $ 2,187 |
Income Taxes - Deferred Tax Ass
Income Taxes - Deferred Tax Asset (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Deferred tax assets | ||
Net operating loss carryforward | $ 3,019 | $ 295 |
GAAP/Tax basis differences | 3,379 | 2,237 |
Total deferred tax assets | 6,398 | 2,532 |
Deferred tax liabilities | ||
Deferred tax liabilities | 9 | 144 |
Valuation allowance | (5,723) | (2,182) |
Total net deferred tax asset | $ 666 | $ 206 |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) $ in Millions | Sep. 30, 2018USD ($) |
Taxable REIT Subsidiaries | |
Operating Loss Carryforwards [Line Items] | |
Net operating loss carryforwards | $ 8.9 |
Uncategorized Items - nymt-2018
Label | Element | Value |
Preferred Stock [Member] | ||
Dividends Payable | us-gaap_DividendsPayableCurrentAndNoncurrent | $ 3,225,000 |
Dividends Payable | us-gaap_DividendsPayableCurrentAndNoncurrent | 5,925,000 |
Common Stock [Member] | ||
Dividends Payable | us-gaap_DividendsPayableCurrentAndNoncurrent | 22,371,000 |
Dividends Payable | us-gaap_DividendsPayableCurrentAndNoncurrent | $ 28,243,000 |