Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2019 | May 03, 2019 | |
Document and Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2019 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | Ellington Financial Inc. | |
Entity Central Index Key | 0001411342 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | true | |
Entity Emerging Growth Company | false | |
Entity Common Stock, Shares Outstanding | 29,745,776 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheet - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | ||
Assets | ||||
Cash and cash equivalents(1) | $ 55,876 | [1] | $ 44,656 | |
Restricted cash(1) | 175 | [1] | 425 | |
Securities, at fair value | 1,529,485 | |||
Loans, at fair value(1) | [1] | 1,014,990 | ||
Investment in unconsolidated entities, at fair value | [1] | 58,152 | ||
Real estate owned(1) | 31,003 | [1] | 30,778 | |
Investments, financial derivatives, and repurchase agreements: | ||||
Investments, at fair value (Cost – $2,970,306) | 2,939,311 | |||
Repurchase agreements, at fair value (Cost – $61,274) | [2] | 25,381 | 61,274 | |
Total investments, financial derivatives, and repurchase agreements | 3,020,586 | |||
Financial derivatives—assets, at fair value | [2] | 15,356 | 20,001 | |
Reverse repurchase agreements | 25,381 | |||
Due from brokers(1) | 58,145 | [1] | 71,794 | |
Receivable for securities sold and financial derivatives | 780,826 | |||
Investment related receivables(1) | [1] | 78,223 | ||
Interest and principal receivable | 37,676 | |||
Other assets(1) | 3,779 | [1] | 15,536 | |
Total Assets | 2,870,565 | 3,971,499 | ||
Investments and financial derivatives: | ||||
Repurchase agreements(1) | [1] | 1,550,016 | ||
Securities sold short, at fair value | 26,212 | 850,577 | ||
Financial derivatives—liabilities, at fair value | [2] | 26,904 | 20,806 | |
Total investments and financial derivatives | 871,383 | |||
Reverse repurchase agreements | [2] | 1,550,016 | 1,498,849 | |
Due to brokers | 4,820 | 5,553 | ||
Investment related payables(1) | 168,211 | [1] | 488,411 | |
Other secured borrowings(1) | 117,315 | [1] | 114,100 | |
Other secured borrowings, at fair value(1) | 282,124 | [1] | 297,948 | |
Senior notes, net | 85,100 | 85,035 | ||
Accounts payable and accrued expenses(1) | 6,167 | [1] | 5,723 | |
Base management fee payable to affiliate | 1,722 | 1,744 | ||
Dividend payable | 4,267 | |||
Interest payable(1) | [1] | 4,995 | ||
Interest and dividends payable | 7,159 | |||
Other liabilities(1) | 278 | [1] | 424 | |
Total Liabilities | 2,278,131 | 3,376,329 | ||
Commitments and contingencies (Note 21) | ||||
ANALYSIS OF EQUITY: | ||||
Common stock, par value $0.001 per share, 100,000,000 shares authorized; 29,745,776 shares issued and outstanding | 30 | 563,833 | ||
Additional paid-in-capital | 664,654 | 0 | ||
Retained earnings (accumulated deficit) | (102,475) | |||
Total Stockholders' Equity | 562,209 | 563,833 | ||
Non-controlling interests(1) | 30,225 | [1] | 31,337 | |
Total Equity | 592,434 | 595,170 | ||
Total Liabilities and Equity | $ 2,870,565 | $ 3,971,499 | ||
PER SHARE INFORMATION: | ||||
Common shares | $ 18.92 | |||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. | |||
[2] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. |
Condensed Consolidated Balanc_2
Condensed Consolidated Balance Sheet (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Mar. 31, 2019 | |
Statement of Financial Position [Abstract] | ||
Investments at value, cost | $ 2,970,306 | |
Financial derivatives–assets, at fair value Net cost | 22,526 | |
Repurchase agreements, cost | 61,274 | |
Investments sold short at value, proceeds | (844,604) | |
Financial derivatives-liabilities, at fair value Net proceeds | (19,019) | |
Other secured borrowings proceeds | (114,100) | |
Other secured financing, at fair value-Proceeds | $ (298,706) | |
Common shares | $ 0.001 | |
Common stock, shares authorized | 100,000,000 | 100,000,000 |
Common stock, shares issued | 29,796,601 | 29,745,776 |
Common stock, shares outstanding | 29,796,601 | 29,745,776 |
Consolidated Condensed Schedule
Consolidated Condensed Schedule of Investments (Cash Equivalents) shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2018USD ($)shares | [2] | |
Cash equivalents | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 2.09% | [1] |
Money Market Funds, at Cost | $ 12,460 | |
Money Market Funds, at Carrying Value | $ 12,460 | |
Cash equivalents | Various Money Market Funds [Member] | ||
Schedule of Investments [Line Items] | ||
Investment Owned, Balance, Shares | shares | 12,460 | |
Money Market Funds, at Carrying Value | $ 12,460 | |
Cash equivalents | Various Money Market Funds [Member] | Minimum | ||
Schedule of Investments [Line Items] | ||
Rate | 2.31% | |
Cash equivalents | Various Money Market Funds [Member] | Maximum | ||
Schedule of Investments [Line Items] | ||
Rate | 2.34% | |
[1] | Classification percentages are based on Total Equity. | |
[2] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. |
Consolidated Condensed Schedu_2
Consolidated Condensed Schedule of Investments (Long Investments) shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2018USD ($)propertyshares | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 2,939,311 | |
Investment Owned, at Cost | $ 2,970,306 | |
Percentage collateralized by GNRCMO certificates | 100.00% | |
Non-performing loans, maturity date not applicable | $ 47,300 | |
Mortgage Loans in Process of Foreclosure, Amount | $ 9,100 | |
Unrated But Agency-Guaranteed [Member] | ||
Schedule of Investments [Line Items] | ||
Long investment holdings as a percentage of stockholders' equity | 243.66% | |
Long Investment Aaa Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Long investment holdings as a percentage of stockholders' equity | 0.01% | |
Long Investment Aa Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Long investment holdings as a percentage of stockholders' equity | 0.63% | |
Long Investment A Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Long investment holdings as a percentage of stockholders' equity | 4.73% | |
Long Investment BBB Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Long investment holdings as a percentage of stockholders' equity | 1.84% | |
Long Investment BB Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Long investment holdings as a percentage of stockholders' equity | 46.34% | |
Long Investment Unrated Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Long investment holdings as a percentage of stockholders' equity | 196.65% | |
Related Party-Consumer Loans Titled in Name of Related Party | ||
Schedule of Investments [Line Items] | ||
Fair value of loans held in related party trust | $ 21,900 | |
Purchasing Entity | ||
Schedule of Investments [Line Items] | ||
Fair value of loans held in related party trust | $ 181,500 | |
Principal And Interest - Fixed Rate Agency Securities | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 148.68% | [1],[2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 884,870 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (30 Year) 4.00% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 143,523 | |
Rate | 4.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 147,395 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (30 Year) 4.00% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2039-09 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (30 Year) 4.00% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-11 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Four Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 111,109 | |
Rate | 4.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 114,104 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Four Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2041-11 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Four Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-12 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (30 Year) 3.50% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 82,189 | |
Rate | 3.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 82,450 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (30 Year) 3.50% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2042-09 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (30 Year) 3.50% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-02 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (30 Year) 4.50% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 74,478 | |
Rate | 4.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 77,266 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (30 Year) 4.50% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2046-09 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (30 Year) 4.50% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2049-01 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Four Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 65,892 | |
Rate | 4.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 68,853 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Four Point Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2041-10 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Four Point Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-12 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Four Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 51,362 | |
Rate | 4.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 52,544 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Four Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2045-07 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Four Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-05 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 46,026 | |
Rate | 5.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 48,245 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-02 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-12 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Four Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 45,670 | |
Rate | 4.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 47,583 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Four Point Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2043-09 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Four Point Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-10 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Fifteen Year) Three Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 42,663 | |
Rate | 3.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 43,241 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Fifteen Year) Three Point Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2028-03 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Fifteen Year) Three Point Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2032-03 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 38,420 | |
Rate | 5.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 40,652 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2035-10 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-08 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Three Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 32,106 | |
Rate | 3.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 32,253 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Three Point Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2042-12 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Three Point Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2047-12 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Three Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 25,082 | |
Rate | 3.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 25,185 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Three Point Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2042-01 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Three Point Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-03 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (30 Year) 5.50% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 21,807 | |
Rate | 5.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 23,207 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (30 Year) 5.50% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-04 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (30 Year) 5.50% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-12 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (15 Year) 3.00% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 10,899 | |
Rate | 3.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 10,895 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (15 Year) 3.00% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2030-04 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (15 Year) 3.00% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2032-09 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.50% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 8,275 | |
Rate | 3.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 8,389 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.50% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2028-09 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.50% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2032-12 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Other) Three Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 7,287 | |
Rate | 3.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 7,316 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Other) Three Point Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2043-04 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Other) Three Point Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2046-09 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) 5.00% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 6,096 | |
Rate | 5.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 6,423 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) 5.00% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2044-07 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) 5.00% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-10 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Fifteen Year) Four Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 5,728 | |
Rate | 4.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 5,823 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Fifteen Year) Four Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2026-06 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Fifteen Year) Four Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2031-05 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Five Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 5,023 | |
Rate | 5.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 5,342 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Five Point Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2039-11 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Five Point Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-06 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Other) 5.00% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 4,547 | |
Rate | 5.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 4,772 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Other) 5.00% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2043-09 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Other) 5.00% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2044-01 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Other) 4.00% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2047-12 | |
Current Principal/Notional Amount | $ 4,394 | |
Rate | 4.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 4,478 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (30 Year) 6.00% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 3,408 | |
Rate | 6.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 3,666 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (30 Year) 6.00% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-05 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (30 Year) 6.00% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-11 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Three Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 2,773 | |
Rate | 3.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 2,722 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Three Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2043-07 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Three Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2045-06 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Three Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 2,603 | |
Rate | 3.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 2,556 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Three Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2042-01 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Three Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2045-06 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (30 Year) 3.75% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2047-07 | |
Current Principal/Notional Amount | $ 2,508 | |
Rate | 3.75% | |
TBA securities, at fair value (Current principal: $460,037) | $ 2,537 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Other) Four Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2044-05 | |
Current Principal/Notional Amount | $ 2,348 | |
Rate | 4.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 2,432 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation (15 Year) 3 Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2030-04 | |
Current Principal/Notional Amount | $ 2,343 | |
Rate | 3.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 2,342 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Fifteen Year) Four Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2026-04 | |
Current Principal/Notional Amount | $ 2,177 | |
Rate | 4.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 2,265 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Other) Four Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2041-05 | |
Current Principal/Notional Amount | $ 2,025 | |
Rate | 4.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 2,079 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Five Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 1,677 | |
Rate | 5.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 1,786 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Five Point Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2033-08 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Five Point Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2048-05 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Twenty Year) Four Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2033-12 | |
Current Principal/Notional Amount | $ 1,478 | |
Rate | 4.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 1,526 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Twenty Year) Four Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2033-12 | |
Current Principal/Notional Amount | $ 976 | |
Rate | 4.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 1,021 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Fifteen Year) Four Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2029-02 | |
Current Principal/Notional Amount | $ 886 | |
Rate | 4.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 897 | |
Principal And Interest - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Six Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2040-05 | |
Current Principal/Notional Amount | $ 651 | |
Rate | 6.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 697 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Three Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2042-11 | |
Current Principal/Notional Amount | $ 710 | |
Rate | 3.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 695 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Six Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 588 | |
Rate | 6.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 631 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Six Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2039-09 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Six Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2040-02 | |
Principal And Interest - Fixed Rate Agency Securities | Government National Mortgage Association Pools (Thirty Year) Two Point Four Nine Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2043-10 | |
Current Principal/Notional Amount | $ 524 | |
Rate | 2.49% | |
TBA securities, at fair value (Current principal: $460,037) | $ 496 | |
Principal And Interest - Fixed Rate Agency Securities | Federal National Mortgage Association Pools (Thirty Year) Three Point Two Eight Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2042-06 | |
Current Principal/Notional Amount | $ 109 | |
Rate | 3.28% | |
TBA securities, at fair value (Current principal: $460,037) | $ 106 | |
Interest Only - Fixed Rate Agency Securities | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 1.77% | [1],[2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 10,510 | |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association 4.00% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 17,505 | |
Rate | 4.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 2,828 | |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association 4.00% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2045-02 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association 4.00% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2045-06 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association 4.50% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 10,446 | |
Rate | 4.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 1,223 | |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association 4.50% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2020-12 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association 4.50% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2044-06 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association 6.00% [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 4,768 | |
Rate | 6.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 978 | |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association 6.00% [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2038-06 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association 6.00% [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2039-08 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association Four Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 5,949 | |
Rate | 4.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 808 | |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association Four Point Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2039-06 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association Four Point Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2044-07 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association Five Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2039-10 | [1],[3],[4] |
Current Principal/Notional Amount | $ 3,401 | |
Rate | 5.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 749 | |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association Five Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2043-11 | [1],[3],[4] |
Current Principal/Notional Amount | $ 3,612 | |
Rate | 5.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 623 | |
Interest Only - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Three Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2032-12 | [1],[3],[4] |
Current Principal/Notional Amount | $ 3,642 | |
Rate | 3.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 515 | |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association Four Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 3,560 | |
Rate | 4.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 513 | |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association Four Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2039-05 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association Four Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2043-11 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 2,659 | |
Rate | 5.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 463 | |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2038-01 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2040-05 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2038-11 | [1],[3],[4] |
Current Principal/Notional Amount | $ 5,122 | |
Rate | 5.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 402 | |
Interest Only - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Five Point FIve Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 3,749 | |
Rate | 5.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 336 | |
Interest Only - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Five Point FIve Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2039-01 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Five Point FIve Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2039-09 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association Six Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2040-01 | [1],[3],[4] |
Current Principal/Notional Amount | $ 1,613 | |
Rate | 6.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 274 | |
Interest Only - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation Four Point Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2043-07 | [1],[3],[4] |
Current Principal/Notional Amount | $ 1,463 | |
Rate | 4.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 254 | |
Interest Only - Fixed Rate Agency Securities | Federal National Mortgage Association Three Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2041-09 | [1],[3],[4] |
Current Principal/Notional Amount | $ 2,291 | |
Rate | 3.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 203 | |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 3,043 | |
Rate | 5.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 181 | |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association Five Percent [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2037-05 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association Five Percent [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2041-05 | [1],[3],[4] |
Interest Only - Fixed Rate Agency Securities | Government National Mortgage Association Four Point Seven Five Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2040-07 | [1],[3],[4] |
Current Principal/Notional Amount | $ 842 | |
Rate | 4.75% | |
TBA securities, at fair value (Current principal: $460,037) | $ 160 | |
TBA - Fixed Rate Agency Securities | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 79.78% | [1],[2],[3],[4] |
Current Principal/Notional Amount | $ 460,037 | |
TBA securities, at fair value (Current principal: $460,037) | $ 474,860 | |
TBA - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation (15 Year) 3 Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-01 | [1],[3],[4] |
Current Principal/Notional Amount | $ 1,660 | |
Rate | 3.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 1,655 | |
TBA - Fixed Rate Agency Securities | Government National Mortgage Association (30 Year) 5 Point 00 Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-01 | [1],[3],[4] |
Current Principal/Notional Amount | $ 299,455 | |
Rate | 5.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 311,515 | |
TBA - Fixed Rate Agency Securities | Federal National Mortgage Association (30 Year) 4 Point 00 Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-01 | [1],[3],[4] |
Current Principal/Notional Amount | $ 122,003 | |
Rate | 4.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 124,376 | |
TBA - Fixed Rate Agency Securities | Federal Home Loan Mortgage Corporation (30 Year) 3 Point 50 Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-01 | [1],[3],[4] |
Current Principal/Notional Amount | $ 21,540 | |
Rate | 3.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 21,529 | |
TBA - Fixed Rate Agency Securities | Government National Mortgage Association (30 Year) 5 Point 50 Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-01 | [1],[3],[4] |
Current Principal/Notional Amount | $ 10,579 | |
Rate | 5.50% | |
TBA securities, at fair value (Current principal: $460,037) | $ 11,058 | |
TBA - Fixed Rate Agency Securities | Government National Mortgage Association (30 Year) 3 Point 00 Percent [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-01 | [1],[3],[4] |
Current Principal/Notional Amount | $ 4,800 | |
Rate | 3.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 4,727 | |
Fixed Rate Agency Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 230.23% | [1],[2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 1,370,240 | |
Investment Owned, at Cost | $ 1,388,115 | [1],[3],[4] |
Principal And Interest - Floating Rate Agency Securities | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 10.24% | [1],[2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 60,971 | |
Principal And Interest - Floating Rate Agency Securities | Government National Mortgage Association Pools [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 52,532 | |
TBA securities, at fair value (Current principal: $460,037) | $ 55,475 | |
Principal And Interest - Floating Rate Agency Securities | Government National Mortgage Association Pools [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2061-07 | [1],[3],[4] |
Rate | 4.39% | [1],[3],[4] |
Principal And Interest - Floating Rate Agency Securities | Government National Mortgage Association Pools [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2067-12 | [1],[3],[4] |
Rate | 4.67% | [1],[3],[4] |
Principal And Interest - Floating Rate Agency Securities | Federal National Mortgage Association Pools [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 3,515 | |
TBA securities, at fair value (Current principal: $460,037) | $ 3,650 | |
Principal And Interest - Floating Rate Agency Securities | Federal National Mortgage Association Pools [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2035-09 | [1],[3],[4] |
Rate | 2.70% | [1],[3],[4] |
Principal And Interest - Floating Rate Agency Securities | Federal National Mortgage Association Pools [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2045-05 | [1],[3],[4] |
Rate | 4.69% | [1],[3],[4] |
Principal And Interest - Floating Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 1,808 | |
TBA securities, at fair value (Current principal: $460,037) | $ 1,846 | |
Principal And Interest - Floating Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2037-06 | [1],[3],[4] |
Rate | 3.49% | [1],[3],[4] |
Principal And Interest - Floating Rate Agency Securities | Federal Home Loan Mortgage Corporation Pools [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2044-05 | [1],[3],[4] |
Rate | 4.72% | [1],[3],[4] |
Interest Only - Floating Rate Agency Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 3.19% | [1],[2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 19,006 | |
Interest Only - Floating Rate Agency Securities [Member] | Government National Mortgage Association [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 228,763 | |
TBA securities, at fair value (Current principal: $460,037) | $ 10,772 | |
Interest Only - Floating Rate Agency Securities [Member] | Government National Mortgage Association [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2031-06 | [1],[3],[4] |
Rate | 0.38% | [1],[3],[4] |
Interest Only - Floating Rate Agency Securities [Member] | Government National Mortgage Association [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2066-10 | [1],[3],[4] |
Rate | 5.64% | [1],[3],[4] |
Interest Only - Floating Rate Agency Securities [Member] | Federal National Mortgage Association [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 70,568 | |
TBA securities, at fair value (Current principal: $460,037) | $ 4,880 | |
Interest Only - Floating Rate Agency Securities [Member] | Federal National Mortgage Association [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2033-06 | [1],[3],[4] |
Rate | 1.13% | [1],[3],[4] |
Interest Only - Floating Rate Agency Securities [Member] | Federal National Mortgage Association [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2046-11 | [1],[3],[4] |
Rate | 5.50% | [1],[3],[4] |
Interest Only - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 48,699 | |
TBA securities, at fair value (Current principal: $460,037) | $ 3,256 | |
Interest Only - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2036-03 | [1],[3],[4] |
Rate | 1.55% | [1],[3],[4] |
Interest Only - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2044-01 | [1],[3],[4] |
Rate | 4.19% | [1],[3],[4] |
Interest Only - Floating Rate Agency Securities [Member] | Resecuritization of Government National Mortgage Association [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2060-08 | [1],[3],[4],[5] |
Current Principal/Notional Amount | $ 5,220 | |
Rate | 2.21% | |
TBA securities, at fair value (Current principal: $460,037) | $ 98 | |
Floating Rate Agency Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 13.43% | [1],[2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 79,977 | |
Investment Owned, at Cost | $ 81,873 | [1],[3],[4] |
Agency Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 243.66% | [1],[2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 1,450,217 | |
Investment Owned, at Cost | $ 1,469,988 | [1],[3],[4] |
Principal And Interest - Private Label Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 55.33% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 329,317 | |
Investment Owned, at Cost | $ 326,430 | [3],[4] |
Principal And Interest - Private Label Securities [Member] | North America [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 27.62% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 164,410 | |
Investment Owned, at Cost | $ 153,769 | [3],[4] |
Principal And Interest - Private Label Securities [Member] | Europe [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 27.71% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 164,907 | |
Investment Owned, at Cost | 172,661 | [3],[4] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 37,171 | |
TBA securities, at fair value (Current principal: $460,037) | 15,137 | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 227,479 | |
TBA securities, at fair value (Current principal: $460,037) | 149,273 | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Europe [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 24,978 | |
TBA securities, at fair value (Current principal: $460,037) | 15,482 | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Europe [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 183,154 | |
TBA securities, at fair value (Current principal: $460,037) | $ 149,425 | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2049-03 | [3],[4] |
Rate | 2.80% | [3],[4] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-05 | [3],[4] |
Rate | 0.00% | [3],[4] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum | Europe [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2020-10 | [3],[4] |
Rate | 0.38% | [3],[4] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum | Europe [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2025-06 | [3],[4] |
Rate | 0.00% | [3],[4] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2061-05 | [3],[4] |
Rate | 3.29% | [3],[4] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2047-03 | [3],[4] |
Rate | 24.56% | [3],[4] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum | Europe [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2045-08 | [3],[4] |
Rate | 4.29% | [3],[4] |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum | Europe [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2052-12 | [3],[4] |
Rate | 5.50% | [3],[4] |
Interest Only - Private Label Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 1.22% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 7,230 | |
Investment Owned, at Cost | 5,189 | [3],[4] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 41,707 | |
TBA securities, at fair value (Current principal: $460,037) | 3,289 | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 30,842 | |
TBA securities, at fair value (Current principal: $460,037) | $ 3,941 | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2049-03 | [3],[4] |
Rate | 1.25% | [3],[4] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2030-12 | [3],[4] |
Rate | 0.00% | [3],[4] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2061-05 | [3],[4] |
Rate | 2.00% | [3],[4] |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2047-09 | [3],[4] |
Rate | 2.00% | [3],[4] |
Other Private Label Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 0.00% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 0 | |
Investment Owned, at Cost | 0 | [3],[4] |
Other Private Label Securities [Member] | Various Issuer [Member] | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 0 | |
Rate | 0.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 0 | |
Other Private Label Securities [Member] | Various Issuer [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2037-06 | [3],[4] |
Other Private Label Securities [Member] | Various Issuer [Member] | Minimum | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2045-07 | [3],[4] |
Other Private Label Securities [Member] | Various Issuer [Member] | Maximum | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2061-05 | [3],[4] |
Private Label Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 56.55% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 336,547 | |
Investment Owned, at Cost | $ 331,619 | [3],[4] |
Mortgage-Backed Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 300.21% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 1,786,764 | |
Investment Owned, at Cost | $ 1,801,607 | [3],[4] |
CLOs | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 20.82% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 123,893 | |
Investment Owned, at Cost | $ 139,424 | [3],[4] |
CLOs | North America [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 20.82% | [2],[3],[4],[6] |
TBA securities, at fair value (Current principal: $460,037) | $ 123,893 | |
Investment Owned, at Cost | 139,424 | [3],[4],[6] |
CLOs | Various Issuer [Member] | North America [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 269,224 | |
TBA securities, at fair value (Current principal: $460,037) | $ 123,893 | |
CLOs | Various Issuer [Member] | Minimum | North America [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-01 | [3],[4],[6] |
Rate | 0.00% | [3],[4],[6] |
CLOs | Various Issuer [Member] | Maximum | North America [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2118-10 | [3],[4],[6] |
Rate | 10.54% | [3],[4],[6] |
CLOs | Related Party CLO securitization [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 50,800 | |
Consumer loans and asset-backed securities backed by consumer loans | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 34.74% | [2],[3],[4],[7] |
TBA securities, at fair value (Current principal: $460,037) | $ 206,761 | |
Investment Owned, at Cost | $ 211,982 | [3],[4],[7] |
Consumer loans and asset-backed securities backed by consumer loans | North America [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 34.59% | [2],[3],[4],[7] |
TBA securities, at fair value (Current principal: $460,037) | $ 205,877 | |
Investment Owned, at Cost | $ 211,221 | [3],[4],[7] |
Consumer loans and asset-backed securities backed by consumer loans | Europe [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 0.15% | [2],[3],[4],[7] |
TBA securities, at fair value (Current principal: $460,037) | $ 884 | |
Investment Owned, at Cost | 761 | [3],[4],[7] |
Consumer loans and asset-backed securities backed by consumer loans | Various Issuer [Member] | North America [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 233,602 | |
TBA securities, at fair value (Current principal: $460,037) | $ 205,877 | |
Consumer loans and asset-backed securities backed by consumer loans | Various Issuer [Member] | Europe [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2030-12 | [3],[4],[7] |
Current Principal/Notional Amount | $ 3,540 | |
Rate | 0.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 884 | |
Consumer loans and asset-backed securities backed by consumer loans | Various Issuer [Member] | Minimum | North America [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-01 | [3],[4],[7],[8],[9] |
Rate | 5.31% | [3],[4],[7],[8],[9] |
Consumer loans and asset-backed securities backed by consumer loans | Various Issuer [Member] | Maximum | North America [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2023-12 | [3],[4],[7],[8],[9] |
Rate | 76.50% | [3],[4],[7],[8],[9] |
Corporate debt securities | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 3.76% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 22,392 | |
Investment Owned, at Cost | $ 24,268 | [3],[4] |
Corporate debt securities | North America [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 1.95% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 11,586 | |
Investment Owned, at Cost | $ 11,949 | [3],[4] |
Corporate debt securities | Europe [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 1.81% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 10,806 | |
Investment Owned, at Cost | $ 12,319 | [3],[4] |
Corporate debt securities | Various Issuer [Member] | North America [Member] | Communications [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2022-05 | [3],[4] |
Current Principal/Notional Amount | $ 938 | |
Rate | 0.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 824 | |
Corporate debt securities | Various Issuer [Member] | North America [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2027-01 | [3],[4] |
Current Principal/Notional Amount | $ 3,342 | |
Rate | 6.69% | |
TBA securities, at fair value (Current principal: $460,037) | $ 3,141 | |
Corporate debt securities | Various Issuer [Member] | North America [Member] | Energy [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2021-09 | [3],[4] |
Current Principal/Notional Amount | $ 2,080 | |
Rate | 4.63% | |
TBA securities, at fair value (Current principal: $460,037) | $ 1,877 | |
Corporate debt securities | Various Issuer [Member] | North America [Member] | Industrial Sector [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2021-12 | [3],[4] |
Current Principal/Notional Amount | $ 1,755 | |
Rate | 3.75% | |
TBA securities, at fair value (Current principal: $460,037) | $ 1,742 | |
Corporate debt securities | Various Issuer [Member] | North America [Member] | Technology Sector [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 4,570 | |
TBA securities, at fair value (Current principal: $460,037) | $ 4,002 | |
Corporate debt securities | Various Issuer [Member] | Europe [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-12 | [3],[4] |
Current Principal/Notional Amount | $ 20,574 | |
Rate | 0.00% | |
TBA securities, at fair value (Current principal: $460,037) | $ 0 | |
Corporate debt securities | Various Issuer [Member] | Europe [Member] | Financial [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 11,235 | |
TBA securities, at fair value (Current principal: $460,037) | $ 10,806 | |
Corporate debt securities | Various Issuer [Member] | Minimum | North America [Member] | Technology Sector [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2020-05 | [3],[4] |
Corporate debt securities | Various Issuer [Member] | Minimum | Europe [Member] | Financial [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2020-10 | [3],[4] |
Rate | 0.00% | [3],[4] |
Corporate debt securities | Various Issuer [Member] | Minimum | Europe [Member] | Technology Sector [Member] | ||
Schedule of Investments [Line Items] | ||
Rate | 0.00% | [3],[4] |
Corporate debt securities | Various Issuer [Member] | Maximum | North America [Member] | Technology Sector [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2022-05 | [3],[4] |
Corporate debt securities | Various Issuer [Member] | Maximum | Europe [Member] | Financial [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2022-11 | [3],[4] |
Rate | 16.00% | [3],[4] |
Corporate debt securities | Various Issuer [Member] | Maximum | Europe [Member] | Technology Sector [Member] | ||
Schedule of Investments [Line Items] | ||
Rate | 4.38% | [3],[4] |
Secured notes | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 1.83% | [2],[3],[4],[10] |
TBA securities, at fair value (Current principal: $460,037) | $ 10,917 | |
Investment Owned, at Cost | $ 12,138 | [3],[4],[10] |
Secured notes | Various Issuer [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2057-11 | [3],[4],[10] |
Current Principal/Notional Amount | $ 17,608 | |
Rate | 5.00% | [3],[4],[10] |
TBA securities, at fair value (Current principal: $460,037) | $ 10,917 | |
Mortgage Loans [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 118.96% | [2],[3],[4],[7] |
TBA securities, at fair value (Current principal: $460,037) | $ 708,015 | |
Investment Owned, at Cost | 703,366 | [3],[4],[7] |
Mortgage Loans [Member] | Various Issuer [Member] | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 235,459 | |
TBA securities, at fair value (Current principal: $460,037) | 211,185 | |
Mortgage Loans [Member] | Various Issuer [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | 493,248 | |
TBA securities, at fair value (Current principal: $460,037) | $ 496,830 | |
Mortgage Loans [Member] | Various Issuer [Member] | Minimum | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-03 | [3],[4],[7],[11] |
Rate | 4.31% | [3],[4],[7],[11] |
Mortgage Loans [Member] | Various Issuer [Member] | Minimum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2019-03 | [3],[4],[7],[12],[13] |
Rate | 2.00% | [3],[4],[7],[12],[13] |
Mortgage Loans [Member] | Various Issuer [Member] | Maximum | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2037-10 | [3],[4],[7],[11] |
Rate | 12.74% | [3],[4],[7],[11] |
Mortgage Loans [Member] | Various Issuer [Member] | Maximum | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2058-12 | [3],[4],[7],[12],[13] |
Rate | 15.00% | [3],[4],[7],[12],[13] |
Real estate owned | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 5.80% | [2],[3],[4],[7],[14] |
TBA securities, at fair value (Current principal: $460,037) | $ 34,500 | |
Investment Owned, at Cost | 35,371 | [3],[4],[7],[14] |
Real estate owned | Single-Family Houses [Member] | North America [Member] | Real estate-related [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 1,296 | |
Number of Real Estate Properties | property | 5 | |
Real estate owned | Commercial Property [Member] | North America [Member] | Real estate-related [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 33,204 | |
Number of Real Estate Properties | property | 18 | |
Common stock | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 0.37% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 2,200 | |
Investment Owned, at Cost | $ 2,482 | [3],[4] |
Common stock | North America [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 0.37% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 2,200 | |
Investment Owned, at Cost | 2,482 | [3],[4] |
Common stock | Exchange Traded Equity [Member] | North America [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 25 | |
Investment Owned, Balance, Shares | shares | 24 | |
Common stock | Exchange Traded Equity [Member] | North America [Member] | Financial [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 2,175 | |
Investment Owned, Balance, Shares | shares | 213 | |
Corporate equity securities | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 7.36% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 43,793 | |
Investment Owned, at Cost | 39,592 | [3],[4] |
Corporate equity securities | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 1,100 | |
Corporate equity securities | North America [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 7.36% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 43,789 | |
Investment Owned, at Cost | $ 39,587 | [3],[4] |
Corporate equity securities | Europe [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 0.00% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 4 | |
Investment Owned, at Cost | 5 | [3],[4] |
Corporate equity securities | Non-Exchange Traded Corporate Equity [Member] | North America [Member] | Communications [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 97 | |
Investment Owned, Balance, Shares | shares | 7 | |
Corporate equity securities | Non-Exchange Traded Corporate Equity [Member] | North America [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 0 | |
Investment Owned, Balance, Shares | shares | 1,540 | |
Corporate equity securities | Non-Exchange Traded Corporate Equity [Member] | North America [Member] | Diversified [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 1,433 | |
Investment Owned, Balance, Shares | shares | 144 | |
Corporate equity securities | Non-Exchange Traded Corporate Equity [Member] | Europe [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 0 | |
Investment Owned, Balance, Shares | shares | 125 | |
Corporate equity securities | Non-Exchange Traded Corporate Equity [Member] | Europe [Member] | Financial [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 4 | |
Investment Owned, Balance, Shares | shares | 0 | |
Corporate equity securities | Investment in unconsolidated entities | North America [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 4,045 | |
Corporate equity securities | Non-Exchange Traded Preferred Equity Investment in Consumer Loan Originators [Member] [Domain] | North America [Member] | Consumer [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 3,000 | |
Investment Owned, Balance, Shares | shares | 3,000 | |
Corporate equity securities | Non-controlling Interest in Mortgage-related Private Partnership | North America [Member] | Mortgage-related Commercial | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 1,147 | |
Corporate equity securities | Non-Exchange Traded Preferred Equity Investment in Mortgage Originators [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 27,317 | |
Investment Owned, Balance, Shares | shares | 23 | |
Corporate equity securities | Non-Exchange Traded Equity Investment in Mortgage Originators [Member] | North America [Member] | Mortgage-related Residential [Member] | ||
Schedule of Investments [Line Items] | ||
TBA securities, at fair value (Current principal: $460,037) | $ 6,750 | |
Investment Owned, Balance, Shares | shares | 9,818 | |
U.S. Treasury securities | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 0.01% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 76 | |
Investment Owned, at Cost | $ 76 | [3],[4] |
U.S. Treasury securities | U.S. Treasury Note, 2.75 Percent, Maturity Date 2023 04 [Member] | North America [Member] | Government [Member] | ||
Schedule of Investments [Line Items] | ||
Investments maturity date | 2023-04 | [3],[4] |
Current Principal/Notional Amount | $ 75 | |
Rate | 2.75% | |
TBA securities, at fair value (Current principal: $460,037) | $ 76 | |
Long Investments [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 493.86% | [2],[3],[4] |
TBA securities, at fair value (Current principal: $460,037) | $ 2,939,311 | |
Investment Owned, at Cost | $ 2,970,306 | [3],[4] |
Long Investments [Member] | Government National Mortgage Association [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 107.55% | |
Long Investments [Member] | Federal National Mortgage Association [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 93.99% | |
Long Investments [Member] | Federal Home Loan Mortgage Corporation [Member] | ||
Schedule of Investments [Line Items] | ||
Investment owned as a percentage of equity | 42.12% | |
Securitized residential mortgage loans | ||
Schedule of Investments [Line Items] | ||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 314,200 | |
[1] | At December 31, 2018, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 93.99%, 42.12%, and 107.55% of Total Equity, respectively. | |
[2] | Classification percentages are based on Total Equity. | |
[3] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |
[4] | The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."Rating Description Percent of EquityUnrated but Agency-Guaranteed 243.66%Aaa/AAA/AAA 0.01%Aa/AA/AA 0.63%A/A/A 4.73%Baa/BBB/BBB 1.84%Ba/BB/BB or below 46.34%Unrated 196.65% | |
[5] | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. | |
[6] | Includes investment in collateralized loan obligation notes in the amount of $50.8 million that were issued and are managed by related parties of the Company. See Note 9 to the Notes to Consolidated Financial Statements. | |
[7] | Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments. See Note 9 to the Notes to Consolidated Financial Statements. | |
[8] | Includes investments in participation certificates related to loans held in a trust owned by a related party of Ellington Management Group, L.L.C. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by the trust. At December 31, 2018 loans held in the related party trust for which the Company has participating interests in the cash flows, totaled $181.5 million. See Note 9 to the Notes to Consolidated Financial Statements. | |
[9] | Includes investments in participation certificates related to loans titled in the name of a related party of Ellington Management Group, L.L.C. Through its participation certificates, the Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses. At December 31, 2018 loans for which the Company has beneficial interests in the net cash flows, totaled $21.9 million. See Note 9 to the Notes to Consolidated Financial Statements. | |
[10] | Represents the Company's investment in a related party. See Note 9 to the Notes to Consolidated Financial Statements | |
[11] | Includes non-performing commercial mortgage loans in the amount of $47.3 million whereby principal and/or interest is past due and a maturity date is not applicable. | |
[12] | As of December 31, 2018, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $9.1 million. | |
[13] | Includes $314.2 million of non-qualified mortgage loans that have been securitized and are held in a consolidated securitization trusts. See Note 6 to the Notes to Consolidated Financial Statements. | |
[14] | Number of properties not shown in thousands, represents actual number of properties owned. |
Consolidated Condensed Schedu_3
Consolidated Condensed Schedule of Investments (Repurchase Agreements) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018USD ($) | ||
Schedule of Investments [Line Items] | ||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 61,274 | [1] |
Repurchase agreements, cost | 61,274 | |
Repurchase Agreements [Member] | ||
Schedule of Investments [Line Items] | ||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 61,274 | |
Investment owned as a percentage of equity | 10.30% | [2],[3],[4] |
Repurchase agreements, cost | $ 61,274 | [3],[4] |
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $13,600 U.S. Treasury Note, Coupon 2.88%, Maturity Date 2021 11 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 13,854 | |
Rate | 3.25% | |
Securities collateralized by par value | $ 13,600 | [3],[4] |
Coupon rate on underlying collateral | 2.88% | [3],[4] |
Maturity date of securities | 2021-11 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 13,854 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $10,451 U.S. Treasury Note, Coupon 2.88%, Maturity Date 2023 10 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 10,712 | |
Rate | 3.15% | |
Securities collateralized by par value | $ 10,451 | [3],[4] |
Coupon rate on underlying collateral | 2.88% | [3],[4] |
Maturity date of securities | 2023-10 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 10,712 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $10,102 Sovereign Government Bond, Coupon 0.75% Maturity Date 2021 07 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 10,365 | |
Rate | (0.75%) | |
Securities collateralized by par value | $ 10,102 | [3],[4] |
Coupon rate on underlying collateral | 0.75% | [3],[4] |
Maturity date of securities | 2021-07 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 10,365 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $9,161 Sovereign Government Bond, Coupon 2.75%, Maturity Date 2019 04 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 9,379 | |
Rate | (0.65%) | |
Securities collateralized by par value | $ 9,161 | [3],[4] |
Coupon rate on underlying collateral | 2.75% | [3],[4] |
Maturity date of securities | 2019-04 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 9,379 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $3,400 U.S. Treasury Note, Coupon 3.13%, Maturity Date 2028 11 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 3,562 | |
Rate | 3.05% | |
Securities collateralized by par value | $ 3,400 | [3],[4] |
Coupon rate on underlying collateral | 3.13% | [3],[4] |
Maturity date of securities | 2028-11 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 3,562 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $2,800 U.S. Treasury Note, Coupon 2.88%, Maturity Date 2028 08 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 2,884 | |
Rate | 2.95% | |
Securities collateralized by par value | $ 2,800 | [3],[4] |
Coupon rate on underlying collateral | 2.88% | [3],[4] |
Maturity date of securities | 2028-08 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 2,884 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $2,062 U.S. Treasury Note, Coupon 2.88%, Maturity Date 2023 11 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 2,098 | |
Rate | 2.90% | |
Securities collateralized by par value | $ 2,062 | [3],[4] |
Coupon rate on underlying collateral | 2.88% | [3],[4] |
Maturity date of securities | 2023-11 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 2,098 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $1,939 U.S. Treasury Note, Coupon 2.75%, Maturity Date 2023 08 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 1,975 | |
Rate | 2.90% | |
Securities collateralized by par value | $ 1,939 | [3],[4] |
Coupon rate on underlying collateral | 2.75% | [3],[4] |
Maturity date of securities | 2023-08 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 1,975 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $1,900 Exchange-Traded Corporate Debt, Coupon 5.95%, Maturity Date 2026 12 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 1,710 | |
Rate | (1.65%) | |
Securities collateralized by par value | $ 1,900 | [3],[4] |
Coupon rate on underlying collateral | 5.95% | [3],[4] |
Maturity date of securities | 2026-12 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 1,710 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $1,355 U.S. Treasury Note, Coupon 2.75%, Maturity Date 2023 04 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 1,369 | |
Rate | 3.05% | |
Securities collateralized by par value | $ 1,355 | [3],[4] |
Coupon rate on underlying collateral | 2.75% | [3],[4] |
Maturity date of securities | 2023-04 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 1,369 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | Morgan Stanley Collateralized by Par Value $1,000 Exchange-Traded Corporate Debt, Coupon 5.95%, Maturity Date 2026 12 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 957 | |
Rate | (2.15%) | |
Securities collateralized by par value | $ 1,000 | [3],[4] |
Coupon rate on underlying collateral | 5.95% | [3],[4] |
Maturity date of securities | 2026-12 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 957 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $1,200 Exchange-Traded Corporate Debt, Coupon 9.88%, Maturity Date 2024 02 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 797 | |
Rate | (0.75%) | |
Securities collateralized by par value | $ 1,200 | [3],[4] |
Coupon rate on underlying collateral | 9.88% | [3],[4] |
Maturity date of securities | 2024-02 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 797 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $800 Exchange-Traded Corporate Debt, Coupon 9.88%, Maturity Date 2024 02 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 531 | |
Rate | (1.25%) | |
Securities collateralized by par value | $ 800 | [3],[4] |
Coupon rate on underlying collateral | 9.88% | [3],[4] |
Maturity date of securities | 2024-02 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 531 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $500 Exchange-Traded Corporate Debt, Coupon 5.75%, Maturity Date 2022 10 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 525 | |
Rate | 2.05% | |
Securities collateralized by par value | $ 500 | [3],[4] |
Coupon rate on underlying collateral | 5.75% | [3],[4] |
Maturity date of securities | 2022-10 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 525 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $463 U.S. Treasury Note, Coupon 2.63%, Maturity Date 2023 06 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 469 | |
Rate | 3.05% | |
Securities collateralized by par value | $ 463 | [3],[4] |
Coupon rate on underlying collateral | 2.63% | [3],[4] |
Maturity date of securities | 2023-06 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 469 | |
Investments maturity date | 2019-01 | [3],[4] |
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $100 Exchange-Traded Corporate Debt, Coupon 5.95%, Maturity Date 2026 12 [Member] | ||
Schedule of Investments [Line Items] | ||
Current Principal/Notional Amount | $ 87 | |
Rate | (1.85%) | |
Securities collateralized by par value | $ 100 | [3],[4] |
Coupon rate on underlying collateral | 5.95% | [3],[4] |
Maturity date of securities | 2026-12 | [3],[4] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 87 | |
Investments maturity date | 2019-01 | [3],[4] |
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | |
[2] | Classification percentages are based on Total Equity. | |
[3] | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. | |
[4] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. |
Consolidated Condensed Schedu_4
Consolidated Condensed Schedule of Investments (Investments Sold Short) shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2018USD ($)shares | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investments sold short, at fair value- | $ (850,577) | |
Proceeds from investments sold short | $ (844,604) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investment Sold, Not yet Purchased, Percent of Equity | (129.87%) | [1],[2],[3] |
Current Principal/Notional Amount | $ (753,697) | |
Investments sold short, at fair value- | (772,964) | |
Proceeds from investments sold short | (766,777) | [1],[3] |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4 Point 50 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (156,590) | |
Rate | 4.50% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (162,119) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 Year) 4 Point 50 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (117,590) | |
Rate | 4.50% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (121,637) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4 Point 00 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (107,397) | |
Rate | 4.00% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (109,465) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5 Point 00 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (87,817) | |
Rate | 5.00% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (91,971) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 Year) 4 Point 00 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (86,893) | |
Rate | 4.00% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (88,994) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3 Point 50 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (76,912) | |
Rate | 3.50% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (76,891) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 Year) 3 Point 50 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (32,260) | |
Rate | 3.50% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (32,484) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3 Point 50 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (26,530) | |
Rate | 3.50% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (26,859) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4 Point 50 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (24,841) | |
Rate | 4.50% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (25,707) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3 Point 00 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (16,557) | |
Rate | 3.00% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (16,153) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3 Point 00 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (13,450) | |
Rate | 3.00% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (13,426) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5 Point 50 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (6,860) | |
Rate | 5.50% | |
Investments maturity date | 2019-01 | [1],[3] |
Investments sold short, at fair value- | $ (7,258) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investment Sold, Not yet Purchased, Percent of Equity | (66.31%) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investment Sold, Not yet Purchased, Percent of Equity | (22.71%) | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investment Sold, Not yet Purchased, Percent of Equity | (40.85%) | |
US Government Debt Securities [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investment Sold, Not yet Purchased, Percent of Equity | (5.85%) | [2],[3] |
Investments sold short, at fair value- | $ (34,817) | |
Proceeds from investments sold short | (34,410) | [3] |
US Government Debt Securities [Member] | U.S. Treasury Note, 2.88 Percent, Maturity Date 2021 11 [Member] | Government [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (13,600) | |
Rate | 2.88% | |
Investments maturity date | 2021-11 | [3] |
Investments sold short, at fair value- | $ (13,754) | |
US Government Debt Securities [Member] | U.S. Treasury Note, 2.88 Percent, Maturity Date 2023 10 [Member] | Government [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (10,451) | |
Rate | 2.88% | |
Investments maturity date | 2023-10 | [3] |
Investments sold short, at fair value- | $ (10,631) | |
US Government Debt Securities [Member] | U.S. Treasury Note, 3.13 Percent, Maturity Date 2028 11 [Member] | Government [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (3,400) | |
Rate | 3.13% | |
Investments maturity date | 2028-11 | [3] |
Investments sold short, at fair value- | $ (3,528) | |
US Government Debt Securities [Member] | U.S. Treasury Note, 2.88 Percent, Maturity Date 2028 08 [Member] | Government [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (2,800) | |
Rate | 2.88% | |
Investments maturity date | 2028-08 | [3] |
Investments sold short, at fair value- | $ (2,844) | |
US Government Debt Securities [Member] | U.S. Treasury Note, 2.88 Percent, Maturity Date 2023 11 [Member] | Government [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (2,062) | |
Rate | 2.88% | |
Investments maturity date | 2023-11 | [3] |
Investments sold short, at fair value- | $ (2,098) | |
US Government Debt Securities [Member] | U.S. Treasury Note, 2.75 Percent, Maturity Date 2023 08 [Member] | Government [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (1,939) | |
Rate | 2.75% | |
Investments maturity date | 2023-08 | [3] |
Investments sold short, at fair value- | $ (1,962) | |
Debt Security, Government, Non-US [Member] | Europe [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investment Sold, Not yet Purchased, Percent of Equity | (3.25%) | [2],[3] |
Investments sold short, at fair value- | $ (19,334) | |
Proceeds from investments sold short | (19,545) | [3] |
Debt Security, Government, Non-US [Member] | European Sovereign Bond [Member] | Government [Member] | Europe [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | (19,006) | |
Investments sold short, at fair value- | $ (19,334) | |
Debt Security, Government, Non-US [Member] | European Sovereign Bond [Member] | Government [Member] | Europe [Member] | Minimum | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Rate | 0.75% | [3] |
Investments maturity date | 2019-04 | [3] |
Debt Security, Government, Non-US [Member] | European Sovereign Bond [Member] | Government [Member] | Europe [Member] | Maximum | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Rate | 2.75% | [3] |
Investments maturity date | 2021-07 | [3] |
Government debt | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investment Sold, Not yet Purchased, Percent of Equity | (9.10%) | [2],[3] |
Investments sold short, at fair value- | $ (54,151) | |
Proceeds from investments sold short | $ (53,955) | [3] |
Common stock | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investment Sold, Not yet Purchased, Percent of Equity | (2.84%) | [2],[3] |
Investments sold short, at fair value- | $ (16,933) | |
Proceeds from investments sold short | (17,164) | [3] |
Common stock | Exchange Traded Equity [Member] | Financial [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investments sold short, at fair value- | $ (16,933) | |
Investment Sold, Not yet Purchased, Balance, Shares | shares | (277) | |
Corporate debt securities | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investment Sold, Not yet Purchased, Percent of Equity | (1.10%) | [2],[3] |
Investments sold short, at fair value- | $ (6,529) | |
Proceeds from investments sold short | (6,708) | [3] |
Corporate debt securities | Various Issuer [Member] | Communications [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (1,730) | |
Rate | 4.25% | |
Investments maturity date | 2023-09 | [3] |
Investments sold short, at fair value- | $ (1,734) | |
Corporate debt securities | Various Issuer [Member] | Consumer [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (500) | |
Rate | 5.75% | |
Investments maturity date | 2022-10 | [3] |
Investments sold short, at fair value- | $ (500) | |
Corporate debt securities | Various Issuer [Member] | Energy [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (2,000) | |
Rate | 9.88% | |
Investments maturity date | 2024-02 | [3] |
Investments sold short, at fair value- | $ (1,230) | |
Corporate debt securities | Various Issuer [Member] | Financial [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | (3,600) | |
Investments sold short, at fair value- | $ (2,810) | |
Corporate debt securities | Various Issuer [Member] | Financial [Member] | North America [Member] | Minimum | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Rate | 4.70% | [3] |
Investments maturity date | 2026-12 | [3] |
Corporate debt securities | Various Issuer [Member] | Financial [Member] | North America [Member] | Maximum | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Rate | 5.95% | [3] |
Investments maturity date | 2027-06 | [3] |
Corporate debt securities | Various Issuer [Member] | Technology Sector [Member] | North America [Member] | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Current Principal/Notional Amount | $ (288) | |
Rate | 4.95% | |
Investments maturity date | 2023-04 | [3] |
Investments sold short, at fair value- | $ (255) | |
Investments Sold Short | ||
Investments Sold, Not yet Purchased [Line Items] | ||
Investment Sold, Not yet Purchased, Percent of Equity | (142.91%) | [2],[3] |
Investments sold short, at fair value- | $ (850,577) | |
Proceeds from investments sold short | $ (844,604) | [3] |
[1] | At December 31, 2018, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 66.31%, 22.71%, and 40.85% of Total Equity, respectively. | |
[2] | Classification percentages are based on Total Equity. | |
[3] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. |
Consolidated Condensed Schedu_5
Consolidated Condensed Schedule of Investments (Financial Derivatives) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018USD ($)contract | ||
Investment Holdings, Other than Securities [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 20,001 | [1] |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | (20,806) | [1] |
Net cost | 22,526 | |
Net proceeds | $ (19,019) | |
Short | Foreign Exchange Future [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Number of contracts | contract | 411 | |
Short | US Treasury Note Futures [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Number of contracts | contract | 1,516 | |
Financial Derivatives - Assets | ||
Investment Holdings, Other than Securities [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 20,001 | |
Investment owned as a percentage of equity | 3.36% | [2],[3] |
Net cost | $ 22,526 | [3] |
Financial Derivatives - Assets | Swap [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 19,995 | |
Investment owned as a percentage of equity | 3.36% | [2],[3] |
Net cost | $ 22,524 | [3] |
Financial Derivatives - Assets | Futures | ||
Investment Holdings, Other than Securities [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 0 | |
Investment owned as a percentage of equity | 0.00% | [2],[3] |
Financial Derivatives - Assets | Options | ||
Investment Holdings, Other than Securities [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 0 | |
Investment owned as a percentage of equity | 0.00% | [2],[3] |
Net cost | $ 2 | [3] |
Financial Derivatives - Assets | Forwards | ||
Investment Holdings, Other than Securities [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 6 | |
Investment owned as a percentage of equity | 0.00% | [2],[3] |
Financial Derivatives - Assets | Long | Credit default swaps on asset-backed indices | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 689 | |
Financial derivatives–assets, at fair value- | $ 7 | |
Financial Derivatives - Assets | Long | Credit default swaps on asset-backed indices | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2037-12 | [3],[4] |
Financial Derivatives - Assets | Long | Credit default swaps on asset-backed indices | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | [3],[4] | |
Financial Derivatives - Assets | Long | Credit default swaps on corporate bond indices | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 47,815 | |
Financial derivatives–assets, at fair value- | $ 733 | |
Financial Derivatives - Assets | Long | Credit default swaps on corporate bond indices | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2019-06 | [3],[4] |
Financial Derivatives - Assets | Long | Credit default swaps on corporate bond indices | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-06 | [3],[4] |
Financial Derivatives - Assets | Long | Interest rate swaps | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 29,198 | |
Financial derivatives–assets, at fair value- | $ 61 | |
Financial Derivatives - Assets | Long | Interest rate swaps | Minimum | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2019-01 | [3],[5] |
Financial Derivatives - Assets | Long | Interest rate swaps | Maximum | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2019-02 | [3],[5] |
Financial Derivatives - Assets | Long | Interest Rate Cap [Member] | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 51,545 | |
Financial derivatives–assets, at fair value- | $ 0 | |
Investment maturity date | 2019-05 | [3],[6] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | ||
Investment Holdings, Other than Securities [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 1,003 | |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Basic Materials [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | 4 | |
Financial derivatives–assets, at fair value- | $ 0 | |
Investment maturity date | 2022-12 | [3],[4] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 3,090 | |
Financial derivatives–assets, at fair value- | $ 18 | |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-12 | [3],[4] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-12 | [3],[4] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Consumer [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 10,655 | |
Financial derivatives–assets, at fair value- | $ 868 | |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Consumer [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-06 | [3],[4] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Consumer [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-12 | [3],[4] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Energy [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-06 | [3],[4] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Energy [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-06 | [3],[4] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Financial [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 930 | |
Financial derivatives–assets, at fair value- | $ 104 | |
Investment maturity date | 2023-12 | [3],[4] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Industrial Sector [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 485 | |
Financial derivatives–assets, at fair value- | $ 13 | |
Investment maturity date | 2023-12 | [3],[4] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Technology Sector [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-06 | [3],[4] |
Financial Derivatives - Assets | Long | North America [Member] | Credit default swaps on corporate bonds | Technology Sector [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-06 | [3],[4] |
Financial Derivatives - Assets | Short | Credit default swaps on asset-backed indices | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (56,207) | |
Financial derivatives–assets, at fair value- | $ 8,085 | |
Financial Derivatives - Assets | Short | Credit default swaps on asset-backed indices | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2046-05 | [3],[7] |
Financial Derivatives - Assets | Short | Credit default swaps on asset-backed indices | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2059-11 | [3],[7] |
Financial Derivatives - Assets | Short | Interest rate swaps | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (353,741) | |
Financial derivatives–assets, at fair value- | $ 7,163 | |
Financial Derivatives - Assets | Short | Interest rate swaps | Minimum | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-03 | [3],[8] |
Financial Derivatives - Assets | Short | Interest rate swaps | Maximum | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2045-12 | [3],[8] |
Financial Derivatives - Assets | Short | US Treasury Note Futures [Member] | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (151,600) | |
Financial derivatives–assets, at fair value- | $ 0 | |
Investment maturity date | 2019-03 | [3],[9] |
Financial Derivatives - Assets | Short | Forwards | Currency risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (802) | |
Financial derivatives–assets, at fair value- | $ 6 | |
Investment maturity date | 2019-03 | [3],[10] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | ||
Investment Holdings, Other than Securities [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 1,470 | |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Basic Materials [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2021-12 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Basic Materials [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-12 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (906) | |
Financial derivatives–assets, at fair value- | $ 226 | |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2021-12 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-12 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Consumer [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (2,065) | |
Financial derivatives–assets, at fair value- | $ 30 | |
Investment maturity date | 2020-03 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Energy [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (7,610) | |
Financial derivatives–assets, at fair value- | $ 950 | |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Energy [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2019-06 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Energy [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-06 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Industrial Sector [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (2,074) | |
Financial derivatives–assets, at fair value- | 25 | |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Technology Sector [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | (4,070) | |
Financial derivatives–assets, at fair value- | $ 239 | |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Technology Sector [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-06 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on corporate bonds | Technology Sector [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2022-06 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on asset-backed securities | Mortgage-related Residential [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (3,186) | |
Financial derivatives–assets, at fair value- | $ 1,472 | |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on asset-backed securities | Mortgage-related Residential [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2035-06 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Credit default swaps on asset-backed securities | Mortgage-related Residential [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2035-12 | [3],[7] |
Financial Derivatives - Assets | Short | North America [Member] | Total return swaps | ||
Investment Holdings, Other than Securities [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 1 | |
Financial Derivatives - Assets | Short | North America [Member] | Total return swaps | Financial [Member] | Equity Market Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | (17,740) | |
Financial derivatives–assets, at fair value- | $ 1 | |
Financial Derivatives - Assets | Short | North America [Member] | Total return swaps | Financial [Member] | Minimum | Equity Market Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2019-07 | [3],[11] |
Financial Derivatives - Assets | Short | North America [Member] | Total return swaps | Financial [Member] | Maximum | Equity Market Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2019-10 | [3],[11] |
Financial Derivatives - Liabilities | ||
Investment Holdings, Other than Securities [Line Items] | ||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 20,806 | |
Investment owned as a percentage of equity | (3.50%) | [2],[3] |
Net proceeds | $ (19,019) | [3] |
Financial Derivatives - Liabilities | Swap [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 20,331 | |
Investment owned as a percentage of equity | (3.42%) | [2],[3] |
Net proceeds | $ (19,019) | [3] |
Financial Derivatives - Liabilities | Futures | ||
Investment Holdings, Other than Securities [Line Items] | ||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 355 | |
Investment owned as a percentage of equity | (0.06%) | [2],[3] |
Financial Derivatives - Liabilities | Forwards | ||
Investment Holdings, Other than Securities [Line Items] | ||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 120 | |
Investment owned as a percentage of equity | (0.02%) | [2],[3] |
Financial Derivatives - Liabilities | Long | Credit default swaps on asset-backed indices | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 14,838 | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 2,125 | |
Financial Derivatives - Liabilities | Long | Credit default swaps on asset-backed indices | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2049-03 | [3],[4] |
Financial Derivatives - Liabilities | Long | Credit default swaps on asset-backed indices | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2060-11 | [3],[4] |
Financial Derivatives - Liabilities | Long | Credit default swaps on corporate bond indices | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 2,330 | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 1,467 | |
Investment maturity date | 2023-12 | [3] |
Financial Derivatives - Liabilities | Long | Interest rate swaps | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 113,809 | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 1,987 | |
Financial Derivatives - Liabilities | Long | Interest rate swaps | Minimum | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2021-06 | [3],[5] |
Financial Derivatives - Liabilities | Long | Interest rate swaps | Maximum | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2029-01 | [3],[5] |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | ||
Investment Holdings, Other than Securities [Line Items] | ||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 2,482 | |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Basic Materials [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | 2,000 | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 25 | |
Investment maturity date | 2023-12 | [3],[4] |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 2,313 | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 396 | |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2022-06 | [3],[4] |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-12 | [3],[4] |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Consumer [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 3,741 | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 62 | |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Consumer [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-03 | [3],[4] |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Consumer [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2021-06 | [3],[4] |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Energy [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 5,144 | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 1,885 | |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Energy [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-06 | [3],[4] |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Energy [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-06 | [3],[4] |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Technology Sector [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ 1,953 | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 114 | |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Technology Sector [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-06 | [3],[4] |
Financial Derivatives - Liabilities | Long | North America [Member] | Credit default swaps on corporate bonds | Technology Sector [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-06 | [3],[4] |
Financial Derivatives - Liabilities | Long | North America [Member] | Recovery swaps | ||
Investment Holdings, Other than Securities [Line Items] | ||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 8 | |
Financial Derivatives - Liabilities | Long | North America [Member] | Recovery swaps | Consumer [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | 2,600 | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 8 | |
Investment maturity date | 2019-06 | [3],[12] |
Financial Derivatives - Liabilities | Short | Credit default swaps on corporate bond indices | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (279,163) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 10,090 | |
Financial Derivatives - Liabilities | Short | Credit default swaps on corporate bond indices | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2019-06 | [3],[7] |
Financial Derivatives - Liabilities | Short | Credit default swaps on corporate bond indices | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-12 | [3],[7] |
Financial Derivatives - Liabilities | Short | Interest rate swaps | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (71,672) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 1,406 | |
Financial Derivatives - Liabilities | Short | Interest rate swaps | Minimum | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-05 | [3],[8] |
Financial Derivatives - Liabilities | Short | Interest rate swaps | Maximum | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2028-11 | [3],[8] |
Financial Derivatives - Liabilities | Short | Interest Rate Swaps Variable rates only [Member] | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (12,900) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 4 | |
Investment maturity date | 2019-06 | [3],[13] |
Financial Derivatives - Liabilities | Short | Total return swaps | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (11,230) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 6 | |
Investment maturity date | 2019-03 | [3],[14] |
Financial Derivatives - Liabilities | Short | Eurodollar futures | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (98,000) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 53 | |
Number of contracts per every $1,000,000 in notional value | contract | 1 | |
Financial Derivatives - Liabilities | Short | Eurodollar futures | Minimum | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2019-03 | [3],[15] |
Financial Derivatives - Liabilities | Short | Eurodollar futures | Maximum | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2020-06 | [3],[15] |
Financial Derivatives - Liabilities | Short | Foreign Exchange Future [Member] | Interest Rate Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (47,931) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 302 | |
Investment maturity date | 2019-03 | [3] |
Financial Derivatives - Liabilities | Short | Forwards | Currency risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (16,497) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 120 | |
Investment maturity date | 2019-03 | [3],[10] |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | ||
Investment Holdings, Other than Securities [Line Items] | ||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 756 | |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | Basic Materials [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | (1,180) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 57 | |
Investment maturity date | 2019-12 | [3],[7] |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (3,910) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 11 | |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2019-12 | [3],[7] |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | Communications [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-12 | [3],[7] |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | Consumer [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (12,830) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 567 | |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | Consumer [Member] | Minimum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2019-06 | [3],[7] |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | Consumer [Member] | Maximum | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Investment maturity date | 2023-12 | [3],[7] |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | Financial [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (930) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 104 | |
Investment maturity date | 2023-12 | [3],[7] |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | Industrial Sector [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (485) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 13 | |
Investment maturity date | 2023-12 | [3],[7] |
Financial Derivatives - Liabilities | Short | North America [Member] | Credit default swaps on corporate bonds | Technology Sector [Member] | Credit Risk [Member] | ||
Investment Holdings, Other than Securities [Line Items] | ||
Derivative notional | $ (1,160) | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 4 | |
Investment maturity date | 2019-06 | [3],[7] |
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | |
[2] | Classification percentages are based on Total Equity. | |
[3] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |
[4] | For long credit default swaps, the Company sold protection. | |
[5] | For long interest rate swap contracts, the Company pays a floating rate and receives a fixed rate. | |
[6] | Notional value represents the amount on which interest payments are calculated to the extent the market interest rate exceeds the rate cap on the contract. | |
[7] | For short credit default swaps, the Company purchased protection. | |
[8] | For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate. | |
[9] | Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of December 31, 2018, a total of 1,516 contracts were held. | |
[10] | Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract. | |
[11] | Notional value represents number of underlying shares multiplied by the closing price of the underlying security. | |
[12] | For long recovery swaps the Company receives a specified recovery rate in exchange for the actual recovery rate on the underlying. | |
[13] | Represents interest rate "basis" swaps whereby the Company pays one floating rate and receives a different floating rate. | |
[14] | Notional value represents the number of underlying index units multiplied by the reference price. | |
[15] | Every $1,000,000 in notional value represents one contract. |
Condensed Consolidated Statemen
Condensed Consolidated Statement of Operations - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | |||
Net Interest Income | ||||
Interest income | $ 36,016 | $ 28,092 | [1] | |
Interest expense | (17,618) | (11,562) | ||
Total net interest income | 18,398 | |||
Other income | 716 | |||
Total investment income | 28,808 | |||
Other Income (Loss) | ||||
Realized gains (losses) on securities and loans, net | (5,322) | |||
Realized gains (losses) on financial derivatives, net | (11,570) | |||
Realized gains (losses) on real estate owned, net | (58) | |||
Unrealized gains (losses) on securities and loans, net | 26,388 | |||
Unrealized gains (losses) on financial derivatives, net | (5,689) | 4,044 | ||
Unrealized gains (losses) on real estate owned, net | (247) | |||
Other, net | 2,002 | |||
Total other income (loss) | 5,504 | |||
Expenses | ||||
Base management fee to affiliate (Net of fee rebates) | 1,722 | [2] | 1,978 | [3] |
Other investment related expenses | ||||
Servicing expense | 2,393 | 1,456 | ||
Other | 1,083 | 1,496 | ||
Professional fees | 1,956 | 648 | ||
Administration fees | 179 | |||
Compensation expense | 1,072 | 510 | ||
Insurance expense | 125 | |||
Directors' fees and expenses | 73 | |||
Share-based long term incentive plan unit expense | 116 | 93 | ||
Other expenses | 446 | |||
Other expenses | 985 | |||
Total expenses | 18,566 | |||
Total expenses | 9,211 | |||
NET INVESTMENT INCOME | 10,242 | |||
Net realized gain (loss) on: | ||||
Investments | 12,584 | |||
Financial derivatives, excluding currency hedges | 902 | |||
Financial derivatives—currency hedges | (2,204) | |||
Foreign currency transactions | 25 | 1,769 | ||
Total net realized gain (loss) | 13,051 | |||
Change in net unrealized gain (loss) on: | ||||
Investments | (6,851) | |||
Other secured borrowings | 784 | |||
Financial derivatives, excluding currency hedges | 3,197 | |||
Financial derivatives—currency hedges | 800 | |||
Foreign currency translation | 21 | 101 | ||
Net unrealized gain (loss) | (1,969) | |||
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, OTHER SECURED BORROWINGS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | 11,082 | |||
NET INCREASE IN EQUITY RESULTING FROM OPERATIONS | 21,324 | |||
Net Income (Loss) before Earnings from Investments in Unconsolidated Entities | 14,691 | |||
Earnings from investments in unconsolidated entities | 1,797 | |||
Net Income (Loss) | 16,488 | |||
Net Income (Loss) Attributable to Non-Controlling Interests | 1,080 | 285 | ||
Net Income (Loss) Attributable to Common Stockholders | $ 15,408 | $ 21,039 | ||
Net Income (Loss) per Common Share: | ||||
Basic and Diluted (USD per share) | $ 0.52 | $ 0.67 | ||
Dividends declared (in usd per share) | $ 0.55 | $ 0.41 | ||
[1] | Includes interest income and interest expense of a consolidated securitization trust of $1.3 million and $0.9 million, respectively, for the three-month period ended March 31, 2018. See Note 6 for further details on the Company's consolidated securitization trust. | |||
[2] | See Note 13 for further details on management fee rebates. | |||
[3] | See Note 9 for further details on management fee rebates. |
Condensed Consolidated Statem_2
Condensed Consolidated Statement of Operations (Parenthetical) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018USD ($) | ||
Securitization Transactions [Line Items] | ||
Management fee rebate | $ 1,380 | |
Interest income | 28,092 | [1] |
Interest expense | 11,562 | |
Consolidated Entities [Member] | ||
Securitization Transactions [Line Items] | ||
Interest income | 1,300 | |
Interest expense | $ 900 | |
[1] | Includes interest income and interest expense of a consolidated securitization trust of $1.3 million and $0.9 million, respectively, for the three-month period ended March 31, 2018. See Note 6 for further details on the Company's consolidated securitization trust. |
Condensed Consolidated Statem_3
Condensed Consolidated Statement of Changes in Equity - USD ($) $ in Thousands | Total | Total Stockholders' Equity | Common Stock | Additional Paid-in Capital | Retained Earnings/(Accumulated Deficit) | Non-controlling Interest | |
Beginning balance (in shares) at Dec. 31, 2017 | 31,335,938 | ||||||
Beginning balance at Dec. 31, 2017 | $ 620,961 | $ 600,099 | $ 20,862 | ||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||||
Contributions from non-controlling interests | 1,236 | 1,236 | |||||
Dividends | (12,850) | (12,763) | (87) | ||||
Distributions to non-controlling interests | (6,848) | (6,848) | |||||
Adjustment to non-controlling interests | $ 0 | (27) | 27 | ||||
Repurchase of shares of common stock (in shares) | (943,897) | ||||||
Repurchase of shares of common stock | $ (13,966) | (13,966) | |||||
Share-based long term incentive plan unit redemption and distribution | $ 93 | 92 | 1 | ||||
Ending balance (in shares) at Mar. 31, 2018 | 30,392,041 | ||||||
Ending balance at Mar. 31, 2018 | $ 609,950 | 594,474 | 15,476 | ||||
Change In Shareholders' Equity Resulting From Operations [Abstract] | |||||||
Net investment income | 10,242 | ||||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 13,051 | ||||||
Change in net unrealized gain (loss) on investments, other secured borrowings, financial derivatives, and foreign currency translation | (1,969) | ||||||
Net increase in equity resulting from operations | 21,324 | 21,039 | 285 | ||||
Net increase (decrease) in equity from transactions | (32,335) | (26,664) | (5,671) | ||||
Net increase (decrease) in equity | $ (11,011) | (5,625) | (5,386) | ||||
Beginning balance (in shares) at Dec. 31, 2018 | 29,796,601 | 29,796,601,000 | |||||
Beginning balance at Dec. 31, 2018 | $ 595,170 | 563,833 | $ 0 | $ 665,356 | $ (101,523) | 31,337 | |
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||||
Share conversion | [1] | 0 | $ 30 | (30) | |||
Net income (loss) | 16,488 | 15,408 | 15,408 | 1,080 | |||
Contributions from non-controlling interests | 2,512 | 2,512 | |||||
Dividends | [2] | (16,764) | (16,360) | (16,360) | (404) | ||
Distributions to non-controlling interests | (4,306) | (4,306) | |||||
Adjustment to non-controlling interests | $ 0 | (4) | (4) | 4 | |||
Repurchase of shares of common stock (in shares) | (50,825) | (50,825,000) | |||||
Repurchase of shares of common stock | $ (782) | (782) | (782) | ||||
Share-based long term incentive plan unit awards | $ 116 | 114 | 114 | 2 | |||
Ending balance (in shares) at Mar. 31, 2019 | 29,745,776 | 29,745,776,000 | |||||
Ending balance at Mar. 31, 2019 | $ 592,434 | $ 562,209 | $ 30 | $ 664,654 | $ (102,475) | $ 30,225 | |
[1] | See Note 1 for further details on the share conversion. | ||||||
[2] | For the three-month period ended March 31, 2019, dividends totaling $0.55 per share of common stock outstanding were declared. |
Condensed Consolidated Statem_4
Condensed Consolidated Statement of Changes in Equity (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Statement of Stockholders' Equity [Abstract] | ||
Dividends declared (in usd per share) | $ 0.55 | $ 0.41 |
Dividends paid (in usd per share) | $ 0.55 | $ 0.41 |
Condensed Consolidated Statem_5
Condensed Consolidated Statement of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | |||
Statement of Cash Flows [Abstract] | ||||
NET INCREASE IN EQUITY RESULTING FROM OPERATIONS | $ 21,324 | |||
Reconciliation of the net increase (decrease) in equity resulting from operations to net cash provided by (used in) operating activities: | ||||
Net realized (gain) loss on investments, financial derivatives, and foreign currency transactions | (11,573) | |||
Change in net unrealized (gain) loss on investments, other secured borrowings, financial derivatives, and foreign currency translation | 988 | |||
Amortization of premiums and accretion of discounts, net | 9,933 | |||
Purchase of investments | (1,058,635) | |||
Proceeds from disposition of investments | 645,213 | |||
Proceeds from principal payments of investments | 118,663 | |||
Proceeds from investments sold short | 1,053,526 | |||
Repurchase of investments sold short | (994,295) | |||
Payments on financial derivatives | (38,996) | |||
Proceeds from financial derivatives | 38,316 | |||
Amortization of deferred debt issuance costs | 66 | |||
Share-based long term incentive plan unit expense | $ 116 | 93 | ||
Interest income related to consolidated securitization trust(1) | [1] | (944) | ||
Interest expense related to consolidated securitization trust | [1] | 944 | ||
Repurchase agreements | 23,411 | |||
(Increase) decrease in assets: | ||||
Receivable for securities sold and financial derivatives | (46,126) | |||
Due from brokers, net | 44,855 | |||
Interest and principal receivable | (2,800) | |||
Other assets | 30,041 | |||
Increase (decrease) in liabilities: | ||||
Due to brokers | 19,333 | |||
Payable for securities purchased and financial derivatives | 22,816 | |||
Accounts payable and accrued expenses | (9) | |||
Other liabilities | 38 | |||
Interest and dividends payable | (736) | |||
Base management fee payable to affiliate | (135) | |||
Net cash provided by (used in) operating activities | 20,992 | (124,689) | ||
Cash Flows from Investing Activities: | ||||
Purchase of securities | (617,445) | |||
Purchase of loans | (260,716) | |||
Capital improvements of real estate owned | (240) | |||
Proceeds from disposition of securities | 682,337 | |||
Proceeds from disposition of loans | 10,296 | |||
Contributions to investments in unconsolidated entities | (13,245) | |||
Distributions from investments in unconsolidated entities | 27,585 | |||
Proceeds from disposition of real estate owned | 9 | |||
Proceeds from principal payments of securities | 36,414 | |||
Proceeds from principal payments of loans | 87,481 | |||
Proceeds from securities sold short | 278,033 | |||
Repurchase of securities sold short | (329,382) | |||
Payments on financial derivatives | (32,285) | |||
Proceeds from financial derivatives | 22,161 | |||
Payments made on reverse repurchase agreements | (1,536,791) | |||
Proceeds from reverse repurchase agreements | 1,572,683 | |||
Due from brokers, net | 11,026 | |||
Due to brokers, net | (2,476) | |||
Net cash provided by (used in) investing activities | (64,555) | |||
Cash flows provided by (used in) financing activities: | ||||
Repurchase of common stock | (782) | (13,966) | ||
Dividends paid | (12,497) | (12,850) | ||
Contributions from non-controlling interests | 2,512 | 1,236 | ||
Distributions to non-controlling interests | (4,306) | (6,848) | ||
Proceeds from issuance of Other secured borrowings | 16,680 | 18,910 | ||
Principal payments on Other secured borrowings | (13,465) | (4,939) | ||
Borrowings under repurchase agreements | 1,507,161 | 896,028 | ||
Repayments of repurchase agreements | (1,443,871) | (774,400) | ||
Due from brokers, net | 3,707 | |||
Due to brokers, net | (606) | |||
Net cash provided by (used in) financing activities | 54,533 | 103,171 | ||
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | 10,970 | (21,518) | ||
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | 45,081 | 47,658 | [2] | |
Cash, Cash Equivalents, and Restricted Cash, End of Period | 56,051 | 26,140 | ||
Supplemental disclosure of cash flow information: | ||||
Interest paid | 19,782 | 12,252 | ||
Dividend payable | 4,267 | |||
Share-based long term incentive plan unit awards (non-cash) | 116 | 93 | ||
Transfers from mortgage loans to real estate owned (non-cash) | 299 | |||
Aggregate TBA trade activity (buys sells) (non-cash) | 6,552,290 | |||
Proceeds from principal payments of investments (non-cash) | 15,767 | 10,547 | ||
Principal payments on Other secured borrowings, at fair value (non-cash) | (15,767) | $ (10,547) | ||
Repayment of senior notes (non-cash) | (86,000) | |||
Issuance of senior notes (non-cash) | $ 86,000 | |||
[1] | Related to non-qualified mortgage securitization transactions. See Note 6 for further details. | |||
[2] | . |
Organization and Investment Obj
Organization and Investment Objective | 3 Months Ended |
Mar. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Investment Objective | Organization and Investment Objective Ellington Financial Inc., formerly known as Ellington Financial LLC, was originally formed as a Delaware limited liability company on July 9, 2007 and commenced operations on August 17, 2007. On February 28, 2019, Ellington Financial LLC filed a certificate of conversion with the Secretary of State of the State of Delaware (the "Secretary") to convert from a Delaware limited liability company to a Delaware corporation (the "Conversion") and change its name to Ellington Financial Inc. The Conversion became effective on March 1, 2019, and upon effectiveness, each of Ellington Financial LLC's existing common shares representing limited liability company interests, no par value, converted into one issued and outstanding, fully paid and nonassessable share of common stock, $0.001 par value per share, of Ellington Financial Inc. In connection with the Conversion, Ellington Financial Inc.'s Board of Directors (the "Board of Directors") approved Ellington Financial Inc.'s Certificate of Incorporation (which was also filed with the Secretary) and Bylaws. Ellington Financial Operating Partnership LLC (the "Operating Partnership"), a 97.6% owned consolidated subsidiary of Ellington Financial Inc., was formed as a Delaware limited liability company on December 14, 2012 and commenced operations on January 1, 2013. All of Ellington Financial Inc.'s operations and business activities are conducted through the Operating Partnership. Ellington Financial Inc., the Operating Partnership, and their consolidated subsidiaries are hereafter collectively referred to as the "Company." All intercompany accounts are eliminated in consolidation. The Company conducts its operations to qualify and be taxed as a real estate investment trust, or "REIT," under the Internal Revenue Code of 1986, as amended (the "Code"), and has elected to be taxed as a corporation effective January 1, 2019. The Company intends to qualify and will elect to be taxed as a REIT for U.S. federal income tax purposes commencing with the tax year ending December 31, 2019, the tax return for which is expected to be filed in 2020. In anticipation of the Company's intended election to be taxed as a REIT under the Code beginning with its 2019 taxable year (the "REIT Election"), the Company implemented an internal restructuring as of December 31, 2018. As part of this restructuring, the Company moved certain of its non-REIT-qualifying investments and financial derivatives to taxable REIT subsidiaries or, "TRSs," and disposed of certain of its investments in non-REIT-qualifying investments and financial derivatives. The Company invests in a diverse array of financial assets, including residential mortgage-backed securities, or "RMBS," commercial mortgage-backed securities, or "CMBS," residential and commercial mortgage loans, consumer loans and asset-backed securities, or "ABS," backed by consumer loans, collateralized loan obligations, or "CLOs," non-mortgage- and mortgage-related derivatives, equity investments in loan origination companies, and other strategic investments. Ellington Financial Management LLC ("EFM" or the "Manager") is an SEC-registered investment adviser and a registered commodity pool operator that serves as the Manager to the Company pursuant to the terms of its Seventh Amended and Restated Management Agreement (the "Management Agreement"), which was approved by the Board of Directors effective March 13, 2018. EFM is an affiliate of Ellington Management Group, L.L.C. ("Ellington"), an investment management firm that is registered as both an investment adviser and a commodity pool operator. In accordance with the terms of the Management Agreement, the Manager implements the investment strategy and manages the business and operations on a day-to-day basis for the Company and performs certain services for the Company, subject to oversight by the Board of Directors. Organization and Investment Objective Ellington Financial LLC was formed as a Delaware limited liability company on July 9, 2007 and commenced operations on August 17, 2007. Ellington Financial Operating Partnership LLC (the "Operating Partnership"), a 97.6% owned consolidated subsidiary of Ellington Financial LLC, was formed as a Delaware limited liability company on December 14, 2012 and commenced operations on January 1, 2013. All of the Company's operations and business activities are conducted through the Operating Partnership. Ellington Financial LLC, the Operating Partnership, and their consolidated subsidiaries are hereafter collectively referred to as the "Company." All intercompany accounts are eliminated in consolidation. The Company invests in a diverse array of financial assets, including residential mortgage-backed securities, or "RMBS," commercial mortgage-backed securities, or "CMBS," residential and commercial mortgage loans, consumer loans and asset-backed securities, or "ABS," backed by consumer loans, collateralized loan obligations, or "CLOs," non-mortgage and mortgage-related derivatives, equity investments in loan origination companies, and other strategic investments. Ellington Financial Management LLC ("EFM" or the "Manager") is an SEC-registered investment adviser and a registered commodity pool operator that serves as the Manager to the Company pursuant to the terms of its seventh amended and restated management agreement (the "Management Agreement"). EFM is an affiliate of Ellington Management Group, L.L.C., ("Ellington") an investment management firm that is registered as both an investment adviser and a commodity pool operator. In accordance with the terms of the Management Agreement, the Manager implements the investment strategy and manages the business and operations on a day-to-day basis for the Company and performs certain services for the Company, subject to oversight by the Company's Board of Directors ("Board of Directors"). |
Significant Accounting Policies
Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Significant Accounting Policies (A) Basis of Presentation : The Company's unaudited interim condensed consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," and Regulation S-X. The condensed consolidated financial statements include the accounts of the Company, the Operating Partnership, its subsidiaries, and variable interest entities, or "VIEs," for which the Company is deemed to be the primary beneficiary. All intercompany balances and transactions have been eliminated. The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the condensed consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim condensed consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2018. The Company adopted ASC 946, Financial Services—Investment Companies ("ASC 946") upon its commencement of operations in August 2007, and applied U.S. GAAP for investment companies. In connection with the Company's internal restructuring and the Company's intention to qualify as a REIT for the year ending December 31, 2019, the Company has determined that, effective January 1, 2019, it no longer qualifies for investment company accounting in accordance with ASC 946-10-25, and has prospectively discontinued its use. The Company will elect the fair value option, or "FVO," for, and therefore the Company will continue to measure at fair value, those of its assets and liabilities it had previously measured at fair value and for which such election is permitted, as provided for under ASC 825, Financial Instruments ("ASC 825"). Due to the prospective application of a change in accounting as required under ASC 946-10-25-2, the Company has determined that the presentation of its condensed consolidated financial statements for periods beginning after December 31, 2018 are not comparable to the consolidated financial statements previously prepared for prior periods for which the Company applied ASC 946. As a result, the Company has provided separate consolidated financial statements for applicable prior periods in Item 1 of this Quarterly Report on Form 10-Q. Reclassification and Presentation Effective January 1, 2019, the Company prospectively discontinued its application of ASC 946. Upon its change in status, the following significant changes and elections were made: • Investments in securities are now accounted for in accordance with ASC 320, Investments—Debt and Equity Securities ("ASC 320"); • The Company elected the FVO as provided for under ASC 825-10-25-4 for all eligible financial instruments for which the Company had previously measured at fair value, including investments in securities, loans, financial derivatives, and certain of the Company's secured borrowings. As a result, all changes in the fair value of such financial instruments will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations; • Real estate owned, or "REO," is not eligible for the FVO election. As a result, REO is carried at the lower of cost or fair value. The Company's cost basis in any REO that was previously measured at fair value under ASC 946 was adjusted on January 1, 2019 to equal the fair value of such investment as of December 31, 2018; • The Company elected not to designate its financial derivatives as hedging instruments in accordance with ASC 815, Derivatives and Hedging ("ASC 815"). As a result, all changes in the fair value of financial derivatives will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations; • Forward settling to-be-announced mortgage-backed-securities, or "TBAs," are no longer classified as investments. TBAs will be classified as financial derivatives, with the difference between the forward contract price and the market value of the TBA position as of the reporting date included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations; and • The Company is required to account for certain of its equity investments under ASC 323-10, Investments—Equity Method and Joint Ventures ("ASC 323-10"). The Company has elected the FVO for such equity investments and changes in fair value will be reported in Earnings from investments in unconsolidated entities, on the Condensed Consolidated Statement of Operations. The discontinuation of the Company's application of ASC 946 prospectively changed the presentation of the Company's condensed consolidated financial statements. The most significant changes are: • The Consolidated Statement of Assets, Liabilities, and Equity has been changed to a Condensed Consolidated Balance Sheet; • The Consolidated Condensed Schedule of Investments has been removed; • The Consolidated Statement of Operations is no longer presented in the format required under ASC 946. The Company will present the Condensed Consolidated Statement of Operations as required under U.S. GAAP for operating companies. A Consolidated Statement of Other Comprehensive Income (Loss) will be presented, if and when applicable; • The Condensed Consolidated Statement of Cash Flows has been changed, and now includes a section for investing activities; • Certain footnotes have been changed to reflect conformity with applicable U.S. GAAP for operating companies; • The Company re-evaluated its interests in all entities to determine whether they are variable interests, and re-evaluated its investments, including it investments in partially owned entities, to determine if they are VIEs, as required under ASC 810, Consolidation ("ASC 810"). The Company also re-evaluated consolidation considerations for all of its investments in VIEs and partially owned entities, as required under ASC 810. Applicable disclosures related to VIEs have been included in these notes to condensed consolidated financial statements; • Securities/loans sold under agreements to be repurchased at an agreed-upon price and date, which were formerly referred to as "reverse repurchase agreements," are now referred to as "repurchase agreements"; • Securities/loans purchased under agreements to resell at an agreed-upon price and date, which were formerly referred to as "repurchase agreements," are now referred to as "reverse repurchase agreements"; and • The financial highlights disclosures, which are not required under U.S. GAAP for operating companies, have been removed. (B) Valuation : The Company applies ASC 820-10, Fair Value Measurement ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: • Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives; • Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, and credit default swaps, or "CDS," on individual ABS, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, and private corporate debt and equity investments. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities, or "MBS," TBAs, CLOs, and corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given financial instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically classified as Level 2. Non-Agency RMBS, CMBS, Agency interest only and inverse interest only RMBS, CLOs, and corporate bonds are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. Private equity investments are generally classified as Level 3. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential and commercial mortgage loans and consumer loans, management determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. Management has obtained third-party valuations on the majority of these investments and expects to continue to solicit third-party valuations in the future. In determining fair value for non-performing mortgage loans, management evaluates third-party valuations, if applicable, as well as management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. In determining fair value for performing mortgage loans and consumer loans, management evaluates third-party valuations, if applicable, as well as discounted cash flows of the loans based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans are classified as Level 3. The Company has securitized certain mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans." The Company's securitized non-QM loans are held as part of a collateralized financing entity, or "CFE." A CFE is a VIE that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810 allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the FVO for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that each consolidated securitization trust meets the definition of a CFE; see Note 10 " Securitization Transactions — Residential Mortgage Loan Securitizations " for further discussion on the Company's securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of each of its CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of each of the CFEs to measure the fair value of the financial assets of each of the CFEs. The fair value of the debt issued by each CFE is typically valued using discounted cash flows and other market data. The securitized non-QM loans, which are assets of the CFEs, are included in Loans, at fair value, on the Company's Condensed Consolidated Balance Sheet. The debt issued by the CFEs is included in Other secured borrowings, at fair value, on the Company's Condensed Consolidated Balance Sheet. Unrealized gains (losses) from changes in fair value of Other secured borrowings, at fair value, are included in Other, net, on the Company's Condensed Consolidated Statement of Operations. The securitized non-QM loans and the debt issued by the Company's CFEs are both classified as Level 3. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities or indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally classified as Level 2. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are classified as Level 3. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its financial derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each financial derivative agreement. Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and independent third party valuation estimates. These investments are classified as Level 3. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2, based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee (the "Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's financial instruments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's condensed consolidated financial statements. (C) Accounting for Securities : Purchases and sales of investments in securities are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. Investments in securities are recorded in accordance with ASC 320 or ASC 325-40, Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company generally classifies its securities as available-for-sale. The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in securities. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, as a component of Unrealized gains (losses) on securities and loans, net, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all investment activities will be recorded in a similar manner. Many of the Company's investments in securities, such as MBS and CLOs, are issued by entities that are deemed to be VIEs. For the majority of such investments, the Company has determined it is not the primary beneficiary of such VIEs and therefore has not consolidated such VIEs. The Company's maximum risk of loss in these unconsolidated VIEs is generally limited to the fair value of the Company's investment in the VIE. The Company evaluates its investments in interest only securities to determine whether they meet the requirements for classification as financial derivatives under ASC 815. For interest only securities, where the holder is entitled only to a portion of the interest payments made on the mortgages underlying certain MBS, and inverse interest only securities, which are interest only securities whose coupon has an inverse relationship to its benchmark rate, such as LIBOR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities. The Company evaluates the cost basis of its investments in securities for other-than-temporary impairment, or "OTTI," on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired requires judgments, estimates, and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired, and the impairment is designated as either temporary or other-than-temporary. When a security's cost basis is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date), (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis, or (iii) the Company does not expect to recover the security's amortized cost basis, even if the Company does not intend to sell the security and it is not more likely than not that the Company will be required to sell the security. Additionally, for securities accounted for under ASC 325-40, an impairment of the cost basis is recorded when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows has occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those that a "market participant" would use and include observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments made to the cost basis of the security are reflected in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. (D) Accounting for Loans : The Company's loan portfolio generally consists of residential mortgage, commercial mortgage, and consumer loans. The Company's loans are accounted for under ASC 310-10, Receivables , and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. When the Company has the intent to sell loans, such loans will be classified as held-for-sale. Mortgage loans held-for-sale are accounted for under ASC 948-310, Financial services—mortgage banking. The Company may aggregate its loans into pools based on common risk characteristics at purchase. Once a pool of loans is assembled, its composition is maintained. The Company has chosen to elect the FVO pursuant to ASC 825 for its loan portfolios. Loans are recorded at fair value on the Condensed Consolidated Balance Sheet and changes in fair value are recorded in earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. For residential and commercial mortgage loans, the Company generally accrues interest payments. Such loans are typically moved to non-accrual status if the loan becomes 90 days or more delinquent. The Company does not accrue interest payments on its consumer loans; interest payments are recorded upon receipt. The Company evaluates the collectability of both interest and principal on each of its loan investments and whether the cost basis of the loan is impaired. A loan's cost basis is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it has elected the FVO on all of its loan investments. The Company will recognize impairments through an adjustment to the amortized cost basis and recognize a realized loss in the period such adjustment was made which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. (E) Interest Income : The Company amortizes premiums and accretes discounts on its debt securities. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon interest rate. For debt securities that are deemed to be of high credit quality at the time of purchase (generally Agency RMBS, exclusive of interest only securities), premiums and discounts are amortized/accreted into interest income over the life of such securities using the effective interest method. For such securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (generally non-Agency RMBS, CMBS, ABS, CLOs, and interest only securities) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. When the fair value of a debt security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company will adjust such impaired cost basis to the present value of the estimated future cash flows. This adjustment to the cost basis is reported in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. For purposes of estimating the future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Changes in projected cash flows will result in prospective changes in the yield/interest income recognized on such securities based on the updated expected future cash flows. For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, based on current information and events, the Company re-assesses the collectability of interest and principal, and generally designates a loan as in non-accrual status either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as in non-accrual status, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). For each loan purchased with evidence of credit deterioration since origination and the expectation that either principal or interest will not be paid in full, interest income is generally recognized using the effective interest method for as long as the cash flows can be reasonably estimated. Here, instead of amortizing the purchase discount (i.e., the excess of the unpaid principal balance over the purchase price) over the life of the loan, the Company effectively amortizes the accretable yield (i.e., the excess of the Company's estimate of the total cash flows to be collected over the life of the loan over the purchase price). Not less than quarterly, the Company updates its estimate of the cash flows expected to be collected over the life of the loan, and revised yields are prospectively applied. For certain groups of consumer loans that the Company considers as having sufficiently homogeneous characteristics, the Company aggregates such loans into pools, and accounts for each such pool as a single unit of account. The pool is then treated analogously to a debt security deemed not to be of high credit quality, in that (i) the aggregate premium or discount for the pool is amortized or accreted into interest income based on the pool's effective interest rate; (ii) the effective interest rate is determined based on the net expected cash flows of the pool, taking into account estimates of prepayments, defaults, and loss severities; and (iii) estimates are updated not less than quarterly and revised yields are prospectively applied. In estimating future cash flows on the Company's debt securities, there are a number of assumptions that will be subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. (F) Investments in unconsolidated entities : The Company has made and may in the future make non-controlling equity investments in various entities, such as loan originators. Such investments are generally in the form of preferred and/or common equity, or membership interests. In certain cases, the Company can exercise significant influence over the entity (e.g. by having representation on the entity's board of directors) but the requirements for consolidation under ASC 810 are not met; in such cases the Company is required to account for such equity investments under ASC 323-10. The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in unconsolidated entities, which, in management's view, more appropriately reflects the results of operations for a particular reporting period, as all investment activities will be recorded in a similar manner. The period change in fair value of t |
Valuation
Valuation | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Valuation | Valuation The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of March 31, 2019: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value- Agency RMBS $ — $ 1,137,826 $ 6,389 $ 1,144,215 Non-Agency RMBS — 111,500 94,670 206,170 CMBS — 28,055 5,137 33,192 CLOs — 76,559 21,438 97,997 Asset-backed securities, backed by consumer loans — — 24,108 24,108 Corporate debt securities — — 5,737 5,737 Corporate equity securities — — 1,465 1,465 U.S. Treasury securities — 16,601 — 16,601 Loans, at fair value- Residential mortgage loans — — 583,252 583,252 Commercial mortgage loans — — 239,623 239,623 Consumer loans — — 192,115 192,115 Investment in unconsolidated entities, at fair value — — 58,152 58,152 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities — — 1,233 1,233 Credit default swaps on asset-backed indices — 3,276 — 3,276 Credit default swaps on corporate bonds — 715 — 715 Credit default swaps on corporate bond indices — 3,519 — 3,519 Interest rate swaps — 5,391 — 5,391 TBAs — 531 — 531 Futures 138 — — 138 Forwards — 430 — 430 Total return swaps — 123 — 123 Total assets $ 138 $ 1,384,526 $ 1,233,319 $ 2,617,983 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Liabilities: Securities sold short, at fair value- Government debt $ — $ (21,771 ) $ — $ (21,771 ) Corporate debt securities — (4,441 ) — (4,441 ) Financial derivatives–liabilities, at fair value- Credit default swaps on asset-backed indices — (822 ) — (822 ) Credit default swaps on corporate bonds — (953 ) — (953 ) Credit default swaps on corporate bond indices — (11,907 ) — (11,907 ) Interest rate swaps — (7,571 ) — (7,571 ) TBAs — (3,075 ) — (3,075 ) Futures (2,454 ) — — (2,454 ) Forwards — (122 ) — (122 ) Other secured borrowings, at fair value — — (282,124 ) (282,124 ) Total liabilities $ (2,454 ) $ (50,662 ) $ (282,124 ) $ (335,240 ) The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2019: Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Non-Agency RMBS $ 42,096 Market Quotes Non Binding Third-Party Valuation $ 15.72 $ 184.92 $ 82.84 CMBS 5,137 Market Quotes Non Binding Third-Party Valuation 5.94 70.90 60.88 CLOs 13,508 Market Quotes Non Binding Third-Party Valuation 27.30 80.00 72.87 Agency interest only RMBS 705 Market Quotes Non Binding Third-Party Valuation 8.42 14.43 11.96 Corporate debt and equity 1,452 Market Quotes Non Binding Third-Party Valuation 83.50 83.50 83.50 Non-Agency RMBS 52,574 Discounted Cash Flows Yield 0.5 % 67.1 % 9.5 % Projected Collateral Prepayments 15.1 % 77.8 % 46.6 % Projected Collateral Losses 0.1 % 17.6 % 8.8 % Projected Collateral Recoveries 1.7 % 15.8 % 8.2 % Projected Collateral Scheduled Amortization 16.3 % 63.0 % 36.4 % 100.0 % Corporate debt and equity 5,750 Discounted Cash Flows Yield 10.0 % 19.6 % 16.7 % CLOs 7,930 Discounted Cash Flows Yield 8.7 % 15.2 % 11.8 % Projected Collateral Prepayments 19.9 % 87.3 % 52.5 % Projected Collateral Losses 5.3 % 30.8 % 15.7 % Projected Collateral Recoveries 4.2 % 13.7 % 8.8 % Projected Collateral Scheduled Amortization — % 65.2 % 23.0 % 100.0 % (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) ABS backed by consumer loans 24,108 Discounted Cash Flows Yield 12.0 % 18.7 % 12.2 % Projected Collateral Prepayments 0.0 % 11.0 % 9.4 % Projected Collateral Losses 1.6 % 16.6 % 14.9 % Projected Collateral Scheduled Amortization 72.9 % 98.4 % 75.7 % 100.0 % Consumer loans 192,115 Discounted Cash Flows Yield 7.0 % 10.0 % 8.0 % Projected Collateral Prepayments 0.0 % 55.4 % 41.5 % Projected Collateral Losses 4.0 % 86.6 % 8.0 % Projected Collateral Scheduled Amortization 13.4 % 85.7 % 50.5 % 100.0 % Performing commercial mortgage loans 198,823 Discounted Cash Flows Yield 8.0 % 22.5 % 9.4 % Non-performing commercial mortgage loans 40,800 Discounted Cash Flows Yield 10.5 % 14.1 % 12.8 % Months to Resolution 0.0 5.0 3.0 Performing and re-performing residential mortgage loans 274,572 Discounted Cash Flows Yield 4.1 % 22.6 % 6.0 % Securitized residential mortgage loans (1) 296,366 Discounted Cash Flows Yield 4.4 % 4.6 % 4.5 % Non-performing residential mortgage loans 12,314 Discounted Cash Flows Yield 4.3 % 33.3 % 11.9 % Months to Resolution 13.5 62.6 32.3 Credit default swaps on asset-backed securities 1,233 Net Discounted Cash Flows Projected Collateral Prepayments 34.1 % 38.6 % 36.0 % Projected Collateral Losses 11.7 % 18.1 % 13.3 % Projected Collateral Recoveries 14.2 % 17.5 % 16.2 % Projected Collateral Scheduled Amortization 29.1 % 36.5 % 34.5 % 100.0 % Agency interest only RMBS 5,684 Option Adjusted Spread ("OAS") LIBOR OAS (2) 93 3,527 654 Projected Collateral Prepayments 30.0 % 100.0 % 67.7 % Projected Collateral Scheduled Amortization 0.0 % 70.0 % 32.3 % 100.0 % Investment in unconsolidated entities 31,849 Enterprise Value Equity Price-to-Book (3) 1.0X 3.1X 1.4X Investment in unconsolidated entities 3,000 Recent Transactions Transaction Price n/a n/a n/a Investment in unconsolidated entities 23,303 Discounted Cash Flows Yield (4) 5.5% 19.6% 10.2% Other secured borrowings, at fair value (1) (282,124 ) Discounted Cash Flows Yield 4.0% 4.1% 4.1% (1) Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFE as discussed in Note 2. (2) Shown in basis points. (3) Represent an estimation of where market participants might value an enterprise on a price-to-book basis. (4) Represents the significant unobservable inputs used to fair value the financial instruments of the unconsolidated entity. The fair value of such financial instruments is the largest component of the valuation of such entity as a whole. Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and, when available, to recent trading activity in the same or similar instruments. For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("LIBOR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. The tables below include a roll-forward of the Company's financial instruments for the three-month period ended March 31, 2019 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three-Month Period Ended March 31, 2019 (In thousands) Beginning Balance as of Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of March 31, 2019 Assets: Securities, at fair value: Agency RMBS $ 7,293 $ (774 ) $ (594 ) $ 189 $ 6 $ — $ 842 $ (573 ) $ 6,389 Non-Agency RMBS 91,291 63 (101 ) (535 ) 15,546 (19,436 ) 10,492 (2,650 ) 94,670 CMBS 803 (14 ) — (8 ) — — 4,356 — 5,137 CLOs 14,915 (406 ) (83 ) 49 8,304 — — (1,341 ) 21,438 Asset-backed securities backed by consumer loans 22,800 (609 ) (512 ) 762 4,940 (3,273 ) — — 24,108 Corporate debt securities 6,318 16 (1 ) (77 ) 384 (903 ) — — 5,737 Corporate equity securities 1,530 — — (65 ) — — — — 1,465 Loans, at fair value: Residential mortgage loans 496,829 (927 ) (136 ) 1,901 157,602 (72,017 ) — — 583,252 Commercial mortgage loans 195,301 306 — (333 ) 48,857 (4,508 ) — — 239,623 Consumer loans 183,961 (8,572 ) (2,055 ) 1,842 54,256 (37,317 ) — — 192,115 Investment in unconsolidated entities, at fair value 72,302 276 1,560 (39 ) 13,428 (29,375 ) — — 58,152 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities 1,472 — 275 (239 ) 2 (277 ) — — 1,233 Total assets, at fair value $ 1,094,815 $ (10,641 ) $ (1,647 ) $ 3,447 $ 303,325 $ (167,106 ) $ 15,690 $ (4,564 ) $ 1,233,319 Liabilities: Other secured borrowings, at fair value $ (297,948 ) $ — $ — $ 57 $ 15,767 $ — $ — $ — $ (282,124 ) Total liabilities, at fair value $ (297,948 ) $ — $ — $ 57 $ 15,767 $ — $ — $ — $ (282,124 ) All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at March 31, 2019, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2019. For Level 3 financial instruments held by the Company at March 31, 2019, change in net unrealized gain (loss) of $0.7 million , $3.4 million , $(2.1) million , $(0.2) million , and $57 thousand , for the three-month period ended March 31, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively. At March 31, 2019, the Company transferred $4.6 million of assets from Level 3 to Level 2 and $15.7 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of March 31, 2019: March 31, 2019 (In thousands) Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 55,876 $ 55,876 Restricted cash 175 175 Due from brokers 58,145 58,145 Reverse repurchase agreements 25,381 25,381 Liabilities: Repurchase agreements 1,550,016 1,550,016 Other secured borrowings 117,315 117,315 Senior notes, net 85,100 85,100 Due to brokers 4,820 4,820 Cash and cash equivalents includes cash held in an interest bearing overnight account, for which fair value equals the carrying value, and cash held in money market accounts, which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in a segregated account for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short term nature. The Senior notes are considered Level 3 liabilities given the relative unobservability of the most significant inputs to valuation estimation as well as the lack of trading activity of these instruments. Valuation The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2018: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Cash equivalents $ 12,460 $ — $ — $ 12,460 Investments, at fair value- Agency residential mortgage-backed securities $ — $ 1,442,924 $ 7,293 $ 1,450,217 U.S. Treasury securities — 76 — 76 Private label residential mortgage-backed securities — 211,348 91,291 302,639 Private label commercial mortgage-backed securities — 33,105 803 33,908 Commercial mortgage loans — — 211,185 211,185 Residential mortgage loans — — 496,830 496,830 Collateralized loan obligations — 108,978 14,915 123,893 Consumer loans and asset-backed securities backed by consumer loans — — 206,761 206,761 Corporate debt — 16,074 6,318 22,392 Secured notes — — 10,917 10,917 Real estate owned — — 34,500 34,500 Common stock 2,200 — — 2,200 Corporate equity investments — — 43,793 43,793 Total investments, at fair value 2,200 1,812,505 1,124,606 2,939,311 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities — — 1,472 1,472 Credit default swaps on corporate bond indices — 733 — 733 Credit default swaps on corporate bonds — 2,473 — 2,473 Credit default swaps on asset-backed indices — 8,092 — 8,092 Total return swaps — 1 — 1 Interest rate swaps — 7,224 — 7,224 Forwards — 6 — 6 Total financial derivatives–assets, at fair value — 18,529 1,472 20,001 Repurchase agreements, at fair value — 61,274 — 61,274 Total investments, financial derivatives–assets, and repurchase agreements, at fair value $ 2,200 $ 1,892,308 $ 1,126,078 $ 3,020,586 Liabilities: Investments sold short, at fair value- Agency residential mortgage-backed securities $ — $ (772,964 ) $ — $ (772,964 ) Government debt — (54,151 ) — (54,151 ) Corporate debt — (6,529 ) — (6,529 ) Common stock (16,933 ) — — (16,933 ) Total investments sold short, at fair value (16,933 ) (833,644 ) — (850,577 ) Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Financial derivatives–liabilities, at fair value- Credit default swaps on corporate bond indices $ — $ (11,557 ) $ — $ (11,557 ) Credit default swaps on corporate bonds — (3,246 ) — (3,246 ) Credit default swaps on asset-backed indices — (2,125 ) — (2,125 ) Interest rate swaps — (3,397 ) — (3,397 ) Total return swaps — (6 ) — (6 ) Futures (355 ) — — (355 ) Forwards — (120 ) — (120 ) Total financial derivatives–liabilities, at fair value (355 ) (20,451 ) — (20,806 ) Other secured borrowings, at fair value — — (297,948 ) (297,948 ) Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value $ (17,288 ) $ (854,095 ) $ (297,948 ) $ (1,169,331 ) The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2018: Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Private label residential mortgage-backed securities $ 36,945 Market Quotes Non Binding Third-Party Valuation $ 17.42 $ 178.00 $ 78.31 Collateralized loan obligations 5,828 Market Quotes Non Binding Third-Party Valuation 2.64 375.00 167.78 Corporate debt, non-exchange traded corporate equity, and secured notes 13,976 Market Quotes Non Binding Third-Party Valuation 9.69 91.00 59.18 Private label commercial mortgage-backed securities 576 Market Quotes Non Binding Third-Party Valuation 5.93 6.36 6.14 Agency interest only residential mortgage-backed securities 744 Market Quotes Non Binding Third-Party Valuation 1.70 9.12 5.64 Private label residential mortgage-backed securities 54,346 Discounted Cash Flows Yield 3.5 % 66.1 % 10.7 % Projected Collateral Prepayments 16.0 % 92.1 % 50.4 % Projected Collateral Losses 0.0 % 23.1 % 8.7 % Projected Collateral Recoveries 1.5 % 14.6 % 7.3 % Projected Collateral Scheduled Amortization 6.1 % 61.8 % 33.6 % 100.0 % Private label commercial mortgage-backed securities 227 Discounted Cash Flows Yield 3.4 % 3.4 % 3.4 % Projected Collateral Losses 2.0 % 2.0 % 2.0 % Projected Collateral Recoveries 6.6 % 6.6 % 6.6 % Projected Collateral Scheduled Amortization 91.4 % 91.4 % 91.4 % 100.0 % Corporate debt and non-exchange traded corporate equity 4,793 Discounted Cash Flows Yield 17.5 % 17.5 % 17.5 % (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Collateralized loan obligations $ 9,087 Discounted Cash Flows Yield 12.6 % 103.1 % 26.7 % Projected Collateral Prepayments 8.1 % 88.4 % 65.2 % Projected Collateral Losses 3.7 % 40.8 % 13.5 % Projected Collateral Recoveries 4.2 % 38.0 % 11.9 % Projected Collateral Scheduled Amortization 3.5 % 13.5 % 9.4 % 100.0 % Consumer loans and asset-backed securities backed by consumer loans 206,761 Discounted Cash Flows Yield 7.0 % 18.3 % 8.5 % Projected Collateral Prepayments 0.0 % 45.9 % 33.5 % Projected Collateral Losses 2.6 % 84.8 % 9.1 % Projected Collateral Scheduled Amortization 15.2 % 96.6 % 57.4 % 100.0 % Performing commercial mortgage loans 163,876 Discounted Cash Flows Yield 8.0 % 22.5 % 9.6 % Non-performing commercial mortgage loans and commercial real estate owned 80,513 Discounted Cash Flows Yield 9.6 % 27.4 % 13.2 % Months to Resolution 3.0 16.0 7.9 Performing residential mortgage loans 171,367 Discounted Cash Flows Yield 2.7 % 12.9 % 6.0 % Securitized residential mortgage loans (1) 314,202 Discounted Cash Flows Yield 4.3 % 4.6 % 4.6 % Non-performing residential mortgage loans and residential real estate owned 12,557 Discounted Cash Flows Yield 4.3 % 25.1 % 11.3 % Months to Resolution (2) 1.9 42.2 27.8 Credit default swaps on asset-backed securities 1,472 Net Discounted Cash Flows Projected Collateral Prepayments 33.6 % 42.0 % 36.5 % Projected Collateral Losses 11.1 % 15.6 % 12.8 % Projected Collateral Recoveries 10.3 % 18.7 % 15.8 % Projected Collateral Scheduled Amortization 32.0 % 36.5 % 34.9 % 100.0 % Agency interest only residential mortgage-backed securities 6,549 Option Adjusted Spread ("OAS") LIBOR OAS (3) 211 3,521 677 Projected Collateral Prepayments 37.7 % 100.0 % 66.2 % Projected Collateral Scheduled Amortization 0.0 % 62.3 % 33.8 % 100.0 % Non-exchange traded common equity investment in mortgage-related entity 6,750 Enterprise Value Equity Price-to-Book (4) 3.3x 3.3x 3.3x Non-exchange traded preferred equity investment in mortgage-related entity 27,317 Enterprise Value Equity Price-to-Book (4) 1.1x 1.1x 1.1x Non-exchange traded preferred equity investment in loan origination entity 3,000 Recent Transactions Transaction Price N/A N/A N/A Non-controlling equity interest in limited liability company 5,192 Discounted Cash Flows Yield (5) 12.9% 16.1% 15.4% Other secured borrowings, at fair value (1) (297,948 ) Discounted Cash Flows Yield 3.9% 4.4% 4.3% (1) Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFE as discussed in Note 2. (2) Excludes certain loans that are re-performing. (3) Shown in basis points. (4) Represent an estimation of where market participants might value an enterprise on a price-to-book basis. (5) Represents the significant unobservable inputs used to fair value the financial instruments of the limited liability company. The fair value of such financial instruments is the largest component of the valuation of the limited liability company as a whole. Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and to recent trading activity in the same or similar instruments. For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. The tables below include a roll-forward of the Company's financial instruments for the three-month period ended March 31, 2018 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three-Month Period Ended March 31, 2018 (In thousands) Ending Accreted Net Realized Change in Net Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Investments, at fair value- Agency residential mortgage-backed securities $ 6,173 $ (600 ) $ 39 $ 264 $ 1,101 $ (388 ) $ — $ (461 ) $ 6,128 Private label residential mortgage-backed securities 101,297 106 2,288 293 20,660 (21,574 ) 11,561 (2,769 ) 111,862 Private label commercial mortgage-backed securities 12,347 (183 ) 1,554 121 9,624 (7,366 ) — (2,388 ) 13,709 Commercial mortgage loans 108,301 618 330 (161 ) 3,988 (3,782 ) — — 109,294 Residential mortgage loans 182,472 (715 ) (54 ) (653 ) 73,040 (13,309 ) — — 240,781 Collateralized loan obligations 24,911 455 2 226 10,095 (8,210 ) — — 27,479 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of March 31, 2018 (Continued) Consumer loans and asset-backed securities backed by consumer loans $ 135,258 $ (5,896 ) $ 501 $ 3,804 $ 42,133 $ (27,378 ) $ — $ — $ 148,422 Corporate debt 23,947 (114 ) 52 364 456 (6,705 ) — — 18,000 Real estate owned 26,277 — (456 ) 615 4,098 (1,424 ) — — 29,110 Corporate equity investments 37,465 — — 4,326 9,078 — — — 50,869 Total investments, at fair value 658,448 (6,329 ) 4,256 9,199 174,273 (90,136 ) 11,561 (5,618 ) 755,654 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities 3,140 — 86 (71 ) 24 (110 ) — — 3,069 Total financial derivatives– assets, at fair value 3,140 — 86 (71 ) 24 (110 ) — — 3,069 Total investments and financial derivatives–assets, at fair value $ 661,588 $ (6,329 ) $ 4,342 $ 9,128 $ 174,297 $ (90,246 ) $ 11,561 $ (5,618 ) $ 758,723 Liabilities: Other secured borrowings, at fair value $ (125,105 ) $ — $ — $ 784 $ 10,546 $ — $ — $ — $ (113,775 ) Total other secured borrowings, at fair value $ (125,105 ) $ — $ — $ 784 $ 10,546 $ — $ — $ — $ (113,775 ) All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at March 31, 2018, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2018. For Level 3 financial instruments held by the Company at March 31, 2018, change in net unrealized gain (loss) of $8.6 million , $(0.1) million , and $0.8 million , for the three-month period ended March 31, 2018 relate to investments, financial derivatives–assets, and other secured borrowings, at fair value, respectively. As of June 30, 2017, the Company modified its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedures, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. As of March 31, 2018, the Company transferred $5.6 million of securities from Level 3 to Level 2 and $11.6 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. Not included in the disclosures above are the Company's other financial instruments, which are carried at cost and include, Cash, Due from brokers, Due to brokers, Reverse repurchase agreements, Other secured borrowings, and the Company's unsecured long-term debt, or the "Senior Notes," which is reflected on the Consolidated Statement of Assets, Liabilities, and Equity in Senior notes, net. Cash includes cash held in various accounts including an interest bearing overnight account for which fair value equals the carrying value; such assets are considered Level 1 assets. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; carrying value of these items approximates fair value and such items are considered Level 1 assets and liabilities. The Company's reverse repurchase agreements and Other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements and Other secured borrowings are considered Level 2 assets and liabilities based on the adequacy of the associated collateral and their short term nature. The Company estimates the fair value of the Senior Notes at $86.0 million as of December 31, 2018. The Senior Notes are considered Level 3 liabilities given the relative unobservability of the most significant inputs to valuation estimation as well as the lack of trading activity of these instruments. |
Investment in Securities
Investment in Securities | 3 Months Ended |
Mar. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment in Securities | Investment in Securities The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS backed by consumer loans, and corporate debt and equity. The following table details the Company's investment in securities as of March 31, 2019. Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Life (Years) (2) Long: Agency RMBS: 15-year fixed-rate mortgages 70,927 2,897 73,824 68 (1,261 ) 72,631 3.48 % 2.40 % 4.39 20-year fixed-rate mortgages 2,267 148 2,415 — (38 ) 2,377 4.20 % 2.88 % 5.32 30-year fixed-rate mortgages 906,415 43,286 949,701 4,584 (9,311 ) 944,974 4.20 % 3.37 % 6.82 Adjustable rate mortgages 9,173 401 9,574 23 (137 ) 9,460 3.97 % 2.97 % 3.16 Reverse mortgages 83,293 6,448 89,741 233 (629 ) 89,345 4.40 % 3.03 % 6.34 Interest only securities n/a n/a 25,473 1,110 (1,155 ) 25,428 3.31 % 7.48 % 3.61 Non-Agency RMBS 298,383 (111,182 ) 187,201 17,642 (2,540 ) 202,303 3.44 % 6.42 % 7.31 CMBS 65,186 (36,910 ) 28,276 1,284 (147 ) 29,413 2.77 % 8.42 % 8.38 Non-Agency interest only securities n/a n/a 5,693 1,953 — 7,646 0.77 % 25.35 % 7.63 CLOs n/a n/a 98,713 2,941 (3,657 ) 97,997 3.85 % 16.22 % 5.68 ABS backed by consumer loans 36,022 (12,488 ) 23,534 940 (366 ) 24,108 14.52 % 11.85 % 1.16 Corporate debt 26,730 (20,956 ) 5,774 44 (81 ) 5,737 9.26 % 20.18 % 1.57 Corporate equity n/a n/a 1,583 4 (122 ) 1,465 n/a n/a n/a U.S. Treasury securities 16,375 189 16,564 45 (8 ) 16,601 2.51 % 2.30 % 5.68 Total Long 1,514,771 (128,167 ) 1,518,066 30,871 (19,452 ) 1,529,485 4.15 % 5.08 % 6.49 Short: Corporate debt (5,160 ) 515 (4,645 ) 237 (33 ) (4,441 ) 5.19 % 5.91 % 6.16 U.S. Treasury securities (2,800 ) 15 (2,785 ) — (125 ) (2,910 ) 2.88 % 2.92 % 9.38 European sovereign bonds (18,605 ) (884 ) (19,489 ) 947 (319 ) (18,861 ) 1.69 % 0.43 % 1.27 Total Short (26,565 ) (354 ) (26,919 ) 1,184 (477 ) (26,212 ) 2.42 % 1.64 % 3.00 Total 1,488,206 (128,521 ) 1,491,147 32,055 (19,929 ) 1,503,273 4.18 % 5.02 % 6.55 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. The following table details weighted average life of the Company's Agency RMBS as of March 31, 2019. ($ in thousands) Agency RMBS Agency Interest Only Securities Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years 38,461 38,339 4.64 % 7,582 7,763 3.14 % Greater than three years less than seven years 486,247 489,019 4.29 % 17,582 17,460 3.42 % Greater than seven years less then eleven years 581,828 585,867 4.04 % 264 250 0.66 % Greater than eleven years 12,251 12,030 4.10 % — — — % Total 1,118,787 1,125,255 4.17 % 25,428 25,473 3.31 % (1) Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following table details weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of March 31, 2019. ($ in thousands) Non-Agency RMBS and CMBS Non-Agency IOs CLOs and Other Securities (2) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Less than three years 60,447 52,618 2.07 % 176 30 2.00 % 34,601 34,877 12.03 % Greater than three years less than seven years 65,214 60,490 5.32 % 3,829 3,450 1.40 % 90,984 91,770 4.33 % Greater than seven years less then eleven years 53,571 49,960 3.61 % 306 — 0.50 % 17,235 16,487 0.68 % Greater than eleven years 52,484 52,409 2.15 % 3,335 2,213 — % 1,623 1,451 — % Total 231,716 215,477 3.36 % 7,646 5,693 0.77 % 144,443 144,585 5.69 % (1) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Other Securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities. (3) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following table details the components of interest income by security type for the three-month period ended March 31, 2019: Security Type Coupon Interest Net Amortization Interest Income (In thousands) Agency RMBS 12,190 (4,628 ) 7,562 Non-Agency RMBS and CMBS 3,849 547 4,396 CLOs 4,244 65 4,309 Other securities (1) 1,593 (562 ) 1,031 Total 21,876 (4,578 ) 17,298 (1) Other securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities. For the three-month period ended March 31, 2019 the Catch-Up Premium Amortization Adjustment was $(0.5) million . The following table presents proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three-month period ended March 31, 2019. Security Type Proceeds Gross Realized Gains Gross Realized Losses Net Realized Gain (Loss) (In thousands) Agency RMBS 128,304 712 (1,679 ) (967 ) Non-Agency RMBS and CMBS 129,545 1,272 (3,443 ) (2,171 ) CLOs 44,822 140 (935 ) (795 ) Other securities (1) 405,903 758 (1,259 ) (501 ) Total 708,574 2,882 (7,316 ) (4,434 ) (1) Other securities includes asset-backed securities, backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. The following table presents the fair value and gross unrealized losses of our long securities by length of time that such securities have been in an unrealized loss position at March 31, 2019. (In thousands) Less than 12 Months Greater than 12 Months Total Security Type Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Agency RMBS 123,567 (627 ) 521,597 (11,904 ) 645,164 (12,531 ) Non-Agency RMBS and CMBS 85,338 (1,585 ) 34,988 (1,102 ) 120,326 (2,687 ) CLOs 28,953 (996 ) 25,154 (2,661 ) 54,107 (3,657 ) Other securities (1) 16,896 (177 ) 2,963 (400 ) 19,859 (577 ) Total 254,754 (3,385 ) 584,702 (16,067 ) 839,456 (19,452 ) (1) Other securities includes asset-backed securities, backed by consumer loans, corporate debt and equity, and U.S. Treasury securities. As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. For the three-month period ended March 31, 2019, the Company recognized an impairment charge of $1.3 million on the cost basis of its securities, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. For each of the remaining securities in a loss position at March 31, 2019, the unrealized loss is due to market conditions and not to a change in the credit quality of the securities. In addition, any unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 are not due to credit losses given their explicit guarantee of principal and interest by the issuing government agency or government-sponsored enterprise, but rather are due to changes in interest rates and prepayment expectations. |
Investment in Loans
Investment in Loans | 3 Months Ended |
Mar. 31, 2019 | |
Receivables [Abstract] | |
Investment in Loans | Investment in Loans The Company invests in various types of loans, such as residential mortgage, commercial mortgage, and consumer loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of March 31, 2019: Loan Type Unpaid Principal Balance Fair Value (In thousands) Residential mortgage loans $ 577,880 $ 583,252 Commercial mortgage loans 264,932 239,623 Consumer loans 184,171 192,115 Total $ 1,026,983 $ 1,014,990 The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. The following table provides details, by accrual status, for loans that are 90 days or more past due as of March 31, 2019: Unpaid Principal Balance Fair Value 90 days or more past due—accrual status (In thousands) Commercial mortgage loans (1) $ 6,491 $ 6,491 90 days or more past due—non-accrual status Residential mortgage loans 18,582 16,110 Commercial mortgage loans 16,050 16,050 Consumer loans 2,046 2,025 (1) Represents a loan where the borrower is currently making payments and is expected to continue to make payments. Residential Mortgage Loans The table below details certain information regarding the Company's residential mortgage loans as of March 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 555,386 $ 4,470 $ 559,856 $ 4,368 $ (1,461 ) $ 562,763 6.49 % 5.68 % 1.95 Residential mortgage loans, held-for-sale 22,494 (3,344 ) 19,150 1,520 (181 ) 20,489 4.66 % 6.37 % 5.48 Total $ 577,880 $ 1,126 $ 579,006 $ 5,888 $ (1,642 ) $ 583,252 6.42 % 5.70 % 2.07 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2) Includes $296.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts; see Note 10. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as of March 31, 2019: Property Location by State Percentage of Total Outstanding Unpaid Principal Balance California 48.3 % Florida 12.9 % Texas 12.7 % Colorado 4.4 % Arizona 2.8 % Oregon 2.4 % New York 2.2 % Washington 2.2 % Nevada 2.1 % Utah 1.5 % New Jersey 1.3 % Maryland 1.1 % Other 6.1 % 100.0 % The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of March 31, 2019. (In thousands) Unpaid Principal Balance Fair Value Re-performing $ 35,616 $ 31,816 Non-performing 15,795 13,678 As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. For the three-month period ended March 31, 2019, the Company recognized an impairment charge of $0.1 million on the cost basis of its residential mortgage loans, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. The impairment charge recognized for the three-month period ended March 31, 2019, where the fair value of the residential mortgage loans was less than their carrying amount, related to residential mortgage loans with an aggregate unpaid principal balance of $2.2 million and fair value of $1.9 million . As of March 31, 2019, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $8.1 million . Commercial Mortgage Loans The table below details certain information regarding the Company's commercial mortgage loans as of March 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Commercial mortgage loans $ 264,932 $ (27,249 ) $ 237,683 $ 2,131 $ (191 ) $ 239,623 8.92 % 9.44 % 0.95 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as of March 31, 2019: Property Location by State Percentage of Total Outstanding Unpaid Principal Balance Florida 20.1 % Connecticut 18.7 % New York 12.7 % New Jersey 10.4 % North Carolina 7.3 % Virginia 7.1 % Massachusetts 4.9 % Pennsylvania 4.3 % Arizona 4.0 % Indiana 3.8 % Kentucky 3.8 % Tennessee 1.5 % Louisiana 1.4 % 100.0 % As of March 31, 2019, the Company had five non-performing commercial mortgage loans with an unpaid principal balance and fair value of $65.2 million and $40.8 million , respectively. The Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. As of March 31, 2019, the Company did not have any commercial mortgage loans that were in the process of foreclosure. Consumer Loans The table below details certain information regarding the Company's consumer loans as of March 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Life (Years) (1) Delinquency (Days) Consumer loans $ 184,171 $ 6,912 $ 191,083 $ 2,623 $ (1,591 ) $ 192,115 0.78 3 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below provides details on the delinquency status of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of March 31, 2019: Days Past Due Delinquency Status (1) Current 95.9 % 30-59 Days 1.7 % 60-89 Days 1.3 % 90-119 Days 1.1 % 100.0 % (1) As a percentage of total unpaid principal balance. As described in Note 2, the Company evaluates the cost basis of its pools of consumer loans for impairments on at least a quarterly basis. For the three-month period ended March 31, 2019, the Company recognized an impairment charge of $2.1 million on the cost basis of its consumer loan pools, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. The impairment charge recognized for the three-month period ended March 31, 2019, where the fair value of the consumer loan pools was less than their carrying amount, related to consumer loan pools with an aggregate unpaid principal balance of $173.8 million and fair value of $181.3 million . |
Investments in Unconsolidated E
Investments in Unconsolidated Entities | 3 Months Ended |
Mar. 31, 2019 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Investments in Unconsolidated Entities | Investments in Unconsolidated Entities As of March 31, 2019 the Company had various equity investments in entities where the Company has the ability to exert significant influence over such entity, but does not control such entity. In these cases the criteria for consolidation have not been met and the Company is required to account for such investments under ASC 323-10; the Company has elected the FVO for its investments in unconsolidated entities. As of March 31, 2019, the Company's investments in unconsolidated entities had an aggregate fair value of $58.2 million , which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. For the three-month period ended March 31, 2019 the Company recognized $1.8 million in Earnings from investments in unconsolidated entities, on its Condensed Consolidated Statement of Operations. Certain of the entities that the Company accounts for under ASC 323-10 are deemed to be VIEs, and the maximum amount at risk is generally limited to the Company's investment in the VIE. As of March 31, 2019, the fair value of the Company's investments in unconsolidated entities that have been deemed to be VIEs was $23.3 million . The following table provides details about the Company's investments in unconsolidated entities as of March 31, 2019: Investment in Unconsolidated Entity Form of Investment Percentage Ownership of Unconsolidated Entity Longbridge Financial, LLC Preferred shares 49.7% LendSure Mortgage Corp. (1) Common shares 45.0% Jepson Holdings Limited (1)(2) Membership Interest 30.1% Elizon DB 2015-1 LLC (1)(2) Membership Interest 6.1% Other Various 10.0%–49.6% (1) See Note 13 for additional details on the Company's related party transactions. (2) The Company has evaluated this entity and determined that it meets the definition of a VIE. The Company evaluated its interest in the VIE and determined that the Company does not have the power to direct the activities of the VIE and does not have control of the underlying assets, where applicable. As a result, the Company determined that it is not the primary beneficiary of this VIE and therefore has not consolidated the VIE. |
Real Estate Owned
Real Estate Owned | 3 Months Ended |
Mar. 31, 2019 | |
Banking and Thrift [Abstract] | |
Real Estate Owned | Real Estate Owned As discussed in Note 2, the Company obtains possession of REO as a result of foreclosures on the associated mortgage loans. The following table details activity in the Company's carrying value of REO for the three-month period ended March 31, 2019. Number of Properties Carrying Value (In thousands) Beginning Balance (1/1/2019) 20 $ 30,778 Transfers from mortgage loans 2 299 Capital expenditures and other adjustments to cost 240 Adjustments to record at the lower of cost or fair value (250 ) Disposals (1 ) (64 ) Ending Balance (3/31/2019) 21 $ 31,003 During the three-month period ended March 31, 2019, the Company sold one REO property, realizing a net gain (loss) of approximately $(58) thousand . Such realized gains (losses) are included in R ealized gains (losses) on real estate owned, net, on the Company's Condensed Consolidated Statement of Operations. As of March 31, 2019 all of the Company's REO had been obtained as a result of obtaining physical possession through foreclosure. As of March 31, 2019, the Company had REO measured at fair value on a non-recurring basis of $24.1 million . |
To Be Announced RMBS
To Be Announced RMBS | 3 Months Ended |
Mar. 31, 2019 | |
To Be Announced RMBS [Abstract] | |
To Be Announced RMBS | To Be Announced RMBS In addition to investing in pools of Agency RMBS, the Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are liquid and have quoted market prices and represent the most actively traded class of MBS. The Company accounts for its TBAs as purchases and sales and uses TBAs primarily for hedging purposes, typically in the form of short positions. However, the Company may also invest in TBAs for speculative purposes, including holding long positions. Overall, the Company typically holds a net short position. The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. The fair value of the Company's long positions in TBA contracts are reflected on the Consolidated Condensed Schedule of Investments under TBA–Fixed-Rate Agency Securities and the fair value of the Company's positions in TBA contracts sold short are reflected on the Consolidated Condensed Schedule of Investments under TBA–Fixed-Rate Agency Securities Sold Short. The payables and receivables related to the Company's TBA securities are included on the Consolidated Statement of Assets, Liabilities, and Equity in Payable for securities purchased and Receivable for securities sold, respectively. The below table details TBA assets, liabilities, and the respective related payables and receivables as of December 31, 2018: (In thousands) As of December 31, 2018 Assets: TBA securities, at fair value (Current principal: $460,037) $ 474,860 Receivable for securities sold relating to unsettled TBA sales 766,574 Liabilities: TBA securities sold short, at fair value (Current principal: -$753,697) $ (772,964 ) Payable for securities purchased relating to unsettled TBA purchases (473,386 ) Net short TBA securities, at fair value (298,104 ) |
Financial Derivatives
Financial Derivatives | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Financial Derivatives | Financial Derivatives The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company manages certain risks associated with its investments and borrowings, including interest rate, credit, liquidity, and foreign exchange rate risk primarily by managing the amount, sources, and duration of its investments and borrowings, and through the use of derivative financial instruments. The Company's derivative financial instruments are used to manage differences in the amount, timing, and duration of its known or expected cash receipts and its known or expected cash payments principally related to its investments and borrowings. The following table details the fair value of the Company's holdings of financial derivatives as of March 31, 2019: March 31, 2019 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 445 TBA securities sale contracts 86 Fixed payer interest rate swaps 2,291 Fixed receiver interest rate swaps 3,096 Basis swaps 4 Credit default swaps on asset-backed securities 1,233 Credit default swaps on asset-backed indices 3,276 Credit default swaps on corporate bonds 715 Credit default swaps on corporate bond indices 3,519 Total return swaps 123 Futures 138 Forwards 430 Total financial derivatives–assets, at fair value $ 15,356 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts $ (33 ) TBA securities sale contracts (3,042 ) Fixed payer interest rate swaps (6,243 ) Fixed receiver interest rate swaps (1,328 ) Credit default swaps on asset-backed indices (822 ) Credit default swaps on corporate bonds (945 ) Credit default swaps on corporate bond indices (11,907 ) Recovery swaps (8 ) Futures (2,454 ) Forwards (122 ) Total financial derivatives–liabilities, at fair value $ (26,904 ) Total $ (11,548 ) Interest Rate Swaps The following table provides information about the Company's fixed payer interest rate swaps as of March 31, 2019: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2020 $ 68,607 $ 549 1.74 % 2.61 % 1.00 2021 121,499 (603 ) 2.71 2.63 1.82 2023 101,012 858 2.06 2.66 4.04 2024 77,700 (1,021 ) 2.58 2.76 4.81 2025 30,023 296 2.09 2.64 6.67 2026 10,200 191 2.02 2.67 7.44 2028 69,602 (1,975 ) 2.71 2.68 9.25 2029 70,000 (1,825 ) 2.70 2.77 9.80 2030 685 2 2.38 2.68 11.65 2045 7,896 19 2.54 2.63 26.69 2049 6,700 (443 ) 2.89 2.80 29.78 Total $ 563,924 $ (3,952 ) 2.41 % 2.68 % 5.49 The following table provides information about the Company's fixed receiver interest rate swaps as of March 31, 2019: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2021 $ 5,928 $ (21 ) 2.61 % 2.00 % 2.21 2022 53,974 (761 ) 2.63 1.85 2.92 2023 48,657 (509 ) 2.62 2.00 4.01 2024 68,500 816 2.38 2.56 4.80 2029 79,550 1,800 2.30 2.66 9.82 2049 6,700 443 2.80 2.89 29.78 Total $ 263,309 $ 1,768 2.47 % 2.34 % 6.36 The following table provides information about the Company's basis swaps as of March 31, 2019: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2019 $ (12,900 ) $ 4 2.61 % 2.64 % 0.21 Total $ (12,900 ) $ 4 2.61 % 2.64 % 0.21 Credit Default Swaps The following table provides information about the Company's credit default swaps as of March 31, 2019: March 31, 2019: Type (1) Notional Fair Value Remaining Term (Years) (In thousands) Asset: Long: Credit default swaps on asset-backed indices $ 837 $ 9 23.57 Credit default swaps on corporate bonds 3,070 296 2.97 Credit default swaps on corporate bond indices 76,904 3,519 4.09 Short: Credit default swaps on asset-backed securities (2,909 ) 1,233 16.41 Credit default swaps on asset-backed indices (32,326 ) 3,267 37.60 Credit default swaps on corporate bonds (3,033 ) 419 1.98 Liability: Long: Credit default swaps on asset-backed indices 5,439 (819 ) 40.73 Credit default swaps on corporate bonds 2,980 (407 ) 1.97 Short: Credit default swaps on asset-backed indices (2,500 ) (3 ) 38.58 Credit default swaps on corporate bonds (16,955 ) (538 ) 1.14 Credit default swaps on corporate bond indices (223,080 ) (11,907 ) 2.47 Recovery swaps (2,600 ) (8 ) 0.22 $ (194,173 ) $ (4,939 ) 7.04 (1) Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection. Futures The following table provides information about the Company's short positions in futures as of March 31, 2019: March 31, 2019: Description Notional Amount Fair Value Remaining Months to Expiration (In thousands) U.S. Treasury futures $ (151,600 ) $ (2,380 ) 2.79 Eurodollar futures (63,000 ) (74 ) 5.97 Currency futures (15,840 ) 138 2.60 Total $ (230,440 ) $ (2,316 ) 3.64 TBAs The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. From time to time, the Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. Overall, the Company typically holds a net short position. The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. As of March 31, 2019, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows: March 31, 2019 TBA Securities Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) (In thousands) Purchase contracts: Assets $ 167,641 $ 173,619 $ 174,064 $ 445 Liabilities 25,500 25,875 25,842 (33 ) 193,141 199,494 199,906 412 Sale contracts: Assets (155,175 ) (158,767 ) (158,681 ) 86 Liabilities (572,003 ) (589,105 ) (592,147 ) (3,042 ) (727,178 ) (747,872 ) (750,828 ) (2,956 ) Total TBA securities, net $ (534,037 ) $ (548,378 ) $ (550,922 ) $ (2,544 ) (1) Notional amount represents the principal balance of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet. Gains and losses on the Company's derivative contracts for the three-month period ended March 31, 2019 are summarized in the tables below: Derivative Type Primary Risk Exposure Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps (1) Net Realized Gains (Losses) on Financial Derivatives (1) Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2) Change in Net Unrealized Gains (Losses) on Financial Derivatives (2) (In thousands) Interest rate swaps Interest Rate $ 719 $ 1,458 $ 2,177 $ (275 ) $ (5,774 ) $ (6,049 ) Credit default swaps on asset-backed securities Credit 275 275 (239 ) (239 ) Credit default swaps on asset-backed indices Credit (746 ) (746 ) (548 ) (548 ) Credit default swaps on corporate bond indices Credit (2,513 ) (2,513 ) (2,407 ) (2,407 ) Credit default swaps on corporate bonds Credit (425 ) (425 ) 766 766 Total return swaps Equity Market/Credit (1,298 ) (1,298 ) 129 129 TBAs Interest Rate (6,435 ) (6,435 ) 1,898 1,898 Futures Interest Rate/Currency (2,433 ) (2,433 ) 359 359 Forwards Currency (114 ) (114 ) 423 423 Options Interest Rate (33 ) (33 ) — — Total $ 719 $ (12,264 ) $ (11,545 ) $ (275 ) $ (5,393 ) $ (5,668 ) (1) Includes gain/(loss) on foreign currency transactions on financial derivatives in the amount of $25 thousand for the three-month period ended March 31, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2) Includes foreign currency remeasurement on financial derivatives in the amount of $21 thousand for the three-month period ended March 31, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the three-month period ended March 31, 2019: Derivative Type Three-Month Period Ended (In thousands) Interest rate swaps $ 912,934 TBAs 984,292 Credit default swaps 403,254 Total return swaps 38,400 Futures 280,947 Options 51,545 Forwards 29,078 Warrants 2,281 From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of March 31, 2019, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets. Written credit derivatives held by the Company at March 31, 2019 are summarized below: Credit Derivatives March 31, 2019 (In thousands) Fair Value of Written Credit Derivatives, Net $ 2,598 Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) (167 ) Notional Value of Written Credit Derivatives (2) 89,230 Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) 13,153 (1) Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. (2) The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform ( i.e. , make protection payments) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. For the Company's written credit derivatives that were outstanding at March 31, 2019, implied credit spreads on such contracts ranged between 21.8 and 1,956.0 basis points. Excluded from these spread ranges are contracts outstanding for which the individual spread is greater than 2,000 basis points. The Company believes that these contracts would be quoted based on estimated points up front. The total fair value of contracts with individual implied credit spreads in excess of 2,000 basis points was $(0.2) million as of March 31, 2019. Estimated points up front on these contracts as of March 31, 2019 ranged between 56.3 and 74.7 points. Total net up-front payments (paid) or received relating to written credit derivatives outstanding at March 31, 2019 were $(2.0) million . Financial Derivatives Gains and losses on the Company's derivative contracts for the three-month period March 31, 2018 are summarized in the table below: Three-Month Period Ended March 31, 2018 Derivative Type Primary Risk Exposure Net Realized (1) Change in Net Unrealized Gain/(Loss) (2) (In thousands) Credit default swaps on asset-backed securities Credit $ 86 $ (71 ) Credit default swaps on asset-backed indices Credit (1,842 ) 1,452 Credit default swaps on corporate bond indices Credit (1,562 ) 1,563 Credit default swaps on corporate bonds Credit 4,469 (3,855 ) Total return swaps Equity Market/Credit 166 17 Interest rate swaps Interest Rate (824 ) 5,039 Futures Interest Rate/Currency (761 ) (561 ) Forwards Currency (1,174 ) 384 Options Interest Rate/ Equity Market (61 ) 76 Total $ (1,503 ) $ 4,044 (1) Includes gain/(loss) on foreign currency transactions on derivatives in the amount of $(0.2) million which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions. (2) Includes foreign currency translation on derivatives in the amount of $47 thousand which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the year ended December 31, 2018: Derivative Type Year Ended (In thousands) Interest rate swaps $ 1,059,756 Credit default swaps 566,805 Total return swaps 53,603 Futures 201,295 Options 99,891 Forwards 45,522 From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of December 31, 2018 all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets. Written credit derivatives held by the Company at December 31, 2018 are summarized below: Credit Derivatives December 31, 2018 (In thousands) Fair Value of Written Credit Derivatives, Net $ (4,339 ) Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) (284 ) Notional Value of Written Credit Derivatives (2) 98,586 Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) 41,134 (1) Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. (2) The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform ( i.e. , make protection payments) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. For the Company's written credit derivatives that were outstanding at December 31, 2018, implied credit spreads on such contracts ranged between 42.6 and 815.1 basis points. Excluded from this spread range are contracts outstanding for which the individual spread is greater than 2,000 basis points. The Company believes that these contracts would be quoted based on estimated points up front. The total fair value of contracts with individual implied credit spreads in excess of 2,000 basis points was $(1.0) million as of December 31, 2018. Estimated points up front on these contracts as of December 31, 2018 ranged between 36.9 and 75.2 points. Total net up-front payments (paid) or received relating to written credit derivatives outstanding at December 31, 2018 were $(2.0) million . |
Consolidated VIEs
Consolidated VIEs | 3 Months Ended |
Mar. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Consolidated VIEs | Consolidated VIEs As discussed in Note 2, the Company has interests in entities that it has determined to be VIEs. The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Condensed Consolidated Balance Sheet as of March 31, 2019. (In thousands) March 31, 2019 Assets Cash and cash equivalents $ 2,914 Restricted cash 175 Loans, at fair value 1,004,211 Investments in unconsolidated entities, at fair value 7,712 Real estate owned 31,003 Due from brokers 190 Investment related receivables 25,221 Other assets 2,499 Total Assets $ 1,073,925 Liabilities Repurchase agreements $ 348,737 Investment related payables 1,452 Other secured borrowings 117,315 Other secured borrowings, at fair value 282,124 Accounts payable and accrued expenses 1,347 Interest payable 957 Other liabilities 278 Total Liabilities 752,210 Total Stockholders' Equity 305,479 Non-controlling interests 16,236 Total Equity 321,715 Total Liabilities and Equity $ 1,073,925 (1) See Note 10 and Note 13 for additional information on the Company's consolidated VIEs. |
Securitization Transactions
Securitization Transactions | 3 Months Ended |
Mar. 31, 2019 | |
Securitization Transactions [Abstract] | |
Securitization Transactions | . Securitization Transactions Participation in Multi-Seller Consumer Loan Securitization In August 2016, the Company participated in a securitization transaction whereby the Company, together with another entity managed by Ellington (the "co-participant"), sold consumer loans with an aggregate unpaid principal balance of approximately $124 million to a newly formed securitization trust (the "Issuer"). Of the $124 million in loans sold to the Issuer, the Company's share was 51% while the co-participant's share was 49% . The transfer was accounted for as a sale in accordance with ASC 860-10. As a result of the sale the Company recognized a realized loss in the amount of $(0.1) million. Pursuant to the securitization, the Issuer issued senior and subordinated notes in the principal amount of $87 million and $18.7 million, respectively. Trust certificates representing beneficial ownership of the Issuer were also issued. In connection with the transaction, and through a jointly owned newly formed entity (the "Acquiror"), the Company and the co-participant acquired all of the subordinated notes as well as the trust certificates in the Issuer. The Company and the co-participant acquired 51% and 49% , respectively, of the interests in the Acquiror. Subsequently, at the direction of the Company and the co-participant, the Acquiror sold the subordinated notes to a third party; such sales occurred prior to January 1, 2019. As of March 31, 2019, the Company's total interest in the Acquiror was approximately 49.6% . The Company's interest in the Acquiror, for which the Company has elected the FVO, is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The notes and trust certificates issued by the Issuer are backed by the cash flows from the underlying consumer loans. If there are breaches of representations and warranties with respect to any underlying consumer loans, the Company could, under certain circumstances, be required to repurchase or replace such loans. Absent such breaches, the Company has no obligation to repurchase or replace any underlying consumer loans that become delinquent or otherwise default. Cash flows collected on the underlying consumer loans are distributed to service providers to the trust, noteholders, and trust certificate holders in accordance with the contractual priority of payments. In addition, another affiliate of Ellington (the "Administrator"), acts as the administrator for the securitization and is paid a monthly fee for its services. The Issuer and the Aquiror are each deemed to be a VIE. The Company has evaluated its interest in the Issuer under ASC 810, and while the Company retains credit risk in the securitization trust through its beneficial ownership of most of the subordinated interests of the securitization trust, which are the first to absorb credit losses on the securitized assets, the Company does not retain control of these assets or the power to direct the activities of the Issuer that most significantly impact the Issuer's economic performance. As a result the Company determined that neither the Company nor the Aquiror is the primary beneficiary of the Issuer, and therefore the Company has not consolidated the Issuer. Additionally, the Company evaluated its interest in the Aquiror and determined that is does not have the power to direct the activities of the Aquiror that most significantly impact the Aquiror's economic performance. As a result, the Company determined that it is not the primary beneficiary of the Aquiror, and therefore the Company has not consolidated the Aquiror. The maximum amount at risk related to the Company's investment in the Aquiror is limited to the fair value of such investment, which was $2.6 million as of March 31, 2019. Participation in CLO Transactions Since June 2017, an affiliate of Ellington has sponsored four CLO securitization transactions (the "CLO I Securitization," the "CLO II Securitization," the "CLO III Securitization," and the "CLO IV Securitization"; collectively, the "Ellington-sponsored CLO Securitizations"), collateralized by corporate loans and managed by an affiliate of Ellington (the "CLO Manager"). Ellington, the Company, several other affiliates of Ellington, and in the case of the CLO II Securitization, the CLO III Securitization, and the CLO IV Securitization, several third parties, participated in the Ellington-sponsored CLO Securitizations (collectively, the "CLO Co-Participants"). Pursuant to each Ellington-sponsored CLO Securitization, a newly formed securitization trust (the "CLO I Issuer," the "CLO II Issuer," the "CLO III Issuer," and the "CLO IV Issuer"; collectively, the "CLO Issuers") issued various classes of notes, which were in turn sold to unrelated third parties and the applicable CLO Co-Participants. The notes issued by each CLO Issuer are backed by the cash flows from the underlying corporate loans (including loans to be purchased during a reinvestment period), which are applied in accordance with the contractual priority of payments. For each of the Ellington-sponsored CLO Securitizations, with the exception of the CLO I Securitization, the Company, along with certain other CLO Co-Participants, advanced funds in the form of loans (the "Advances") to the applicable CLO Issuers prior to the CLO pricing date to enable it to establish warehouse facilities for the purpose of acquiring the assets to be securitized. Pursuant to their terms, the Advances are required to be repaid at the closing of the respective securitization. In each Ellington-sponsored CLO Securitization, the Company and each of the applicable CLO Co-Participants purchased various classes of notes issued by the corresponding CLO Issuer. In accordance with the Company's accounting policy for recording certain investment transactions on trade date, these purchases were recorded on the CLO pricing date rather than on the CLO closing date. The CLO Issuers are each deemed to be VIEs. The Company evaluates its interests in the CLO Issuers under ASC 810, and while the Company retains credit risk in each of the securitization trusts through its beneficial ownership of most of the subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, the Company does not retain control of these assets or the power to direct the activities of the CLO Issuers that most significantly impact the CLO Issuers' economic performance. As a result the Company determined that it is not the primary beneficiary of the CLO Issuers, and therefore the Company has not consolidated the CLO Issuers. The Company's maximum amount at risk is limited to the Company's investment in each of the CLO Issuers. The following table details the Company's investments in notes issued by the Ellington-sponsored CLO Securitizations: Securitization Transaction CLO Issuer (1) CLO Pricing Date CLO Closing Date Total Face Amount of Notes Issued Face Amount of Notes Initially Purchased Aggregate Purchase Price of Notes Initially Purchased Fair Value of Notes Held as of March 31, 2019 (In thousands) CLO I Securitization CLO I Issuer 8/18 8/18 $ 461,840 $ 36,579 (2) $ 25,622 $ 17,742 (3) CLO II Securitization CLO II Issuer 12/17 1/18 452,800 18,223 (4) 16,621 14,931 (3) CLO III Securitization CLO III Issuer 6/18 7/18 407,100 35,480 (4) 32,394 19,561 (5) CLO IV Securitization CLO IV Issuer 2/19 3/19 478,488 12,700 (4) 10,618 10,496 (5) (1) The Company is not deemed to be the primary beneficiary of the CLO Issuers, which are deemed to be VIEs, as discussed above. (2) The Company purchased secured and unsecured subordinated notes. (3) Includes secured and unsecured subordinated notes. (4) The Company purchased secured senior and secured and unsecured subordinated notes. (5) Includes secured senior and secured and unsecured subordinated notes. See Note 13 for further details on the Company's participation in CLO transactions. Residential Mortgage Loan Securitizations Since November 2017, the Company, through its wholly owned subsidiary, Ellington Financial REIT TRS LLC (the "Sponsor"), has sponsored two securitizations of non-QM loans. In each case, the Sponsor transferred non-QM loans to a wholly owned, newly created entity (the "Depositor") and on the closing date such loans were deposited into newly created securitization trusts (Ellington Financial Mortgage Trust 2017-1 and Ellington Financial Mortgage Trust 2018-1, collectively the "Issuing Entities"). Pursuant to the securitizations, the Issuing Entities issued various classes of mortgage pass-through certificates (the "Certificates") which are backed by the cash flows from the underlying non-QM loans. Under the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, sponsors of securitizations are generally required to retain at least 5% of the economic interest in the credit risk of the securitized assets (the "Risk Retention Rules"). In order to comply with the Risk Retention Rules, in each securitization, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates. The Sponsor also purchased the Certificates entitled to excess servicing fees in each securitization, while the remaining classes of Certificates were purchased by unrelated parties. The Certificates issued in November 2017 and 2018 have final scheduled distribution dates of October 25, 2047 and October 25, 2058, respectively. However, the Depositor may, with respect to each securitization, at its sole option, purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) the two year anniversary of the closing date of such securitization or (2) the date on which the aggregate unpaid principal balance of the underlying non-QM loans has declined below 30% of the aggregate unpaid principal balance of the underlying non-QM loans as of the date as of which such loans were originally transferred to the applicable Issuing Entity. The purchase price that the Depositor is required to pay in connection with an Optional Redemption is equal to the sum of the unpaid principal balance of each class of Certificates as of the redemption date and any accrued and unpaid interest thereon. In light of these Optional Redemption rights held by the Depositor, the transfers of non-QM loans to each of the Issuing Entities do not qualify as sales under ASC 860-10. In the event that certain breaches of representations or warranties are discovered with respect to any underlying non-QM loans, the Company could be required to repurchase or replace such loans. The Sponsor also serves as the servicing administrator of each securitization, for which it is entitled to receive a monthly fee equal to one-twelfth of the product of (a) 0.03% and (b) the unpaid principal balance of the underlying non-QM loans as of the first day of the related due period. The Sponsor in its role as servicing administrator provides direction and consent for certain loss mitigation activities to the third-party servicer of the underlying non-QM loans. In certain circumstances, the servicing administrator will be required to reimburse the servicer for principal and interest advances and servicing advances made by the servicer. In light of the Company's retained interests in each of the securitizations, together with the Optional Redemption rights and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities, the Company is deemed to be the primary beneficiary of the Issuing Entities, which are VIEs, and has consolidated the Issuing Entities. Interest income from these loans and the expenses related to the servicing of these loans are included in Interest income and Investment related expenses—Servicing expense, respectively, on the Condensed Consolidated Statement of Operations. The Issuing Entities each meet the definition of a CFE as defined in Note 2, and as a result the assets of each of the Issuing Entities have been valued using the fair value of the liabilities of the respective Issuing Entity, as such liabilities have been assessed to be more observable than such assets. The debt of the Issuing Entities is included in Other secured borrowings, at fair value, on the Condensed Consolidated Balance Sheet and is shown net of the Certificates held by the Company. The following table details the Company's consolidated residential mortgage loan securitizations: Issuing Entity Closing Date Principal Balance of Loans Transferred to the Depositor Total Face Amount of Certificates Issued (In thousands) Ellington Financial Mortgage Trust 2017-1 11/17 $ 141,233 $ 141,233 (1) Ellington Financial Mortgage Trust 2018-1 11/18 232,518 232,518 (2) (1) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.1% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $0.7 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (2) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.7% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. The following table details the assets and liabilities of the consolidated securitization trusts included in the Company's Condensed Consolidated Balance Sheet as of March 31, 2019: (In thousands) March 31, 2019 Assets: Loans, at fair value $ 296,366 Investment related receivables 4,734 Liabilities: Interest payable 91 Other secured borrowings, at fair value 282,124 Securitization Transactions Participation in Multi-Seller Consumer Loan Securitization In August 2016, the Company participated in a securitization transaction whereby the Company, together with another entity managed by Ellington (the "co-participant"), sold consumer loans with an aggregate unpaid principal balance of approximately $124 million to a newly formed securitization trust (the "Issuer"). Of the $124 million in loans sold to the Issuer, the Company's share was 51% while the co-participant's share was 49% . The transfer was accounted for as a sale in accordance with ASC 860-10. As a result of the sale the Company recognized a realized loss in the amount of $(0.1) million . Pursuant to the securitization, the Issuer issued senior and subordinated notes in the principal amount of $87 million and $18.7 million , respectively. Trust certificates representing beneficial ownership of the Issuer were also issued. In connection with the transaction, and through a jointly owned newly formed entity (the "Acquiror"), the Company and the co-participant acquired all of the subordinated notes as well as the trust certificates in the Issuer. The Company and the co-participant acquired 51% and 49% , respectively, of the interests in the Acquiror. During 2017, at the co-participant's direction, the Acquiror sold the portion of the subordinated notes beneficially owned by the co-participant, and in 2018, the Acquiror sold the remaining portion of the subordinated notes which were beneficially owned by the Company, and as a result as of December 31, 2018, the Company's total interest in the Acquiror was approximately 62% . The Company's interest in the Acquiror is accounted for as a beneficial interest and is included on the Consolidated Condensed Schedule of Investments in Corporate Equity Investments . The notes and trust certificates issued by the Issuer are backed by the cash flows from the underlying consumer loans. If there are breaches of representations and warranties with respect to any underlying consumer loans, the Company could, under certain circumstances, be required to purchase or replace such loans. Absent such breaches, the Company has no obligation to repurchase or replace any underlying consumer loans that become delinquent or otherwise default. Cash flows collected on the underlying consumer loans are distributed to service providers to the trust, noteholders, and trust certificate holders in accordance with the contractual priority of payments. In addition, another affiliate of Ellington (the "Administrator"), acts as the administrator for the securitization and is paid a monthly fee for its services. While the Company retains credit risk in the securitization trust through its beneficial ownership of the most subordinated interests of the securitization trust, which are the first to absorb credit losses on the securitized assets, the Company does not retain control of these assets or the power to direct the activities of the Issuer that most significantly impact the Issuer's economic performance. See Note 9 for further details on the Company’s participation in the multi-seller consumer loan securitization. Participation in CLO Transactions Since June 2017, an affiliate of Ellington sponsored three CLO securitization transactions (the "CLO I Securitization," the "CLO II Securitization," and the "CLO III Securitization"; collectively, the "Ellington-sponsored CLO Securitizations"), collateralized by corporate loans and managed by an affiliate of Ellington (the "CLO Manager"). Ellington, the Company, several other affiliates of Ellington, and, in the case of the CLO II Securitization and the CLO III Securitization, several third parties, participated in the Ellington-sponsored CLO Securitizations (collectively, the "CLO Co-Participants"). Pursuant to each Ellington-sponsored CLO Securitization, a newly formed securitization trust (the "CLO I Issuer," the "CLO II Issuer," and the "CLO III Issuer"; collectively, the "CLO Issuers") issued various classes of notes, which were in turn sold to unrelated third parties and the applicable CLO Co-Participants. The notes issued by each CLO Issuer are backed by the cash flows from the underlying corporate loans (including loans to be purchased during a reinvestment period); these cash flows are applied in accordance with the contractual priority of payments. In the case of the CLO I Securitization, the Company and one CLO Co-Participant transferred corporate loans with a fair value of approximately $62.0 million and $141.7 million , respectively, to the CLO I Issuer in exchange for cash. The Company has no obligation to repurchase or replace securitized corporate loans that subsequently become delinquent or are otherwise in default, and the transfer by the Company was accounted for as a sale in accordance with ASC 860-10. As a result of the sale, the Company recognized a realized gain in the amount of $0.2 million . In the case of the CLO II Securitization and the CLO III Securitization, the Company, along with certain other CLO Co-Participants, advanced funds in the form of loans (the "Advances") to the applicable CLO Issuers prior to the CLO pricing date to enable it to establish warehouse facilities for the purpose of acquiring the assets to be securitized. Pursuant to their terms, the Advances are required to be repaid at the closing of the respective securitization. In each Ellington-sponsored CLO Securitization, the Company and each of the applicable CLO Co-Participants purchased various classes of notes issued by the corresponding CLO Issuer. In accordance with the Company's accounting policy for recording certain investment transactions on trade date, these purchases were recorded on the CLO pricing date rather than the CLO closing date. In addition, in the case of each of the CLO I Securitization and the CLO II Securitization, the Company and the CLO Co-Participants also funded a newly formed entity (the "CLO I Risk Retention Vehicle" and the "CLO II Risk Retention Vehicle") to purchase a sufficient portion of the unsecured subordinated notes issued by the applicable CLO Issuer so as to comply with risk retention rules (the "Risk Retention Rules") under the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, as further described below. With respect to each Ellington-sponsored CLO Securitization, the Company subsequently sold a portion of the notes that it had originally purchased. As of December 31, 2018, the Company did not have an ownership interest in the CLO I Risk Retention Vehicle. Under the Risk Retention Rules, sponsors of securitizations are generally required to retain at least 5% of the economic interest in the credit risk of the securitized assets. However, in February 2018, the U.S. Court of Appeals for the District of Columbia Circuit, or the "Court of Appeals," ruled that open-market CLO securitizations are exempt from the Risk Retention Rules, as long as certain requirements are met, and in April 2018 the Court of Appeals gave effect to this ruling. As a result, Risk Retention Rules no longer apply to managers of open-market CLOs, and those managers are now permitted to sell the interests in existing open-market CLOs that were originally retained in order to comply with the Risk Retention Rules, as long as those securitizations meet the requirements for exemption. After the decision by the Court of Appeals, the CLO Manager determined that the CLO II Securitization met the requirements for exemption from the Risk Retention Rules and subsequently distributed, in-kind, the subordinated notes held in the CLO II Risk Retention Vehicle to the CLO Co-Participants pro rata based on each CLO Co-Participant's respective ownership percentage of the CLO II Risk Retention Vehicle. The subordinated notes distributed to the Company from the CLO II Risk Retention Vehicle had a face amount of $5.6 million . Such notes had a fair value of $4.3 million as of December 31, 2018 and are included on the Company's Consolidated Condensed Schedule of Investments in Collateralized Loan Obligations and in the table below. The Manager of CLO III Securitization was not required to establish a risk retention vehicle because the transaction closed subsequent to the effectiveness of the ruling by the Court of Appeals. In August 2018, the CLO I Issuer optionally redeemed all of the notes issued by the CLO I Securitization. Simultaneously with this optional redemption, the CLO I Issuer issued various classes of new notes, which were in turn sold to unrelated third parties and to the applicable CLO Co-Participants ("the Reset CLO I Securitization"). These new notes are backed by the cash flows from the underlying corporate loans (including loans to be purchased during a reinvestment period); these cash flows are applied in accordance with the contractual priority of payments. The CLO Manager determined that the Reset CLO I Securitization met the requirements for exemption from the Risk Retention Rules. As a result, the CLO Manager commenced liquidation of the CLO I Risk Retention Vehicle, and all of the liquidation proceeds have been distributed to the applicable CLO Co-Participants. As of December 31, 2018, the Company has received $5.7 million in liquidation proceeds from the CLO I Risk Retention Vehicle. While the Company retains credit risk in each of the Ellington-sponsored CLO Securitizations through its beneficial ownership of the most subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, the Company does not retain control of these assets nor does it have the power to direct the activities of the CLO Issuers that most significantly impact the CLO Issuers' economic performance. The following table details the Company’s investments in notes issued by the Ellington-sponsored CLO Securitizations: CLO Issuer (1) CLO Pricing Date CLO Closing Date Total Face Amount of Notes Issued Face Amount of Notes Initially Purchased Aggregate Purchase Price Notes Held (2) as of December 31, 2018 ($ in thousands) CLO I Issuer (3)(4) 5/17 6/17 $ 373,550 $ 36,606 (5) $ 35,926 $ — CLO I Issuer (4) 8/18 8/18 461,840 36,579 (5) 25,622 16,973 (6) CLO II Issuer 12/17 1/18 452,800 18,223 (7) 16,621 14,721 (6) CLO III Issuer 6/18 7/18 407,100 35,480 (7) 32,394 19,071 (8) (1) The Company does not have the power to direct the activities of the CLO Issuers that most significantly impact their economic performance. (2) Included on the Company's Consolidated Condensed Schedule of Investments in Collateralized Loan Obligations. (3) Excludes the Company's equity investment in the CLO I Risk Retention Vehicle, as discussed above. (4) In August 2018, the notes originally issued by the CLO I Issuer in 2017 were fully redeemed, and the CLO I Issuer simultaneously issued new notes in conjunction with this full redemption. (5) The Company purchased secured and unsecured subordinated notes. (6) Includes secured and unsecured subordinated notes. (7) The Company purchased secured senior and secured and unsecured subordinated notes. (8) Includes secured senior and secured and unsecured subordinated notes. See Note 9 for further details on the Company’s participation in CLO transactions. Residential Mortgage Loan Securitizations Since November 2017, the Company, through its wholly owned subsidiary, Ellington Financial REIT TRS LLC (the "Sponsor"), has sponsored two securitizations of non-QM loans. In each case, the Sponsor transferred non-QM loans to a wholly owned, newly created entity (the "Depositor") and on the closing date such loans were deposited into newly created securitization trusts (Ellington Financial Mortgage Trust 2017-1 and Ellington Financial Mortgage Trust 2018-1, collectively the "Issuing Entities"). Pursuant to the securitizations, the Issuing Entities issued various classes of mortgage pass-through certificates (the "Certificates") which are backed by the cash flows from the underlying non-QM loans. As detailed further in the table below, in order to comply with the Risk Retention Rules, in each securitization the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates. The Sponsor also purchased the Certificates entitled to excess servicing fees in each securitization, while the remaining classes of Certificates were purchased by unrelated parties. The Certificates issued in November 2017 and 2018 have final scheduled distribution dates of October 25, 2047 and October 25, 2058, respectively. However, the Depositor may, with respect to each securitization, at its sole option, purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) the two year anniversary of the closing date of such securitization or (2) the date on which the aggregate unpaid principal balance of the underlying non-QM loans has declined below 30% of the aggregate unpaid principal balance of the underlying non-QM loans as of the date as of which such loans were originally transferred to the applicable Issuing Entity. The purchase price that the Depositor is required to pay in connection with an Optional Redemption is equal to the sum of the unpaid principal balance of each class of Certificates as of the redemption date and any accrued and unpaid interest thereon. In light of these Optional Redemption rights held by the Depositor, the transfers of non-QM loans to each of the Issuing Entities do not qualify as sales under ASC 860, Transfers and Servicing. In the event that certain breaches of representations or warranties are discovered with respect to any underlying non-QM loans, the Company could be required to repurchase or replace such loans. The Sponsor also serves as the servicing administrator of each securitization and as such, is entitled to receive a monthly fee equal to one-twelfth of the product of (a) 0.03% and (b) the unpaid principal balance of the underlying non-QM loans as of the first day of the related due period. The Sponsor in its role as servicing administrator provides direction and consent for certain loss mitigation activities to the third-party servicer of the underlying non-QM loans. In certain circumstances, the servicing administrator will be required to reimburse the servicer for principal and interest advances and servicing advances made by the servicer. In light of the Company’s retained interests in each of the securitizations, together with the Optional Redemption rights and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities, the Issuing Entities are deemed to be an extension of the Company's business. The non-QM loans held by the Issuing Entities are included on the Consolidated Condensed Schedule of Investments in Mortgage Loans. Interest income from these loans and the expenses related to the servicing of these loans are included in Interest income and Other investment related expenses—Servicing expense, respectively, on the Consolidated Statement of Operations. The Issuing Entities each meet the definition of a CFE as defined in Note 2, and as a result the assets of the Issuing Entities have been valued using the fair value of the liabilities of the Issuing Entities, as such liabilities have been assessed to be more observable than such assets. The debt of the Issuing Entities is included in Other secured borrowings, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity and is shown net of the Certificates held by the Company. The following table details the residential mortgage loan securitizations: Issuing Entity Closing Date Principal Balance of Loans Transferred to the Depositor Total Face Amount of Certificates Issued (In thousands) Ellington Financial Mortgage Trust 2017-1 11/15/2017 $ 141,233 $ 141,233 (1) Ellington Financial Mortgage Trust 2018-1 11/13/2018 232,518 232,518 (2) (1) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.1% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $0.7 million , the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (2) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.7% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million , the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. The following table details the assets and liabilities of the consolidated securitization trusts included in the Company’s Consolidated Statement of Assets, Liabilities, and Equity as of December 31, 2018: As of (In thousands) December 31, 2018 Assets: Cash and cash equivalents $ — Investments, at fair value 314,202 Interest and dividends receivable 3,527 Liabilities: Interest and dividends payable 103 Other secured borrowings, at fair value 297,948 |
Borrowings
Borrowings | 3 Months Ended |
Mar. 31, 2019 | |
Debt Disclosure [Abstract] | |
Borrowings | 360 Days 140,306 5.15 % 636 Total Credit Assets 581,314 3.98 % 240 U.S. Treasury Securities: 30 Days or Less 273 3.10 % 2 Total U.S. Treasury Securities 273 3.10 % 2 Total $ 1,498,849 3.13 % 122 Reverse repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their original maturity dates even though such reverse repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. As of December 31, 2018, the fair value of investments transferred as collateral under outstanding borrowings under reverse repurchase agreements was $1.79 billion . Collateral transferred under outstanding borrowings as of December 31, 2018 include investments in the amount of $86.7 million that were sold prior to period end but for which such sale had not yet settled. In addition the Company posted net cash collateral of $17.0 million and additional securities with a fair value of $0.2 million as of December 31, 2018 to its counterparties. As of December 31, 2018, there were no counterparties for which the amount at risk relating to our repurchase agreements was greater than 10% of total equity. Other Secured Borrowings In February 2018, the Company entered into agreements to finance a portfolio of unsecured loans through a recourse secured borrowing facility. The facility includes a one year revolving period (or earlier following an early amortization event or event of default), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. After the revolving period ends, the facility has a two-year term ending in February 2021. The facility accrues interest on a floating rate basis. As of December 31, 2018, the Company had outstanding borrowings under this facility in the amount of $13.2 million which is included under the caption Other secured borrowings, on the Company's Consolidated Statement of Assets, Liabilities, and Equity, and the effective interest rate, inclusive of related deferred financing costs, was 4.72% . As of December 31, 2018, the fair value of unsecured loans collateralizing this borrowing was $20.3 million . In December 2017, the Company amended its non-recourse secured borrowing facility that is used to finance a portfolio of unsecured loans. The facility includes a reinvestment period ending in December 2019 (or earlier following an early amortization event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the reinvestment period, the facility will begin to amortize based on the collections from the underlying loans. The facility accrues interest on a floating rate basis. As of December 31, 2018 the Company had outstanding borrowings under this facility in the amount of $101.0 million which is included under the caption Other secured borrowings, on the Company's Consolidated Statement of Assets, Liabilities, and Equity, and the effective interest rate on this facility, inclusive of related deferred financing costs, was 4.68% as of December 31, 2018. As of December 31, 2018 the fair value of unsecured loans collateralizing this borrowing was $149.0 million . The Company has completed securitization transactions, as discussed in Note 6, whereby it financed portfolios of non-QM loans. As of December 31, 2018 the fair value of the Company’s outstanding liabilities associated with these securitization transactions were $297.9 million , representing the fair value of the securitization trust certificates held by third parties as of such date, and is included on Company's Consolidated Statement of Assets, Liabilities, and Equity in Other Secured Borrowings, at fair value. The weighted average coupon on the Certificates held by third parties was 3.72% as of December 31, 2018. As of December 31, 2018 the fair value of non-QM loans held in the securitization trusts were $314.2 million . Unsecured Borrowings Senior Notes On August 18, 2017, the Company issued $86.0 million in aggregate principal amount of Senior Notes. The total net proceeds to the Company from the issuance of the Senior Notes was approximately $84.7 million , after deducting debt issuance costs. The Senior Notes bear an interest rate of 5.25% , subject to adjustment based on changes in the ratings, if any, of the Senior Notes. Interest on the Senior notes is payable semi-annually in arrears on March 1 and September 1 of each year. The Senior Notes mature on September 1, 2022 . The Company may redeem the Senior Notes, at its option, in whole or in part, prior to March 1, 2022 at a price equal to 100% of the principal amount thereof, plus the applicable "make-whole" premium as of the applicable date of redemption. At any time on or after March 1, 2022, the Company may redeem the Senior Notes, in whole or in part, at a redemption price equal to 100% of the aggregate principal amount of the Senior Notes to be redeemed, plus accrued and unpaid interest. The Senior Notes are carried at amortized cost. There are a number of covenants, including several financial covenants, associated with the Senior Notes. As of December 31, 2018 the Company was in compliance with all of its covenants. The Company amortizes debt issuance costs over the life of the associated debt; the amortized portion of debt issuance costs is included in Interest expense on the Consolidated Statement of Operations. The Senior Notes have an effective interest rate of 5.55% , inclusive of debt issuance costs. The Senior Notes are unsecured and are effectively subordinated to secured indebtedness of the Company, to the extent of the value of the collateral securing such indebtedness. Schedule of Principal Repayments The following table details the Company's principal repayment schedule for outstanding borrowings as of December 31, 2018: Year Reverse Repurchase Agreements (1) Other Secured Borrowings (2) Senior Notes (1) Total (In thousands) 2019 $ 1,358,542 $ 194,135 $ — $ 1,552,677 2020 78,530 205,198 — 283,728 2021 61,776 13,150 — 74,926 2022 — — 86,000 86,000 2023 — — — — Total $ 1,498,848 $ 412,483 $ 86,000 $ 1,997,331 (1) Reflects the Company's contractual principal repayment dates. (2) Reflects the Company's expected principal repayment dates." id="sjs-B4">Borrowings Secured Borrowings The Company's secured borrowings consist of repurchase agreements, Other secured borrowings, and Other secured borrowings, at fair value. As of March 31, 2019, the Company's total secured borrowings were $1.949 billion . Repurchase Agreements The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 180 days, although the Company also has repurchase agreements that provide for longer or shorter terms. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and for most repurchase agreements, interest is generally paid at the termination of the repurchase agreement, at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. Some repurchase agreements provide for periodic payments of interest, such as monthly payments. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under repurchase agreements with 24 counterparties as of March 31, 2019. As of March 31, 2019 remaining days to maturity on the Company's open repurchase agreements ranged from 1 day to 781 days. Interest rates on the Company's open repurchase agreements ranged from 0.24% to 5.85% as of March 31, 2019. The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS, credit assets (which include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), and U.S. Treasury securities, by remaining maturity as of March 31, 2019: (In thousands) March 31, 2019 Weighted Average Remaining Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Agency RMBS: 30 Days or Less $ 180,657 2.73 % 14 31-60 Days 358,677 2.71 % 45 61-90 Days 393,529 2.69 % 76 121-150 Days 5,690 2.73 % 148 151-180 Days 2,713 2.64 % 180 Total Agency RMBS 941,266 2.71 % 53 Credit: 30 Days or Less 9,330 4.13 % 20 31-60 Days 70,732 3.77 % 41 61-90 Days 156,414 3.58 % 79 91-120 Days 683 5.00 % 101 151-180 Days 9,487 4.50 % 168 181-360 Days 264,458 4.55 % 254 > 360 Days 68,139 5.46 % 774 Total Credit Assets 579,243 4.29 % 236 U.S. Treasury Securities: 30 Days or Less 29,507 2.54 % 1 Total U.S. Treasury Securities 29,507 2.54 % 1 Total $ 1,550,016 3.30 % 121 Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their original maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. As of March 31, 2019, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $1.850 billion . Collateral transferred under outstanding borrowings under repurchase agreements as of March 31, 2019 include investments in the amount of $20.7 million that were sold prior to period end but for which such sale had not yet settled. In addition the Company posted net cash collateral of $13.9 million and additional securities with a fair value of $0.2 million as of March 31, 2019 to its counterparties. As of March 31, 2019, there were no counterparties for which the amount at risk relating to our repurchase agreements was greater than 10% of total equity. Other Secured Borrowings In February 2018, the Company entered into agreements to finance a portfolio of unsecured loans through a recourse secured borrowing facility. The facility includes a one-year revolving period (or earlier following an early amortization event or event of default), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. After the revolving period ends, the facility has a two-year term ending in February 2021. The facility accrues interest on a floating-rate basis. As of March 31, 2019, the Company had outstanding borrowings under this facility in the amount of $11.4 million which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet, and the effective interest rate, inclusive of related deferred financing costs, was 4.75% . As of March 31, 2019, the fair value of unsecured loans collateralizing this borrowing was $20.2 million . In December 2017, the Company amended its non-recourse secured borrowing facility that is used to finance a portfolio of unsecured loans. The facility includes a reinvestment period ending in December 2019 (or earlier following an early amortization event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the reinvestment period, the facility will begin to amortize based on the collections from the underlying loans. The facility accrues interest on a floating rate basis. As of March 31, 2019, the Company had outstanding borrowings under this facility in the amount of $105.9 million , which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet, and the effective interest rate on this facility, inclusive of related deferred financing costs, was 4.67% . As of March 31, 2019, the fair value of unsecured loans collateralizing this borrowing was $157.1 million . The Company has completed securitization transactions, as discussed in Note 10, whereby it financed portfolios of non-QM loans. As of March 31, 2019, the fair value of the Company's outstanding liabilities associated with these securitization transactions was $282.1 million , representing the fair value of the securitization trust certificates held by third parties as of such date, and is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the Certificates held by third parties was 3.75% as of March 31, 2019. As of March 31, 2019, the fair value of non-QM loans held in the securitization trusts was $296.4 million . Unsecured Borrowings Senior Notes On August 18, 2017, the Company issued $86.0 million in aggregate principal amount of unsecured senior notes (the "Old Senior Notes"). The total net proceeds to the Company from the issuance of the Old Senior Notes was approximately $84.7 million , after deducting debt issuance costs. The Old Senior Notes had an interest rate of 5.25% , subject to adjustment based on changes in the ratings, if any, of the Old Senior Notes. On February 13, 2019, in connection with the REIT Election, the Company exchanged all $86.0 million in principal amount of the Old Senior Notes for new unsecured long-term debt jointly and severally co-issued by two of its consolidated subsidiaries and fully guaranteed by the Company (the "Senior Notes"). At any time, the Company is permitted to add others of its consolidated subsidiaries as co-issuers of the Senior Notes. The Senior Notes bear interest at a rate of 5.50% , subject to adjustment based on changes, if any, in the ratings of the Senior Notes. Interest on the Senior Notes is payable semi-annually in arrears on March 1 and September 1 of each year. The Senior Notes mature on September 1, 2022. The Company may redeem the Senior Notes, at its option, in whole or in part, prior to March 1, 2022 at a price equal to 100% of the principal amount thereof, plus the applicable "make-whole" premium as of the applicable date of redemption. At any time on or after March 1, 2022, the Company may redeem the Senior Notes, in whole or in part, at a redemption price equal to 100% of the aggregate principal amount of the Senior Notes to be redeemed, plus accrued and unpaid interest. The Senior Notes are carried at amortized cost. There are a number of covenants, including several financial covenants, associated with the Senior Notes. As of March 31, 2019, the Company was in compliance with all of its covenants. The Company amortizes debt issuance costs over the life of the associated debt; the amortized portion of debt issuance costs is included in Interest expense on the Condensed Consolidated Statement of Operations. The Senior Notes have an effective interest rate of 5.80% , inclusive of debt issuance costs. The Senior Notes are unsecured and are effectively subordinated to secured indebtedness of the Company, to the extent of the value of the collateral securing such indebtedness. Schedule of Principal Repayments The following table details the Company's principal repayment schedule for outstanding borrowings as of March 31, 2019: Year Repurchase Agreements (1) Other Secured Borrowings (2) Senior Notes (1) Total (In thousands) 2019 $ 1,346,013 $ 177,617 $ — $ 1,523,630 2020 139,258 211,266 — 350,524 2021 64,745 11,375 — 76,120 2022 — — 86,000 86,000 2023 — — — — Total $ 1,550,016 $ 400,258 $ 86,000 2,036,274 (1) Reflects the Company's contractual principal repayment dates. (2) Reflects the Company's expected principal repayment dates. Borrowings Secured Borrowings The Company's secured borrowings consist of reverse repurchase agreements, Other secured borrowings, and Other secured borrowings, at fair value. As of December 31, 2018 the Company's total secured borrowings were $1.911 billion . Reverse Repurchase Agreements The Company enters into reverse repurchase agreements. A reverse repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its reverse repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's reverse repurchase agreements typically range in term from 30 to 180 days, although the Company also has reverse repurchase agreements that provide for longer or shorter terms. The principal economic terms of each reverse repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the reverse repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and for most reverse repurchase agreements, interest is generally paid at the termination of the reverse repurchase agreement, at which time the Company may enter into a new reverse repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. Some reverse repurchase agreements provide for periodic payments of interest, such as monthly payments. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, reverse repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the reverse repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. At any given time, the Company seeks to have its outstanding borrowings under reverse repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under reverse repurchase agreements with 23 counterparties as of December 31, 2018. At December 31, 2018, approximately 21% of open reverse repurchase agreements were with one counterparty. As of December 31, 2018 remaining days to maturity on the Company's open reverse repurchase agreements ranged from 2 days to 871 days. Interest rates on the Company's open reverse repurchase agreements ranged from 0.23% to 6.07% as of December 31, 2018. The following table details the Company's outstanding borrowings under reverse repurchase agreements for Agency RMBS, credit assets (which include non-Agency MBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), and U.S. Treasury securities, by remaining maturity as of December 31, 2018: (In thousands) December 31, 2018 Weighted Average Remaining Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Agency RMBS: 30 Days or Less $ 245,956 2.46 % 17 31-60 Days 415,379 2.58 % 46 61-90 Days 255,421 2.74 % 76 91-120 Days 506 3.31 % 91 Total Agency RMBS 917,262 2.59 % 47 Credit: 30 Days or Less 30,426 2.55 % 22 31-60 Days 189,937 3.32 % 48 61-90 Days 93,202 3.21 % 74 121-150 Days 26,222 4.60 % 123 151-180 Days 9,491 4.64 % 166 181-360 Days 91,730 4.54 % 316 > 360 Days 140,306 5.15 % 636 Total Credit Assets 581,314 3.98 % 240 U.S. Treasury Securities: 30 Days or Less 273 3.10 % 2 Total U.S. Treasury Securities 273 3.10 % 2 Total $ 1,498,849 3.13 % 122 Reverse repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their original maturity dates even though such reverse repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. As of December 31, 2018, the fair value of investments transferred as collateral under outstanding borrowings under reverse repurchase agreements was $1.79 billion . Collateral transferred under outstanding borrowings as of December 31, 2018 include investments in the amount of $86.7 million that were sold prior to period end but for which such sale had not yet settled. In addition the Company posted net cash collateral of $17.0 million and additional securities with a fair value of $0.2 million as of December 31, 2018 to its counterparties. As of December 31, 2018, there were no counterparties for which the amount at risk relating to our repurchase agreements was greater than 10% of total equity. Other Secured Borrowings In February 2018, the Company entered into agreements to finance a portfolio of unsecured loans through a recourse secured borrowing facility. The facility includes a one year revolving period (or earlier following an early amortization event or event of default), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. After the revolving period ends, the facility has a two-year term ending in February 2021. The facility accrues interest on a floating rate basis. As of December 31, 2018, the Company had outstanding borrowings under this facility in the amount of $13.2 million which is included under the caption Other secured borrowings, on the Company's Consolidated Statement of Assets, Liabilities, and Equity, and the effective interest rate, inclusive of related deferred financing costs, was 4.72% . As of December 31, 2018, the fair value of unsecured loans collateralizing this borrowing was $20.3 million . In December 2017, the Company amended its non-recourse secured borrowing facility that is used to finance a portfolio of unsecured loans. The facility includes a reinvestment period ending in December 2019 (or earlier following an early amortization event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the reinvestment period, the facility will begin to amortize based on the collections from the underlying loans. The facility accrues interest on a floating rate basis. As of December 31, 2018 the Company had outstanding borrowings under this facility in the amount of $101.0 million which is included under the caption Other secured borrowings, on the Company's Consolidated Statement of Assets, Liabilities, and Equity, and the effective interest rate on this facility, inclusive of related deferred financing costs, was 4.68% as of December 31, 2018. As of December 31, 2018 the fair value of unsecured loans collateralizing this borrowing was $149.0 million . The Company has completed securitization transactions, as discussed in Note 6, whereby it financed portfolios of non-QM loans. As of December 31, 2018 the fair value of the Company’s outstanding liabilities associated with these securitization transactions were $297.9 million , representing the fair value of the securitization trust certificates held by third parties as of such date, and is included on Company's Consolidated Statement of Assets, Liabilities, and Equity in Other Secured Borrowings, at fair value. The weighted average coupon on the Certificates held by third parties was 3.72% as of December 31, 2018. As of December 31, 2018 the fair value of non-QM loans held in the securitization trusts were $314.2 million . Unsecured Borrowings Senior Notes On August 18, 2017, the Company issued $86.0 million in aggregate principal amount of Senior Notes. The total net proceeds to the Company from the issuance of the Senior Notes was approximately $84.7 million , after deducting debt issuance costs. The Senior Notes bear an interest rate of 5.25% , subject to adjustment based on changes in the ratings, if any, of the Senior Notes. Interest on the Senior notes is payable semi-annually in arrears on March 1 and September 1 of each year. The Senior Notes mature on September 1, 2022 . The Company may redeem the Senior Notes, at its option, in whole or in part, prior to March 1, 2022 at a price equal to 100% of the principal amount thereof, plus the applicable "make-whole" premium as of the applicable date of redemption. At any time on or after March 1, 2022, the Company may redeem the Senior Notes, in whole or in part, at a redemption price equal to 100% of the aggregate principal amount of the Senior Notes to be redeemed, plus accrued and unpaid interest. The Senior Notes are carried at amortized cost. There are a number of covenants, including several financial covenants, associated with the Senior Notes. As of December 31, 2018 the Company was in compliance with all of its covenants. The Company amortizes debt issuance costs over the life of the associated debt; the amortized portion of debt issuance costs is included in Interest expense on the Consolidated Statement of Operations. The Senior Notes have an effective interest rate of 5.55% , inclusive of debt issuance costs. The Senior Notes are unsecured and are effectively subordinated to secured indebtedness of the Company, to the extent of the value of the collateral securing such indebtedness. Schedule of Principal Repayments The following table details the Company's principal repayment schedule for outstanding borrowings as of December 31, 2018: Year Reverse Repurchase Agreements (1) Other Secured Borrowings (2) Senior Notes (1) Total (In thousands) 2019 $ 1,358,542 $ 194,135 $ — $ 1,552,677 2020 78,530 205,198 — 283,728 2021 61,776 13,150 — 74,926 2022 — — 86,000 86,000 2023 — — — — Total $ 1,498,848 $ 412,483 $ 86,000 $ 1,997,331 (1) Reflects the Company's contractual principal repayment dates. (2) Reflects the Company's expected principal repayment dates. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2019 | |
Income Tax [Abstract] | |
Income Taxes | Income Taxes The Company intends to qualify and will elect to be taxed as a REIT beginning with its taxable year ending December 31, 2019. A REIT is generally not subject to U.S. federal, state, and local income tax on that portion of its income that is distributed to its owners if it distributes at least 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gains. The Company intends to operate in a manner which will allow it to qualify as a REIT. Accordingly, the Company does not believe that it will be subject to U.S. federal, state, and local income tax on the portion of its net taxable income that is distributed to its stockholders as long as certain asset, income, and share ownership tests are met. Certain foreign and domestic subsidiaries of the Company have elected to be treated as TRSs and therefore are taxed as corporations for U.S. federal, state, and local income tax purposes. To the extent that those entities incur U.S. federal, state, or local income taxes, such taxes are recorded in the Company's condensed consolidated financial statements. The Company accounts for income taxes in accordance with ASC 740, Income Taxes . Deferred income taxes reflect the net tax effects of temporary differences that may exist between the carrying amounts of assets and liabilities under U.S. GAAP and the carrying amounts used for income tax purposes. As of March 31, 2019, one of the Company's domestic TRS's had a net operating loss carryforward, resulting in a gross deferred tax asset, which has been fully reserved through a valuation allowance. Income Taxes The Company has certain subsidiaries that have elected to be treated as corporations for U.S. federal, state, and local income tax purposes. |
Related Party Transactions
Related Party Transactions | 3 Months Ended |
Mar. 31, 2019 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions The Company is party to the Management Agreement (which may be amended from time to time), pursuant to which the Manager manages the assets, operations, and affairs of the Company, in consideration of which the Company pays the Manager management and incentive fees. The descriptions of the Base Management Fees and Incentive Fees are detailed below. Base Management Fees The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. Pursuant to the Management Agreement, if the Company invests at issuance in the equity of any collateralized debt obligation that is managed, structured, or originated by Ellington or one of its affiliates, or if the Company invests in any other investment fund or other investment for which Ellington or one of its affiliates receives management, origination, or structuring fees, then, unless agreed otherwise by a majority of the Company's independent directors, the base management and incentive fees payable by the Company to its Manager will be reduced by an amount equal to the applicable portion (as described in the Management Agreement) of any such management, origination, or structuring fees. Summary information —For the three-month period ended March 31, 2019, the total base management fee incurred was $1.7 million consisting of $2.1 million of total gross base management fee incurred, less $0.4 million of management fee rebates, as discussed below in "— Participation in CLO Transactions ." Incentive Fees The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of March 31, 2019, there was no Loss Carryforward. For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common stock and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares of common stock and OP Units issued in such issuance and the number of days that such issued shares of common stock and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting ( i.e. attributing any share of common stock and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to shares of common stock and OP Units at the beginning of such fiscal quarter by (II) the average number of shares of common stock and OP Units outstanding for each day during such fiscal quarter, (iii) the sum of (x) the average number of shares of common stock and long term incentive plan units of the Company outstanding for each day during such fiscal quarter, and (y) the average number of Convertible Non-controlling Interests outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common stock, and Convertible Non-controlling Interests (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of shares of common stock and cash, provided that at least 10% of any quarterly payment will be made in shares of common stock. Summary information —The Company did not accrue an incentive fee for the three-month period ended March 31, 2019, since on a rolling four quarter basis, the Company's income did not exceed the prescribed hurdle amount. Termination Fees The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company or (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual quarterly base management fee amounts paid or payable with respect to the two 12 -month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual quarterly incentive fee amounts paid or payable with respect to the two 12 -month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. Expense Reimbursement Under the terms of the Management Agreement the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Directors to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the three-month period ended March 31, 2019, the Company reimbursed the Manager $2.7 million for previously incurred operating and compensation expenses. Transactions Involving Certain Loan Originators As of March 31, 2019, the loan originators in which the Company holds equity investments represent related parties. Transactions that have been entered into with these related party mortgage originators are summarized below. The Company is a party to a mortgage loan purchase and sale flow agreement, with a mortgage originator in which the Company holds an investment in common stock, whereby the Company purchases residential mortgage loans that satisfy certain specified criteria. The Company has also provided a $5.0 million line of credit to the mortgage originator. Under the terms of this line of credit, the Company has agreed to make advances to the mortgage originator solely for the purpose of funding specifically identified residential mortgage loans designated for sale to the Company. To the extent the advances are drawn by the mortgage originator, it must pay interest, at a rate of 15% per annum, on the outstanding balance of each advance from the date the advance is made until such advance is repaid in full. The mortgage originator is required to repay advances in full no later than two business days following the date that the Company purchases the related residential mortgage loans from the mortgage originator. As of March 31, 2019, there were no advances outstanding. The Company has also entered into two agreements whereby it guarantees the performance of such mortgage originator under third-party master repurchase agreements. See Note 21, Commitments and Contingencies, for further information on the Company's guarantees of the third-party borrowing arrangements. The Company, through a related party of Ellington, or the "Loan Purchaser," is a party to a consumer loan purchase and sale flow agreement, with a consumer loan originator in which the Company holds an investment in preferred stock and warrants to purchase additional preferred stock, whereby the Loan Purchaser purchases consumer loans that satisfy certain specified criteria. The Company has investments in participation certificates related to consumer loans titled in the name of the Loan Purchaser. Through its participation certificates, the Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses. The total fair value of the Company's participation certificates was $23.3 million as of March 31, 2019. Consumer, Residential, and Commercial Loan Transactions with Affiliates The Company purchases certain of its consumer loans through an affiliate, or the "Purchasing Entity." The Purchasing Entity has entered into purchase agreements, open-ended in duration, with third party consumer loan originators whereby it has agreed to purchase eligible consumer loans. The amount of loans purchased under these purchase agreements is dependent on, among other factors, the amount of loans originated in any given period by the selling originators. The Company and other affiliates of Ellington have entered into agreements with the Purchasing Entity whereby the Company and each of the affiliates of Ellington have agreed to purchase their allocated portion (subject to monthly determination based on available capital and other factors) of the eligible loans acquired by the Purchasing Entity under each purchase agreement. Immediately after the Purchasing Entity purchases beneficial interests in the loans, the Company and other affiliates of Ellington purchase such beneficial interests from the Purchasing Entity, at the same price paid by the Purchasing Entity. During the three-month period ended March 31, 2019, the Company purchased loans under these agreements with an aggregate principal balance of $43.6 million . As of March 31, 2019, the estimated remaining contingent purchase obligations of the Company under these purchase agreements was approximately $227.2 million in principal balance. The Company's beneficial interests in the consumer loans purchased through the Purchasing Entity are evidenced by participation certificates issued by trusts that hold legal title to the loans. These trusts are owned by a related party of Ellington and were established to hold such loans. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by each trust. The total amount of consumer loans underlying the Company's participation certificates and held in the related party trusts was $190.2 million as of March 31, 2019. The Company has investments in participation certificates related to residential mortgage loans and REO held in a trust owned by another related party of Ellington. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by such trust. The total amount of residential mortgage loans and REO underlying the Company's participation certificates and held in the related party trust was $288.4 million as of March 31, 2019. The Company is a co-investor in certain small balance commercial mortgage loans with several other investors, including an unrelated third party and various affiliates of Ellington. These loans are beneficially owned by a consolidated subsidiary of the Company. As of March 31, 2019, the aggregate fair value of these loans was $25.3 million and the non-controlling interests held by the unrelated third party and the Ellington affiliates were $1.5 million and $4.1 million , respectively. The Company is also a co-investor in certain small balance commercial mortgage loans with other investors, including unrelated third parties and various affiliates of Ellington. Each co-investor in a loan has an interest in the limited liability company that owns such loan. As of March 31, 2019, the aggregate fair value of the Company's investments in the jointly owned limited liability companies was approximately $8.8 million . Such investments are included in Investments in unconsolidated entities, on the Condensed Consolidated Balance Sheet. The consumer, residential mortgage, and commercial mortgage loans that are the subject of the foregoing loan transactions are held in trusts, each of which the Company has determined to be a VIE. The Company has evaluated each of these VIEs and determined that the Company has the power to direct the activities of each VIE that most significantly impact such VIE's economic performance and the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. As a result the Company has determined it is the primary beneficiary of each of these VIEs and has consolidated each VIE. Equity Investment in Unconsolidated Entity The Company was a co-investor, together with other affiliates of Ellington, in Jepson Holdings Limited, the parent of an entity (the "Right Holder Entity") that held a call right (the "Call Right") to a European mortgage loan securitization (the "Initial Securitization"). The Right Holder Entity issued notes (the "Right Holder Notes") to the Company and its affiliates, and to an unrelated third party. In March 2019, the Right Holder Entity assigned the Call Right to a newly formed entity, which exercised the Call Right and re-securitized the underlying European mortgage loan assets of the Initial Securitization through a new securitization trust (the "New Securitization"). In exchange for assigning the Call Right, the Right Holder Entity received a combination of (i) cash and (ii) certain notes issued by the New Securitization (the "New Securitization Notes"). The Right Holder Entity fully repaid the unrelated third party’s Right Holder Note with a combination of cash and New Securitization Notes. The Right Holder Notes held by the Company and its affiliates were also fully repaid with cash and New Securitization Notes, which as of March 31, 2019 were still held by the Right Holder Entity. The Right Holder Entity is expected to continue to hold certain of the New Securitization Notes in order to comply with European risk retention rules. As of March 31, 2019, the Company’s equity investment in Jepson Holdings Limited had a fair value of $7.0 million . See Note 6 for additional details on this equity investment. Participation in Multi-Borrower Financing Facilities The Company is a co-participant with certain other entities managed by Ellington (the "Affiliated Entities") in two entities (each, a "Jointly Owned Entity"), which were formed in order to facilitate the financing of small balance commercial mortgage loans and REO (collectively, the "SBC Assets"), through repurchase agreements. Each Jointly Owned Entity has a master repurchase agreement with a particular financing counterparty. In connection with the financing of the SBC Assets under repurchase agreements, each of the Company and the Affiliated Entities transferred certain of their respective SBC Assets to one of the Jointly Owned Entities in exchange for its pro rata share of the financing proceeds that the respective Jointly Owned Entity received from the financing counterparty. While the Company's SBC Assets were transferred to the Jointly Owned Entity, the Company's SBC Assets and the related debt were not derecognized for financial reporting purposes, in accordance with ASC 860-10, because the Company continued to retain the risks and rewards of ownership of its SBC Assets. As of March 31, 2019, the Jointly Owned Entities had aggregate outstanding issued debt under the repurchase agreements in the amount of $234.3 million . The Company's segregated portion of this debt as of March 31, 2019, was $148.3 million , and is included under the caption Repurchase agreements on the Company's Condensed Consolidated Balance Sheet. To the extent that there is a default under the repurchase agreements, all of the assets of each respective Jointly Owned Entity, including those beneficially owned by any non-defaulting owners of such Jointly Owned Entity, could be used to satisfy the outstanding obligations under such repurchase agreement. As of March 31, 2019, no party to either of the repurchase agreements was in default. Each of the Jointly Owned Entities has been determined to be a VIE. The Company has evaluated each of these VIEs and determined that it continued to retain the risks and rewards of ownership of its SBC Assets. Such SBC Assets and the related debt are segregated for the Company and each of the Affiliated Entities. On account of the segregation of each of the co-participant's assets and liabilities within each of the Jointly Owned Entities, as well as the retention by each co-participant of control over its specific SBC Assets within the Jointly Owned Entities, the Company has determined that it is the primary beneficiary of, and has consolidated its segregated portion of assets and liabilities within, each of the Jointly Owned Entities. See Note 9 and Note 11 for additional information. Participation in CLO Transactions As discussed in Note 10, the Company participated in a number of CLO securitization transactions, all managed by the CLO Manager. The CLO Manager is entitled to receive management and incentive fees in accordance with the respective management agreements between the CLO Manager and the respective CLO Issuers. In accordance with the Management Agreement, the Manager rebates to the Company the portion of the management fees payable by each CLO Issuer to the CLO Manager that are allocable to the Company's participating interest in the unsecured subordinated notes issued by such CLO Issuer. For the three-month period ended March 31, 2019, the amount of such management fee rebates was $0.4 million . In addition, from time to time, the Company along with various other affiliates of Ellington, and in certain cases various third parties, advance funds in the form of loans ("Initial Funding Loans") to securitization vehicles to enable them to establish warehouse facilities for the purpose of acquiring the assets to be securitized. Pursuant to the terms of the warehouse facilities and the Initial Funding Loans, the applicable securitization trust is required, at the closing of each respective CLO securitization, first to repay the warehouse facility, then to repay the Initial Funding Loans, and then to distribute interest earned, net of any necessary reserves and/or interest expense, and the aggregate realized or unrealized gains, if any, on assets purchased into the warehouse facility. In the event that such CLO securitization fails to close, the assets held by the respective securitization vehicle would, subject to a cure period, be liquidated. As of March 31, 2019, the Company's investments in such warehouse facilities was $4.8 million , which are included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities. Related Party Transactions The Company is party to a Management Agreement (which may be amended from time to time), pursuant to which the Manager manages the assets, operations, and affairs of the Company, in consideration of which the Company pays the Manager management and incentive fees. Effective March 13, 2018, the Board of Directors approved a Seventh Amended and Restated Management Agreement between the Company and the Manager. The descriptions of the Base Management Fees and Incentive Fees are detailed below. Base Management Fees The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. Pursuant to the Company's management agreement, if the Company invests at issuance in the equity of any collateralized debt obligation that is managed, structured, or originated by Ellington or one of its affiliates, or if the Company invests in any other investment fund or other investment for which Ellington or one of its affiliates receives management, origination, or structuring fees, then, unless agreed otherwise by a majority of the Company's independent directors, the base management and incentive fees payable by the Company to its Manager will be reduced by an amount equal to the applicable portion (as described in the management agreement) of any such management, origination, or structuring fees. Summary information —For the three-month period ended March 31, 2018 the total base management fee incurred, net of fee rebates, was $2.0 million . Incentive Fees The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of December 31, 2018, there was a Loss Carryforward of $2.1 million . For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common share and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares and OP Units issued in such issuance and the number of days that such issued shares and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting ( i.e. attributing any share and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to common shares and OP Units at the beginning of such fiscal quarter by (II) the average number of common shares and OP Units outstanding for each day during such fiscal quarter, (iii) the sum of (x) the average number of common shares and LTIP Units outstanding for each day during such fiscal quarter, and (y) the average number of OP Units and OP LTIP Units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares, OP LTIP Units, and OP Units (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of common shares and cash, provided that at least 10% of any quarterly payment will be made in common shares. Summary information —The Company did not incur any expense for incentive fees for the three-month period ended March 31, 2018 since on a rolling four quarter basis, the Company's income did not exceed the prescribed hurdle amount. Termination Fees The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company or (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual Quarterly Base Management Fee Amounts paid or payable with respect to the two 12 -month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual Quarterly Incentive Fee Amounts paid or payable with respect to the two 12 -month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. Expense Reimbursement Under the terms of the Management Agreement the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Directors to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the three-month period ended March 31, 2018 the Company reimbursed the Manager $1.5 million for previously incurred operating and compensation expenses. Equity Investments in Certain Mortgage Originators As of December 31, 2018, the mortgage originators in which the Company holds equity investments represent related parties. Transactions that have been entered into with these related party mortgage originators are summarized below. The Company is a party to a mortgage loan purchase and sale flow agreement, with a mortgage originator in which the Company holds an investment in common stock, whereby the Company purchases residential mortgage loans that satisfy certain specified criteria. The Company has also provided a $5.0 million line of credit to the mortgage originator. Under the terms of this line of credit, the Company has agreed to make advances to the mortgage originator solely for the purpose of funding specifically identified residential mortgage loans designated for sale to the Company. To the extent the advances are drawn by the mortgage originator, it must pay interest, at a rate of 15% per annum, on the outstanding balance of each advance from the date the advance is made until such advance is repaid in full. The mortgage originator is required to repay advances in full no later than two business days following the date the Company purchases the related residential mortgage loans from the mortgage originator. As of December 31, 2018, there were no advances outstanding. The Company has also entered into two agreements whereby it guarantees the performance of such mortgage originator under third-party borrowing arrangements. See Note 17, Commitments and Contingencies, for further information on the Company's guarantees of the third-party borrowing arrangements. Consumer, Residential, and Commercial Loan Transactions with Affiliates The Company, through a related party of Ellington, or the "Loan Purchaser," is a beneficiary to a consumer loan purchase and sale flow agreement whereby the Loan Purchaser purchases consumer loans that satisfy certain specified criteria. The Company has investments in participation certificates related to consumer loans titled in the name of the Loan Purchaser. Through its participation certificates, the Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses. The total fair value of the Company's beneficial interests in the net cash flows was $21.9 million as of December 31, 2018 and is included on the Company's Consolidated Condensed Schedule of Investments in Consumer Loans and Asset-backed Securities backed by Consumer Loans. In addition, the Company also holds an investment in preferred stock and warrants to purchase additional preferred stock of the consumer loan originator that sells consumer loans to the Loan Purchaser. The Company purchases certain of its consumer loans through an affiliate, or the "Purchasing Entity." The Purchasing Entity has entered into purchase agreements, open-ended in duration, with third party consumer loan originators whereby it has agreed to purchase eligible consumer loans. The amount of |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units | 3 Months Ended |
Mar. 31, 2019 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Long-Term Incentive Plan Units | Long-Term Incentive Plan Units OP LTIP Units subject to the Company's incentive plans are generally exercisable by the holder at any time after vesting. Each OP LTIP Unit is convertible into an OP Unit on a one-for-one basis. Subject to certain conditions, the OP Units are redeemable by the holder for an equivalent number of shares of common stock of the Company or for the cash value of such shares of common stock, at the Company's election. Costs associated with the OP LTIP Units issued under the Company's incentive plans are measured as of the grant date and expensed ratably over the vesting period. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the three-month period ended March 31, 2019 was $0.1 million . The below table details unvested OP LTIP Units as of March 31, 2019: Grant Recipient Number of OP LTIP Units Granted Grant Date Vesting Date (1) Directors: 14,440 September 12, 2018 September 11, 2019 Partially dedicated employees: 8,692 December 11, 2018 December 11, 2019 8,691 December 11, 2018 December 11, 2020 5,886 December 12, 2017 December 12, 2019 Total unvested OP LTIP Units at March 31, 2019 37,709 (1) Date at which such OP LTIP Units will vest and become non-forfeitable. The following table summarizes issuance and exercise activity of OP LTIP Units for the three-month period ended March 31, 2019: Manager Director/ Employee Total OP LTIP Units Outstanding (1/1/19) 375,000 146,371 521,371 Granted — — — Exercised — — — OP LTIP Units Outstanding (3/31/19) 375,000 146,371 521,371 OP LTIP Units Unvested and Outstanding (3/31/19) — 37,709 37,709 OP LTIP Units Vested and Outstanding (3/31/19) 375,000 108,662 483,662 As of March 31, 2019, there were an aggregate of 1,874,223 shares of common stock of the Company underlying awards, including OP LTIP Units, available for future issuance under the Company's 2017 Equity Incentive Plan. Long-Term Incentive Plan Units LTIP Units and OP LTIP Units held pursuant to the Company's incentive plans are generally exercisable by the holder at any time after vesting. Each LTIP Unit is convertible into one common share. Each OP LTIP Unit is convertible into an OP Unit on a one-for-one basis. Subject to certain conditions, the OP Units are redeemable by the holder for an equivalent number of common shares of the Company or for the cash value of such common shares, at the Company's election. Costs associated with the LTIP Units and the OP LTIP Units issued under the Company's incentive plans are measured as of the grant date and expensed ratably over the vesting period. Total expense associated with LTIP Units and OP LTIP Units issued under the Company's incentive plans for each of the three-month period ended March 31, 2018 was $0.1 million . On March 7, 2018, the Company's Board of Directors authorized the issuance of 1,723 LTIP Units to certain of its partially dedicated employees pursuant to the Company's 2017 Equity Incentive Plan. These LTIP Units will vest and become non-forfeitable on March 7, 2019. On September 12, 2018, the Company's Board of Directors authorized the issuance of 14,440 LTIP Units to certain of its directors pursuant to the Company's 2017 Equity Incentive Plan. These LTIP Units will vest and become non-forfeitable on September 11, 2019. On December 11, 2018, the Company's Board of Directors authorized the issuance of 17,383 OP LTIP Units to certain of its partially dedicated employees pursuant to the Company's 2017 Equity Incentive Plan. These OP LTIP Units will vest and become non-forfeitable on December 11, 2019 with respect to 8,692 OP LTIP Units and December 11, 2020 with respect to 8,691 OP LTIP Units. On December 31, 2018, the Company redeemed all 503,988 outstanding LTIP Units which it had originally issued under its incentive plans, with each LTIP unitholder receiving in exchange an equal number of OP LTIP Units (the "Redemption Transaction"). The below table details unvested OP LTIP Units as of December 31, 2018: Grant Recipient Number of OP LTIP Units Grant Date Vesting Date (1) Directors: 14,440 September 12, 2018 September 11, 2019 Partially dedicated employees: 8,692 December 11, 2018 December 11, 2019 8,691 December 11, 2018 December 11, 2020 1,723 March 7, 2018 March 7, 2019 5,886 December 12, 2017 December 12, 2019 Total unvested OP LTIP Units at December 31, 2018 39,432 (1) Date at which such OP LTIP Units will vest and become non-forfeitable. The following table summarizes issuance and exercise activity of LTIP Units and OP LTIP Units for the three-month period ended March 31, 2018: Manager Director/ Employee Total LTIP Units and OP LTIP Units Outstanding (12/31/2017) 375,000 116,159 491,159 Granted — 1,723 1,723 Exercised — — — LTIP Units and OP LTIP Units Outstanding (3/31/2018) 375,000 117,882 492,882 LTIP Units and OP LTIP Units Vested and Outstanding (3/31/2018) 375,000 86,155 461,155 As of December 31, 2018, there were an aggregate of 1,874,223 common shares underlying awards, including OP LTIP Units, available for future issuance under the Company's 2017 Equity Incentive Plan. |
Non-controlling Interests
Non-controlling Interests | 3 Months Ended |
Mar. 31, 2019 | |
Noncontrolling Interest [Abstract] | |
Non-controlling Interests | Non-controlling Interests Operating Partnership Non-controlling interests include the Convertible Non-controlling Interests in the Operating Partnership owned by an affiliate of our Manager, our directors, and certain current and former Ellington employees and their related parties. On December 31, 2018, the Company redeemed 503,988 outstanding long term incentive plan units of the Company and exchanged them on a one-for-one basis for OP LTIP Units. Income allocated to Convertible Non-controlling Interests is based on the non-controlling interest owners' ownership percentage of the Operating Partnership during the quarter, calculated using a daily weighted average of all shares of common stock of the Company and Convertible Non-controlling Interests outstanding during the quarter. Holders of Convertible Non-controlling Interests are entitled to receive the same distributions that holders of shares of common stock of the Company receive. Convertible Non-controlling Interests are non-voting with respect to matters as to which holders of common stock of the Company are entitled to vote. As March 31, 2019, the Convertible Non-controlling Interests consisted of the outstanding 521,371 OP LTIP Units and 212,000 OP Units, and represented an interest of approximately 2.4% in the Operating Partnership. As of March 31, 2019, non-controlling interests related to the outstanding 521,371 OP LTIP Units and the outstanding 212,000 OP Units was $13.9 million . Joint Venture Interests Non-controlling interests also include the interests of joint venture partners in various consolidated subsidiaries of the Company. The subsidiaries hold the Company's investments in certain commercial mortgage loans and REO. These joint venture partners participate in the income, expense, gains and losses of such subsidiaries as set forth in the related operating agreements of the subsidiaries. These joint venture partners make capital contributions to the subsidiaries as new approved investments are purchased by the subsidiaries, and are generally entitled to distributions when investments are sold or otherwise disposed of. As of March 31, 2019, these joint venture partners' interests in subsidiaries of the Company were $16.2 million . These joint venture partners' interests are not convertible into shares of common stock of the Company or OP Units, nor are these joint venture partners entitled to receive distributions that holders of shares of common stock of the Company receive. Non-controlling Interests Operating Partnership Non-controlling interests include the Convertible Non-controlling Interests in the Operating Partnership owned by an affiliate of our Manager, our directors, and certain current and former Ellington employees and their related parties. These interests consist of OP Units and OP LTIP Units. On January 1, 2013, 212,000 OP Units were purchased by the initial non-controlling interest member. On December 11, 2018, the Company issued 17,383 OP LTIP Units to certain officers of the Company. On December 31, 2018, the Company redeemed 503,988 LTIP Units and distributed 503,988 OP LTIP Units to non-controlling interest members pursuant to the Redemption Transaction. Income allocated to these non-controlling interests is based on the non-controlling interest owners' ownership percentage of the Operating Partnership during the quarter, calculated using a daily weighted average of all common shares and convertible units outstanding during the quarter. Holders of OP Units and OP LTIP Units are entitled to receive the same distributions that holders of common shares receive, and OP Units are convertible into common shares on a one-for-one basis, subject to specified limitations. Each OP LTIP Unit is convertible into an OP Unit on a one-for-one basis. OP Units and OP LTIP Units are non-voting with respect to matters as to which common shareholders are entitled to vote. As December 31, 2018, the Convertible Non-controlling Interests consisted of the outstanding 521,371 OP LTIP Units and 212,000 OP Units, and represented an interest of approximately 2.4% in the Operating Partnership. As of December 31, 2018, the Convertible Non-controlling Interests consisted of 212,000 outstanding OP Units, and represented an interest of approximately 0.7% in the Operating Partnership. As of December 31, 2018 non-controlling interests related to the outstanding 521,371 OP LTIP Units and the outstanding 212,000 OP Units was $13.9 million . Joint Venture Interests Non-controlling interests also include the interests of joint venture partners in various consolidated subsidiaries of the Company. The subsidiaries hold the Company's investments in certain commercial mortgage loans and REO. These joint venture partners participate in the income, expense, gains and losses of such subsidiaries as set forth in the related operating agreements of the subsidiaries. These joint venture partners make capital contributions to the subsidiaries as new approved investments are purchased by the subsidiaries, and are generally entitled to distributions when investments are sold or otherwise disposed of. As of December 31, 2018 these joint venture partners' interests in subsidiaries of the Company were $17.3 million . These joint venture partners' interests are not convertible into common shares of the Company or OP Units, nor are these joint venture partners entitled to receive distributions that holders of common shares of the Company receive. |
Common Stock Capitalization
Common Stock Capitalization | 3 Months Ended |
Mar. 31, 2019 | |
Stockholders' Equity Note [Abstract] | |
Common Stock Capitalization | Common Stock Capitalization The Company has authorized 100,000,000 shares of common stock, $0.001 par value per share. The Board of Directors may authorize the issuance of additional shares, subject to the approval of the holders of at least a majority of the shares of common stock then outstanding present in person or represented by proxy at a meeting of the stockholders. As of March 31, 2019, there were 29,745,776 shares of common stock outstanding. During the three-month period ended March 31, 2019, the Board of Directors authorized dividends totaling $0.55 per share. Total dividends declared during the three-month period ended March 31, 2019 were $16.8 million . The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three-month period ended March 31, 2019: March 31, 2019 Shares of Common Stock Outstanding (1/1/19) 29,796,601 Share Activity: Shares of common stock repurchased (50,825 ) Director OP LTIP Units exercised — Shares of Common Stock Outstanding (3/31/19) 29,745,776 If all Convertible Non-controlling Interests that have been previously issued were to become fully vested and exchanged for shares of common stock as of March 31, 2019, the Company's issued and outstanding shares of common stock would increase to 30,479,147 shares. On June 13, 2018, the Board of Directors approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to 1.55 million shares of common stock. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including under Rule 10b5-1 plans. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and financial performance, among other considerations. During the three-month period ended March 31, 2019, the Company repurchased 50,825 shares at an average price per share of $15.39 and a total cost of $0.8 million . From inception of the current repurchase plan through March 31, 2019, the Company repurchased 411,915 shares at an average price per share of $15.34 and a total cost of $6.3 million . Common Share Capitalization During the three-months ended March 31, 2018 the Board of Directors authorized dividends totaling $0.41 per share. Total dividends paid during the three-month period ended March 31, 2018 were $12.9 million . The following table summarizes issuance, repurchase, and other activity with respect to the Company's common shares for the three-month period ended March 31, 2018: Three-Month Period Ended March 31, 2018 Common Shares Outstanding (12/31/2017) 31,335,938 Share Activity: Shares repurchased (943,897 ) Director LTIP Units exercised — Common Shares Outstanding (3/31/2018) 30,392,041 If all LTIP Units, OP LTIP Units, and OP Units that have been previously issued were to become fully vested and exchanged for common shares as of March 31, 2018 the Company's issued and outstanding common shares would increase to 31,096,923 . On February 6, 2018, the Company's Board of Directors approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to 1.55 million common shares. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including under Rule 10b5-1 plans. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and its financial performance, among other considerations. This program superseded the program that was previously adopted on February 6, 2018. During the three-month period ended March 31, 2018, the Company repurchased 943,897 common shares at an average price per share of $14.80 and a total cost of $14.0 million . |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2019 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share The components of the computation of basic and diluted EPS are as follows: Three-Month Period Ended March 31, 2019 (In thousands except share amounts) Net income (loss) attributable to common stockholders $ 15,408 Add: Net income (loss) attributable to Convertible Non-controlling Interests (1) 380 Net income (loss) related to common stockholders and Convertible Non-controlling Interests 15,788 Dividends Paid: Common stockholders (16,360 ) Convertible Non-controlling Interests (404 ) Total dividends paid to common stockholders and Convertible Non-controlling Interests (16,764 ) Undistributed (Distributed in excess of) earnings: Common stockholders (952 ) Convertible Non-controlling Interests (24 ) Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests (976 ) Weighted average shares outstanding (basic and diluted): Weighted average shares of common stock outstanding 29,747,537 Weighted average Convertible Non-controlling Interest Units outstanding 733,371 Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding 30,480,908 Basic earnings per share of common stock: Distributed $ 0.55 Undistributed (Distributed in excess of) (0.03 ) $ 0.52 Diluted earnings per share of common stock: Distributed $ 0.55 Undistributed (Distributed in excess of) (0.03 ) $ 0.52 (1) For the three-month period ended March 31, 2019, excludes net income (loss) of $0.7 million , attributable to joint venture partners, which have non-participating interests as described in Note 15. Earnings Per Share The components of the computation of basic and diluted EPS were as follows: Three-Month Period Ended March 31, 2018 (In thousands except share amounts) Net increase in shareholders' equity resulting from operations $ 21,039 Add: Net increase in equity resulting from operations attributable to the participating non-controlling interest (1) 142 Net increase in equity resulting from operations related to common shares, LTIP Unit holders, and participating non-controlling interest 21,181 Net increase in shareholders' equity resulting from operations available to common share and LTIP Unit holders: Net increase in shareholders' equity resulting from operations– common shares 20,709 Net increase in shareholders' equity resulting from operations– LTIP Units 330 Dividends Paid (2) : Common shareholders (12,562 ) LTIP Unit holders (201 ) Non-controlling interest (87 ) Total dividends paid to common shareholders, LTIP Unit holders, and non-controlling interest (12,850 ) Undistributed (Distributed in excess of) earnings: Common shareholders 8,147 LTIP Unit holders 129 Non-controlling interest 55 Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP Unit holders, and non-controlling interest $ 8,331 Weighted average shares outstanding (basic and diluted): Weighted average common shares outstanding 30,830,615 Weighted average participating LTIP Units 491,638 Weighted average non-controlling interest units 212,000 Basic earnings per common share: Distributed $ 0.41 Undistributed (Distributed in excess of) 0.26 $ 0.67 Diluted earnings per common share: Distributed $ 0.41 Undistributed (Distributed in excess of) 0.26 $ 0.67 (1) For the three-months ended March 31, 2018 excludes net increase (decrease) in equity resulting from operations of $0.1 million attributable to joint venture partners, which have non-participating interests as described in Note 11. (2) The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. |
Restricted Cash
Restricted Cash | 3 Months Ended |
Mar. 31, 2019 | |
Restricted Cash and Investments [Abstract] | |
Restricted Cash | Restricted Cash The Company is required to maintain certain cash balances with counterparties and/or unrelated third parties for various activities and transactions. The Company is required to maintain a specific cash balance in a segregated account pursuant to a flow consumer loan purchase and sale agreement. As of March 31, 2019, the Company's restricted cash balance related to the flow consumer loan purchase and sale agreement was $0.2 million . Restricted Cash The Company is required to maintain certain cash balances with counterparties and/or unrelated third parties for various activities and transactions. The Company is required to maintain a specific cash balance in a segregated account pursuant to a flow consumer loan purchase and sale agreement. The Company is also required to maintain a specific minimum cash balance in connection with its subsidiary that holds various state mortgage origination licenses. The below table details the Company's restricted cash balances included in Restricted cash on the Consolidated Statement of Assets, Liabilities, and Equity as of December 31, 2018. December 31, 2018 (In thousands) Restricted cash balance related to: Minimum account balance required for regulatory purposes $ 250 Flow consumer loan purchase and sale agreement 175 Total $ 425 |
Offsetting of Assets and Liabil
Offsetting of Assets and Liabilities | 3 Months Ended |
Mar. 31, 2019 | |
Offsetting of Assets and Liabilities [Abstract] | |
Offsetting of Assets and Liabilities | Offsetting of Assets and Liabilities The Company generally records financial instruments at fair value as described in Note 2. All financial instruments are recorded on a gross basis on the Condensed Consolidated Balance Sheet. In connection with the vast majority of its derivative, reverse repurchase and repurchase agreements, and the related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions, and reverse repurchase and repurchase agreements. The following table presents information about certain assets and liabilities representing financial instruments as of March 31, 2019 . The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's reverse repurchase and repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. March 31, 2019 : Description Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 15,356 $ (12,082 ) $ — $ (1,232 ) $ 2,042 Reverse repurchase agreements 25,381 (25,381 ) — — — Liabilities Financial derivatives–liabilities (26,904 ) 12,082 — 10,373 (4,449 ) Repurchase agreements (1,550,016 ) 25,381 1,510,762 13,873 — (1) In the Company's Condensed Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of March 31, 2019 was $1.85 billion . As of March 31, 2019, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $3.0 million . As of March 31, 2019, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $13.8 million . (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. Offsetting of Assets and Liabilities The Company records financial instruments at fair value as described in Note 2. All financial instruments are recorded on a gross basis on the Consolidated Statement of Assets, Liabilities, and Equity. In connection with the vast majority of its derivative, repurchase and reverse repurchase agreements, and the related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions, and repurchase and reverse repurchase agreements. The following tables present information about certain assets and liabilities representing financial instruments as of December 31, 2018. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. December 31, 2018: Description Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 20,001 $ (10,910 ) $ — $ (2,514 ) $ 6,577 Repurchase agreements 61,274 (61,274 ) — — — Liabilities Financial derivatives–liabilities (20,806 ) 10,910 — 9,896 — Reverse repurchase agreements (1,498,849 ) 61,274 1,420,601 16,974 — (1) In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of December 31, 2018 were $1.79 billion . As of December 31, 2018 total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $0.1 million . As of December 31, 2018 total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $16.4 million . (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Counterparty Risk
Counterparty Risk | 3 Months Ended |
Mar. 31, 2019 | |
Risks and Uncertainties [Abstract] | |
Counterparty Risk | Counterparty Risk The Company is exposed to concentrations of counterparty risk. It seeks to mitigate such risk by diversifying its exposure among various counterparties, when appropriate. The following table summarizes the Company's exposure to counterparty risk as of March 31, 2019. Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 55,876 7 55.9 % Collateral on repurchase agreements held by dealers (2) 1,864,614 25 16.0 % Due from brokers 58,145 17 24.9 % Receivable for securities sold (3) 40,489 6 29.7 % (1) Each counterparty is a large creditworthy financial institution. (2) Includes securities and loans as well as cash posted as collateral for repurchase agreements. (3) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. Counterparty Risk As of December 31, 2018, investments with an aggregate value of approximately $1.79 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $86.7 million that were sold prior to period end but for which such sale had not yet settled as of December 31, 2018. The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.79 billion in collateral for various reverse repurchase agreements as of December 31, 2018. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $13.3 million were held in custody at the Bank of New York Mellon Corporation as of December 31, 2018. Dealer % of Total Collateral on Reverse Repurchase Agreements Royal Bank of Canada 19% The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Due from Brokers, included as of December 31, 2018: Dealer % of Total Due from Brokers Morgan Stanley 37% J.P. Morgan Securities LLC 30% The following table details the percentage of amounts held by dealers who hold greater than 15% of the Company's Receivable for securities sold as of December 31, 2018: Dealer % of Total Receivable for Securities Sold J.P. Morgan Securities LLC 25% Bank of America Securities 26% CS First Boston Limited 34% In addition, the Company held cash and cash equivalents of $44.7 million as of March 31, 2018. The below table details the concentration of cash and cash equivalents held by each counterparty: Counterparty As of December 31, 2018 Bank of New York Mellon Corporation 64% Deutsche Bank Securities 5% Bank of America Securities 2% Morgan Stanley Institutional Liquidity Fund—Government Portfolio 10% BlackRock Liquidity Funds FedFund Portfolio 9% Goldman Sachs Financial Square Funds—Government Fund 9% Lakeland Bank Inc. 1% |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies and Commitments | Commitments and Contingencies The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As of March 31, 2019 the Company has no liabilities recorded for these agreements. The Company's maximum risk of loss from credit events on its securities (excluding Agency securities, which are guaranteed by the issuing government agency or government-sponsored enterprise), loans, and investments in unconsolidated entities is limited to the amount paid for such investment. Commitments and Contingencies Related to Investments in Residential Mortgage Loans In connection with certain of the Company's investments in residential mortgage loans, the Company has unfunded commitments in the amount of $1.6 million as of March 31, 2019. Commitments and Contingencies Related to Investments in Mortgage Loan Originators In connection with certain of its investments in mortgage originators, the Company has outstanding commitments and contingencies as described below. As described in Note 13, the Company is party to a flow mortgage loan purchase and sale agreement with a mortgage loan originator. The Company has entered into two agreements whereby it guarantees the performance of this mortgage loan originator under master repurchase agreements. The Company's maximum guarantees are capped at $25.0 million . As of March 31, 2019 the mortgage loan originator had $9.4 million of outstanding borrowings under the agreements guaranteed by the Company. The Company's obligations under these arrangements are deemed to be guarantees under ASC 460-10. The Company has elected the FVO for its guarantees, which are included in Other Liabilities on the Condensed Consolidated Balance Sheet. As of March 31, 2019, the estimated fair value of such guarantees was insignificant. Commitments and Contingencies The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As of December 31, 2018, the Company has no liabilities recorded for these agreements. Commitments and Contingencies Related to Investments in Residential Mortgage Loans In connection with certain of the Company's investments in residential mortgage loans, the Company has unfunded commitments in the amount of $1.0 million as of December 31, 2018. Commitments and Contingencies Related to Investments in Mortgage Originators In connection with certain of its investments in mortgage originators, the Company has outstanding commitments and contingencies as described below. As described in Note 9, Related Party Transactions, the Company is party to a flow mortgage loan purchase and sale agreement with a mortgage originator. The Company has entered into two agreements whereby it guarantees the performance of this mortgage originator under master repurchase agreements. The Company's maximum guarantees are capped at $25.0 million . As of December 31, 2018 the mortgage originator had $2.9 million outstanding borrowings under these agreements guaranteed by the Company. The Company's obligation under these arrangements are deemed to be guarantees under ASC 460-10 and are carried at fair value and included in Other Liabilities on the Consolidated Statement of Assets, Liabilities, and Equity. As of December 31, 2018 the estimated fair value of such guarantees was zero . |
Financial Highlights
Financial Highlights | 3 Months Ended |
Mar. 31, 2019 | |
Investment Company, Financial Highlights [Abstract] | |
Financial Highlights | Financial Highlights Results of Operations for a Share Outstanding Throughout the Periods: Three-Month Period Ended March 31, 2018 Beginning Shareholders' Equity Per Share (12/31/2017) $ 19.15 Net Investment Income 0.33 Net Realized/Unrealized Gains (Losses) 0.36 Results of Operations Attributable to Equity 0.69 Less: Results of Operations Attributable to Non-controlling Interests (0.01 ) Results of Operations Attributable to Shareholders' Equity (1) 0.68 Dividends Paid to Common Shareholders (0.41 ) Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest 0.14 Ending Shareholders' Equity Per Share (12/31/2018) (2) $ 19.56 Shares Outstanding, end of period 30,392,041 (1) Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 13). (2) If all LTIP Units and OP Units previously issued were vested and exchanged for common shares as of March 31, 2018 shareholders' equity per share would be $19.25 . Total Return: The Company calculates its total return two ways, one based on its reported net asset value and the other based on its publicly traded share price. The following table illustrates the Company's total return for the periods presented based on net asset value: Net Asset Value Based Total Return for a Shareholder: (1) Three-Month Period Ended March 31, 2018 Total Return 4.30% (1) Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period. Market Based Total Return for a Shareholder: For the three-month period ended March 31, 2018 the Company's market based total return based on the closing price as reported by the New York Stock Exchange was 5.03% . Calculation of market based total return assumes the reinvestment of dividends at the closing price as reported by the New York Stock Exchange as of the ex-date. Net Investment Income Ratio to Average Equity: (1)(2) Three-Month Period Ended March 31, 2018 Net Investment Income 6.75% (1) Average equity is calculated using month end values. (2) Includes all items of income and expense on an annualized basis. Expense Ratios to Average Equity: (1)(2) Three-Month Period Ended March 31, 2018 Operating expenses, before interest expense and other investment related expenses (2.67)% Interest expense and other investment related expenses (9.56)% Total Expenses (12.23)% (1) Average equity is calculated using month end values. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On April 5, 2019, the Board of Directors approved a dividend in the amount of $0.14 per share payable on May 28, 2019 to stockholders of record as of April 30, 2019. Additionally, on May 7, 2019, the Board of Directors approved a dividend in the amount of $ 0.14 per share payable on June 25, 2019 to stockholders of record as of May 31, 2019. Subsequent Events On February 13, 2019, the Company announced that it will elect to be taxed as a REIT for U.S. federal income tax purposes for the taxable year ending December 31, 2019. To facilitate this planned election, it has elected to be taxed as a corporation for U.S. federal income tax purposes effective January 1, 2019. Also on February 13, 2019, the Company exchanged $86 million of 5.50% Senior Notes due 2022 (the "New Senior Notes") for its existing 5.25% senior notes due 2022 (the "Existing Senior Notes"). The New Senior Notes were jointly and severally issued by two of the Company's subsidiaries and fully guaranteed by the Company. The indenture governing the New Senior Notes contains a number of covenants, including several financial covenants. On February 14, 2019, the Company's Board of Directors approved a dividend in the amount of $0.41 per share payable on March 15, 2019 to shareholders of record as of March 1, 2019. On February 28, 2019, the Company filed a certificate of conversion with the Secretary of State of the State of Delaware (the "Secretary of State") to convert from a Delaware limited liability company to a Delaware corporation (the "Conversion") and change its name to Ellington Financial Inc. (the "Corporation"). The Conversion became effective on March 1, 2019, and upon effectiveness, each of the Company's existing common shares representing limited liability company interests, no par value, converted into one issued and outstanding, fully paid and nonassessable share of common stock, $0.001 par value per share, of the Corporation. In connection with the Conversion, the Board approved the Company's Certificate of Incorporation, which the Company also filed with the Secretary of State, and the Company's Bylaws. On March 11, 2019, the Company's Board of Directors approved a dividend in the amount of $0.14 per share payable on April 25, 2019 to stockholders of record as of March 29, 2019. In connection with the Conversion and the Company's plan to qualify as a REIT for the year ending December 31, 2019, effective January 1, 2019 the Company no longer qualifies for investment company accounting in accordance with ASC 946 and will discontinue its use prospectively. The Company will continue to measure its qualifying assets and liabilities at fair value by electing the fair value option where applicable. |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation : The Company's unaudited interim condensed consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," and Regulation S-X. The condensed consolidated financial statements include the accounts of the Company, the Operating Partnership, its subsidiaries, and variable interest entities, or "VIEs," for which the Company is deemed to be the primary beneficiary. All intercompany balances and transactions have been eliminated. The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the condensed consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim condensed consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2018. The Company adopted ASC 946, Financial Services—Investment Companies ("ASC 946") upon its commencement of operations in August 2007, and applied U.S. GAAP for investment companies. In connection with the Company's internal restructuring and the Company's intention to qualify as a REIT for the year ending December 31, 2019, the Company has determined that, effective January 1, 2019, it no longer qualifies for investment company accounting in accordance with ASC 946-10-25, and has prospectively discontinued its use. The Company will elect the fair value option, or "FVO," for, and therefore the Company will continue to measure at fair value, those of its assets and liabilities it had previously measured at fair value and for which such election is permitted, as provided for under ASC 825, Financial Instruments ("ASC 825"). Due to the prospective application of a change in accounting as required under ASC 946-10-25-2, the Company has determined that the presentation of its condensed consolidated financial statements for periods beginning after December 31, 2018 are not comparable to the consolidated financial statements previously prepared for prior periods for which the Company applied ASC 946. As a result, the Company has provided separate consolidated financial statements for applicable prior periods in Item 1 of this Quarterly Report on Form 10-Q. Basis of Presentation : The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," for investment companies, ASC 946, Financial Services—Investment Companies ("ASC 946"). The Company has determined that it meets the definition of an investment company under ASC 946 . ASC 946 requires, among other things, that investments be reported at fair value in the financial statements. Additionally under ASC 946 the Company generally will not consolidate its interest in any company other than in its subsidiaries that qualify as investment companies under ASC 946. The consolidated financial statements include the accounts of the Company, the Operating Partnership, and its subsidiaries. They also include certain securitization trusts which are designed to facilitate specific financing activities of the Company and represent a direct extension of the Company's business activities. All intercompany balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2017. |
Reclassification and Presentation | Reclassification and Presentation Effective January 1, 2019, the Company prospectively discontinued its application of ASC 946. Upon its change in status, the following significant changes and elections were made: • Investments in securities are now accounted for in accordance with ASC 320, Investments—Debt and Equity Securities ("ASC 320"); • The Company elected the FVO as provided for under ASC 825-10-25-4 for all eligible financial instruments for which the Company had previously measured at fair value, including investments in securities, loans, financial derivatives, and certain of the Company's secured borrowings. As a result, all changes in the fair value of such financial instruments will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations; • Real estate owned, or "REO," is not eligible for the FVO election. As a result, REO is carried at the lower of cost or fair value. The Company's cost basis in any REO that was previously measured at fair value under ASC 946 was adjusted on January 1, 2019 to equal the fair value of such investment as of December 31, 2018; • The Company elected not to designate its financial derivatives as hedging instruments in accordance with ASC 815, Derivatives and Hedging ("ASC 815"). As a result, all changes in the fair value of financial derivatives will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations; • Forward settling to-be-announced mortgage-backed-securities, or "TBAs," are no longer classified as investments. TBAs will be classified as financial derivatives, with the difference between the forward contract price and the market value of the TBA position as of the reporting date included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations; and • The Company is required to account for certain of its equity investments under ASC 323-10, Investments—Equity Method and Joint Ventures ("ASC 323-10"). The Company has elected the FVO for such equity investments and changes in fair value will be reported in Earnings from investments in unconsolidated entities, on the Condensed Consolidated Statement of Operations. The discontinuation of the Company's application of ASC 946 prospectively changed the presentation of the Company's condensed consolidated financial statements. The most significant changes are: • The Consolidated Statement of Assets, Liabilities, and Equity has been changed to a Condensed Consolidated Balance Sheet; • The Consolidated Condensed Schedule of Investments has been removed; • The Consolidated Statement of Operations is no longer presented in the format required under ASC 946. The Company will present the Condensed Consolidated Statement of Operations as required under U.S. GAAP for operating companies. A Consolidated Statement of Other Comprehensive Income (Loss) will be presented, if and when applicable; • The Condensed Consolidated Statement of Cash Flows has been changed, and now includes a section for investing activities; • Certain footnotes have been changed to reflect conformity with applicable U.S. GAAP for operating companies; • The Company re-evaluated its interests in all entities to determine whether they are variable interests, and re-evaluated its investments, including it investments in partially owned entities, to determine if they are VIEs, as required under ASC 810, Consolidation ("ASC 810"). The Company also re-evaluated consolidation considerations for all of its investments in VIEs and partially owned entities, as required under ASC 810. Applicable disclosures related to VIEs have been included in these notes to condensed consolidated financial statements; • Securities/loans sold under agreements to be repurchased at an agreed-upon price and date, which were formerly referred to as "reverse repurchase agreements," are now referred to as "repurchase agreements"; • Securities/loans purchased under agreements to resell at an agreed-upon price and date, which were formerly referred to as "repurchase agreements," are now referred to as "reverse repurchase agreements"; and • The financial highlights disclosures, which are not required under U.S. GAAP for operating companies, have been removed. (B) Valuation : The Company applies ASC 820-10, Fair Value Measurement ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: • Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives; • Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, and credit default swaps, or "CDS," on individual ABS, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, and private corporate debt and equity investments. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. |
Valuation | Valuation : The Company applies ASC 820-10, Fair Value Measurement ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: • Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives; • Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, and credit default swaps, or "CDS," on individual ABS, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, and private corporate debt and equity investments. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities, or "MBS," TBAs, CLOs, and corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given financial instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically classified as Level 2. Non-Agency RMBS, CMBS, Agency interest only and inverse interest only RMBS, CLOs, and corporate bonds are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. Private equity investments are generally classified as Level 3. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential and commercial mortgage loans and consumer loans, management determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. Management has obtained third-party valuations on the majority of these investments and expects to continue to solicit third-party valuations in the future. In determining fair value for non-performing mortgage loans, management evaluates third-party valuations, if applicable, as well as management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. In determining fair value for performing mortgage loans and consumer loans, management evaluates third-party valuations, if applicable, as well as discounted cash flows of the loans based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans are classified as Level 3. The Company has securitized certain mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans." The Company's securitized non-QM loans are held as part of a collateralized financing entity, or "CFE." A CFE is a VIE that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810 allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the FVO for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that each consolidated securitization trust meets the definition of a CFE; see Note 10 " Securitization Transactions — Residential Mortgage Loan Securitizations " for further discussion on the Company's securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of each of its CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of each of the CFEs to measure the fair value of the financial assets of each of the CFEs. The fair value of the debt issued by each CFE is typically valued using discounted cash flows and other market data. The securitized non-QM loans, which are assets of the CFEs, are included in Loans, at fair value, on the Company's Condensed Consolidated Balance Sheet. The debt issued by the CFEs is included in Other secured borrowings, at fair value, on the Company's Condensed Consolidated Balance Sheet. Unrealized gains (losses) from changes in fair value of Other secured borrowings, at fair value, are included in Other, net, on the Company's Condensed Consolidated Statement of Operations. The securitized non-QM loans and the debt issued by the Company's CFEs are both classified as Level 3. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities or indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally classified as Level 2. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are classified as Level 3. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its financial derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each financial derivative agreement. Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and independent third party valuation estimates. These investments are classified as Level 3. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2, based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee (the "Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's financial instruments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's condensed consolidated financial statements. Valuation : The Company applies ASC 820-10, Fair Value Measurement ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: • Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities, exchange-traded derivatives, and cash equivalents; • Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, U.S. Treasury securities and sovereign debt, certain non-Agency RMBS and CMBS, CLOs, and corporate debt, and actively traded derivatives, such as interest rate swaps and foreign currency forwards, and certain other over-the-counter derivatives; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, and CLOs, ABS, credit default swaps, or "CDS," on individual ABS, distressed corporate debt, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, non-listed equities, private corporate debt and equity investments, secured notes, and Other secured borrowings, at fair value. For certain financial instruments, the various inputs that management uses to measure fair value for such financial instrument may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for such financial instrument is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value with the highest priority to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1) and the lowest priority to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a good faith fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities, or "MBS," including To Be Announced MBS, or "TBAs," CLOs, and distressed and non-distressed corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, and while management generally does not adjust the valuations it receives, management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Valuations for fixed-rate RMBS pass-throughs issued by a U.S. government agency or government-sponsored enterprise are typically based on observable pay-up data (pay-ups are price premiums for specified categories of fixed-rate pools relative to their TBA counterparts) or models that use observable market data, such as interest rates and historical prepayment speeds, and are validated against third-party valuations. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically designated as Level 2 assets. Non-Agency MBS, Agency interest only and inverse interest only RMBS, and CLOs are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments, as well as related non-listed equity investments, are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from widely used third-party pricing services. Investments in non-distressed corporate bonds are generally also valued based on prices received from third-party pricing services, and many of these bonds, because they are very liquid with readily observable data, are generally classified as Level 2 holdings. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential and commercial mortgage loans, consumer loans, and real estate owned properties, or "REO," management determines fair value by taking into account both external pricing data, when available, and internal pricing models. Non-performing mortgage loans and REO are typically valued based on management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. Performing mortgage loans and consumer loans are typically valued using discounted cash flows based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans and REO properties are classified as Level 3 assets. Securitized mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans," are held as part of a collateralized financing entity, or "CFE." A CFE is a variable interest entity, or "VIE," that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810, Consolidation ("ASC 810"), allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the fair value option for initial and subsequent recognition of the debt issued by its consolidated securitization trust and has determined such trust meets the definition of a CFE; see Note 6 for further discussion on the Company's securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of its CFE to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of the CFE to measure the fair value of the financial assets of the CFE. The fair value of the debt issued by the CFE is typically valued using discounted cash flows and other market data. The securitized non-QM loans, which are assets of the CFE, are included in Investments, at fair value on the Company's Consolidated Statement of Assets, Liabilities, and Equity. The debt issued by the CFE is included in Other secured borrowings, at fair value, on the Company's Consolidated Statement of Assets, Liabilities, and Equity. The securitized non-QM loans and the debt issued by the Company's CFE are both designated as Level 3 financial instruments. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally designated as Level 2 instruments. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally designated as Level 2 instruments. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are typically designated as Level 3 instruments. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results and independent third party valuation estimates. These investments are designated as Level 3 assets. The Company's repurchase agreements are carried at fair value based on their contractual amounts as the debt is short-term in nature. The Company's reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee ("Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's consolidated financial statements. |
Accounting for Securities | Accounting for Securities : Purchases and sales of investments in securities are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. Investments in securities are recorded in accordance with ASC 320 or ASC 325-40, Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company generally classifies its securities as available-for-sale. The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in securities. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, as a component of Unrealized gains (losses) on securities and loans, net, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all investment activities will be recorded in a similar manner. Many of the Company's investments in securities, such as MBS and CLOs, are issued by entities that are deemed to be VIEs. For the majority of such investments, the Company has determined it is not the primary beneficiary of such VIEs and therefore has not consolidated such VIEs. The Company's maximum risk of loss in these unconsolidated VIEs is generally limited to the fair value of the Company's investment in the VIE. The Company evaluates its investments in interest only securities to determine whether they meet the requirements for classification as financial derivatives under ASC 815. For interest only securities, where the holder is entitled only to a portion of the interest payments made on the mortgages underlying certain MBS, and inverse interest only securities, which are interest only securities whose coupon has an inverse relationship to its benchmark rate, such as LIBOR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities. The Company evaluates the cost basis of its investments in securities for other-than-temporary impairment, or "OTTI," on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired requires judgments, estimates, and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired, and the impairment is designated as either temporary or other-than-temporary. When a security's cost basis is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date), (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis, or (iii) the Company does not expect to recover the security's amortized cost basis, even if the Company does not intend to sell the security and it is not more likely than not that the Company will be required to sell the security. Additionally, for securities accounted for under ASC 325-40, an impairment of the cost basis is recorded when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows has occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those that a "market participant" would use and include observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments made to the cost basis of the security are reflected in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. |
Accounting for Loans | Accounting for Loans : The Company's loan portfolio generally consists of residential mortgage, commercial mortgage, and consumer loans. The Company's loans are accounted for under ASC 310-10, Receivables , and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. When the Company has the intent to sell loans, such loans will be classified as held-for-sale. Mortgage loans held-for-sale are accounted for under ASC 948-310, Financial services—mortgage banking. The Company may aggregate its loans into pools based on common risk characteristics at purchase. Once a pool of loans is assembled, its composition is maintained. The Company has chosen to elect the FVO pursuant to ASC 825 for its loan portfolios. Loans are recorded at fair value on the Condensed Consolidated Balance Sheet and changes in fair value are recorded in earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. For residential and commercial mortgage loans, the Company generally accrues interest payments. Such loans are typically moved to non-accrual status if the loan becomes 90 days or more delinquent. The Company does not accrue interest payments on its consumer loans; interest payments are recorded upon receipt. The Company evaluates the collectability of both interest and principal on each of its loan investments and whether the cost basis of the loan is impaired. A loan's cost basis is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it has elected the FVO on all of its loan investments. The Company will recognize impairments through an adjustment to the amortized cost basis and recognize a realized loss in the period such adjustment was made which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. |
Purchase and Sales of Investments and Investment Income | Interest Income : The Company amortizes premiums and accretes discounts on its debt securities. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon interest rate. For debt securities that are deemed to be of high credit quality at the time of purchase (generally Agency RMBS, exclusive of interest only securities), premiums and discounts are amortized/accreted into interest income over the life of such securities using the effective interest method. For such securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (generally non-Agency RMBS, CMBS, ABS, CLOs, and interest only securities) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. When the fair value of a debt security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company will adjust such impaired cost basis to the present value of the estimated future cash flows. This adjustment to the cost basis is reported in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. For purposes of estimating the future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Changes in projected cash flows will result in prospective changes in the yield/interest income recognized on such securities based on the updated expected future cash flows. For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, based on current information and events, the Company re-assesses the collectability of interest and principal, and generally designates a loan as in non-accrual status either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as in non-accrual status, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). For each loan purchased with evidence of credit deterioration since origination and the expectation that either principal or interest will not be paid in full, interest income is generally recognized using the effective interest method for as long as the cash flows can be reasonably estimated. Here, instead of amortizing the purchase discount (i.e., the excess of the unpaid principal balance over the purchase price) over the life of the loan, the Company effectively amortizes the accretable yield (i.e., the excess of the Company's estimate of the total cash flows to be collected over the life of the loan over the purchase price). Not less than quarterly, the Company updates its estimate of the cash flows expected to be collected over the life of the loan, and revised yields are prospectively applied. For certain groups of consumer loans that the Company considers as having sufficiently homogeneous characteristics, the Company aggregates such loans into pools, and accounts for each such pool as a single unit of account. The pool is then treated analogously to a debt security deemed not to be of high credit quality, in that (i) the aggregate premium or discount for the pool is amortized or accreted into interest income based on the pool's effective interest rate; (ii) the effective interest rate is determined based on the net expected cash flows of the pool, taking into account estimates of prepayments, defaults, and loss severities; and (iii) estimates are updated not less than quarterly and revised yields are prospectively applied. In estimating future cash flows on the Company's debt securities, there are a number of assumptions that will be subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. Purchase and Sales of Investments and Investment Income : Purchases and sales of investments are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. The Company amortizes premiums and accretes discounts on its debt investments. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon interest rate. For Agency RMBS and debt securities that are deemed to be of high credit quality at the time of purchase, premiums and discounts are amortized into interest income over the life of such securities using the effective interest method. For securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (including non-Agency MBS) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of determining the effective interest rate, management estimates the future expected cash flows of its investment holdings based on assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Principal write-offs are generally treated as realized losses. Changes in projected cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, on at least a quarterly basis based on current information and events, the Company re-assesses the collectibility of interest and principal, and designates a loan as impaired either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as impaired, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). For each loan purchased with evidence of credit deterioration since origination and the expectation that either principal or interest will not be paid in full, interest income is generally recognized using the effective interest method for as long as the cash flows can be reasonably estimated. Here, instead of amortizing the purchase discount (i.e., the excess of the unpaid principal balance over the purchase price) over the life of the loan, the Company effectively amortizes the accretable yield (i.e., the excess of the Company's estimate of the total cash flows to be collected over the life of the loan over the purchase price). Not less than quarterly, the Company updates its estimate of the cash flows expected to be collected over the life of the loan, and revised yields are prospectively applied. To the extent that cash flows cannot be reasonably estimated, these loans are generally accounted for under the cost recovery method. For certain groups of consumer loans that the Company considers as having sufficiently homogeneous characteristics, the Company aggregates such loans into pools, and accounts for each such pool as a single asset. The pool is then treated analogously to a debt security deemed not to be of high credit quality, in that (i) the aggregate premium or discount for the pool is amortized or accreted into interest income based on the pool's effective interest rate; (ii) the effective interest rate is determined based on the net expected cash flows of the pool, taking into account estimates of prepayments, defaults, and loss severities; and (iii) estimates are updated not less than quarterly and revised yields are prospectively applied. In estimating future cash flows on the Company's debt investments, there are a number of assumptions that will be subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. The Company receives dividend income on certain of its equity investments and rental income on certain of its REO properties. These items of income are included on the Consolidated Statement of Operations in, "Other income." |
Investments in Unconsolidated Entities | Investments in unconsolidated entities : The Company has made and may in the future make non-controlling equity investments in various entities, such as loan originators. Such investments are generally in the form of preferred and/or common equity, or membership interests. In certain cases, the Company can exercise significant influence over the entity (e.g. by having representation on the entity's board of directors) but the requirements for consolidation under ASC 810 are not met; in such cases the Company is required to account for such equity investments under ASC 323-10. The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in unconsolidated entities, which, in management's view, more appropriately reflects the results of operations for a particular reporting period, as all investment activities will be recorded in a similar manner. The period change in fair value of the Company's investments in unconsolidated entities is recorded on the Condensed Consolidated Statement of Operations in Earnings from investments in unconsolidated entities. |
Securities Sold Short | Securities Sold Short : The Company may purchase or engage in short sales of U.S. Treasury securities and sovereign debt to mitigate the potential impact of changes in interest rates and/or foreign exchange rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to elect the FVO pursuant to ASC 825 for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Condensed Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Condensed Consolidated Statement of Operations in Realized gains (losses) on securities and loans, net. Investments Sold Short : When the Company sells securities short, it typically satisfies its security delivery settlement obligation by obtaining the security sold short from the same or a different counterparty. The Company generally is required to deliver cash or securities as collateral to the counterparty for the Company's obligation to return the borrowed security. The amount by which the market value of the obligation falls short of or exceeds the proceeds from the short sale is treated as an unrealized gain or loss, respectively. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the proceeds originally received. |
Financial Derivatives | Financial Derivatives : The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with qualifying and maintaining qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is included in Due to Brokers, on the Condensed Consolidated Balance Sheet. Conversely, cash collateral posted by the Company is included in Due from Brokers, on the Condensed Consolidated Balance Sheet. The types of derivatives primarily utilized by the Company are swaps, TBAs, futures, options, and forwards. Swaps : The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps and total return swaps is credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company also enters into interest rate swaps whereby the Company pays one floating rate and receives a different floating rate, or "basis swaps." The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond, loan, or an index or basket of bonds or loans). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index). The Company typically writes (sells) protection to take a "long" position with respect to the underlying reference assets, or purchases (buys) protection to take a "short" position with respect to the underlying reference assets or to hedge exposure to other investment holdings. The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Condensed Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Condensed Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. TBA Securities : The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company typically does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. From time to time, the Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. Overall, the Company typically holds a net short position. TBAs are accounted for by the Company as financial derivatives. The difference between the forward contract price and the market value of the TBA position as of the reporting date is included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Futures Contracts : A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures and foreign currency futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Options : The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead, the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. Forward Currency Contracts : A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Financial derivative assets are included in Financial derivatives—assets, at fair value, on the Condensed Consolidated Balance Sheet. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value, on the Condensed Consolidated Balance Sheet. The Company has chosen to elect the FVO pursuant to ASC 825 for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Changes in unrealized gains and losses on financial derivatives are included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Realized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Financial Derivatives : The Company enters into various types of financial derivatives. The Company's financial derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is reflected on the Consolidated Statement of Assets, Liabilities, and Equity as "Due to Brokers." Conversely, cash collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Statement of Assets, Liabilities, and Equity. The major types of derivatives utilized by the Company are swaps, futures, options, and forwards. Swaps : The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps is credit risk and the primary risks associated with the Company's total return swap activity are equity market risk and credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a credit obligation (usually a bond, loan, or a basket of bonds or loans). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the underlying reference asset(s) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the underlying reference obligation is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the underlying reference obligor. The Company typically writes (sells) protection to take a "long" position or purchases (buys) protection to take a "short" position with respect to underlying reference assets or to hedge exposure to other investment holdings. The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Statement of Assets, Liabilities, and Equity and are recorded as a realized gain or loss on the termination date. Futures Contracts : A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures and foreign currency futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Options : The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. Forward Currency Contracts : A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Commitments to Purchase Residential Mortgage Loans : The Company has entered into forward purchase commitments under flow agreements, whereby the Company commits to purchasing the loans based on pre-defined underwriting guidelines and at stated interest rates. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives on the Company's Consolidated Statement of Assets, Liabilities, and Equity and are, therefore, recorded as assets or liabilities measured at fair value. Until the purchase commitment expires or the underlying loan closes, changes in the estimated fair value of such commitments are recognized as unrealized gains or losses in the Consolidated Statement of Operations. Financial derivatives disclosed on the Consolidated Condensed Schedule of Investments include: credit default swaps on asset-backed securities, credit default swaps on asset-backed indices, credit default swaps on corporate bond indices, credit default swaps on corporate bonds, interest rate swaps, total return swaps, futures contracts, foreign currency forwards, options contracts. Financial derivative assets are included in Financial derivatives—assets, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. In addition, financial derivative contracts are summarized by type on the Consolidated Condensed Schedule of Investments. |
Cash and Cash Equivalents | Cash and Cash Equivalents : Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in an interest bearing overnight account and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. See Note 18 for further discussion of restricted cash balances. Cash and Cash Equivalents : Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in an interest bearing overnight account and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. The Company's investments in money market funds are included in the Consolidated Condensed Schedule of Investments. See Note 15 for further discussion of restricted cash balances. |
Reverse Repurchase Agreements | Reverse Repurchase Agreements : The Company enters into reverse repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to reverse repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to reverse repurchase agreements are reflected as assets on the Condensed Consolidated Balance Sheet. Reverse repurchase agreements are carried at their contractual amounts, which approximates fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting . There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's condensed consolidated financial statements. Reverse Repurchase Agreements : The Company enters into reverse repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for reverse repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the reverse repurchase agreement, on the amount borrowed over the term of the reverse repurchase agreement. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a reverse repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the reverse repurchase agreement. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. |
Repurchase Agreements | Repurchase Agreements : The Company enters into repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. Repurchase Agreements : The Company enters into repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to repurchase agreements are reflected as assets on the Consolidated Statement of Assets, Liabilities, and Equity. Repurchase agreements are carried at fair value based on their contractual amounts as the debt is short-term in nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting . There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. |
Transfers of Financial Assets | Transfers of Financial Assets : The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. The Company evaluates transferred assets pursuant to ASC 860-10, Transfers of Financial Assets , or "ASC 860-10," which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." Transfers of Financial Assets : The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. The Company evaluates transferred assets pursuant to ASC 860-10, Transfers of Financial Assets , or "ASC 860-10," which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." |
When-Issued/Delayed Delivery Securities | When-Issued/Delayed Delivery Securities : The Company may purchase or sell securities on a when-issued or delayed delivery basis. Securities purchased or sold on a when-issued basis are traded for delivery beyond the normal settlement date at a stated price or yield, and no income accrues to the purchaser prior to settlement. Purchasing or selling securities on a when-issued or delayed delivery basis involves the risk that the market price or yield at the time of settlement may be lower or higher than the agreed-upon price or yield, in which case a realized loss may be incurred. The Company transacts in the forward settling TBA market. The Company typically does not take delivery of TBAs, but rather settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. The market value of the securities that the Company is required to purchase pursuant to a TBA transaction may decline below the agreed-upon purchase price. Conversely, the market value of the securities that the Company is required to sell pursuant to a TBA transaction may increase above the agreed upon sale price. As part of its TBA activities, the Company may "roll" its TBA positions, whereby the Company may sell (buy) securities for delivery (receipt) in an earlier month and simultaneously contract to repurchase (sell) similar, but not identical, securities at an agreed-upon price on a fixed date in a later month (with the later-month price typically lower than the earlier-month price). The Company accounts for its TBA transactions (including those related to TBA rolls) as purchases and sales. |
REO | REO : When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company's cost basis in REO is equal to the fair value of the associated mortgage loan at the time the Company obtains possession. REO valuations are reflected at the lower of cost or fair value. REO : When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company holds all REO at fair value. |
Investments in Operating Entities | Investments in Operating Entities : The Company has made and may in the future make non-controlling investments in operating entities such as loan originators. Investments in such operating entities may be in the form of preferred and/or common equity, debt, or some other form of investment. The Company carries its investments in such entities at fair value. In cases where the operating entity provides services to the Company, the Company is required to use the equity method of accounting. |
Variable Interest Entities | Variable Interest Entities : VIEs are entities in which: (i) the equity investors do not have the characteristics of a controlling financial interest, or (ii) there is insufficient equity to permit the entity to finance its activities without additional subordinated financial support from other parties. Consolidation of a VIE is required by the entity that is deemed to be the primary beneficiary of the VIE. The Company evaluates all of its interests in VIEs for consolidation under ASC 810. The primary beneficiary is generally the party with both (i) the power to direct the activities of the VIE that most significantly impact its economic performance, and (ii) the obligation to absorb losses and the right to receive benefits from the VIE which could be potentially significant to the VIE. When the Company has an interest in an entity that has been determined to be a VIE, the Company assesses whether it is deemed to be the primary beneficiary of the VIE. The Company will only consolidate a VIE for which it has concluded it is the primary beneficiary. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance, the Company considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes (i) identifying the activities that most significantly impact the VIE's economic performance; and (ii) identifying which party, if any, has power over those activities. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests, including debt and/or equity investments, as well as other arrangements deemed to be variable interests in the VIE. These assessments to determine whether the Company is the primary beneficiary require significant judgment. In instances where the Company and its related parties have interests in a VIE, the Company considers whether there is a single party in the related party group that meets the criteria to be deemed the primary beneficiary. If one party within the related party group meets such criteria, that reporting entity would be deemed to be the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets the criteria to be deemed the primary beneficiary, but the related party group as a whole meets such criteria, the determination of primary beneficiary within the related party group requires significant judgment. The Company performs analysis which is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. The Company performs ongoing reassessments of (i) whether any entities previously evaluated have become VIEs, based on certain events, and therefore subject to assessment to determine whether consolidation is appropriate, and (ii) whether changes in the facts and circumstances regarding the Company's involvement with a VIE causes its consolidation conclusion regarding the VIE to change. See Note 9 and Note 13 for further information on the Company's consolidated VIEs. The Company's maximum amount at risk is generally limited to the Company's investment in the VIE. The Company is generally not contractually required to provide and has not provided any form of financial support to the VIEs. The Company holds beneficial interests in certain securitization trusts that are considered VIEs. The beneficial interests in these securitization trusts are represented by certificates issued by the trusts. The securitization trusts have been structured as pass-through entities that receive principal and interest payments on the underlying collateral and distribute those payments to the certificate holders, which include both third-party investors and the Company. The certificates held by the Company typically include some or all of the most subordinated tranches. The assets held by the trusts are restricted in that they can only be used to fulfill the obligations of the related trust. In certain cases, the design and structure of the securitization trust is such that the Company effectively retains control of the assets as well as the activities that most significantly impact the economic performance of the trust. In such cases, the Company is determined to be the primary beneficiary, and the Company consolidates the trust and all intercompany transactions are eliminated in consolidation. In cases where the Company does not effectively retain control of the assets of, or have the power to direct the activities that most significantly impact the economic performance of, the related trust, it does not consolidate the trust. See Note 10 for further discussion of the Company's securitization trusts. Variable Interest Entities : VIEs are entities in which: (i) the equity investors do not have the characteristics of a controlling financial interest, or (ii) there is insufficient equity to permit the entity to finance its activities without additional subordinated financial support from other parties. The Company holds beneficial interests in securitization trusts that are considered VIEs. The beneficial interests in these securitization trusts are represented by certificates issued by the trusts. The securitization trusts have been structured as pass-through entities that receive principal and interest payments on the underlying collateral and distribute those payments to the certificate holders, which include both third-party investors and the Company. The certificates held by the Company typically include some or all of the most subordinated tranches. The assets held by the trusts are restricted in that they can only be used to fulfill the obligations of the related trust. In certain cases the design and structure of the securitization trust is such that the Company effectively retains control of the assets as well as the activities that most significantly impact the economic performance of the trust; in such cases the trust is considered a direct extension of the Company's business, and the Company consolidates the trust. In cases where the Company does not effectively retain control of the assets of, or the activities that most significantly impact the economic performance of, the related trust, it does not consolidate the trust. See Note 6 for further discussion of the Company's securitization trusts. |
Offering Costs/Underwriters' Discount | Offering Costs/Underwriters' Discount : Offering costs and underwriters' discount are charged against stockholders' equity as incurred. Offering costs typically include legal, accounting, and other fees associated with the cost of raising capital. Offering Costs/Underwriters' Discount : Offering costs and underwriters' discount are charged against shareholders' equity. Offering costs typically include legal, accounting, printing, and other fees associated with the cost of raising capital. |
Debt Issuance Costs | Debt Issuance Costs : Debt issuance costs associated with debt for which the Company has elected the FVO are expensed at the issuance of the debt, and are included in Other investment related expenses on the Condensed Consolidated Statement of Operations. Costs associated with the issuance of debt for which the Company has not elected the FVO are deferred and amortized over the life of the debt, which approximates the effective interest rate method, and are included in Interest expense on the Condensed Consolidated Statement of Operations. Deferred debt issuance costs are presented on the Condensed Consolidated Balance Sheet as a direct deduction from the related debt liability, unless such deferred debt issuance costs are associated with borrowing facilities that are expected to have a future benefit, such as giving the Company the ability to access additional borrowings over the contractual term of the debt, in which case such deferred debt issuance costs are included in Other assets on the Condensed Consolidated Balance Sheet. Debt issuance costs include legal and accounting fees, purchasers' or underwriters' discount, as well as other fees associated with the cost of the issuance of the related debt. Debt Issuance Costs : Debt issuance costs associated with debt for which the Company has elected the fair value option are expensed at the issuance of the debt, and are included in Other investment related expenses on the Consolidated Statement of Operations. Costs associated with the issuance of debt for which the Company has not elected the fair value option are amortized over the life of the debt, which approximates the effective interest rate method, and are included in Interest expense on the Consolidated Statement of Operations. Deferred debt issuance costs are presented on the Consolidated Statement of Assets, Liabilities, and Equity as a direct deduction from the related debt liability, unless such deferred debt issuance costs are associated with borrowing facilities that are expected to have a future benefit, such as giving the Company the ability to access additional borrowings over the contractual term of the debt, in which case such deferred debt issuance costs are included in Other Assets on Consolidated Statement of Assets, Liabilities, and Equity. Debt issuance costs include legal and accounting fees, purchasers' or underwriters' discount, as well as other fees associated with the cost of the issuance of the related debt. |
Expenses | Expenses : Expenses are recognized as incurred on the Condensed Consolidated Statement of Operations. Expenses : Expenses are recognized as incurred on the Consolidated Statement of Operations. |
Investment Related Expenses | Investment Related Expenses : Investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, servicing fees and corporate and escrow advances on mortgage and consumer loans, and various other expenses and fees related directly to the Company's financial instruments. Other Investment Related Expenses : Other investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, servicing fees and corporate and escrow advances on mortgage and consumer loans, and various other expenses and fees related directly to the Company's financial instruments. Other investment related expenses are recognized as incurred on the Consolidated Statement of Operations; dividend expense on common stock sold short is recognized on the ex-dividend date. |
LTIP Units | Long term incentive plan units : Long term incentive plan units of the Operating Partnership ("OP LTIP Units") have been issued to the Company's dedicated or partially dedicated personnel and certain of its directors as well as the Manager. Costs associated with OP LTIP Units issued to dedicated or partially dedicated personnel, or to the Company's directors, are measured as of the grant date based on the closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation . The vesting periods for OP LTIP Units are typically one year from issuance for non-executive directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel. LTIP Units : Long term incentive plan units of the Company ("LTIP Units") and long term incentive plan units of the Operating Partnership ("OP LTIP Units") have been issued to the Company's dedicated or partially dedicated personnel and certain of its directors as well as the Manager. Costs associated with LTIP Units and OP LTIP Units issued to dedicated or partially dedicated personnel, or to its directors, are measured as of the grant date based on the closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation . The vesting periods for LTIP Units and OP LTIP Units are typically one year from issuance for directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel. |
Non-controlling interest | Non-controlling interests : Non-controlling interests include interests in the Operating Partnership represented by units convertible into shares of the Company's common stock ("Convertible Non-controlling Interests"). Convertible Non-controlling Interests include both the OP LTIP Units and those common units ("OP Units") of the Operating Partnership not held by the Company (collectively, the "Convertible Non-controlling Interest Units"). Non-controlling interests also include the interests of joint venture partners in certain of our consolidated subsidiaries. The joint venture partners' interests are not convertible into shares of the Company's common stock. The Company adjusts the Convertible Non-controlling Interests to align their carrying value with their share of total outstanding Operating Partnership units, including both the OP Units held by the Company and the Convertible Non-controlling Interests. Any such adjustments are reflected in Adjustment to non-controlling interests, on the Condensed Consolidated Statement of Changes in Equity. See Note 15 for further discussion of non-controlling interests. Non-controlling interests : Non-controlling interests include interests in the Operating Partnership represented by units convertible into the Company's common shares (“Convertible Non-controlling Interests”). Convertible Non-controlling Interests include both the OP LTIP Units and those common units ("OP Units") of the Operating Partnership not held by the Company. Non-controlling interests also include the interests of joint venture partners in certain of our consolidated subsidiaries. The joint venture partners' interests are not convertible into the Company's common shares. The Company adjusts the Convertible Non-controlling Interests to align their carrying value with their share of total outstanding Operating Partnership units, including both the OP Units held by the Company and the Convertible Non-controlling Interests. Any such adjustments are reflected in "Adjustment to non-controlling interest" on the Consolidated Statement of Changes in Equity. See Note 11 for further discussion of non-controlling interests. |
Dividends | Dividends : Dividends payable are recorded on the declaration date. Dividends : Dividends payable by the Company are recorded on the ex-dividend date. Dividends are typically declared and paid on a quarterly basis in arrears. |
Shares Repurchased | Shares Repurchased : Shares of common stock that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares of common stock issued and outstanding. The cost of such repurchases is charged against Additional paid-in-capital on the Company's Condensed Consolidated Balance Sheet. Shares Repurchased : Common shares that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares outstanding and issued. |
Earnings Per Share ("EPS") | Earnings Per Share ("EPS") : Basic EPS is computed using the two class method by dividing net income (loss) after adjusting for the impact of Convertible Non-controlling Interests which are participating securities, by the weighted average number of shares of common stock outstanding calculated including Convertible Non-controlling Interests. Because the Company's Convertible Non-controlling Interests are participating securities, they are included in the calculation of both basic and diluted EPS. Earnings Per Share ("EPS") : Basic EPS is computed using the two class method by dividing net increase (decrease) in shareholders' equity resulting from operations after adjusting for the impact of LTIP Units which are participating securities, by the weighted average number of common shares outstanding calculated including LTIP Units. Because the Company's LTIP Units are participating securities, they are included in the calculation of basic and diluted EPS. Convertible Non-controlling Interests are also participating securities and, accordingly, are included in the calculation of both basic and diluted EPS. |
Foreign Currency | Foreign Currency : The functional currency of the Company is U.S. dollars. Assets and liabilities denominated in foreign currencies are remeasured into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Other, net, on the Condensed Consolidated Statement of Operations. Our reporting currency is U.S. Dollars. If the Company has investments in unconsolidated entities that have a functional currency other than U.S. Dollars, the fair value is translated to U.S. dollars using the current exchange rate at the valuation date. The cumulative translation adjustment, if any, associated with the Company's investments in unconsolidated entities is recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders' equity. Foreign Currency : Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Foreign currency transactions and Foreign currency translation, respectively, on the Consolidated Statement of Operations. |
Income Taxes | Income Taxes : The Company intends to elect to be taxed as a REIT under Sections 856 through 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its stockholders. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including distributing at least 90% of its annual taxable income to stockholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property, and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company's expected REIT qualification and expected distributions, it does not generally expect to pay federal or state corporate income taxes. Many of the REIT requirements, however, are highly technical and complex. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company elected to treat certain domestic and foreign subsidiaries as TRSs, and may in the future elect to treat other current or future subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS may, but is not required to, declare dividends to the Company; such dividends will be included in the Company's taxable income/(loss) and may necessitate a distribution to the Company's stockholders. Conversely, if the Company retains earnings at the level of a domestic TRS, such earnings will increase the book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state, and local corporate income taxes. The Company has elected and may elect in the future to treat certain of its foreign corporate subsidiaries as TRSs and, accordingly, taxable income generated by these TRSs may not be subject to U.S. federal, state, and local corporate income taxation, but generally will be included in the Company's income on a current basis as Subpart F income, whether or not distributed. However, certain of the Company’s foreign subsidiaries may be subject to income taxes in the relevant foreign jurisdictions. The Company's financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is more than 50% likely to be realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or to 2018, 2017, 2016, or 2015 (its open tax years). In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period, 2018, 2017, 2016, and 2015 (its open tax years). Income Taxes : The Company is treated as a partnership for U.S. federal income tax purposes. Certain of the Company's subsidiaries are not consolidated for U.S. federal income tax purposes, but are also treated as partnerships. In general, partnerships are not subject to entity-level tax on their income, but the income of a partnership is taxable to its owners on a flow-through basis. In addition, certain subsidiaries of the Company have elected to be treated as corporations for U.S. federal income tax purposes, and one has elected to be taxed as a real estate investment trust, or "REIT." The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is greater than 50% likely of being realized upon ultimate settlement. The Company did not have any additions to unrecognized tax benefits resulting from tax positions related either to the current period or to 2017, 2016, or 2015 (its open tax years), and no reductions resulting from tax positions of prior years or due to settlements, and thus had no unrecognized tax benefits or reductions since inception. The Company does not expect any change in unrecognized tax benefits within the next fiscal year. There were no amounts accrued for tax penalties or interest as of or during the periods presented in these consolidated financial statements. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding ASC 740-10 may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance from the Financial Accounting Standards Board, or "FASB," and ongoing analyses of tax laws, regulations and interpretations thereof. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements : In August 2018, the Financial Accounting Standards Board, or "FASB," issued ASU 2018-13, Fair Value Measurement—Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement ("ASU 2018-13"). This amends ASC 820 to remove or modify various current disclosure requirements related to fair value measurement. Additionally, ASU 2018-13 requires certain additional disclosures around fair value measurement. ASU 2018-13 is effective for annual periods beginning after December 15, 2019 and interim periods within those years, with early adoption permitted. Entities are permitted to early adopt any removed or modified disclosures and delay adoption of the additional disclosures until their effective date. The Company has elected to early adopt the removal and modification of various disclosure requirements in accordance with ASU 2018-13; early adoption has not had a material impact on the Company's consolidated financial statements. The Company has elected not to early adopt the additional disclosure requirements. The adoption of the additional disclosure requirements, as required under ASU 2018-13, is not expected to have a material impact on the Company's consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13"). ASU 2016-13 introduces a new model related to the accounting for credit losses on financial assets subject to credit losses and measured at amortized cost and certain off-balance sheet credit exposures. ASU 2016-13 amends the current guidance, which requires an OTTI charge only when fair value is below the amortized cost of an asset. The length of time the fair value of an available-for-sale debt security has been below the amortized cost will no longer impact the determination of whether a credit loss exists. As a result, it is no longer an other-than-temporary model. In addition, credit losses on available-for-sale debt securities will now be limited to the difference between the security's amortized cost basis and its fair value. The new debt security model will also require the use of an allowance to record estimated credit losses. The new guidance also expands the disclosure requirements regarding an entity's assumptions and models. In addition, public entities will need to disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination (i.e., by vintage year). ASU 2016-13 is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Company is currently evaluating its method of adoption and the impact this ASU will have on its consolidated financial statements. Recent Accounting Pronouncements : In August 2018, the Financial Accounting Standards Board, or "FASB," issued ASU 2018-13, Fair Value Measurement—Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement ("ASU 2018-13"). This amends ASC 820, Fair Value Measurement , to remove or modify various current disclosure requirements related to fair value measurement. Additionally ASU 2018-13 requires certain additional disclosures around fair value measurement. ASU 2018-13 is effective for annual periods beginning after December 15, 2019 and interim periods within those years, with early adoption permitted. Entities are permitted to early adopt any removed or modified disclosures and delay adoption of the additional disclosures until their effective date. The Company has elected to early adopt the removal and modification of various disclosure requirements in accordance with ASU 2018-13; early adoption has not had a material impact on the Company's consolidated financial statements. The Company has elected not to early adopt the additional disclosure requirements. The adoption of additional disclosures, as required under ASU 2018-13, is not expected to have a material impact on the Company's consolidated financial statements. In June 2018, the FASB issued ASU 2018-07, Compensation—Stock Compensation—Improvements to Nonemployee Share-Based Payment Accounting ("ASU 2018-07"). This amends ASC 718, Compensation—Stock Compensation , to simplify several aspects of accounting for nonemployee share-based payment transactions. ASU 2018-07 is effective for annual periods beginning after December 15, 2019 and interim periods beginning after December 15, 2020, with early adoption permitted. The adoption of ASU 2018-07 is not expected to have a material impact on the Company's consolidated financial statements. In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows—Restricted Cash ("ASU 2016-18"). This amends ASC 230, Statement of Cash Flows , to require that the statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash and restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. ASU 2016-18 became effective for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. The adoption of ASU 2016-18 did not have a material impact on the Company's consolidated financial statements. |
Valuation (Tables)
Valuation (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Schedule of Financial Instruments | The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of March 31, 2019: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value- Agency RMBS $ — $ 1,137,826 $ 6,389 $ 1,144,215 Non-Agency RMBS — 111,500 94,670 206,170 CMBS — 28,055 5,137 33,192 CLOs — 76,559 21,438 97,997 Asset-backed securities, backed by consumer loans — — 24,108 24,108 Corporate debt securities — — 5,737 5,737 Corporate equity securities — — 1,465 1,465 U.S. Treasury securities — 16,601 — 16,601 Loans, at fair value- Residential mortgage loans — — 583,252 583,252 Commercial mortgage loans — — 239,623 239,623 Consumer loans — — 192,115 192,115 Investment in unconsolidated entities, at fair value — — 58,152 58,152 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities — — 1,233 1,233 Credit default swaps on asset-backed indices — 3,276 — 3,276 Credit default swaps on corporate bonds — 715 — 715 Credit default swaps on corporate bond indices — 3,519 — 3,519 Interest rate swaps — 5,391 — 5,391 TBAs — 531 — 531 Futures 138 — — 138 Forwards — 430 — 430 Total return swaps — 123 — 123 Total assets $ 138 $ 1,384,526 $ 1,233,319 $ 2,617,983 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Liabilities: Securities sold short, at fair value- Government debt $ — $ (21,771 ) $ — $ (21,771 ) Corporate debt securities — (4,441 ) — (4,441 ) Financial derivatives–liabilities, at fair value- Credit default swaps on asset-backed indices — (822 ) — (822 ) Credit default swaps on corporate bonds — (953 ) — (953 ) Credit default swaps on corporate bond indices — (11,907 ) — (11,907 ) Interest rate swaps — (7,571 ) — (7,571 ) TBAs — (3,075 ) — (3,075 ) Futures (2,454 ) — — (2,454 ) Forwards — (122 ) — (122 ) Other secured borrowings, at fair value — — (282,124 ) (282,124 ) Total liabilities $ (2,454 ) $ (50,662 ) $ (282,124 ) $ (335,240 ) The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of March 31, 2019: March 31, 2019 (In thousands) Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 55,876 $ 55,876 Restricted cash 175 175 Due from brokers 58,145 58,145 Reverse repurchase agreements 25,381 25,381 Liabilities: Repurchase agreements 1,550,016 1,550,016 Other secured borrowings 117,315 117,315 Senior notes, net 85,100 85,100 Due to brokers 4,820 4,820 The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2018: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Cash equivalents $ 12,460 $ — $ — $ 12,460 Investments, at fair value- Agency residential mortgage-backed securities $ — $ 1,442,924 $ 7,293 $ 1,450,217 U.S. Treasury securities — 76 — 76 Private label residential mortgage-backed securities — 211,348 91,291 302,639 Private label commercial mortgage-backed securities — 33,105 803 33,908 Commercial mortgage loans — — 211,185 211,185 Residential mortgage loans — — 496,830 496,830 Collateralized loan obligations — 108,978 14,915 123,893 Consumer loans and asset-backed securities backed by consumer loans — — 206,761 206,761 Corporate debt — 16,074 6,318 22,392 Secured notes — — 10,917 10,917 Real estate owned — — 34,500 34,500 Common stock 2,200 — — 2,200 Corporate equity investments — — 43,793 43,793 Total investments, at fair value 2,200 1,812,505 1,124,606 2,939,311 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities — — 1,472 1,472 Credit default swaps on corporate bond indices — 733 — 733 Credit default swaps on corporate bonds — 2,473 — 2,473 Credit default swaps on asset-backed indices — 8,092 — 8,092 Total return swaps — 1 — 1 Interest rate swaps — 7,224 — 7,224 Forwards — 6 — 6 Total financial derivatives–assets, at fair value — 18,529 1,472 20,001 Repurchase agreements, at fair value — 61,274 — 61,274 Total investments, financial derivatives–assets, and repurchase agreements, at fair value $ 2,200 $ 1,892,308 $ 1,126,078 $ 3,020,586 Liabilities: Investments sold short, at fair value- Agency residential mortgage-backed securities $ — $ (772,964 ) $ — $ (772,964 ) Government debt — (54,151 ) — (54,151 ) Corporate debt — (6,529 ) — (6,529 ) Common stock (16,933 ) — — (16,933 ) Total investments sold short, at fair value (16,933 ) (833,644 ) — (850,577 ) Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Financial derivatives–liabilities, at fair value- Credit default swaps on corporate bond indices $ — $ (11,557 ) $ — $ (11,557 ) Credit default swaps on corporate bonds — (3,246 ) — (3,246 ) Credit default swaps on asset-backed indices — (2,125 ) — (2,125 ) Interest rate swaps — (3,397 ) — (3,397 ) Total return swaps — (6 ) — (6 ) Futures (355 ) — — (355 ) Forwards — (120 ) — (120 ) Total financial derivatives–liabilities, at fair value (355 ) (20,451 ) — (20,806 ) Other secured borrowings, at fair value — — (297,948 ) (297,948 ) Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value $ (17,288 ) $ (854,095 ) $ (297,948 ) $ (1,169,331 ) The tables below include a roll-forward of the Company's financial instruments for the three-month period ended March 31, 2018 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three-Month Period Ended March 31, 2018 (In thousands) Ending Accreted Net Realized Change in Net Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Investments, at fair value- Agency residential mortgage-backed securities $ 6,173 $ (600 ) $ 39 $ 264 $ 1,101 $ (388 ) $ — $ (461 ) $ 6,128 Private label residential mortgage-backed securities 101,297 106 2,288 293 20,660 (21,574 ) 11,561 (2,769 ) 111,862 Private label commercial mortgage-backed securities 12,347 (183 ) 1,554 121 9,624 (7,366 ) — (2,388 ) 13,709 Commercial mortgage loans 108,301 618 330 (161 ) 3,988 (3,782 ) — — 109,294 Residential mortgage loans 182,472 (715 ) (54 ) (653 ) 73,040 (13,309 ) — — 240,781 Collateralized loan obligations 24,911 455 2 226 10,095 (8,210 ) — — 27,479 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of March 31, 2018 (Continued) Consumer loans and asset-backed securities backed by consumer loans $ 135,258 $ (5,896 ) $ 501 $ 3,804 $ 42,133 $ (27,378 ) $ — $ — $ 148,422 Corporate debt 23,947 (114 ) 52 364 456 (6,705 ) — — 18,000 Real estate owned 26,277 — (456 ) 615 4,098 (1,424 ) — — 29,110 Corporate equity investments 37,465 — — 4,326 9,078 — — — 50,869 Total investments, at fair value 658,448 (6,329 ) 4,256 9,199 174,273 (90,136 ) 11,561 (5,618 ) 755,654 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities 3,140 — 86 (71 ) 24 (110 ) — — 3,069 Total financial derivatives– assets, at fair value 3,140 — 86 (71 ) 24 (110 ) — — 3,069 Total investments and financial derivatives–assets, at fair value $ 661,588 $ (6,329 ) $ 4,342 $ 9,128 $ 174,297 $ (90,246 ) $ 11,561 $ (5,618 ) $ 758,723 Liabilities: Other secured borrowings, at fair value $ (125,105 ) $ — $ — $ 784 $ 10,546 $ — $ — $ — $ (113,775 ) Total other secured borrowings, at fair value $ (125,105 ) $ — $ — $ 784 $ 10,546 $ — $ — $ — $ (113,775 ) All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at March 31, 2018, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2018. For Level 3 financial instruments held by the Company at March 31, 2018, change in net unrealized gain (loss) of $8.6 million , $(0.1) million , and $0.8 million , for the three-month period ended March 31, 2018 relate to investments, financial derivatives–assets, and other secured borrowings, at fair value, respectively. |
Schedule of Significant Unobservable Inputs, Qualitative Information | The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2019: Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Non-Agency RMBS $ 42,096 Market Quotes Non Binding Third-Party Valuation $ 15.72 $ 184.92 $ 82.84 CMBS 5,137 Market Quotes Non Binding Third-Party Valuation 5.94 70.90 60.88 CLOs 13,508 Market Quotes Non Binding Third-Party Valuation 27.30 80.00 72.87 Agency interest only RMBS 705 Market Quotes Non Binding Third-Party Valuation 8.42 14.43 11.96 Corporate debt and equity 1,452 Market Quotes Non Binding Third-Party Valuation 83.50 83.50 83.50 Non-Agency RMBS 52,574 Discounted Cash Flows Yield 0.5 % 67.1 % 9.5 % Projected Collateral Prepayments 15.1 % 77.8 % 46.6 % Projected Collateral Losses 0.1 % 17.6 % 8.8 % Projected Collateral Recoveries 1.7 % 15.8 % 8.2 % Projected Collateral Scheduled Amortization 16.3 % 63.0 % 36.4 % 100.0 % Corporate debt and equity 5,750 Discounted Cash Flows Yield 10.0 % 19.6 % 16.7 % CLOs 7,930 Discounted Cash Flows Yield 8.7 % 15.2 % 11.8 % Projected Collateral Prepayments 19.9 % 87.3 % 52.5 % Projected Collateral Losses 5.3 % 30.8 % 15.7 % Projected Collateral Recoveries 4.2 % 13.7 % 8.8 % Projected Collateral Scheduled Amortization — % 65.2 % 23.0 % 100.0 % (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) ABS backed by consumer loans 24,108 Discounted Cash Flows Yield 12.0 % 18.7 % 12.2 % Projected Collateral Prepayments 0.0 % 11.0 % 9.4 % Projected Collateral Losses 1.6 % 16.6 % 14.9 % Projected Collateral Scheduled Amortization 72.9 % 98.4 % 75.7 % 100.0 % Consumer loans 192,115 Discounted Cash Flows Yield 7.0 % 10.0 % 8.0 % Projected Collateral Prepayments 0.0 % 55.4 % 41.5 % Projected Collateral Losses 4.0 % 86.6 % 8.0 % Projected Collateral Scheduled Amortization 13.4 % 85.7 % 50.5 % 100.0 % Performing commercial mortgage loans 198,823 Discounted Cash Flows Yield 8.0 % 22.5 % 9.4 % Non-performing commercial mortgage loans 40,800 Discounted Cash Flows Yield 10.5 % 14.1 % 12.8 % Months to Resolution 0.0 5.0 3.0 Performing and re-performing residential mortgage loans 274,572 Discounted Cash Flows Yield 4.1 % 22.6 % 6.0 % Securitized residential mortgage loans (1) 296,366 Discounted Cash Flows Yield 4.4 % 4.6 % 4.5 % Non-performing residential mortgage loans 12,314 Discounted Cash Flows Yield 4.3 % 33.3 % 11.9 % Months to Resolution 13.5 62.6 32.3 Credit default swaps on asset-backed securities 1,233 Net Discounted Cash Flows Projected Collateral Prepayments 34.1 % 38.6 % 36.0 % Projected Collateral Losses 11.7 % 18.1 % 13.3 % Projected Collateral Recoveries 14.2 % 17.5 % 16.2 % Projected Collateral Scheduled Amortization 29.1 % 36.5 % 34.5 % 100.0 % Agency interest only RMBS 5,684 Option Adjusted Spread ("OAS") LIBOR OAS (2) 93 3,527 654 Projected Collateral Prepayments 30.0 % 100.0 % 67.7 % Projected Collateral Scheduled Amortization 0.0 % 70.0 % 32.3 % 100.0 % Investment in unconsolidated entities 31,849 Enterprise Value Equity Price-to-Book (3) 1.0X 3.1X 1.4X Investment in unconsolidated entities 3,000 Recent Transactions Transaction Price n/a n/a n/a Investment in unconsolidated entities 23,303 Discounted Cash Flows Yield (4) 5.5% 19.6% 10.2% Other secured borrowings, at fair value (1) (282,124 ) Discounted Cash Flows Yield 4.0% 4.1% 4.1% (1) Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFE as discussed in Note 2. (2) Shown in basis points. (3) Represent an estimation of where market participants might value an enterprise on a price-to-book basis. (4) Represents the significant unobservable inputs used to fair value the financial instruments of the unconsolidated entity. The fair value of such financial instruments is the largest component of the valuation of such entity as a whole. The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2018: Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Private label residential mortgage-backed securities $ 36,945 Market Quotes Non Binding Third-Party Valuation $ 17.42 $ 178.00 $ 78.31 Collateralized loan obligations 5,828 Market Quotes Non Binding Third-Party Valuation 2.64 375.00 167.78 Corporate debt, non-exchange traded corporate equity, and secured notes 13,976 Market Quotes Non Binding Third-Party Valuation 9.69 91.00 59.18 Private label commercial mortgage-backed securities 576 Market Quotes Non Binding Third-Party Valuation 5.93 6.36 6.14 Agency interest only residential mortgage-backed securities 744 Market Quotes Non Binding Third-Party Valuation 1.70 9.12 5.64 Private label residential mortgage-backed securities 54,346 Discounted Cash Flows Yield 3.5 % 66.1 % 10.7 % Projected Collateral Prepayments 16.0 % 92.1 % 50.4 % Projected Collateral Losses 0.0 % 23.1 % 8.7 % Projected Collateral Recoveries 1.5 % 14.6 % 7.3 % Projected Collateral Scheduled Amortization 6.1 % 61.8 % 33.6 % 100.0 % Private label commercial mortgage-backed securities 227 Discounted Cash Flows Yield 3.4 % 3.4 % 3.4 % Projected Collateral Losses 2.0 % 2.0 % 2.0 % Projected Collateral Recoveries 6.6 % 6.6 % 6.6 % Projected Collateral Scheduled Amortization 91.4 % 91.4 % 91.4 % 100.0 % Corporate debt and non-exchange traded corporate equity 4,793 Discounted Cash Flows Yield 17.5 % 17.5 % 17.5 % (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Collateralized loan obligations $ 9,087 Discounted Cash Flows Yield 12.6 % 103.1 % 26.7 % Projected Collateral Prepayments 8.1 % 88.4 % 65.2 % Projected Collateral Losses 3.7 % 40.8 % 13.5 % Projected Collateral Recoveries 4.2 % 38.0 % 11.9 % Projected Collateral Scheduled Amortization 3.5 % 13.5 % 9.4 % 100.0 % Consumer loans and asset-backed securities backed by consumer loans 206,761 Discounted Cash Flows Yield 7.0 % 18.3 % 8.5 % Projected Collateral Prepayments 0.0 % 45.9 % 33.5 % Projected Collateral Losses 2.6 % 84.8 % 9.1 % Projected Collateral Scheduled Amortization 15.2 % 96.6 % 57.4 % 100.0 % Performing commercial mortgage loans 163,876 Discounted Cash Flows Yield 8.0 % 22.5 % 9.6 % Non-performing commercial mortgage loans and commercial real estate owned 80,513 Discounted Cash Flows Yield 9.6 % 27.4 % 13.2 % Months to Resolution 3.0 16.0 7.9 Performing residential mortgage loans 171,367 Discounted Cash Flows Yield 2.7 % 12.9 % 6.0 % Securitized residential mortgage loans (1) 314,202 Discounted Cash Flows Yield 4.3 % 4.6 % 4.6 % Non-performing residential mortgage loans and residential real estate owned 12,557 Discounted Cash Flows Yield 4.3 % 25.1 % 11.3 % Months to Resolution (2) 1.9 42.2 27.8 Credit default swaps on asset-backed securities 1,472 Net Discounted Cash Flows Projected Collateral Prepayments 33.6 % 42.0 % 36.5 % Projected Collateral Losses 11.1 % 15.6 % 12.8 % Projected Collateral Recoveries 10.3 % 18.7 % 15.8 % Projected Collateral Scheduled Amortization 32.0 % 36.5 % 34.9 % 100.0 % Agency interest only residential mortgage-backed securities 6,549 Option Adjusted Spread ("OAS") LIBOR OAS (3) 211 3,521 677 Projected Collateral Prepayments 37.7 % 100.0 % 66.2 % Projected Collateral Scheduled Amortization 0.0 % 62.3 % 33.8 % 100.0 % Non-exchange traded common equity investment in mortgage-related entity 6,750 Enterprise Value Equity Price-to-Book (4) 3.3x 3.3x 3.3x Non-exchange traded preferred equity investment in mortgage-related entity 27,317 Enterprise Value Equity Price-to-Book (4) 1.1x 1.1x 1.1x Non-exchange traded preferred equity investment in loan origination entity 3,000 Recent Transactions Transaction Price N/A N/A N/A Non-controlling equity interest in limited liability company 5,192 Discounted Cash Flows Yield (5) 12.9% 16.1% 15.4% Other secured borrowings, at fair value (1) (297,948 ) Discounted Cash Flows Yield 3.9% 4.4% 4.3% (1) Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFE as discussed in Note 2. (2) Excludes certain loans that are re-performing. (3) Shown in basis points. (4) Represent an estimation of where market participants might value an enterprise on a price-to-book basis. (5) Represents the significant unobservable inputs used to fair value the financial instruments of the limited liability company. The fair value of such financial instruments is the largest component of the valuation of the limited liability company as a whole. |
Fair Value Measurement Using Significant Unobservable Inputs | The tables below include a roll-forward of the Company's financial instruments for the three-month period ended March 31, 2019 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three-Month Period Ended March 31, 2019 (In thousands) Beginning Balance as of Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of March 31, 2019 Assets: Securities, at fair value: Agency RMBS $ 7,293 $ (774 ) $ (594 ) $ 189 $ 6 $ — $ 842 $ (573 ) $ 6,389 Non-Agency RMBS 91,291 63 (101 ) (535 ) 15,546 (19,436 ) 10,492 (2,650 ) 94,670 CMBS 803 (14 ) — (8 ) — — 4,356 — 5,137 CLOs 14,915 (406 ) (83 ) 49 8,304 — — (1,341 ) 21,438 Asset-backed securities backed by consumer loans 22,800 (609 ) (512 ) 762 4,940 (3,273 ) — — 24,108 Corporate debt securities 6,318 16 (1 ) (77 ) 384 (903 ) — — 5,737 Corporate equity securities 1,530 — — (65 ) — — — — 1,465 Loans, at fair value: Residential mortgage loans 496,829 (927 ) (136 ) 1,901 157,602 (72,017 ) — — 583,252 Commercial mortgage loans 195,301 306 — (333 ) 48,857 (4,508 ) — — 239,623 Consumer loans 183,961 (8,572 ) (2,055 ) 1,842 54,256 (37,317 ) — — 192,115 Investment in unconsolidated entities, at fair value 72,302 276 1,560 (39 ) 13,428 (29,375 ) — — 58,152 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities 1,472 — 275 (239 ) 2 (277 ) — — 1,233 Total assets, at fair value $ 1,094,815 $ (10,641 ) $ (1,647 ) $ 3,447 $ 303,325 $ (167,106 ) $ 15,690 $ (4,564 ) $ 1,233,319 Liabilities: Other secured borrowings, at fair value $ (297,948 ) $ — $ — $ 57 $ 15,767 $ — $ — $ — $ (282,124 ) Total liabilities, at fair value $ (297,948 ) $ — $ — $ 57 $ 15,767 $ — $ — $ — $ (282,124 ) The tables below include a roll-forward of the Company's financial instruments for the three-month period ended March 31, 2018 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three-Month Period Ended March 31, 2018 (In thousands) Ending Accreted Net Realized Change in Net Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Investments, at fair value- Agency residential mortgage-backed securities $ 6,173 $ (600 ) $ 39 $ 264 $ 1,101 $ (388 ) $ — $ (461 ) $ 6,128 Private label residential mortgage-backed securities 101,297 106 2,288 293 20,660 (21,574 ) 11,561 (2,769 ) 111,862 Private label commercial mortgage-backed securities 12,347 (183 ) 1,554 121 9,624 (7,366 ) — (2,388 ) 13,709 Commercial mortgage loans 108,301 618 330 (161 ) 3,988 (3,782 ) — — 109,294 Residential mortgage loans 182,472 (715 ) (54 ) (653 ) 73,040 (13,309 ) — — 240,781 Collateralized loan obligations 24,911 455 2 226 10,095 (8,210 ) — — 27,479 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of March 31, 2018 (Continued) Consumer loans and asset-backed securities backed by consumer loans $ 135,258 $ (5,896 ) $ 501 $ 3,804 $ 42,133 $ (27,378 ) $ — $ — $ 148,422 Corporate debt 23,947 (114 ) 52 364 456 (6,705 ) — — 18,000 Real estate owned 26,277 — (456 ) 615 4,098 (1,424 ) — — 29,110 Corporate equity investments 37,465 — — 4,326 9,078 — — — 50,869 Total investments, at fair value 658,448 (6,329 ) 4,256 9,199 174,273 (90,136 ) 11,561 (5,618 ) 755,654 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities 3,140 — 86 (71 ) 24 (110 ) — — 3,069 Total financial derivatives– assets, at fair value 3,140 — 86 (71 ) 24 (110 ) — — 3,069 Total investments and financial derivatives–assets, at fair value $ 661,588 $ (6,329 ) $ 4,342 $ 9,128 $ 174,297 $ (90,246 ) $ 11,561 $ (5,618 ) $ 758,723 Liabilities: Other secured borrowings, at fair value $ (125,105 ) $ — $ — $ 784 $ 10,546 $ — $ — $ — $ (113,775 ) Total other secured borrowings, at fair value $ (125,105 ) $ — $ — $ 784 $ 10,546 $ — $ — $ — $ (113,775 ) All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at March 31, 2018, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2018. For Level 3 financial instruments held by the Company at March 31, 2018, change in net unrealized gain (loss) of $8.6 million , $(0.1) million , and $0.8 million , for the three-month period ended March 31, 2018 relate to investments, financial derivatives–assets, and other secured borrowings, at fair value, respectively. As of June 30, 2017, the Company modified its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedures, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. As of March 31, 2018, the Company transferred $5.6 million of securities from Level 3 to Level 2 and $11.6 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. |
Investment in Securities (Table
Investment in Securities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment Holdings | The following table details the Company's investment in securities as of March 31, 2019. Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Life (Years) (2) Long: Agency RMBS: 15-year fixed-rate mortgages 70,927 2,897 73,824 68 (1,261 ) 72,631 3.48 % 2.40 % 4.39 20-year fixed-rate mortgages 2,267 148 2,415 — (38 ) 2,377 4.20 % 2.88 % 5.32 30-year fixed-rate mortgages 906,415 43,286 949,701 4,584 (9,311 ) 944,974 4.20 % 3.37 % 6.82 Adjustable rate mortgages 9,173 401 9,574 23 (137 ) 9,460 3.97 % 2.97 % 3.16 Reverse mortgages 83,293 6,448 89,741 233 (629 ) 89,345 4.40 % 3.03 % 6.34 Interest only securities n/a n/a 25,473 1,110 (1,155 ) 25,428 3.31 % 7.48 % 3.61 Non-Agency RMBS 298,383 (111,182 ) 187,201 17,642 (2,540 ) 202,303 3.44 % 6.42 % 7.31 CMBS 65,186 (36,910 ) 28,276 1,284 (147 ) 29,413 2.77 % 8.42 % 8.38 Non-Agency interest only securities n/a n/a 5,693 1,953 — 7,646 0.77 % 25.35 % 7.63 CLOs n/a n/a 98,713 2,941 (3,657 ) 97,997 3.85 % 16.22 % 5.68 ABS backed by consumer loans 36,022 (12,488 ) 23,534 940 (366 ) 24,108 14.52 % 11.85 % 1.16 Corporate debt 26,730 (20,956 ) 5,774 44 (81 ) 5,737 9.26 % 20.18 % 1.57 Corporate equity n/a n/a 1,583 4 (122 ) 1,465 n/a n/a n/a U.S. Treasury securities 16,375 189 16,564 45 (8 ) 16,601 2.51 % 2.30 % 5.68 Total Long 1,514,771 (128,167 ) 1,518,066 30,871 (19,452 ) 1,529,485 4.15 % 5.08 % 6.49 Short: Corporate debt (5,160 ) 515 (4,645 ) 237 (33 ) (4,441 ) 5.19 % 5.91 % 6.16 U.S. Treasury securities (2,800 ) 15 (2,785 ) — (125 ) (2,910 ) 2.88 % 2.92 % 9.38 European sovereign bonds (18,605 ) (884 ) (19,489 ) 947 (319 ) (18,861 ) 1.69 % 0.43 % 1.27 Total Short (26,565 ) (354 ) (26,919 ) 1,184 (477 ) (26,212 ) 2.42 % 1.64 % 3.00 Total 1,488,206 (128,521 ) 1,491,147 32,055 (19,929 ) 1,503,273 4.18 % 5.02 % 6.55 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. |
Debt Securities, Available-for-sale | The following table details weighted average life of the Company's Agency RMBS as of March 31, 2019. ($ in thousands) Agency RMBS Agency Interest Only Securities Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years 38,461 38,339 4.64 % 7,582 7,763 3.14 % Greater than three years less than seven years 486,247 489,019 4.29 % 17,582 17,460 3.42 % Greater than seven years less then eleven years 581,828 585,867 4.04 % 264 250 0.66 % Greater than eleven years 12,251 12,030 4.10 % — — — % Total 1,118,787 1,125,255 4.17 % 25,428 25,473 3.31 % (1) Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following table details weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of March 31, 2019. ($ in thousands) Non-Agency RMBS and CMBS Non-Agency IOs CLOs and Other Securities (2) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Less than three years 60,447 52,618 2.07 % 176 30 2.00 % 34,601 34,877 12.03 % Greater than three years less than seven years 65,214 60,490 5.32 % 3,829 3,450 1.40 % 90,984 91,770 4.33 % Greater than seven years less then eleven years 53,571 49,960 3.61 % 306 — 0.50 % 17,235 16,487 0.68 % Greater than eleven years 52,484 52,409 2.15 % 3,335 2,213 — % 1,623 1,451 — % Total 231,716 215,477 3.36 % 7,646 5,693 0.77 % 144,443 144,585 5.69 % (1) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Other Securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities. |
Investment Income | The following table details the components of interest income by security type for the three-month period ended March 31, 2019: Security Type Coupon Interest Net Amortization Interest Income (In thousands) Agency RMBS 12,190 (4,628 ) 7,562 Non-Agency RMBS and CMBS 3,849 547 4,396 CLOs 4,244 65 4,309 Other securities (1) 1,593 (562 ) 1,031 Total 21,876 (4,578 ) 17,298 (1) Other securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities. |
Schedule of Realized Gain (Loss) | The following table presents proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three-month period ended March 31, 2019. Security Type Proceeds Gross Realized Gains Gross Realized Losses Net Realized Gain (Loss) (In thousands) Agency RMBS 128,304 712 (1,679 ) (967 ) Non-Agency RMBS and CMBS 129,545 1,272 (3,443 ) (2,171 ) CLOs 44,822 140 (935 ) (795 ) Other securities (1) 405,903 758 (1,259 ) (501 ) Total 708,574 2,882 (7,316 ) (4,434 ) (1) Other securities includes asset-backed securities, backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | The following table presents the fair value and gross unrealized losses of our long securities by length of time that such securities have been in an unrealized loss position at March 31, 2019. (In thousands) Less than 12 Months Greater than 12 Months Total Security Type Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Agency RMBS 123,567 (627 ) 521,597 (11,904 ) 645,164 (12,531 ) Non-Agency RMBS and CMBS 85,338 (1,585 ) 34,988 (1,102 ) 120,326 (2,687 ) CLOs 28,953 (996 ) 25,154 (2,661 ) 54,107 (3,657 ) Other securities (1) 16,896 (177 ) 2,963 (400 ) 19,859 (577 ) Total 254,754 (3,385 ) 584,702 (16,067 ) 839,456 (19,452 ) (1) Other securities includes asset-backed securities, backed by consumer loans, corporate debt and equity, and U.S. Treasury securities. |
Investment in Loans (Tables)
Investment in Loans (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Receivables [Abstract] | |
Summary of Investments in Loans | The following table is a summary of the Company's investments in loans as of March 31, 2019: Loan Type Unpaid Principal Balance Fair Value (In thousands) Residential mortgage loans $ 577,880 $ 583,252 Commercial mortgage loans 264,932 239,623 Consumer loans 184,171 192,115 Total $ 1,026,983 $ 1,014,990 Commercial Mortgage Loans The table below details certain information regarding the Company's commercial mortgage loans as of March 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Commercial mortgage loans $ 264,932 $ (27,249 ) $ 237,683 $ 2,131 $ (191 ) $ 239,623 8.92 % 9.44 % 0.95 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as of March 31, 2019: Property Location by State Percentage of Total Outstanding Unpaid Principal Balance Florida 20.1 % Connecticut 18.7 % New York 12.7 % New Jersey 10.4 % North Carolina 7.3 % Virginia 7.1 % Massachusetts 4.9 % Pennsylvania 4.3 % Arizona 4.0 % Indiana 3.8 % Kentucky 3.8 % Tennessee 1.5 % Louisiana 1.4 % 100.0 % The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of March 31, 2019. (In thousands) Unpaid Principal Balance Fair Value Re-performing $ 35,616 $ 31,816 Non-performing 15,795 13,678 The table below details certain information regarding the Company's consumer loans as of March 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Life (Years) (1) Delinquency (Days) Consumer loans $ 184,171 $ 6,912 $ 191,083 $ 2,623 $ (1,591 ) $ 192,115 0.78 3 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below details certain information regarding the Company's residential mortgage loans as of March 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 555,386 $ 4,470 $ 559,856 $ 4,368 $ (1,461 ) $ 562,763 6.49 % 5.68 % 1.95 Residential mortgage loans, held-for-sale 22,494 (3,344 ) 19,150 1,520 (181 ) 20,489 4.66 % 6.37 % 5.48 Total $ 577,880 $ 1,126 $ 579,006 $ 5,888 $ (1,642 ) $ 583,252 6.42 % 5.70 % 2.07 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2) Includes $296.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts; see Note 10. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as of March 31, 2019: Property Location by State Percentage of Total Outstanding Unpaid Principal Balance California 48.3 % Florida 12.9 % Texas 12.7 % Colorado 4.4 % Arizona 2.8 % Oregon 2.4 % New York 2.2 % Washington 2.2 % Nevada 2.1 % Utah 1.5 % New Jersey 1.3 % Maryland 1.1 % Other 6.1 % 100.0 % |
Summary of Loans Past Due | The table below provides details on the delinquency status of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of March 31, 2019: Days Past Due Delinquency Status (1) Current 95.9 % 30-59 Days 1.7 % 60-89 Days 1.3 % 90-119 Days 1.1 % 100.0 % The following table provides details, by accrual status, for loans that are 90 days or more past due as of March 31, 2019: Unpaid Principal Balance Fair Value 90 days or more past due—accrual status (In thousands) Commercial mortgage loans (1) $ 6,491 $ 6,491 90 days or more past due—non-accrual status Residential mortgage loans 18,582 16,110 Commercial mortgage loans 16,050 16,050 Consumer loans 2,046 2,025 (1) Represents a loan where the borrower is currently making payments and is expected to continue to make payments |
Investments in Unconsolidated_2
Investments in Unconsolidated Entities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule of Investments in Unconsolidated Entities | The following table provides details about the Company's investments in unconsolidated entities as of March 31, 2019: Investment in Unconsolidated Entity Form of Investment Percentage Ownership of Unconsolidated Entity Longbridge Financial, LLC Preferred shares 49.7% LendSure Mortgage Corp. (1) Common shares 45.0% Jepson Holdings Limited (1)(2) Membership Interest 30.1% Elizon DB 2015-1 LLC (1)(2) Membership Interest 6.1% Other Various 10.0%–49.6% (1) See Note 13 for additional details on the Company's related party transactions. (2) The Company has evaluated this entity and determined that it meets the definition of a VIE. The Company evaluated its interest in the VIE and determined that the Company does not have the power to direct the activities of the VIE and does not have control of the underlying assets, where applicable. As a result, the Company determined that it is not the primary beneficiary of this VIE and therefore has not consolidated the VIE. |
Real Estate Owned (Tables)
Real Estate Owned (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Banking and Thrift [Abstract] | |
Schedule of Real Estate Owned | The following table details activity in the Company's carrying value of REO for the three-month period ended March 31, 2019. Number of Properties Carrying Value (In thousands) Beginning Balance (1/1/2019) 20 $ 30,778 Transfers from mortgage loans 2 299 Capital expenditures and other adjustments to cost 240 Adjustments to record at the lower of cost or fair value (250 ) Disposals (1 ) (64 ) Ending Balance (3/31/2019) 21 $ 31,003 |
To Be Announced RMBS (Tables)
To Be Announced RMBS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
To Be Announced RMBS [Abstract] | |
To Be Announced RMBS | The below table details TBA assets, liabilities, and the respective related payables and receivables as of December 31, 2018: (In thousands) As of December 31, 2018 Assets: TBA securities, at fair value (Current principal: $460,037) $ 474,860 Receivable for securities sold relating to unsettled TBA sales 766,574 Liabilities: TBA securities sold short, at fair value (Current principal: -$753,697) $ (772,964 ) Payable for securities purchased relating to unsettled TBA purchases (473,386 ) Net short TBA securities, at fair value (298,104 ) |
Financial Derivatives (Tables)
Financial Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Assets at Fair Value | The following table details the fair value of the Company's holdings of financial derivatives as of March 31, 2019: March 31, 2019 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 445 TBA securities sale contracts 86 Fixed payer interest rate swaps 2,291 Fixed receiver interest rate swaps 3,096 Basis swaps 4 Credit default swaps on asset-backed securities 1,233 Credit default swaps on asset-backed indices 3,276 Credit default swaps on corporate bonds 715 Credit default swaps on corporate bond indices 3,519 Total return swaps 123 Futures 138 Forwards 430 Total financial derivatives–assets, at fair value $ 15,356 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts $ (33 ) TBA securities sale contracts (3,042 ) Fixed payer interest rate swaps (6,243 ) Fixed receiver interest rate swaps (1,328 ) Credit default swaps on asset-backed indices (822 ) Credit default swaps on corporate bonds (945 ) Credit default swaps on corporate bond indices (11,907 ) Recovery swaps (8 ) Futures (2,454 ) Forwards (122 ) Total financial derivatives–liabilities, at fair value $ (26,904 ) Total $ (11,548 ) |
Schedule of Derivative Liabilities at Fair Value | The following table details the fair value of the Company's holdings of financial derivatives as of March 31, 2019: March 31, 2019 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 445 TBA securities sale contracts 86 Fixed payer interest rate swaps 2,291 Fixed receiver interest rate swaps 3,096 Basis swaps 4 Credit default swaps on asset-backed securities 1,233 Credit default swaps on asset-backed indices 3,276 Credit default swaps on corporate bonds 715 Credit default swaps on corporate bond indices 3,519 Total return swaps 123 Futures 138 Forwards 430 Total financial derivatives–assets, at fair value $ 15,356 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts $ (33 ) TBA securities sale contracts (3,042 ) Fixed payer interest rate swaps (6,243 ) Fixed receiver interest rate swaps (1,328 ) Credit default swaps on asset-backed indices (822 ) Credit default swaps on corporate bonds (945 ) Credit default swaps on corporate bond indices (11,907 ) Recovery swaps (8 ) Futures (2,454 ) Forwards (122 ) Total financial derivatives–liabilities, at fair value $ (26,904 ) Total $ (11,548 ) |
Schedule of Derivative Instruments | Interest Rate Swaps The following table provides information about the Company's fixed payer interest rate swaps as of March 31, 2019: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2020 $ 68,607 $ 549 1.74 % 2.61 % 1.00 2021 121,499 (603 ) 2.71 2.63 1.82 2023 101,012 858 2.06 2.66 4.04 2024 77,700 (1,021 ) 2.58 2.76 4.81 2025 30,023 296 2.09 2.64 6.67 2026 10,200 191 2.02 2.67 7.44 2028 69,602 (1,975 ) 2.71 2.68 9.25 2029 70,000 (1,825 ) 2.70 2.77 9.80 2030 685 2 2.38 2.68 11.65 2045 7,896 19 2.54 2.63 26.69 2049 6,700 (443 ) 2.89 2.80 29.78 Total $ 563,924 $ (3,952 ) 2.41 % 2.68 % 5.49 The following table provides information about the Company's fixed receiver interest rate swaps as of March 31, 2019: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2021 $ 5,928 $ (21 ) 2.61 % 2.00 % 2.21 2022 53,974 (761 ) 2.63 1.85 2.92 2023 48,657 (509 ) 2.62 2.00 4.01 2024 68,500 816 2.38 2.56 4.80 2029 79,550 1,800 2.30 2.66 9.82 2049 6,700 443 2.80 2.89 29.78 Total $ 263,309 $ 1,768 2.47 % 2.34 % 6.36 The following table provides information about the Company's basis swaps as of March 31, 2019: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2019 $ (12,900 ) $ 4 2.61 % 2.64 % 0.21 Total $ (12,900 ) $ 4 2.61 % 2.64 % 0.21 Credit Default Swaps The following table provides information about the Company's credit default swaps as of March 31, 2019: March 31, 2019: Type (1) Notional Fair Value Remaining Term (Years) (In thousands) Asset: Long: Credit default swaps on asset-backed indices $ 837 $ 9 23.57 Credit default swaps on corporate bonds 3,070 296 2.97 Credit default swaps on corporate bond indices 76,904 3,519 4.09 Short: Credit default swaps on asset-backed securities (2,909 ) 1,233 16.41 Credit default swaps on asset-backed indices (32,326 ) 3,267 37.60 Credit default swaps on corporate bonds (3,033 ) 419 1.98 Liability: Long: Credit default swaps on asset-backed indices 5,439 (819 ) 40.73 Credit default swaps on corporate bonds 2,980 (407 ) 1.97 Short: Credit default swaps on asset-backed indices (2,500 ) (3 ) 38.58 Credit default swaps on corporate bonds (16,955 ) (538 ) 1.14 Credit default swaps on corporate bond indices (223,080 ) (11,907 ) 2.47 Recovery swaps (2,600 ) (8 ) 0.22 $ (194,173 ) $ (4,939 ) 7.04 (1) Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection. Futures The following table provides information about the Company's short positions in futures as of March 31, 2019: March 31, 2019: Description Notional Amount Fair Value Remaining Months to Expiration (In thousands) U.S. Treasury futures $ (151,600 ) $ (2,380 ) 2.79 Eurodollar futures (63,000 ) (74 ) 5.97 Currency futures (15,840 ) 138 2.60 Total $ (230,440 ) $ (2,316 ) 3.64 As of March 31, 2019, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows: March 31, 2019 TBA Securities Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) (In thousands) Purchase contracts: Assets $ 167,641 $ 173,619 $ 174,064 $ 445 Liabilities 25,500 25,875 25,842 (33 ) 193,141 199,494 199,906 412 Sale contracts: Assets (155,175 ) (158,767 ) (158,681 ) 86 Liabilities (572,003 ) (589,105 ) (592,147 ) (3,042 ) (727,178 ) (747,872 ) (750,828 ) (2,956 ) Total TBA securities, net $ (534,037 ) $ (548,378 ) $ (550,922 ) $ (2,544 ) (1) Notional amount represents the principal balance of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet. |
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three-month period ended March 31, 2019 are summarized in the tables below: Derivative Type Primary Risk Exposure Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps (1) Net Realized Gains (Losses) on Financial Derivatives (1) Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2) Change in Net Unrealized Gains (Losses) on Financial Derivatives (2) (In thousands) Interest rate swaps Interest Rate $ 719 $ 1,458 $ 2,177 $ (275 ) $ (5,774 ) $ (6,049 ) Credit default swaps on asset-backed securities Credit 275 275 (239 ) (239 ) Credit default swaps on asset-backed indices Credit (746 ) (746 ) (548 ) (548 ) Credit default swaps on corporate bond indices Credit (2,513 ) (2,513 ) (2,407 ) (2,407 ) Credit default swaps on corporate bonds Credit (425 ) (425 ) 766 766 Total return swaps Equity Market/Credit (1,298 ) (1,298 ) 129 129 TBAs Interest Rate (6,435 ) (6,435 ) 1,898 1,898 Futures Interest Rate/Currency (2,433 ) (2,433 ) 359 359 Forwards Currency (114 ) (114 ) 423 423 Options Interest Rate (33 ) (33 ) — — Total $ 719 $ (12,264 ) $ (11,545 ) $ (275 ) $ (5,393 ) $ (5,668 ) (1) Includes gain/(loss) on foreign currency transactions on financial derivatives in the amount of $25 thousand for the three-month period ended March 31, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2) Includes foreign currency remeasurement on financial derivatives in the amount of $21 thousand for the three-month period ended March 31, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. Gains and losses on the Company's derivative contracts for the three-month period March 31, 2018 are summarized in the table below: Three-Month Period Ended March 31, 2018 Derivative Type Primary Risk Exposure Net Realized (1) Change in Net Unrealized Gain/(Loss) (2) (In thousands) Credit default swaps on asset-backed securities Credit $ 86 $ (71 ) Credit default swaps on asset-backed indices Credit (1,842 ) 1,452 Credit default swaps on corporate bond indices Credit (1,562 ) 1,563 Credit default swaps on corporate bonds Credit 4,469 (3,855 ) Total return swaps Equity Market/Credit 166 17 Interest rate swaps Interest Rate (824 ) 5,039 Futures Interest Rate/Currency (761 ) (561 ) Forwards Currency (1,174 ) 384 Options Interest Rate/ Equity Market (61 ) 76 Total $ (1,503 ) $ 4,044 (1) Includes gain/(loss) on foreign currency transactions on derivatives in the amount of $(0.2) million which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions. (2) Includes foreign currency translation on derivatives in the amount of $47 thousand which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. |
Derivative activity, volume | The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the three-month period ended March 31, 2019: Derivative Type Three-Month Period Ended (In thousands) Interest rate swaps $ 912,934 TBAs 984,292 Credit default swaps 403,254 Total return swaps 38,400 Futures 280,947 Options 51,545 Forwards 29,078 Warrants 2,281 The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the year ended December 31, 2018: Derivative Type Year Ended (In thousands) Interest rate swaps $ 1,059,756 Credit default swaps 566,805 Total return swaps 53,603 Futures 201,295 Options 99,891 Forwards 45,522 |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at March 31, 2019 are summarized below: Credit Derivatives March 31, 2019 (In thousands) Fair Value of Written Credit Derivatives, Net $ 2,598 Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) (167 ) Notional Value of Written Credit Derivatives (2) 89,230 Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) 13,153 (1) Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. (2) The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. Written credit derivatives held by the Company at December 31, 2018 are summarized below: Credit Derivatives December 31, 2018 (In thousands) Fair Value of Written Credit Derivatives, Net $ (4,339 ) Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) (284 ) Notional Value of Written Credit Derivatives (2) 98,586 Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) 41,134 (1) Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. (2) The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. |
Consolidated VIEs (Tables)
Consolidated VIEs (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated VIEs | The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Condensed Consolidated Balance Sheet as of March 31, 2019. (In thousands) March 31, 2019 Assets Cash and cash equivalents $ 2,914 Restricted cash 175 Loans, at fair value 1,004,211 Investments in unconsolidated entities, at fair value 7,712 Real estate owned 31,003 Due from brokers 190 Investment related receivables 25,221 Other assets 2,499 Total Assets $ 1,073,925 Liabilities Repurchase agreements $ 348,737 Investment related payables 1,452 Other secured borrowings 117,315 Other secured borrowings, at fair value 282,124 Accounts payable and accrued expenses 1,347 Interest payable 957 Other liabilities 278 Total Liabilities 752,210 Total Stockholders' Equity 305,479 Non-controlling interests 16,236 Total Equity 321,715 Total Liabilities and Equity $ 1,073,925 (1) See Note 10 and Note 13 for additional information on the Company's consolidated VIEs. |
Securitization Transactions (Ta
Securitization Transactions (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Securitization Transactions [Abstract] | |
Securitization Transactions | The following table details the Company's investments in notes issued by the Ellington-sponsored CLO Securitizations: Securitization Transaction CLO Issuer (1) CLO Pricing Date CLO Closing Date Total Face Amount of Notes Issued Face Amount of Notes Initially Purchased Aggregate Purchase Price of Notes Initially Purchased Fair Value of Notes Held as of March 31, 2019 (In thousands) CLO I Securitization CLO I Issuer 8/18 8/18 $ 461,840 $ 36,579 (2) $ 25,622 $ 17,742 (3) CLO II Securitization CLO II Issuer 12/17 1/18 452,800 18,223 (4) 16,621 14,931 (3) CLO III Securitization CLO III Issuer 6/18 7/18 407,100 35,480 (4) 32,394 19,561 (5) CLO IV Securitization CLO IV Issuer 2/19 3/19 478,488 12,700 (4) 10,618 10,496 (5) (1) The Company is not deemed to be the primary beneficiary of the CLO Issuers, which are deemed to be VIEs, as discussed above. (2) The Company purchased secured and unsecured subordinated notes. (3) Includes secured and unsecured subordinated notes. (4) The Company purchased secured senior and secured and unsecured subordinated notes. (5) Includes secured senior and secured and unsecured subordinated notes. The following table details the Company’s investments in notes issued by the Ellington-sponsored CLO Securitizations: CLO Issuer (1) CLO Pricing Date CLO Closing Date Total Face Amount of Notes Issued Face Amount of Notes Initially Purchased Aggregate Purchase Price Notes Held (2) as of December 31, 2018 ($ in thousands) CLO I Issuer (3)(4) 5/17 6/17 $ 373,550 $ 36,606 (5) $ 35,926 $ — CLO I Issuer (4) 8/18 8/18 461,840 36,579 (5) 25,622 16,973 (6) CLO II Issuer 12/17 1/18 452,800 18,223 (7) 16,621 14,721 (6) CLO III Issuer 6/18 7/18 407,100 35,480 (7) 32,394 19,071 (8) (1) The Company does not have the power to direct the activities of the CLO Issuers that most significantly impact their economic performance. (2) Included on the Company's Consolidated Condensed Schedule of Investments in Collateralized Loan Obligations. (3) Excludes the Company's equity investment in the CLO I Risk Retention Vehicle, as discussed above. (4) In August 2018, the notes originally issued by the CLO I Issuer in 2017 were fully redeemed, and the CLO I Issuer simultaneously issued new notes in conjunction with this full redemption. (5) The Company purchased secured and unsecured subordinated notes. (6) Includes secured and unsecured subordinated notes. (7) The Company purchased secured senior and secured and unsecured subordinated notes. (8) Includes secured senior and secured and unsecured subordinated notes. |
Schedule of Residential Loan Securitizations | The following table details the Company's consolidated residential mortgage loan securitizations: Issuing Entity Closing Date Principal Balance of Loans Transferred to the Depositor Total Face Amount of Certificates Issued (In thousands) Ellington Financial Mortgage Trust 2017-1 11/17 $ 141,233 $ 141,233 (1) Ellington Financial Mortgage Trust 2018-1 11/18 232,518 232,518 (2) (1) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.1% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $0.7 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (2) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.7% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. The following table details the residential mortgage loan securitizations: Issuing Entity Closing Date Principal Balance of Loans Transferred to the Depositor Total Face Amount of Certificates Issued (In thousands) Ellington Financial Mortgage Trust 2017-1 11/15/2017 $ 141,233 $ 141,233 (1) Ellington Financial Mortgage Trust 2018-1 11/13/2018 232,518 232,518 (2) (1) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.1% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $0.7 million , the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (2) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.7% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million , the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. |
Schedule of Assets and Liabilities of Consolidated Securitization Trusts | The following table details the assets and liabilities of the consolidated securitization trusts included in the Company's Condensed Consolidated Balance Sheet as of March 31, 2019: (In thousands) March 31, 2019 Assets: Loans, at fair value $ 296,366 Investment related receivables 4,734 Liabilities: Interest payable 91 Other secured borrowings, at fair value 282,124 The following table details the assets and liabilities of the consolidated securitization trusts included in the Company’s Consolidated Statement of Assets, Liabilities, and Equity as of December 31, 2018: As of (In thousands) December 31, 2018 Assets: Cash and cash equivalents $ — Investments, at fair value 314,202 Interest and dividends receivable 3,527 Liabilities: Interest and dividends payable 103 Other secured borrowings, at fair value 297,948 |
Borrowings (Tables)
Borrowings (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements [Table Text Block] | The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS, credit assets (which include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), and U.S. Treasury securities, by remaining maturity as of March 31, 2019: (In thousands) March 31, 2019 Weighted Average Remaining Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Agency RMBS: 30 Days or Less $ 180,657 2.73 % 14 31-60 Days 358,677 2.71 % 45 61-90 Days 393,529 2.69 % 76 121-150 Days 5,690 2.73 % 148 151-180 Days 2,713 2.64 % 180 Total Agency RMBS 941,266 2.71 % 53 Credit: 30 Days or Less 9,330 4.13 % 20 31-60 Days 70,732 3.77 % 41 61-90 Days 156,414 3.58 % 79 91-120 Days 683 5.00 % 101 151-180 Days 9,487 4.50 % 168 181-360 Days 264,458 4.55 % 254 > 360 Days 68,139 5.46 % 774 Total Credit Assets 579,243 4.29 % 236 U.S. Treasury Securities: 30 Days or Less 29,507 2.54 % 1 Total U.S. Treasury Securities 29,507 2.54 % 1 Total $ 1,550,016 3.30 % 121 The following table details the Company's outstanding borrowings under reverse repurchase agreements for Agency RMBS, credit assets (which include non-Agency MBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), and U.S. Treasury securities, by remaining maturity as of December 31, 2018: (In thousands) December 31, 2018 Weighted Average Remaining Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Agency RMBS: 30 Days or Less $ 245,956 2.46 % 17 31-60 Days 415,379 2.58 % 46 61-90 Days 255,421 2.74 % 76 91-120 Days 506 3.31 % 91 Total Agency RMBS 917,262 2.59 % 47 Credit: 30 Days or Less 30,426 2.55 % 22 31-60 Days 189,937 3.32 % 48 61-90 Days 93,202 3.21 % 74 121-150 Days 26,222 4.60 % 123 151-180 Days 9,491 4.64 % 166 181-360 Days 91,730 4.54 % 316 > 360 Days 140,306 5.15 % 636 Total Credit Assets 581,314 3.98 % 240 U.S. Treasury Securities: 30 Days or Less 273 3.10 % 2 Total U.S. Treasury Securities 273 3.10 % 2 Total $ 1,498,849 3.13 % 122 |
Schedule of Maturities of Long-term Debt [Table Text Block] | Schedule of Principal Repayments The following table details the Company's principal repayment schedule for outstanding borrowings as of March 31, 2019: Year Repurchase Agreements (1) Other Secured Borrowings (2) Senior Notes (1) Total (In thousands) 2019 $ 1,346,013 $ 177,617 $ — $ 1,523,630 2020 139,258 211,266 — 350,524 2021 64,745 11,375 — 76,120 2022 — — 86,000 86,000 2023 — — — — Total $ 1,550,016 $ 400,258 $ 86,000 2,036,274 (1) Reflects the Company's contractual principal repayment dates. (2) Reflects the Company's expected principal repayment dates. The following table details the Company's principal repayment schedule for outstanding borrowings as of December 31, 2018: Year Reverse Repurchase Agreements (1) Other Secured Borrowings (2) Senior Notes (1) Total (In thousands) 2019 $ 1,358,542 $ 194,135 $ — $ 1,552,677 2020 78,530 205,198 — 283,728 2021 61,776 13,150 — 74,926 2022 — — 86,000 86,000 2023 — — — — Total $ 1,498,848 $ 412,483 $ 86,000 $ 1,997,331 (1) Reflects the Company's contractual principal repayment dates. (2) Reflects the Company's expected principal repayment dates. |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Unvested LTIP Units | The below table details unvested OP LTIP Units as of March 31, 2019: Grant Recipient Number of OP LTIP Units Granted Grant Date Vesting Date (1) Directors: 14,440 September 12, 2018 September 11, 2019 Partially dedicated employees: 8,692 December 11, 2018 December 11, 2019 8,691 December 11, 2018 December 11, 2020 5,886 December 12, 2017 December 12, 2019 Total unvested OP LTIP Units at March 31, 2019 37,709 (1) Date at which such OP LTIP Units will vest and become non-forfeitable. The below table details unvested OP LTIP Units as of December 31, 2018: Grant Recipient Number of OP LTIP Units Grant Date Vesting Date (1) Directors: 14,440 September 12, 2018 September 11, 2019 Partially dedicated employees: 8,692 December 11, 2018 December 11, 2019 8,691 December 11, 2018 December 11, 2020 1,723 March 7, 2018 March 7, 2019 5,886 December 12, 2017 December 12, 2019 Total unvested OP LTIP Units at December 31, 2018 39,432 (1) Date at which such OP LTIP Units will vest and become non-forfeitable. |
Roll-Forward of Company's LTIP Units Outstanding | The following table summarizes issuance and exercise activity of OP LTIP Units for the three-month period ended March 31, 2019: Manager Director/ Employee Total OP LTIP Units Outstanding (1/1/19) 375,000 146,371 521,371 Granted — — — Exercised — — — OP LTIP Units Outstanding (3/31/19) 375,000 146,371 521,371 OP LTIP Units Unvested and Outstanding (3/31/19) — 37,709 37,709 OP LTIP Units Vested and Outstanding (3/31/19) 375,000 108,662 483,662 The following table summarizes issuance and exercise activity of LTIP Units and OP LTIP Units for the three-month period ended March 31, 2018: Manager Director/ Employee Total LTIP Units and OP LTIP Units Outstanding (12/31/2017) 375,000 116,159 491,159 Granted — 1,723 1,723 Exercised — — — LTIP Units and OP LTIP Units Outstanding (3/31/2018) 375,000 117,882 492,882 LTIP Units and OP LTIP Units Vested and Outstanding (3/31/2018) 375,000 86,155 461,155 |
Common Stock Capitalization (Ta
Common Stock Capitalization (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Stockholders' Equity Note [Abstract] | |
Summary of Common Shares Outstanding | The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three-month period ended March 31, 2019: March 31, 2019 Shares of Common Stock Outstanding (1/1/19) 29,796,601 Share Activity: Shares of common stock repurchased (50,825 ) Director OP LTIP Units exercised — Shares of Common Stock Outstanding (3/31/19) 29,745,776 The following table summarizes issuance, repurchase, and other activity with respect to the Company's common shares for the three-month period ended March 31, 2018: Three-Month Period Ended March 31, 2018 Common Shares Outstanding (12/31/2017) 31,335,938 Share Activity: Shares repurchased (943,897 ) Director LTIP Units exercised — Common Shares Outstanding (3/31/2018) 30,392,041 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Earnings Per Share [Abstract] | |
Computation Of Basic And Diluted EPS | The components of the computation of basic and diluted EPS are as follows: Three-Month Period Ended March 31, 2019 (In thousands except share amounts) Net income (loss) attributable to common stockholders $ 15,408 Add: Net income (loss) attributable to Convertible Non-controlling Interests (1) 380 Net income (loss) related to common stockholders and Convertible Non-controlling Interests 15,788 Dividends Paid: Common stockholders (16,360 ) Convertible Non-controlling Interests (404 ) Total dividends paid to common stockholders and Convertible Non-controlling Interests (16,764 ) Undistributed (Distributed in excess of) earnings: Common stockholders (952 ) Convertible Non-controlling Interests (24 ) Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests (976 ) Weighted average shares outstanding (basic and diluted): Weighted average shares of common stock outstanding 29,747,537 Weighted average Convertible Non-controlling Interest Units outstanding 733,371 Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding 30,480,908 Basic earnings per share of common stock: Distributed $ 0.55 Undistributed (Distributed in excess of) (0.03 ) $ 0.52 Diluted earnings per share of common stock: Distributed $ 0.55 Undistributed (Distributed in excess of) (0.03 ) $ 0.52 (1) For the three-month period ended March 31, 2019, excludes net income (loss) of $0.7 million , attributable to joint venture partners, which have non-participating interests as described in Note 15. The components of the computation of basic and diluted EPS were as follows: Three-Month Period Ended March 31, 2018 (In thousands except share amounts) Net increase in shareholders' equity resulting from operations $ 21,039 Add: Net increase in equity resulting from operations attributable to the participating non-controlling interest (1) 142 Net increase in equity resulting from operations related to common shares, LTIP Unit holders, and participating non-controlling interest 21,181 Net increase in shareholders' equity resulting from operations available to common share and LTIP Unit holders: Net increase in shareholders' equity resulting from operations– common shares 20,709 Net increase in shareholders' equity resulting from operations– LTIP Units 330 Dividends Paid (2) : Common shareholders (12,562 ) LTIP Unit holders (201 ) Non-controlling interest (87 ) Total dividends paid to common shareholders, LTIP Unit holders, and non-controlling interest (12,850 ) Undistributed (Distributed in excess of) earnings: Common shareholders 8,147 LTIP Unit holders 129 Non-controlling interest 55 Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP Unit holders, and non-controlling interest $ 8,331 Weighted average shares outstanding (basic and diluted): Weighted average common shares outstanding 30,830,615 Weighted average participating LTIP Units 491,638 Weighted average non-controlling interest units 212,000 Basic earnings per common share: Distributed $ 0.41 Undistributed (Distributed in excess of) 0.26 $ 0.67 Diluted earnings per common share: Distributed $ 0.41 Undistributed (Distributed in excess of) 0.26 $ 0.67 (1) For the three-months ended March 31, 2018 excludes net increase (decrease) in equity resulting from operations of $0.1 million attributable to joint venture partners, which have non-participating interests as described in Note 11. (2) The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. |
Restricted Cash (Tables)
Restricted Cash (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Restricted Cash and Investments [Abstract] | |
Restrictions on Cash and Cash Equivalents | The below table details the Company's restricted cash balances included in Restricted cash on the Consolidated Statement of Assets, Liabilities, and Equity as of December 31, 2018. December 31, 2018 (In thousands) Restricted cash balance related to: Minimum account balance required for regulatory purposes $ 250 Flow consumer loan purchase and sale agreement 175 Total $ 425 |
Offsetting of Assets and Liab_2
Offsetting of Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Offsetting of Assets and Liabilities [Abstract] | |
Schedule of Offsetting of Assets and Liabilities | The following table presents information about certain assets and liabilities representing financial instruments as of March 31, 2019 . The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's reverse repurchase and repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. March 31, 2019 : Description Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 15,356 $ (12,082 ) $ — $ (1,232 ) $ 2,042 Reverse repurchase agreements 25,381 (25,381 ) — — — Liabilities Financial derivatives–liabilities (26,904 ) 12,082 — 10,373 (4,449 ) Repurchase agreements (1,550,016 ) 25,381 1,510,762 13,873 — (1) In the Company's Condensed Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of March 31, 2019 was $1.85 billion . As of March 31, 2019, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $3.0 million . As of March 31, 2019, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $13.8 million . (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. The following tables present information about certain assets and liabilities representing financial instruments as of December 31, 2018. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. December 31, 2018: Description Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 20,001 $ (10,910 ) $ — $ (2,514 ) $ 6,577 Repurchase agreements 61,274 (61,274 ) — — — Liabilities Financial derivatives–liabilities (20,806 ) 10,910 — 9,896 — Reverse repurchase agreements (1,498,849 ) 61,274 1,420,601 16,974 — (1) In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of December 31, 2018 were $1.79 billion . As of December 31, 2018 total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $0.1 million . As of December 31, 2018 total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $16.4 million . (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Counterparty Risk (Tables)
Counterparty Risk (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Risks and Uncertainties [Abstract] | |
Schedules of Exposure to Counterparty Risk | The following table summarizes the Company's exposure to counterparty risk as of March 31, 2019. Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 55,876 7 55.9 % Collateral on repurchase agreements held by dealers (2) 1,864,614 25 16.0 % Due from brokers 58,145 17 24.9 % Receivable for securities sold (3) 40,489 6 29.7 % (1) Each counterparty is a large creditworthy financial institution. (2) Includes securities and loans as well as cash posted as collateral for repurchase agreements. (3) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. |
Schedule Of Percentage Of Total Collateral On Reverse Repurchase Agreements [Table Text Block] | The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.79 billion in collateral for various reverse repurchase agreements as of December 31, 2018. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $13.3 million were held in custody at the Bank of New York Mellon Corporation as of December 31, 2018. Dealer % of Total Collateral on Reverse Repurchase Agreements Royal Bank of Canada 19% |
% Of Total Deposits With Dealers Held As Collateral | The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Due from Brokers, included as of December 31, 2018: Dealer % of Total Due from Brokers Morgan Stanley 37% J.P. Morgan Securities LLC 30% |
% Of Total Receivable For Securities Sold | The following table details the percentage of amounts held by dealers who hold greater than 15% of the Company's Receivable for securities sold as of December 31, 2018: Dealer % of Total Receivable for Securities Sold J.P. Morgan Securities LLC 25% Bank of America Securities 26% CS First Boston Limited 34% |
Schedule of Cash and Cash Equivalents | In addition, the Company held cash and cash equivalents of $44.7 million as of March 31, 2018. The below table details the concentration of cash and cash equivalents held by each counterparty: Counterparty As of December 31, 2018 Bank of New York Mellon Corporation 64% Deutsche Bank Securities 5% Bank of America Securities 2% Morgan Stanley Institutional Liquidity Fund—Government Portfolio 10% BlackRock Liquidity Funds FedFund Portfolio 9% Goldman Sachs Financial Square Funds—Government Fund 9% Lakeland Bank Inc. 1% |
Financial Highlights (Tables)
Financial Highlights (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Investment Company, Financial Highlights [Abstract] | |
Results of Operations For a Share Outstanding | Results of Operations for a Share Outstanding Throughout the Periods: Three-Month Period Ended March 31, 2018 Beginning Shareholders' Equity Per Share (12/31/2017) $ 19.15 Net Investment Income 0.33 Net Realized/Unrealized Gains (Losses) 0.36 Results of Operations Attributable to Equity 0.69 Less: Results of Operations Attributable to Non-controlling Interests (0.01 ) Results of Operations Attributable to Shareholders' Equity (1) 0.68 Dividends Paid to Common Shareholders (0.41 ) Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest 0.14 Ending Shareholders' Equity Per Share (12/31/2018) (2) $ 19.56 Shares Outstanding, end of period 30,392,041 (1) Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 13). (2) If all LTIP Units and OP Units previously issued were vested and exchanged for common shares as of March 31, 2018 shareholders' equity per share would be $19.25 . |
Net Asset Value Based Total Return For a Shareholder | The following table illustrates the Company's total return for the periods presented based on net asset value: Net Asset Value Based Total Return for a Shareholder: (1) Three-Month Period Ended March 31, 2018 Total Return 4.30% (1) Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period. |
Net Investment Income Ratio to Average Equity | Net Investment Income Ratio to Average Equity: (1)(2) Three-Month Period Ended March 31, 2018 Net Investment Income 6.75% (1) Average equity is calculated using month end values. (2) Includes all items of income and expense on an annualized basis. |
Expense Ratios to Average Equity | Expense Ratios to Average Equity: (1)(2) Three-Month Period Ended March 31, 2018 Operating expenses, before interest expense and other investment related expenses (2.67)% Interest expense and other investment related expenses (9.56)% Total Expenses (12.23)% (1) Average equity is calculated using month end values. |
Organization and Investment O_2
Organization and Investment Objective (Details) - $ / shares | Mar. 31, 2019 | Feb. 28, 2019 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Common shares | $ 0.001 | $ 0.001 |
Ellington Financial Operating Partnership LLC [Member] | Total Stockholders' Equity | ||
Organization, Consolidation and Presentation of Financial Statements [Line Items] | ||
Ownership Percentage | 97.60% |
Significant Accounting Polici_3
Significant Accounting Policies (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Significant Accounting Policies [Line Items] | ||
Number of days to determine non-performance of loan | 90 days | 90 days |
Long-Term Incentive Plan Units [Member] | Director [Member] | ||
Significant Accounting Policies [Line Items] | ||
Vesting period | 1 year | 1 year |
Minimum | Long-Term Incentive Plan Units [Member] | Dedicated or partially dedicated personnel [Member] | ||
Significant Accounting Policies [Line Items] | ||
Vesting period | 1 year | |
Maximum | Long-Term Incentive Plan Units [Member] | Dedicated or partially dedicated personnel [Member] | ||
Significant Accounting Policies [Line Items] | ||
Vesting period | 2 years |
Valuation (Schedule of Financia
Valuation (Schedule of Financial Instruments) (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | $ 1,503,273 | |||
Securities, at fair value | 1,529,485 | |||
Investment in unconsolidated entities, at fair value | [1] | 58,152 | ||
Financial derivatives–assets, at fair value- | [2] | 15,356 | $ 20,001 | |
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | [2] | 25,381 | 61,274 | |
Investments sold short, at fair value- | (26,212) | (850,577) | ||
Financial derivatives–liabilities, at fair value- | [2] | (26,904) | (20,806) | |
Other secured borrowings, at fair value | (282,124) | [1] | (297,948) | |
Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 202,303 | |||
CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 29,413 | |||
CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 97,997 | |||
Asset-backed securities, backed by consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 24,108 | |||
Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 5,737 | |||
Investments sold short, at fair value- | (4,441) | |||
U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 16,601 | |||
Investments sold short, at fair value- | (2,910) | |||
Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment in unconsolidated entities, at fair value | 58,152 | |||
Total investments, financial derivatives–assets, and repurchase agreements, at fair value | 2,617,983 | 3,020,586 | ||
Other secured borrowings, at fair value | (282,124) | |||
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value | (335,240) | (1,169,331) | ||
Fair Value, Measurements, Recurring | Investments Sold Short | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (850,577) | |||
Fair Value, Measurements, Recurring | Investments Sold Short | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (772,964) | |||
Fair Value, Measurements, Recurring | Investments Sold Short | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (4,441) | |||
Fair Value, Measurements, Recurring | Investments Sold Short | Government debt | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (21,771) | |||
Fair Value, Measurements, Recurring | Investments Sold Short | Government debt | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (54,151) | |||
Fair Value, Measurements, Recurring | Investments Sold Short | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (6,529) | |||
Fair Value, Measurements, Recurring | Investments Sold Short | Common stock | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (16,933) | |||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (20,806) | |||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (822) | (11,557) | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (953) | (3,246) | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (11,907) | (2,125) | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Interest rate swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (7,571) | (3,397) | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | TBAs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (3,075) | |||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Futures | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (2,454) | (355) | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Forwards | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (122) | (120) | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Total return swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (6) | |||
Fair Value, Measurements, Recurring | Other secured borrowings, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other secured borrowings, at fair value | (297,948) | |||
Fair Value, Measurements, Recurring | Cash equivalents | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Cash and cash equivalents | 12,460 | |||
Fair Value, Measurements, Recurring | Securities | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 1,144,215 | |||
Fair Value, Measurements, Recurring | Securities | Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 206,170 | |||
Fair Value, Measurements, Recurring | Securities | CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 33,192 | |||
Fair Value, Measurements, Recurring | Securities | CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 97,997 | |||
Fair Value, Measurements, Recurring | Securities | Asset-backed securities, backed by consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 24,108 | |||
Fair Value, Measurements, Recurring | Securities | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 5,737 | |||
Fair Value, Measurements, Recurring | Securities | Corporate equity securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 1,465 | |||
Fair Value, Measurements, Recurring | Securities | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 16,601 | |||
Fair Value, Measurements, Recurring | Investments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 2,939,311 | |||
Fair Value, Measurements, Recurring | Investments | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 1,450,217 | |||
Fair Value, Measurements, Recurring | Investments | Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 302,639 | |||
Fair Value, Measurements, Recurring | Investments | CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 33,908 | |||
Fair Value, Measurements, Recurring | Investments | CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 123,893 | |||
Fair Value, Measurements, Recurring | Investments | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 22,392 | |||
Fair Value, Measurements, Recurring | Investments | Corporate equity securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 43,793 | |||
Fair Value, Measurements, Recurring | Investments | Secured notes | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 10,917 | |||
Fair Value, Measurements, Recurring | Investments | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 76 | |||
Fair Value, Measurements, Recurring | Investments | Residential mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 496,830 | |||
Fair Value, Measurements, Recurring | Investments | Commercial mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 211,185 | |||
Fair Value, Measurements, Recurring | Investments | Consumer loans and asset-backed securities backed by consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 206,761 | |||
Fair Value, Measurements, Recurring | Investments | Real estate owned | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 34,500 | |||
Fair Value, Measurements, Recurring | Investments | Common stock | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 2,200 | |||
Fair Value, Measurements, Recurring | Loans | Residential mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 583,252 | |||
Fair Value, Measurements, Recurring | Loans | Commercial mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 239,623 | |||
Fair Value, Measurements, Recurring | Loans | Consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 192,115 | |||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 20,001 | |||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 1,233 | 1,472 | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 3,276 | 733 | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on corporate bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 715 | 2,473 | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 3,519 | 8,092 | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Interest rate swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 5,391 | 7,224 | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | TBAs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 531 | |||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Futures | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 138 | |||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Forwards | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 430 | 6 | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Total return swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 123 | 1 | ||
Fair Value, Measurements, Recurring | Repurchase Agreements | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | 61,274 | |||
Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment in unconsolidated entities, at fair value | 0 | |||
Total investments, financial derivatives–assets, and repurchase agreements, at fair value | 138 | 2,200 | ||
Other secured borrowings, at fair value | 0 | |||
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value | (2,454) | (17,288) | ||
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (16,933) | |||
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Government debt | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Government debt | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Common stock | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (16,933) | |||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (355) | |||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Interest rate swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | TBAs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Futures | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (2,454) | (355) | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Forwards | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Total return swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Other secured borrowings, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other secured borrowings, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Cash equivalents | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Cash and cash equivalents | 12,460 | |||
Fair Value, Measurements, Recurring | Level 1 | Securities | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Securities | Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Securities | CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Securities | CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Securities | Asset-backed securities, backed by consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Securities | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Securities | Corporate equity securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Securities | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 2,200 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | Corporate equity securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | Secured notes | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | Residential mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | Commercial mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | Consumer loans and asset-backed securities backed by consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | Real estate owned | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Investments | Common stock | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 2,200 | |||
Fair Value, Measurements, Recurring | Level 1 | Loans | Residential mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Loans | Commercial mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Loans | Consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on corporate bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Interest rate swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | TBAs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Futures | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 138 | |||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Forwards | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Total return swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Repurchase Agreements | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment in unconsolidated entities, at fair value | 0 | |||
Total investments, financial derivatives–assets, and repurchase agreements, at fair value | 1,384,526 | 1,892,308 | ||
Other secured borrowings, at fair value | 0 | |||
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value | (50,662) | (854,095) | ||
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (833,644) | |||
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (772,964) | |||
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (4,441) | |||
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Government debt | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (21,771) | |||
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Government debt | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (54,151) | |||
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (6,529) | |||
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Common stock | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (20,451) | |||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (822) | (11,557) | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (953) | (3,246) | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (11,907) | (2,125) | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Interest rate swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (7,571) | (3,397) | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | TBAs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (3,075) | |||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Futures | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Forwards | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (122) | (120) | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Total return swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (6) | |||
Fair Value, Measurements, Recurring | Level 2 | Other secured borrowings, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other secured borrowings, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Cash equivalents | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Cash and cash equivalents | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Securities | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 1,137,826 | |||
Fair Value, Measurements, Recurring | Level 2 | Securities | Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 111,500 | |||
Fair Value, Measurements, Recurring | Level 2 | Securities | CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 28,055 | |||
Fair Value, Measurements, Recurring | Level 2 | Securities | CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 76,559 | |||
Fair Value, Measurements, Recurring | Level 2 | Securities | Asset-backed securities, backed by consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Securities | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Securities | Corporate equity securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Securities | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 16,601 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 1,812,505 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 1,442,924 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 211,348 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 33,105 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 108,978 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 16,074 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | Corporate equity securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | Secured notes | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 76 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | Residential mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | Commercial mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | Consumer loans and asset-backed securities backed by consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | Real estate owned | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Investments | Common stock | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Loans | Residential mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Loans | Commercial mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Loans | Consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 18,529 | |||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 3,276 | 733 | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on corporate bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 715 | 2,473 | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 3,519 | 8,092 | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Interest rate swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 5,391 | 7,224 | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | TBAs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 531 | |||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Futures | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Forwards | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 430 | 6 | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Total return swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 123 | 1 | ||
Fair Value, Measurements, Recurring | Level 2 | Repurchase Agreements | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | 61,274 | |||
Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment in unconsolidated entities, at fair value | 58,152 | |||
Total investments, financial derivatives–assets, and repurchase agreements, at fair value | 1,233,319 | 1,126,078 | ||
Other secured borrowings, at fair value | (282,124) | |||
Total investments sold short, financial derivatives–liabilities, and other secured borrowings, at fair value | (282,124) | (297,948) | ||
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Government debt | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Government debt | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Common stock | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Interest rate swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | TBAs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Futures | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Forwards | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Total return swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Other secured borrowings, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other secured borrowings, at fair value | (297,948) | |||
Fair Value, Measurements, Recurring | Level 3 | Cash equivalents | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Cash and cash equivalents | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Securities | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 6,389 | |||
Fair Value, Measurements, Recurring | Level 3 | Securities | Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 94,670 | |||
Fair Value, Measurements, Recurring | Level 3 | Securities | CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 5,137 | |||
Fair Value, Measurements, Recurring | Level 3 | Securities | CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 21,438 | |||
Fair Value, Measurements, Recurring | Level 3 | Securities | Asset-backed securities, backed by consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 24,108 | |||
Fair Value, Measurements, Recurring | Level 3 | Securities | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 5,737 | |||
Fair Value, Measurements, Recurring | Level 3 | Securities | Corporate equity securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 1,465 | |||
Fair Value, Measurements, Recurring | Level 3 | Securities | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 1,124,606 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 7,293 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 91,291 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 803 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 14,915 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | Corporate debt securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 6,318 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | Corporate equity securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 43,793 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | Secured notes | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 10,917 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | Residential mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 496,830 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | Commercial mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 211,185 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | Consumer loans and asset-backed securities backed by consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 206,761 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | Real estate owned | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 34,500 | |||
Fair Value, Measurements, Recurring | Level 3 | Investments | Common stock | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Loans | Residential mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 583,252 | |||
Fair Value, Measurements, Recurring | Level 3 | Loans | Commercial mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 239,623 | |||
Fair Value, Measurements, Recurring | Level 3 | Loans | Consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 192,115 | |||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 1,472 | |||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 1,233 | 1,472 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on corporate bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Interest rate swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | TBAs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Futures | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Forwards | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Total return swaps | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | $ 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Repurchase Agreements | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | $ 0 | |||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. | |||
[2] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. |
Valuation (Schedule of Signific
Valuation (Schedule of Significant Unobservable Inputs, Qualitative Information) (Details) - Level 3 | 12 Months Ended | ||||||
Dec. 31, 2018USD ($) | Dec. 31, 2017 | Mar. 31, 2019 | Mar. 31, 2019month | Mar. 31, 2019$ / shares | Mar. 31, 2019USD ($) | ||
Corporate equity securities | Non-exchange traded preferred equity investment in loan origination entity | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 3,000,000 | ||||||
Valuation, Market Approach | Private label mortgage backed securities | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 36,945,000 | $ 42,096,000 | |||||
Valuation, Market Approach | Private label mortgage backed securities | Measurement Input, Quoted Price | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 17.42 | ||||||
Securities, measurement input | $ / shares | 15.72 | ||||||
Valuation, Market Approach | Private label mortgage backed securities | Measurement Input, Quoted Price | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 178 | ||||||
Securities, measurement input | $ / shares | 184.92 | ||||||
Valuation, Market Approach | Private label mortgage backed securities | Measurement Input, Quoted Price | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 78.31 | ||||||
Securities, measurement input | $ / shares | 82.84 | ||||||
Valuation, Market Approach | CMBS | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 576,000 | 5,137,000 | |||||
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 5.93 | ||||||
Securities, measurement input | $ / shares | 5.94 | ||||||
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 6.36 | ||||||
Securities, measurement input | $ / shares | 70.90 | ||||||
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 6.14 | ||||||
Securities, measurement input | $ / shares | 60.88 | ||||||
Valuation, Market Approach | Agency interest only RMBS | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 744,000 | 705,000 | |||||
Valuation, Market Approach | Agency interest only RMBS | Measurement Input, Quoted Price | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 1.70 | ||||||
Securities, measurement input | $ / shares | 8.42 | ||||||
Valuation, Market Approach | Agency interest only RMBS | Measurement Input, Quoted Price | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 9.12 | ||||||
Securities, measurement input | $ / shares | 14.43 | ||||||
Valuation, Market Approach | Agency interest only RMBS | Measurement Input, Quoted Price | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 5.64 | ||||||
Securities, measurement input | $ / shares | 11.96 | ||||||
Valuation, Market Approach | Corporate debt and equity | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | 1,452,000 | ||||||
Valuation, Market Approach | Corporate debt and equity | Measurement Input, Quoted Price | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | $ / shares | 83.50 | ||||||
Valuation, Market Approach | Corporate debt and equity | Measurement Input, Quoted Price | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | $ / shares | 83.50 | ||||||
Valuation, Market Approach | Corporate debt and equity | Measurement Input, Quoted Price | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | $ / shares | 83.50 | ||||||
Valuation, Market Approach | CLOs | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 5,828,000 | 13,508,000 | |||||
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 2.64 | ||||||
Securities, measurement input | $ / shares | 27.30 | ||||||
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 375 | ||||||
Securities, measurement input | $ / shares | 80 | ||||||
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 167.78 | ||||||
Securities, measurement input | $ / shares | 72.87 | ||||||
Valuation, Market Approach | Corporate debt, non-exchange traded corporate equity, and secured notes [Member] | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 13,976,000 | ||||||
Valuation, Market Approach | Corporate debt, non-exchange traded corporate equity, and secured notes [Member] | Measurement Input, Quoted Price | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 9.69 | ||||||
Valuation, Market Approach | Corporate debt, non-exchange traded corporate equity, and secured notes [Member] | Measurement Input, Quoted Price | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 91 | ||||||
Valuation, Market Approach | Corporate debt, non-exchange traded corporate equity, and secured notes [Member] | Measurement Input, Quoted Price | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 59.18 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 54,346,000 | 52,574,000 | |||||
Valuation, Income Approach | Private label mortgage backed securities | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Total outstanding collateral | 100.00% | 100.00% | |||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 3.50% | ||||||
Securities, measurement input | 0.005 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 66.10% | ||||||
Securities, measurement input | 0.671 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 10.70% | ||||||
Securities, measurement input | 0.095 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Prepayment Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 16.00% | ||||||
Securities, measurement input | 0.151 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Prepayment Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 92.10% | ||||||
Securities, measurement input | 0.778 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Prepayment Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 50.40% | ||||||
Securities, measurement input | 0.466 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Default Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 0.00% | ||||||
Securities, measurement input | 0.001 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Default Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 23.10% | ||||||
Securities, measurement input | 0.176 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Default Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 8.70% | ||||||
Securities, measurement input | 0.088 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Projected Collateral Recoveries | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 1.50% | ||||||
Securities, measurement input | 0.017 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Projected Collateral Recoveries | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 14.60% | ||||||
Securities, measurement input | 0.158 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement Input, Projected Collateral Recoveries | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 7.30% | ||||||
Securities, measurement input | 0.082 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 6.10% | ||||||
Securities, measurement input | 0.163 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 61.80% | ||||||
Securities, measurement input | 0.630 | ||||||
Valuation, Income Approach | Private label mortgage backed securities | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 33.60% | ||||||
Securities, measurement input | 0.364 | ||||||
Valuation, Income Approach | CMBS | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 227,000 | ||||||
Valuation, Income Approach | CMBS | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Total outstanding collateral | 100.00% | ||||||
Valuation, Income Approach | CMBS | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 3.40% | ||||||
Valuation, Income Approach | CMBS | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 3.40% | ||||||
Valuation, Income Approach | CMBS | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 3.40% | ||||||
Valuation, Income Approach | CMBS | Measurement Input, Default Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 2.00% | ||||||
Valuation, Income Approach | CMBS | Measurement Input, Default Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 2.00% | ||||||
Valuation, Income Approach | CMBS | Measurement Input, Default Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 2.00% | ||||||
Valuation, Income Approach | CMBS | Measurement Input, Projected Collateral Recoveries | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 6.60% | ||||||
Valuation, Income Approach | CMBS | Measurement Input, Projected Collateral Recoveries | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 6.60% | ||||||
Valuation, Income Approach | CMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 6.60% | ||||||
Valuation, Income Approach | CMBS | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 91.40% | ||||||
Valuation, Income Approach | CMBS | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 91.40% | ||||||
Valuation, Income Approach | CMBS | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 91.40% | ||||||
Valuation, Income Approach | Corporate Debt and non-exchange traded corporate equity [Member] | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 4,793,000 | ||||||
Valuation, Income Approach | Corporate Debt and non-exchange traded corporate equity [Member] | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 17.50% | ||||||
Valuation, Income Approach | Corporate Debt and non-exchange traded corporate equity [Member] | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 17.50% | ||||||
Valuation, Income Approach | Corporate Debt and non-exchange traded corporate equity [Member] | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 17.50% | ||||||
Valuation, Income Approach | Corporate debt and equity | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | 5,750,000 | ||||||
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.100 | ||||||
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.196 | ||||||
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.167 | ||||||
Valuation, Income Approach | Agency interest only RMBS | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 6,549,000 | 5,684,000 | |||||
Valuation, Income Approach | Agency interest only RMBS | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 2.11% | [1] | 3.81% | ||||
Valuation, Income Approach | Agency interest only RMBS | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 35.21% | [1] | 35.21% | ||||
Valuation, Income Approach | Agency interest only RMBS | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 6.77% | [1] | 7.30% | ||||
Total outstanding collateral | 100.00% | 100.00% | |||||
Valuation, Income Approach | Agency interest only RMBS | Measurement Input, LIBOR OAS | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.0093 | ||||||
Valuation, Income Approach | Agency interest only RMBS | Measurement Input, LIBOR OAS | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.3527 | ||||||
Valuation, Income Approach | Agency interest only RMBS | Measurement Input, LIBOR OAS | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.0654 | ||||||
Valuation, Income Approach | Agency interest only RMBS | Measurement Input, Prepayment Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 37.70% | ||||||
Securities, measurement input | 0.300 | ||||||
Valuation, Income Approach | Agency interest only RMBS | Measurement Input, Prepayment Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 100.00% | ||||||
Securities, measurement input | 1 | ||||||
Valuation, Income Approach | Agency interest only RMBS | Measurement Input, Prepayment Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 66.20% | ||||||
Securities, measurement input | 0.677 | ||||||
Valuation, Income Approach | Agency interest only RMBS | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 0.00% | ||||||
Securities, measurement input | 0 | ||||||
Valuation, Income Approach | Agency interest only RMBS | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 62.30% | ||||||
Securities, measurement input | 0.700 | ||||||
Valuation, Income Approach | Agency interest only RMBS | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 33.80% | ||||||
Securities, measurement input | 0.323 | ||||||
Valuation, Income Approach | Investment in unconsolidated entities | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | 23,303,000 | ||||||
Valuation, Income Approach | Investment in unconsolidated entities | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Equity method investment, measurement input | 0.055 | ||||||
Valuation, Income Approach | Investment in unconsolidated entities | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Equity method investment, measurement input | 0.196 | ||||||
Valuation, Income Approach | Investment in unconsolidated entities | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Equity method investment, measurement input | 0.102 | ||||||
Valuation, Income Approach | CLOs | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 9,087,000 | 7,930,000 | |||||
Valuation, Income Approach | CLOs | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Total outstanding collateral | 100.00% | 100.00% | |||||
Valuation, Income Approach | CLOs | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 12.60% | ||||||
Securities, measurement input | 0.087 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 103.10% | ||||||
Securities, measurement input | 0.152 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 26.70% | ||||||
Securities, measurement input | 0.118 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Prepayment Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 8.10% | ||||||
Securities, measurement input | 0.199 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Prepayment Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 88.40% | ||||||
Securities, measurement input | 0.873 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Prepayment Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 65.20% | ||||||
Securities, measurement input | 0.525 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Default Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 3.70% | ||||||
Securities, measurement input | 0.053 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Default Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 40.80% | ||||||
Securities, measurement input | 0.308 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Default Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 13.50% | ||||||
Securities, measurement input | 0.157 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Projected Collateral Recoveries | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 4.20% | ||||||
Securities, measurement input | 0.042 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Projected Collateral Recoveries | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 38.00% | ||||||
Securities, measurement input | 0.137 | ||||||
Valuation, Income Approach | CLOs | Measurement Input, Projected Collateral Recoveries | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 11.90% | ||||||
Securities, measurement input | 0.088 | ||||||
Valuation, Income Approach | CLOs | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 3.50% | ||||||
Securities, measurement input | 0 | ||||||
Valuation, Income Approach | CLOs | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 13.50% | ||||||
Securities, measurement input | 0.652 | ||||||
Valuation, Income Approach | CLOs | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 9.40% | ||||||
Securities, measurement input | 0.230 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 206,761,000 | 24,108,000 | |||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Total outstanding collateral | 100.00% | 100.00% | |||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 7.00% | ||||||
Securities, measurement input | 0.120 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 18.30% | ||||||
Securities, measurement input | 0.187 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 8.50% | ||||||
Securities, measurement input | 0.122 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement Input, Prepayment Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 0.00% | ||||||
Securities, measurement input | 0 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement Input, Prepayment Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 45.90% | ||||||
Securities, measurement input | 0.110 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement Input, Prepayment Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 33.50% | ||||||
Securities, measurement input | 0.094 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement Input, Default Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 2.60% | ||||||
Securities, measurement input | 0.016 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement Input, Default Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 84.80% | ||||||
Securities, measurement input | 0.166 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement Input, Default Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 9.10% | ||||||
Securities, measurement input | 0.149 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 15.20% | ||||||
Securities, measurement input | 0.729 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 96.60% | ||||||
Securities, measurement input | 0.984 | ||||||
Valuation, Income Approach | Consumer loans and asset-backed securities backed by consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 57.40% | ||||||
Securities, measurement input | 0.757 | ||||||
Valuation, Income Approach | Consumer loans | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | 192,115,000 | ||||||
Valuation, Income Approach | Consumer loans | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Total outstanding collateral | 100.00% | ||||||
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.070 | ||||||
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.100 | ||||||
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.080 | ||||||
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0 | ||||||
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.554 | ||||||
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.415 | ||||||
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.040 | ||||||
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.866 | ||||||
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.080 | ||||||
Valuation, Income Approach | Consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.134 | ||||||
Valuation, Income Approach | Consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.857 | ||||||
Valuation, Income Approach | Consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Securities, measurement input | 0.505 | ||||||
Valuation, Income Approach | Performing commercial mortgage loans | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 163,876,000 | ||||||
Valuation, Income Approach | Performing commercial mortgage loans | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 8.00% | ||||||
Valuation, Income Approach | Performing commercial mortgage loans | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 22.50% | ||||||
Valuation, Income Approach | Performing commercial mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 9.60% | ||||||
Valuation, Income Approach | Non-performing commercial mortgage loans and commercial real estate owned | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 80,513,000 | ||||||
Valuation, Income Approach | Non-performing commercial mortgage loans and commercial real estate owned | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, recovery time | 3 months | 4 months | |||||
Valuation, Income Approach | Non-performing commercial mortgage loans and commercial real estate owned | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, recovery time | 16 months | 17 months | |||||
Valuation, Income Approach | Non-performing commercial mortgage loans and commercial real estate owned | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, recovery time | 7 months 27 days | 9 months 15 days | |||||
Valuation, Income Approach | Non-performing commercial mortgage loans and commercial real estate owned | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 9.60% | ||||||
Valuation, Income Approach | Non-performing commercial mortgage loans and commercial real estate owned | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 27.40% | ||||||
Valuation, Income Approach | Non-performing commercial mortgage loans and commercial real estate owned | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 13.20% | ||||||
Valuation, Income Approach | Performing residential mortgage loans | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 171,367,000 | ||||||
Valuation, Income Approach | Performing residential mortgage loans | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 2.70% | ||||||
Valuation, Income Approach | Performing residential mortgage loans | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 12.90% | ||||||
Valuation, Income Approach | Performing residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 6.00% | ||||||
Valuation, Income Approach | Securitized residential mortgage loans | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 314,202,000 | 296,366,000 | |||||
Valuation, Income Approach | Securitized residential mortgage loans | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 4.30% | ||||||
Loans, measurement input | 0.044 | ||||||
Valuation, Income Approach | Securitized residential mortgage loans | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 4.60% | ||||||
Loans, measurement input | 0.046 | ||||||
Valuation, Income Approach | Securitized residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 4.60% | ||||||
Loans, measurement input | 0.045 | ||||||
Valuation, Income Approach | Non-performing residential mortgage loans and residential real estate owned | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 12,557,000 | ||||||
Valuation, Income Approach | Non-performing residential mortgage loans and residential real estate owned | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, recovery time | 1 month 27 days | [2] | 1 month 27 days | ||||
Valuation, Income Approach | Non-performing residential mortgage loans and residential real estate owned | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, recovery time | 42 months 6 days | [2] | 40 months 15 days | ||||
Valuation, Income Approach | Non-performing residential mortgage loans and residential real estate owned | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, recovery time | 27 months 24 days | [2] | 25 months 18 days | ||||
Valuation, Income Approach | Non-performing residential mortgage loans and residential real estate owned | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 4.30% | ||||||
Valuation, Income Approach | Non-performing residential mortgage loans and residential real estate owned | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 25.10% | ||||||
Valuation, Income Approach | Non-performing residential mortgage loans and residential real estate owned | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 11.30% | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 1,472,000 | 1,233,000 | |||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Total outstanding collateral | 100.00% | 100.00% | |||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 33.60% | ||||||
Derivative asset, measurement input | 0.341 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 42.00% | ||||||
Derivative asset, measurement input | 0.386 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 36.50% | ||||||
Derivative asset, measurement input | 0.360 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 11.10% | ||||||
Derivative asset, measurement input | 0.117 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 15.60% | ||||||
Derivative asset, measurement input | 0.181 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 12.80% | ||||||
Derivative asset, measurement input | 0.133 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 10.30% | ||||||
Derivative asset, measurement input | 0.142 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 18.70% | ||||||
Derivative asset, measurement input | 0.175 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 15.80% | ||||||
Derivative asset, measurement input | 0.162 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 32.00% | ||||||
Derivative asset, measurement input | 0.291 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 36.50% | ||||||
Derivative asset, measurement input | 0.365 | ||||||
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 34.90% | ||||||
Derivative asset, measurement input | 0.345 | ||||||
Valuation, Income Approach | Investment in unconsolidated entities | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 5,192,000 | ||||||
Valuation, Income Approach | Investment in unconsolidated entities | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 12.90% | ||||||
Valuation, Income Approach | Investment in unconsolidated entities | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 16.10% | ||||||
Valuation, Income Approach | Investment in unconsolidated entities | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input, percent | 15.40% | ||||||
Valuation, Income Approach | Other secured borrowings, at fair value | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ (297,948,000) | (282,124,000) | |||||
Valuation, Income Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Debt, measurement input | 3.90% | ||||||
Debt instrument, measurement input | 0.040 | ||||||
Valuation, Income Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Debt, measurement input | 4.40% | ||||||
Debt instrument, measurement input | 0.041 | ||||||
Valuation, Income Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Debt, measurement input | 4.30% | ||||||
Debt instrument, measurement input | 0.041 | ||||||
Enterprise Value | Investment in unconsolidated entities | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | 31,849,000 | ||||||
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Equity method investment, measurement input | 1 | ||||||
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Equity method investment, measurement input | 3.1 | ||||||
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Equity method investment, measurement input | 1.4 | ||||||
Enterprise Value | Corporate equity securities | Non-exchange traded common equity investment in mortgage-related entity | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 6,750,000 | ||||||
Enterprise Value | Corporate equity securities | Non-exchange traded common equity investment in mortgage-related entity | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 3.3 | [3] | 2 | ||||
Enterprise Value | Corporate equity securities | Non-exchange traded common equity investment in mortgage-related entity | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 3.3 | [3] | 2 | ||||
Enterprise Value | Corporate equity securities | Non-exchange traded common equity investment in mortgage-related entity | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 3.3 | [3] | 2 | ||||
Enterprise Value | Corporate equity securities | Non-exchange traded preferred equity investment in mortgage-related entity | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 27,317,000 | ||||||
Enterprise Value | Corporate equity securities | Non-exchange traded preferred equity investment in mortgage-related entity | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 1.1 | [3] | 0.9 | ||||
Enterprise Value | Corporate equity securities | Non-exchange traded preferred equity investment in mortgage-related entity | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 1.1 | [3] | 0.9 | ||||
Enterprise Value | Corporate equity securities | Non-exchange traded preferred equity investment in mortgage-related entity | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Investment, measurement input | 1.1 | [3] | 0.9 | ||||
Market Quotes | Investment in unconsolidated entities | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | 3,000,000 | ||||||
Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.041 | ||||||
Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.226 | ||||||
Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.060 | ||||||
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | 198,823,000 | ||||||
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.080 | ||||||
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.225 | ||||||
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.094 | ||||||
Performing and/or Re-performing | Valuation, Income Approach | Residential mortgage loans | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | 274,572,000 | ||||||
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.043 | ||||||
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.333 | ||||||
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.119 | ||||||
Non-performing | Valuation, Income Approach | Commercial mortgage loans | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | 40,800,000 | ||||||
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.105 | 0 | |||||
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.141 | 5 | |||||
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | 0.128 | 3 | |||||
Non-performing | Valuation, Income Approach | Residential mortgage loans | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Fair value | $ 12,314,000 | ||||||
Non-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | month | 13.5 | ||||||
Non-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | month | 62.6 | ||||||
Non-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||||||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||||||
Loans, measurement input | month | 32.3 | ||||||
[1] | Shown in basis points. | ||||||
[2] | Excludes certain loans that are re-performing. | ||||||
[3] | Represent an estimation of where market participants might value an enterprise on a price-to-book basis. |
Valuation (Significant Unobserv
Valuation (Significant Unobservable Inputs Rollforward) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Transfers into Level 3 | $ 15,700 | $ 11,600 |
Assets, Transfers out of Level 3 | (4,600) | (5,600) |
Other secured borrowings, at fair value | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gains (losses), liabilities | 57 | |
Securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gain (loss), assets | 700 | |
Loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gain (loss), assets | 3,400 | |
Investment in unconsolidated entities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gain (loss), assets | (2,100) | |
Financial Derivatives - Assets | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gain (loss), assets | (200) | |
Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 1,094,815 | 661,588 |
Assets, Accreted Discounts/Amortized Premiums | (10,641) | (6,329) |
Assets, Realized Gain (Loss) | (1,647) | 4,342 |
Assets, Change In Net Unrealized Gain/(Loss) | 3,447 | 9,128 |
Assets, Purchases | 303,325 | 174,297 |
Assets, Sales | (167,106) | (90,246) |
Assets, Transfers into Level 3 | 15,690 | 11,561 |
Assets, Transfers out of Level 3 | (4,564) | (5,618) |
Assets, Ending Balance | 1,233,319 | 758,723 |
Liabilities, Begining Balance | (297,948) | (125,105) |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 |
Liabilities, Realized Gain/(Loss) | 0 | 0 |
Liabilities, Change In Net Unrealized Gain/(Loss) | 57 | 784 |
Liabilities Purchases/Payments | 15,767 | 10,546 |
Liabilities, Sales/Issuance | 0 | 0 |
Liabilities, Transfers into Level 3 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 |
Liabilities, Ending Balance | (282,124) | (113,775) |
Level 3 | Other secured borrowings, at fair value | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Liabilities, Begining Balance | (297,948) | (125,105) |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 |
Liabilities, Realized Gain/(Loss) | 0 | 0 |
Liabilities, Change In Net Unrealized Gain/(Loss) | 57 | 784 |
Liabilities, Payments | 15,767 | 10,546 |
Liabilities, Issuances | 0 | 0 |
Liabilities, Transfers into Level 3 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 |
Liabilities, Ending Balance | (282,124) | (113,775) |
Change in unrealized gains (losses), liabilities | 800 | |
Level 3 | Securities | Agency RMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 7,293 | |
Assets, Accreted Discounts/Amortized Premiums | (774) | |
Assets, Realized Gain (Loss) | (594) | |
Assets, Change In Net Unrealized Gain/(Loss) | 189 | |
Assets, Purchases | 6 | |
Assets, Sales | 0 | |
Assets, Transfers into Level 3 | 842 | |
Assets, Transfers out of Level 3 | (573) | |
Assets, Ending Balance | 6,389 | |
Level 3 | Securities | Non-Agency RMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 91,291 | |
Assets, Accreted Discounts/Amortized Premiums | 63 | |
Assets, Realized Gain (Loss) | (101) | |
Assets, Change In Net Unrealized Gain/(Loss) | (535) | |
Assets, Purchases | 15,546 | |
Assets, Sales | (19,436) | |
Assets, Transfers into Level 3 | 10,492 | |
Assets, Transfers out of Level 3 | (2,650) | |
Assets, Ending Balance | 94,670 | |
Level 3 | Securities | CMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 803 | |
Assets, Accreted Discounts/Amortized Premiums | (14) | |
Assets, Realized Gain (Loss) | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | (8) | |
Assets, Purchases | 0 | |
Assets, Sales | 0 | |
Assets, Transfers into Level 3 | 4,356 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 5,137 | |
Level 3 | Securities | CLOs | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 14,915 | |
Assets, Accreted Discounts/Amortized Premiums | (406) | |
Assets, Realized Gain (Loss) | (83) | |
Assets, Change In Net Unrealized Gain/(Loss) | 49 | |
Assets, Purchases | 8,304 | |
Assets, Sales | 0 | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | (1,341) | |
Assets, Ending Balance | 21,438 | |
Level 3 | Securities | Asset-backed securities, backed by consumer loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 22,800 | |
Assets, Accreted Discounts/Amortized Premiums | (609) | |
Assets, Realized Gain (Loss) | (512) | |
Assets, Change In Net Unrealized Gain/(Loss) | 762 | |
Assets, Purchases | 4,940 | |
Assets, Sales | (3,273) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 24,108 | |
Level 3 | Securities | Corporate debt securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 6,318 | |
Assets, Accreted Discounts/Amortized Premiums | 16 | |
Assets, Realized Gain (Loss) | (1) | |
Assets, Change In Net Unrealized Gain/(Loss) | (77) | |
Assets, Purchases | 384 | |
Assets, Sales | (903) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 5,737 | |
Level 3 | Securities | Corporate equity securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 1,530 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | |
Assets, Realized Gain (Loss) | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | (65) | |
Assets, Purchases | 0 | |
Assets, Sales | 0 | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 1,465 | |
Level 3 | Investments | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 658,448 | |
Assets, Accreted Discounts/Amortized Premiums | (6,329) | |
Assets, Realized Gain (Loss) | 4,256 | |
Assets, Change In Net Unrealized Gain/(Loss) | 9,199 | |
Assets, Purchases | 174,273 | |
Assets, Sales | (90,136) | |
Assets, Transfers into Level 3 | 11,561 | |
Assets, Transfers out of Level 3 | (5,618) | |
Assets, Ending Balance | 755,654 | |
Change in unrealized gain (loss), assets | 8,600 | |
Level 3 | Investments | Agency RMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 6,173 | |
Assets, Accreted Discounts/Amortized Premiums | (600) | |
Assets, Realized Gain (Loss) | 39 | |
Assets, Change In Net Unrealized Gain/(Loss) | 264 | |
Assets, Purchases | 1,101 | |
Assets, Sales | (388) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | (461) | |
Assets, Ending Balance | 6,128 | |
Level 3 | Investments | Non-Agency RMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 101,297 | |
Assets, Accreted Discounts/Amortized Premiums | 106 | |
Assets, Realized Gain (Loss) | 2,288 | |
Assets, Change In Net Unrealized Gain/(Loss) | 293 | |
Assets, Purchases | 20,660 | |
Assets, Sales | (21,574) | |
Assets, Transfers into Level 3 | 11,561 | |
Assets, Transfers out of Level 3 | (2,769) | |
Assets, Ending Balance | 111,862 | |
Level 3 | Investments | CMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 12,347 | |
Assets, Accreted Discounts/Amortized Premiums | (183) | |
Assets, Realized Gain (Loss) | 1,554 | |
Assets, Change In Net Unrealized Gain/(Loss) | 121 | |
Assets, Purchases | 9,624 | |
Assets, Sales | (7,366) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | (2,388) | |
Assets, Ending Balance | 13,709 | |
Level 3 | Investments | CLOs | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 24,911 | |
Assets, Accreted Discounts/Amortized Premiums | 455 | |
Assets, Realized Gain (Loss) | 2 | |
Assets, Change In Net Unrealized Gain/(Loss) | 226 | |
Assets, Purchases | 10,095 | |
Assets, Sales | (8,210) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 27,479 | |
Level 3 | Investments | Corporate debt securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 23,947 | |
Assets, Accreted Discounts/Amortized Premiums | (114) | |
Assets, Realized Gain (Loss) | 52 | |
Assets, Change In Net Unrealized Gain/(Loss) | 364 | |
Assets, Purchases | 456 | |
Assets, Sales | (6,705) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 18,000 | |
Level 3 | Investments | Corporate equity securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 37,465 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | |
Assets, Realized Gain (Loss) | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | 4,326 | |
Assets, Purchases | 9,078 | |
Assets, Sales | 0 | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 50,869 | |
Level 3 | Investments | Residential mortgage loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 182,472 | |
Assets, Accreted Discounts/Amortized Premiums | (715) | |
Assets, Realized Gain (Loss) | (54) | |
Assets, Change In Net Unrealized Gain/(Loss) | (653) | |
Assets, Purchases | 73,040 | |
Assets, Sales | (13,309) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 240,781 | |
Level 3 | Investments | Commercial mortgage loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 108,301 | |
Assets, Accreted Discounts/Amortized Premiums | 618 | |
Assets, Realized Gain (Loss) | 330 | |
Assets, Change In Net Unrealized Gain/(Loss) | (161) | |
Assets, Purchases | 3,988 | |
Assets, Sales | (3,782) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 109,294 | |
Level 3 | Investments | Consumer loans and asset-backed securities backed by consumer loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 135,258 | |
Assets, Accreted Discounts/Amortized Premiums | (5,896) | |
Assets, Realized Gain (Loss) | 501 | |
Assets, Change In Net Unrealized Gain/(Loss) | 3,804 | |
Assets, Purchases | 42,133 | |
Assets, Sales | (27,378) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 148,422 | |
Level 3 | Investments | Real estate owned | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 26,277 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | |
Assets, Realized Gain (Loss) | (456) | |
Assets, Change In Net Unrealized Gain/(Loss) | 615 | |
Assets, Purchases | 4,098 | |
Assets, Sales | (1,424) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 29,110 | |
Level 3 | Loans | Residential mortgage loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 496,829 | |
Assets, Accreted Discounts/Amortized Premiums | (927) | |
Assets, Realized Gain (Loss) | (136) | |
Assets, Change In Net Unrealized Gain/(Loss) | 1,901 | |
Assets, Purchases | 157,602 | |
Assets, Sales | (72,017) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 583,252 | |
Level 3 | Loans | Commercial mortgage loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 195,301 | |
Assets, Accreted Discounts/Amortized Premiums | 306 | |
Assets, Realized Gain (Loss) | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | (333) | |
Assets, Purchases | 48,857 | |
Assets, Sales | (4,508) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 239,623 | |
Level 3 | Loans | Consumer loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 183,961 | |
Assets, Accreted Discounts/Amortized Premiums | (8,572) | |
Assets, Realized Gain (Loss) | (2,055) | |
Assets, Change In Net Unrealized Gain/(Loss) | 1,842 | |
Assets, Purchases | 54,256 | |
Assets, Sales | (37,317) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 192,115 | |
Level 3 | Investment in unconsolidated entities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 72,302 | |
Assets, Accreted Discounts/Amortized Premiums | 276 | |
Assets, Realized Gain (Loss) | 1,560 | |
Assets, Change In Net Unrealized Gain/(Loss) | (39) | |
Assets, Purchases | 13,428 | |
Assets, Sales | (29,375) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 58,152 | |
Level 3 | Financial Derivatives - Assets | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 3,140 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | |
Assets, Realized Gain (Loss) | 86 | |
Assets, Change In Net Unrealized Gain/(Loss) | (71) | |
Assets, Purchases | 24 | |
Assets, Sales | (110) | |
Assets, Transfers into Level 3 | 0 | |
Assets, Transfers out of Level 3 | 0 | |
Assets, Ending Balance | 3,069 | |
Change in unrealized gain (loss), assets | (100) | |
Level 3 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets, Beginning Balance | 1,472 | 3,140 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 |
Assets, Realized Gain (Loss) | 275 | 86 |
Assets, Change In Net Unrealized Gain/(Loss) | (239) | (71) |
Assets, Purchases | 2 | 24 |
Assets, Sales | (277) | (110) |
Assets, Transfers into Level 3 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 |
Assets, Ending Balance | $ 1,233 | $ 3,069 |
Valuation (Narrative) (Details)
Valuation (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | Dec. 31, 2017 | |
Valuation [Abstract] | ||||
Senior notes, estimated fair value | $ 86,000 | $ 85,600 | ||
Assets, Transfers out of Level 3 | $ (4,600) | $ (5,600) | ||
Assets, Transfers into Level 3 | 15,700 | $ 11,600 | ||
Other secured borrowings, at fair value | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | 57 | |||
Securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | 700 | |||
Loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | 3,400 | |||
Investment in unconsolidated entities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | (2,100) | |||
Financial Derivatives - Assets | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | $ (200) |
Valuation (Fair Value of Other
Valuation (Fair Value of Other Financial Instruments) (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | ||
Assets: | |||||
Cash and cash equivalents(1) | $ 55,876 | [1] | $ 44,656 | $ 44,700 | |
Restricted cash | 425 | ||||
Due from brokers(1) | 58,145 | [1] | 71,794 | ||
Reverse repurchase agreements | 25,381 | ||||
Liabilities: | |||||
Repurchase agreements(1) | [1] | 1,550,016 | |||
Other secured borrowings(1) | 117,315 | [1] | 114,100 | ||
Senior notes, net | 85,100 | 85,035 | |||
Due to brokers | 4,820 | $ 5,553 | |||
Fair Value | |||||
Assets: | |||||
Cash and cash equivalents(1) | 55,876 | ||||
Restricted cash | 175 | ||||
Due from brokers(1) | 58,145 | ||||
Reverse repurchase agreements | 25,381 | ||||
Liabilities: | |||||
Repurchase agreements(1) | 1,550,016 | ||||
Other secured borrowings(1) | 117,315 | ||||
Senior notes, net | 85,100 | ||||
Due to brokers | 4,820 | ||||
Carrying Value | |||||
Assets: | |||||
Cash and cash equivalents(1) | 55,876 | ||||
Restricted cash | 175 | ||||
Due from brokers(1) | 58,145 | ||||
Reverse repurchase agreements | 25,381 | ||||
Liabilities: | |||||
Repurchase agreements(1) | 1,550,016 | ||||
Other secured borrowings(1) | 117,315 | ||||
Senior notes, net | 85,100 | ||||
Due to brokers | $ 4,820 | ||||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Securities (Summa
Investment in Securities (Summary of Investment in Securities) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | |
Long: | ||
Current Principal | $ 1,514,771 | |
Unamortized Premium (Discount) | (128,167) | |
Amortized Cost | 1,518,066 | |
Gross Unrealized Gains | 30,871 | |
Gross Unrealized Losses | (19,452) | |
Fair Value | $ 1,529,485 | |
Coupon | 4.15% | |
Yield | 5.08% | |
Life (Years) | 6 years 179 days | |
Short: | ||
Current Principal | $ (26,565) | |
Unamortized Premium (Discount) | (354) | |
Amortized Cost | (26,919) | |
Gross Unrealized Gains | 1,184 | |
Gross Unrealized Losses | (477) | |
Fair Value | $ (26,212) | $ (850,577) |
Coupon | 2.42% | |
Yield | 1.64% | |
Life (Years) | 3 years | |
Current Principal, Total | $ 1,488,206 | |
Unamortized Premium (Discount), Total | (128,521) | |
Amortized Cost, Total | 1,491,147 | |
Gross Unrealized Gains, Total | 32,055 | |
Gross Unrealized Losses, Total | (19,929) | |
Fair Value, Total | $ 1,503,273 | |
Rate | 4.18% | |
Yield | 5.02% | |
Life (Years), Total | 6 years 201 days | |
Non-Agency IOs | ||
Long: | ||
Amortized Cost | $ 5,693 | |
Gross Unrealized Gains | 1,953 | |
Gross Unrealized Losses | 0 | |
Fair Value | $ 7,646 | |
Coupon | 0.77% | |
Yield | 25.35% | |
Life (Years) | 7 years 230 days | |
15-year fixed-rate mortgages | ||
Long: | ||
Current Principal | $ 70,927 | |
Unamortized Premium (Discount) | 2,897 | |
Amortized Cost | 73,824 | |
Gross Unrealized Gains | 68 | |
Gross Unrealized Losses | (1,261) | |
Fair Value | $ 72,631 | |
Coupon | 3.48% | |
Yield | 2.40% | |
Life (Years) | 4 years 142 days | |
20-year fixed-rate mortgages | ||
Long: | ||
Current Principal | $ 2,267 | |
Unamortized Premium (Discount) | 148 | |
Amortized Cost | 2,415 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (38) | |
Fair Value | $ 2,377 | |
Coupon | 4.20% | |
Yield | 2.88% | |
Life (Years) | 5 years 117 days | |
30-year fixed-rate mortgages | ||
Long: | ||
Current Principal | $ 906,415 | |
Unamortized Premium (Discount) | 43,286 | |
Amortized Cost | 949,701 | |
Gross Unrealized Gains | 4,584 | |
Gross Unrealized Losses | (9,311) | |
Fair Value | $ 944,974 | |
Coupon | 4.20% | |
Yield | 3.37% | |
Life (Years) | 6 years 299 days | |
Adjustable rate mortgages | ||
Long: | ||
Current Principal | $ 9,173 | |
Unamortized Premium (Discount) | 401 | |
Amortized Cost | 9,574 | |
Gross Unrealized Gains | 23 | |
Gross Unrealized Losses | (137) | |
Fair Value | $ 9,460 | |
Coupon | 3.97% | |
Yield | 2.97% | |
Life (Years) | 3 years 58 days | |
Reverse mortgages | ||
Long: | ||
Current Principal | $ 83,293 | |
Unamortized Premium (Discount) | 6,448 | |
Amortized Cost | 89,741 | |
Gross Unrealized Gains | 233 | |
Gross Unrealized Losses | (629) | |
Fair Value | $ 89,345 | |
Coupon | 4.40% | |
Yield | 3.03% | |
Life (Years) | 6 years 124 days | |
Interest only securities | ||
Long: | ||
Amortized Cost | $ 25,473 | |
Gross Unrealized Gains | 1,110 | |
Gross Unrealized Losses | (1,155) | |
Fair Value | $ 25,428 | |
Coupon | 3.31% | |
Yield | 7.48% | |
Life (Years) | 3 years 223 days | |
Non-Agency RMBS | ||
Long: | ||
Current Principal | $ 298,383 | |
Unamortized Premium (Discount) | (111,182) | |
Amortized Cost | 187,201 | |
Gross Unrealized Gains | 17,642 | |
Gross Unrealized Losses | (2,540) | |
Fair Value | $ 202,303 | |
Coupon | 3.44% | |
Yield | 6.42% | |
Life (Years) | 7 years 113 days | |
CMBS | ||
Long: | ||
Current Principal | $ 65,186 | |
Unamortized Premium (Discount) | (36,910) | |
Amortized Cost | 28,276 | |
Gross Unrealized Gains | 1,284 | |
Gross Unrealized Losses | (147) | |
Fair Value | $ 29,413 | |
Coupon | 2.77% | |
Yield | 8.42% | |
Life (Years) | 8 years 139 days | |
CLOs | ||
Long: | ||
Amortized Cost | $ 98,713 | |
Gross Unrealized Gains | 2,941 | |
Gross Unrealized Losses | (3,657) | |
Fair Value | $ 97,997 | |
Coupon | 3.85% | |
Yield | 16.22% | |
Life (Years) | 5 years 248 days | |
Asset-backed securities, backed by consumer loans | ||
Long: | ||
Current Principal | $ 36,022 | |
Unamortized Premium (Discount) | (12,488) | |
Amortized Cost | 23,534 | |
Gross Unrealized Gains | 940 | |
Gross Unrealized Losses | (366) | |
Fair Value | $ 24,108 | |
Coupon | 14.52% | |
Yield | 11.85% | |
Life (Years) | 1 year 58 days | |
Corporate debt securities | ||
Long: | ||
Current Principal | $ 26,730 | |
Unamortized Premium (Discount) | (20,956) | |
Amortized Cost | 5,774 | |
Gross Unrealized Gains | 44 | |
Gross Unrealized Losses | (81) | |
Fair Value | $ 5,737 | |
Coupon | 9.26% | |
Yield | 20.18% | |
Life (Years) | 1 year 208 days | |
Short: | ||
Current Principal | $ (5,160) | |
Unamortized Premium (Discount) | 515 | |
Amortized Cost | (4,645) | |
Gross Unrealized Gains | 237 | |
Gross Unrealized Losses | (33) | |
Fair Value | $ (4,441) | |
Coupon | 5.19% | |
Yield | 5.91% | |
Life (Years) | 6 years 58 days | |
Corporate equity securities | ||
Long: | ||
Corporate equity, amortized cost | $ 1,583 | |
Corporate equity, gross unrealized gains | 4 | |
Corporate equity, gross unrealized losses | (122) | |
Corporate equity, fair value | 1,465 | |
U.S. Treasury securities | ||
Long: | ||
Current Principal | 16,375 | |
Unamortized Premium (Discount) | 189 | |
Amortized Cost | 16,564 | |
Gross Unrealized Gains | 45 | |
Gross Unrealized Losses | (8) | |
Fair Value | $ 16,601 | |
Coupon | 2.51% | |
Yield | 2.30% | |
Life (Years) | 5 years 248 days | |
Short: | ||
Current Principal | $ (2,800) | |
Unamortized Premium (Discount) | 15 | |
Amortized Cost | (2,785) | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (125) | |
Fair Value | $ (2,910) | |
Coupon | 2.88% | |
Yield | 2.92% | |
Life (Years) | 9 years 139 days | |
European sovereign bonds | ||
Short: | ||
Current Principal | $ (18,605) | |
Unamortized Premium (Discount) | (884) | |
Amortized Cost | (19,489) | |
Gross Unrealized Gains | 947 | |
Gross Unrealized Losses | (319) | |
Fair Value | $ (18,861) | |
Coupon | 1.69% | |
Yield | 0.43% | |
Life (Years) | 1 year 99 days |
Investment in Securities (Matur
Investment in Securities (Maturities of Securities) (Details) $ in Thousands | Mar. 31, 2019USD ($) |
Agency RMBS | |
Fair Value | |
Less than three years | $ 38,461 |
Greater than three years less than seven years | 486,247 |
Greater than seven years less then eleven years | 581,828 |
Greater than eleven years | 12,251 |
Total | 1,118,787 |
Amortized Cost | |
Less than three years | 38,339 |
Greater than three years less than seven years | 489,019 |
Greater than seven years less then eleven years | 585,867 |
Greater than eleven years | 12,030 |
Total | $ 1,125,255 |
Weighted Average Coupon(2) | |
Less than three years | 4.10% |
Greater than three years less than seven years | 4.04% |
Greater than seven years less then eleven years | 4.29% |
Greater than eleven years | 4.64% |
Total | 4.17% |
Agency Interest Only Securities | |
Fair Value | |
Less than three years | $ 7,582 |
Greater than three years less than seven years | 17,582 |
Greater than seven years less then eleven years | 264 |
Greater than eleven years | 0 |
Total | 25,428 |
Amortized Cost | |
Less than three years | 7,763 |
Greater than three years less than seven years | 17,460 |
Greater than seven years less then eleven years | 250 |
Greater than eleven years | 0 |
Total | $ 25,473 |
Weighted Average Coupon(2) | |
Less than three years | 0.00% |
Greater than three years less than seven years | 0.66% |
Greater than seven years less then eleven years | 3.42% |
Greater than eleven years | 3.14% |
Total | 3.31% |
Non-Agency RMBS and CMBS | |
Fair Value | |
Less than three years | $ 60,447 |
Greater than three years less than seven years | 65,214 |
Greater than seven years less then eleven years | 53,571 |
Greater than eleven years | 52,484 |
Total | 231,716 |
Amortized Cost | |
Less than three years | 52,618 |
Greater than three years less than seven years | 60,490 |
Greater than seven years less then eleven years | 49,960 |
Greater than eleven years | 52,409 |
Total | $ 215,477 |
Weighted Average Coupon(2) | |
Less than three years | 2.15% |
Greater than three years less than seven years | 3.61% |
Greater than seven years less then eleven years | 5.32% |
Greater than eleven years | 2.07% |
Total | 3.36% |
Non-Agency IOs | |
Fair Value | |
Less than three years | $ 176 |
Greater than three years less than seven years | 3,829 |
Greater than seven years less then eleven years | 306 |
Greater than eleven years | 3,335 |
Total | 7,646 |
Amortized Cost | |
Less than three years | 30 |
Greater than three years less than seven years | 3,450 |
Greater than seven years less then eleven years | 0 |
Greater than eleven years | 2,213 |
Total | $ 5,693 |
Weighted Average Coupon(2) | |
Less than three years | 0.00% |
Greater than three years less than seven years | 0.50% |
Greater than seven years less then eleven years | 1.40% |
Greater than eleven years | 2.00% |
Total | 0.77% |
CLOs and Other Securities | |
Fair Value | |
Less than three years | $ 34,601 |
Greater than three years less than seven years | 90,984 |
Greater than seven years less then eleven years | 17,235 |
Greater than eleven years | 1,623 |
Total | 144,443 |
Amortized Cost | |
Less than three years | 34,877 |
Greater than three years less than seven years | 91,770 |
Greater than seven years less then eleven years | 16,487 |
Greater than eleven years | 1,451 |
Total | $ 144,585 |
Weighted Average Coupon(2) | |
Less than three years | 0.00% |
Greater than three years less than seven years | 0.68% |
Greater than seven years less then eleven years | 4.33% |
Greater than eleven years | 12.03% |
Total | 5.69% |
Investment in Securities (Sum_2
Investment in Securities (Summary of Investment Income) (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Debt Securities, Available-for-sale [Line Items] | |
Coupon Interest | $ 21,876 |
Net Amortization | (4,578) |
Interest Income | 17,298 |
Agency RMBS | |
Debt Securities, Available-for-sale [Line Items] | |
Coupon Interest | 12,190 |
Net Amortization | (4,628) |
Interest Income | 7,562 |
Non-Agency RMBS and CMBS | |
Debt Securities, Available-for-sale [Line Items] | |
Coupon Interest | 3,849 |
Net Amortization | 547 |
Interest Income | 4,396 |
CLOs | |
Debt Securities, Available-for-sale [Line Items] | |
Coupon Interest | 4,244 |
Net Amortization | 65 |
Interest Income | 4,309 |
Other Securities | |
Debt Securities, Available-for-sale [Line Items] | |
Coupon Interest | 1,593 |
Net Amortization | (562) |
Interest Income | $ 1,031 |
Investment in Securities (Proce
Investment in Securities (Proceeds, Realized Gains (Losses) on Sales) (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Debt Securities, Available-for-sale [Line Items] | |
Proceeds | $ 682,337 |
Agency RMBS | |
Debt Securities, Available-for-sale [Line Items] | |
Proceeds | 128,304 |
Gross Realized Gains | 712 |
Gross Realized Losses | (1,679) |
Net Realized Gain (Loss) | (967) |
Non-Agency RMBS and CMBS | |
Debt Securities, Available-for-sale [Line Items] | |
Proceeds | 129,545 |
Gross Realized Gains | 1,272 |
Gross Realized Losses | (3,443) |
Net Realized Gain (Loss) | (2,171) |
CLOs | |
Debt Securities, Available-for-sale [Line Items] | |
Proceeds | 44,822 |
Gross Realized Gains | 140 |
Gross Realized Losses | (935) |
Net Realized Gain (Loss) | (795) |
Other Securities | |
Debt Securities, Available-for-sale [Line Items] | |
Proceeds | 405,903 |
Gross Realized Gains | 758 |
Gross Realized Losses | (1,259) |
Net Realized Gain (Loss) | (501) |
Securities Total | |
Debt Securities, Available-for-sale [Line Items] | |
Proceeds | 708,574 |
Gross Realized Gains | 2,882 |
Gross Realized Losses | (7,316) |
Net Realized Gain (Loss) | $ (4,434) |
Investment in Securities (Unrea
Investment in Securities (Unrealized Loss Positions Securities) (Details) $ in Thousands | Mar. 31, 2019USD ($) |
Debt Securities, Available-for-sale [Line Items] | |
Fair Value, Less than 12 Months | $ 254,754 |
Unrealized Losses, Less than 12 Months | (3,385) |
Fair Value, Greater than 12 Months | 584,702 |
Unrealized Losses, Greater than 12 Months | (16,067) |
Fair Value, Total | 839,456 |
Unrealized Loss, Total | (19,452) |
Agency RMBS | |
Debt Securities, Available-for-sale [Line Items] | |
Fair Value, Less than 12 Months | 123,567 |
Unrealized Losses, Less than 12 Months | (627) |
Fair Value, Greater than 12 Months | 521,597 |
Unrealized Losses, Greater than 12 Months | (11,904) |
Fair Value, Total | 645,164 |
Unrealized Loss, Total | (12,531) |
Non-Agency RMBS | |
Debt Securities, Available-for-sale [Line Items] | |
Fair Value, Less than 12 Months | 85,338 |
Unrealized Losses, Less than 12 Months | (1,585) |
Fair Value, Greater than 12 Months | 34,988 |
Unrealized Losses, Greater than 12 Months | (1,102) |
Fair Value, Total | 120,326 |
Unrealized Loss, Total | (2,687) |
CLOs | |
Debt Securities, Available-for-sale [Line Items] | |
Fair Value, Less than 12 Months | 28,953 |
Unrealized Losses, Less than 12 Months | (996) |
Fair Value, Greater than 12 Months | 25,154 |
Unrealized Losses, Greater than 12 Months | (2,661) |
Fair Value, Total | 54,107 |
Unrealized Loss, Total | (3,657) |
Other Securities | |
Debt Securities, Available-for-sale [Line Items] | |
Fair Value, Less than 12 Months | 16,896 |
Unrealized Losses, Less than 12 Months | (177) |
Fair Value, Greater than 12 Months | 2,963 |
Unrealized Losses, Greater than 12 Months | (400) |
Fair Value, Total | 19,859 |
Unrealized Loss, Total | $ (577) |
Investment in Securities (Narra
Investment in Securities (Narrative) (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Investments, Debt and Equity Securities [Abstract] | |
Catch-up premium amortization adjustment | $ (0.5) |
OTTI charge on securities | $ 1.3 |
Investment in Loans (Schedule o
Investment in Loans (Schedule of Investments in Loans) (Details) $ in Thousands | Mar. 31, 2019USD ($) | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,026,983 | |
Fair Value | 1,014,990 | [1] |
Residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 577,880 | |
Fair Value | 583,252 | |
Commercial mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 264,932 | |
Fair Value | 239,623 | |
Consumer loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 184,171 | |
Fair Value | $ 192,115 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Loans (Schedule_2
Investment in Loans (Schedule of 90 Days or More Past Due) (Details) - 90 Days or More Past Due [Member] $ in Thousands | Mar. 31, 2019USD ($) |
Commercial mortgage loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
90 days or more past due—accrual status, Unpaid Principal Balance | $ 6,491 |
90 days or more past due—accrual status, Fair Value | 6,491 |
90 days or more past due—non-accrual status, Unpaid Principal Balance | 16,050 |
90 days or more past due—non-accrual status, , Fair Value | 16,050 |
Residential mortgage loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
90 days or more past due—non-accrual status, Unpaid Principal Balance | 18,582 |
90 days or more past due—non-accrual status, , Fair Value | 16,110 |
Consumer loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
90 days or more past due—non-accrual status, Unpaid Principal Balance | 2,046 |
90 days or more past due—non-accrual status, , Fair Value | $ 2,025 |
Investment in Loans (Schedule_3
Investment in Loans (Schedule of Residential Mortgage Loans) (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019USD ($) | ||
Residential mortgage loans, held-for-investment | ||
Unpaid Principal Balance | $ 1,026,983 | |
Financing Receivable, Including Held-For-Sale [Abstract] | ||
Fair Value | 1,014,990 | [1] |
Non-qualified mortgage loans that have been securitized and are held in consolidated securitization trusts | 296,400 | |
Residential mortgage loans | ||
Residential mortgage loans, held-for-investment | ||
Unpaid Principal Balance, Residential mortgage loans, held-for-investment | 555,386 | |
Unpaid Principal Balance | 577,880 | |
Premium (Discount) | 4,470 | |
Amortized Cost | 559,856 | |
Gains | 4,368 | |
Losses | (1,461) | |
Fair Value | $ 562,763 | |
Coupon | 6.49% | |
Yield | 5.68% | |
Life (Years) | 1 year 347 days | |
Residential mortgage loans, held-for-sale | ||
Unpaid Principal Balance | $ 22,494 | |
Premium (Discount) | (3,344) | |
Amortized Cost | 19,150 | |
Gains | 1,520 | |
Losses | (181) | |
Fair Value | $ 20,489 | |
Coupon | 4.66% | |
Yield | 6.37% | |
Life (Years) | 5 years 175 days | |
Financing Receivable, Including Held-For-Sale [Abstract] | ||
Unpaid Principal Balance | $ 577,880 | |
Premium (Discount) | 1,126 | |
Amortized Cost | 579,006 | |
Gains | 5,888 | |
Losses | (1,642) | |
Fair Value | $ 583,252 | |
Coupon | 6.42% | |
Yield | 5.70% | |
Life (Years) | 2 years 26 days | |
Residential mortgage loans | Re-performing | ||
Residential mortgage loans, held-for-investment | ||
Unpaid Principal Balance | $ 35,616 | |
Fair Value | 31,816 | |
Residential mortgage loans | Non-performing | ||
Residential mortgage loans, held-for-investment | ||
Unpaid Principal Balance | 15,795 | |
Fair Value | $ 13,678 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Loans (Schedule_4
Investment in Loans (Schedule of Residential Mortgage Loans: Geographic Distribution) (Details) - Financing Receivables, Unpaid Principal Balance [Member] - Residential mortgage loans - Geographic Concentration Risk [Member] | 3 Months Ended |
Mar. 31, 2019 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 100.00% |
California [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 48.30% |
Florida [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 12.90% |
Texas [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 12.70% |
Colorado [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 4.40% |
Arizona [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 2.80% |
Oregon [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 2.40% |
Washington [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 2.20% |
New York [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 2.20% |
Nevada [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 2.10% |
Utah [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 1.50% |
New Jersey [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 1.30% |
Maryland [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 1.10% |
Other [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 6.10% |
Investment in Loans (Narrative)
Investment in Loans (Narrative) (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($)loan | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 1,026,983 |
Residential mortgage loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Impairments | 100 |
Unpaid principal balance, impairments | 2,200 |
Fair value, impairments | 1,900 |
In process of foreclosure | 8,100 |
Unpaid Principal Balance | 577,880 |
Loans, at fair value | 562,763 |
Residential mortgage loans | Non-performing | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 15,795 |
Loans, at fair value | 13,678 |
Commercial mortgage loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 264,932 |
Loans, at fair value | $ 239,623 |
Commercial mortgage loans | Non-performing | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Number of loans | loan | 5 |
Unpaid Principal Balance | $ 65,200 |
Loans, at fair value | 40,800 |
Consumer loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Impairments | 2,100 |
Unpaid principal balance, impairments | 173,800 |
Fair value, impairments | 181,300 |
Unpaid Principal Balance | 184,171 |
Loans, at fair value | $ 192,115 |
Investment in Loans (Schedule_5
Investment in Loans (Schedule of Commercial Mortgage Loans) (Details) (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 1,026,983 |
Commercial mortgage loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 264,932 |
Premium (Discount) | (27,249) |
Amortized Cost | 237,683 |
Gains | 2,131 |
Losses | (191) |
Fair Value | $ 239,623 |
Coupon | 8.92% |
Yield | 9.44% |
Life (Years) | 347 days |
Investment in Loans (Schedule_6
Investment in Loans (Schedule of Commercial Loans: Geographic Distribution) (Details) - Financing Receivables, Unpaid Principal Balance [Member] - Geographic Concentration Risk [Member] - Commercial mortgage loans | 3 Months Ended |
Mar. 31, 2019 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 100.00% |
Florida [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 20.10% |
Connecticut [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 18.70% |
New York [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 12.70% |
New Jersey [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 10.40% |
North Carolina [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 7.30% |
Virginia [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 7.10% |
Massachusetts [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 4.90% |
Pennsylvania [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 4.30% |
Arizona [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 4.00% |
Indiana [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 3.80% |
Kentucky [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 3.80% |
Tennessee [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 1.50% |
Louisiana [Member] | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 1.40% |
Investment in Loans (Schedule_7
Investment in Loans (Schedule of Consumer Mortgage Loans) (Details) (Details) (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 1,026,983 |
Consumer loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 184,171 |
Premium (Discount) | 6,912 |
Amortized Cost | 191,083 |
Gains | 2,623 |
Losses | (1,591) |
Fair Value | $ 192,115 |
Life (Years) | 285 days |
Delinquency (Days) | 3 days |
Investment in Loans (Schedule_8
Investment in Loans (Schedule of Consumer Loans: Delinquency Status) (Details) - Consumer loans | Mar. 31, 2019 |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Current | 95.90% |
Percent past due | 100.00% |
30 to 59 Days Past Due [Member] | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 1.70% |
60 to 89 Days Past Due [Member] | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 1.30% |
90-119 Days or More Past Due [Member] | |
Financing Receivable, Recorded Investment, Past Due [Line Items] | |
Percent past due | 1.10% |
Investments in Unconsolidated_3
Investments in Unconsolidated Entities (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019USD ($) | ||
Schedule of Equity Method Investments [Line Items] | ||
Investment in unconsolidated entities, at fair value | $ 58,152 | [1] |
Earnings from investments in unconsolidated entities | 1,797 | |
Primary Beneficiary | ||
Schedule of Equity Method Investments [Line Items] | ||
Investments in unconsolidated entities, at fair value | 23,300 | |
Jepson Holdings Limited | ||
Schedule of Equity Method Investments [Line Items] | ||
Investment in unconsolidated entities, at fair value | $ 7,000 | |
Percentage Ownership of Unconsolidated Entity | 30.10% | |
Longbridge Financial LLC | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage Ownership of Unconsolidated Entity | 49.70% | |
LendSure Mortgage Corp. | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage Ownership of Unconsolidated Entity | 45.00% | |
Elizon DB 2015-1 LLC [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage Ownership of Unconsolidated Entity | 6.10% | |
Minimum | Other | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage Ownership of Unconsolidated Entity | 10.00% | |
Maximum | Other | ||
Schedule of Equity Method Investments [Line Items] | ||
Percentage Ownership of Unconsolidated Entity | 49.60% | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Real Estate Owned (Details)
Real Estate Owned (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019USD ($)property | ||
Number of Properties | ||
Beginning Balance (1/1/2019) | property | 20 | |
Transfers from mortgage loans | property | 2 | |
Disposals | property | (1) | |
Ending Balance (3/31/2019) | property | 21 | |
Carrying Value | ||
Beginning Balance (1/1/2019) | $ 30,778 | |
Transfers from mortgage loans | 299 | |
Capital expenditures and other adjustments to cost | 240 | |
Adjustments to record at the lower of cost or fair value | (250) | |
Disposals | (64) | |
Ending Balance (3/31/2019) | 31,003 | [1] |
Realized gains (losses) on real estate owned, net | (58) | |
REO, fair value | $ 24,100 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
To Be Announced RMBS (Details)
To Be Announced RMBS (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
To Be Announced Securities [Line Items] | |||
TBA securities, at fair value (Current principal: $460,037) | $ 2,939,311 | ||
Investments sold short, at fair value- | $ (26,212) | (850,577) | |
Payable for securities purchased relating to unsettled TBA purchases | $ (168,211) | [1] | (488,411) |
To Be Announced Fixed Rate Agency Securities [Member] | |||
To Be Announced Securities [Line Items] | |||
TBA securities, at fair value (Current principal: $460,037) | 474,860 | ||
Principal Amount | 460,037 | ||
Receivable for securities sold relating to unsettled TBA sales | 766,574 | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | |||
To Be Announced Securities [Line Items] | |||
Investments sold short, at fair value- | (772,964) | ||
Principal Amount | (753,697) | ||
Payable for securities purchased relating to unsettled TBA purchases | (473,386) | ||
Net short TBA securities, at fair value | $ (298,104) | ||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Financial Derivatives (Fair Val
Financial Derivatives (Fair Value of Financial Derivatives) (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | [1] | $ 15,356 | $ 20,001 |
Financial derivatives–liabilities, at fair value- | [1] | (26,904) | $ (20,806) |
Total | (11,548) | ||
TBA securities purchase contracts | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 445 | ||
Financial derivatives–liabilities, at fair value- | (33) | ||
TBA securities sale contracts | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 86 | ||
Financial derivatives–liabilities, at fair value- | (3,042) | ||
Fixed payer interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 2,291 | ||
Financial derivatives–liabilities, at fair value- | (6,243) | ||
Fixed receiver interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 3,096 | ||
Financial derivatives–liabilities, at fair value- | (1,328) | ||
Basis swaps | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 4 | ||
Credit default swaps on asset-backed securities | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 1,233 | ||
Financial derivatives–liabilities, at fair value- | (822) | ||
Credit default swaps on asset-backed indices | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 3,276 | ||
Credit default swaps on corporate bonds | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 715 | ||
Financial derivatives–liabilities, at fair value- | (945) | ||
Credit default swaps on corporate bond indices | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 3,519 | ||
Financial derivatives–liabilities, at fair value- | (11,907) | ||
Recovery swaps | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (8) | ||
Total return swaps | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 123 | ||
Futures | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 138 | ||
Financial derivatives–liabilities, at fair value- | (2,454) | ||
Forwards | |||
Derivatives, Fair Value [Line Items] | |||
Financial derivatives–assets, at fair value- | 430 | ||
Financial derivatives–liabilities, at fair value- | $ (122) | ||
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. |
Financial Derivatives (Interest
Financial Derivatives (Interest Rate Swaps) (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Fixed payer interest rate swaps | |
Derivative [Line Items] | |
Notional Amount | $ (563,924) |
Fair Value | $ (3,952) |
Pay Rate | 2.41% |
Receive Rate | 2.68% |
Remaining Years to Maturity | 5 years 179 days |
Fixed payer interest rate swaps | 2020 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (68,607) |
Fair Value | $ 549 |
Pay Rate | 1.74% |
Receive Rate | 2.61% |
Remaining Years to Maturity | 1 year |
Fixed payer interest rate swaps | 2021 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (121,499) |
Fair Value | $ (603) |
Pay Rate | 2.71% |
Receive Rate | 2.63% |
Remaining Years to Maturity | 1 year 299 days |
Fixed payer interest rate swaps | 2023 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (101,012) |
Fair Value | $ 858 |
Pay Rate | 2.06% |
Receive Rate | 2.66% |
Remaining Years to Maturity | 4 years 15 days |
Fixed payer interest rate swaps | 2024 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (77,700) |
Fair Value | $ (1,021) |
Pay Rate | 2.58% |
Receive Rate | 2.76% |
Remaining Years to Maturity | 4 years 296 days |
Fixed payer interest rate swaps | 2025 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (30,023) |
Fair Value | $ 296 |
Pay Rate | 2.09% |
Receive Rate | 2.64% |
Remaining Years to Maturity | 6 years 245 days |
Fixed payer interest rate swaps | 2026 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (10,200) |
Fair Value | $ 191 |
Pay Rate | 2.02% |
Receive Rate | 2.67% |
Remaining Years to Maturity | 7 years 161 days |
Fixed payer interest rate swaps | 2028 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (69,602) |
Fair Value | $ (1,975) |
Pay Rate | 2.71% |
Receive Rate | 2.68% |
Remaining Years to Maturity | 9 years 91 days |
Fixed payer interest rate swaps | 2029 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (70,000) |
Fair Value | $ (1,825) |
Pay Rate | 2.70% |
Receive Rate | 2.77% |
Remaining Years to Maturity | 9 years 292 days |
Fixed payer interest rate swaps | 2030 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (685) |
Fair Value | $ 2 |
Pay Rate | 2.38% |
Receive Rate | 2.68% |
Remaining Years to Maturity | 11 years 237 days |
Fixed payer interest rate swaps | 2045 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (7,896) |
Fair Value | $ 19 |
Pay Rate | 2.54% |
Receive Rate | 2.63% |
Remaining Years to Maturity | 26 years 252 days |
Fixed payer interest rate swaps | 2049 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (6,700) |
Fair Value | $ (443) |
Pay Rate | 2.89% |
Receive Rate | 2.80% |
Remaining Years to Maturity | 29 years 285 days |
Fixed receiver interest rate swaps | |
Derivative [Line Items] | |
Notional Amount | $ (263,309) |
Fair Value | $ 1,768 |
Pay Rate, Basis Swap | 2.47% |
Receive Rate, Basis Swap | 2.34% |
Remaining Years to Maturity | 6 years 131 days |
Fixed receiver interest rate swaps | 2021 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (5,928) |
Fair Value | $ (21) |
Pay Rate, Basis Swap | 2.61% |
Receive Rate, Basis Swap | 2.00% |
Remaining Years to Maturity | 2 years 77 days |
Fixed receiver interest rate swaps | 2022 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (53,974) |
Fair Value | $ (761) |
Pay Rate, Basis Swap | 2.63% |
Receive Rate, Basis Swap | 1.85% |
Remaining Years to Maturity | 2 years 336 days |
Fixed receiver interest rate swaps | 2023 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (48,657) |
Fair Value | $ (509) |
Pay Rate, Basis Swap | 2.62% |
Receive Rate, Basis Swap | 2.00% |
Remaining Years to Maturity | 4 years 4 days |
Fixed receiver interest rate swaps | 2024 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (68,500) |
Fair Value | $ 816 |
Pay Rate, Basis Swap | 2.38% |
Receive Rate, Basis Swap | 2.56% |
Remaining Years to Maturity | 4 years 292 days |
Fixed receiver interest rate swaps | 2029 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (79,550) |
Fair Value | $ 1,800 |
Pay Rate, Basis Swap | 2.30% |
Receive Rate, Basis Swap | 2.66% |
Remaining Years to Maturity | 9 years 299 days |
Fixed receiver interest rate swaps | 2049 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (6,700) |
Fair Value | $ 443 |
Pay Rate, Basis Swap | 2.80% |
Receive Rate, Basis Swap | 2.89% |
Remaining Years to Maturity | 29 years 285 days |
Basis swaps | |
Derivative [Line Items] | |
Notional Amount | $ (12,900) |
Fair Value | $ 4 |
Pay Rate, Basis Swap | 2.61% |
Receive Rate, Basis Swap | 2.64% |
Remaining Years to Maturity | 77 days |
Basis swaps | 2019 [Member] | |
Derivative [Line Items] | |
Notional Amount | $ (12,900) |
Fair Value | $ 4 |
Pay Rate, Basis Swap | 2.61% |
Receive Rate, Basis Swap | 2.64% |
Remaining Years to Maturity | 77 days |
Financial Derivatives (Credit D
Financial Derivatives (Credit Default Swaps) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Dec. 31, 2018 | ||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value- | [1] | $ 15,356 | $ 20,001 |
Financial derivatives–liabilities, at fair value- | [1] | (26,904) | $ (20,806) |
Fair Value | (11,548) | ||
Credit default swaps on asset-backed indices | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value- | 3,276 | ||
Credit default swaps on asset-backed indices | Long | |||
Derivative [Line Items] | |||
Notional amount, assets | 837 | ||
Notional amount, liabilities | (5,439) | ||
Financial derivatives–assets, at fair value- | 9 | ||
Financial derivatives–liabilities, at fair value- | $ 819 | ||
Remaining Maturity, Assets | 23 years 208 days | ||
Remaining Maturity, Liability | 40 years 266 days | ||
Credit default swaps on asset-backed indices | Short | |||
Derivative [Line Items] | |||
Notional amount, assets | $ 32,326 | ||
Notional amount, liabilities | (2,500) | ||
Financial derivatives–assets, at fair value- | 3,267 | ||
Financial derivatives–liabilities, at fair value- | $ (3) | ||
Remaining Maturity, Assets | 37 years 219 days | ||
Remaining Maturity, Liability | 38 years 212 days | ||
Credit default swaps on asset-backed securities | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value- | $ 1,233 | ||
Financial derivatives–liabilities, at fair value- | (822) | ||
Credit default swaps on asset-backed securities | Short | |||
Derivative [Line Items] | |||
Notional amount, assets | 2,909 | ||
Financial derivatives–assets, at fair value- | $ 1,233 | ||
Remaining Maturity, Assets | 16 years 150 days | ||
Credit default swaps on corporate bonds | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value- | $ 715 | ||
Financial derivatives–liabilities, at fair value- | (945) | ||
Credit default swaps on corporate bonds | Long | |||
Derivative [Line Items] | |||
Notional amount, assets | 3,070 | ||
Notional amount, liabilities | (2,980) | ||
Financial derivatives–assets, at fair value- | 296 | ||
Financial derivatives–liabilities, at fair value- | $ 407 | ||
Remaining Maturity, Assets | 2 years 354 days | ||
Remaining Maturity, Liability | 1 year 354 days | ||
Credit default swaps on corporate bonds | Short | |||
Derivative [Line Items] | |||
Notional amount, assets | $ 3,033 | ||
Notional amount, liabilities | (16,955) | ||
Financial derivatives–assets, at fair value- | 419 | ||
Financial derivatives–liabilities, at fair value- | $ (538) | ||
Remaining Maturity, Assets | 1 year 358 days | ||
Remaining Maturity, Liability | 1 year 51 days | ||
Credit default swaps on corporate bond indices | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value- | $ 3,519 | ||
Financial derivatives–liabilities, at fair value- | (11,907) | ||
Credit default swaps on corporate bond indices | Long | |||
Derivative [Line Items] | |||
Notional amount, assets | 76,904 | ||
Financial derivatives–assets, at fair value- | $ 3,519 | ||
Remaining Maturity, Assets | 4 years 33 days | ||
Credit default swaps on corporate bond indices | Short | |||
Derivative [Line Items] | |||
Notional amount, liabilities | $ (223,080) | ||
Financial derivatives–liabilities, at fair value- | $ (11,907) | ||
Remaining Maturity, Liability | 2 years 172 days | ||
Recovery swaps | |||
Derivative [Line Items] | |||
Financial derivatives–liabilities, at fair value- | $ (8) | ||
Recovery swaps | Short | |||
Derivative [Line Items] | |||
Notional amount, liabilities | (2,600) | ||
Financial derivatives–liabilities, at fair value- | $ (8) | ||
Remaining Maturity, Liability | 80 days | ||
Credit default swaps | |||
Derivative [Line Items] | |||
Notional Amount | $ (194,173) | ||
Fair Value | $ (4,939) | ||
Remaining Years to Maturity | 7 years 15 days | ||
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. |
Financial Derivatives (Futures)
Financial Derivatives (Futures) (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Derivative [Line Items] | |
Fair Value | $ (11,548) |
Short | U.S. Treasury futures | |
Derivative [Line Items] | |
Notional Amount | (151,600) |
Fair Value | $ (2,380) |
Remaining Years to Maturity | 2 months 24 days |
Short | Eurodollar futures | |
Derivative [Line Items] | |
Notional Amount | $ (63,000) |
Fair Value | $ (74) |
Remaining Years to Maturity | 5 months 29 days |
Short | Currency futures | |
Derivative [Line Items] | |
Notional Amount | $ (15,840) |
Fair Value | $ 138 |
Remaining Years to Maturity | 2 months 19 days |
Short | Futures | |
Derivative [Line Items] | |
Notional Amount | $ (230,440) |
Fair Value | $ (2,316) |
Remaining Years to Maturity | 3 months 20 days |
Financial Derivatives (TBAs) (D
Financial Derivatives (TBAs) (Details) - TBAs $ in Thousands | Mar. 31, 2019USD ($) |
Notional Amount | |
Notional Amount | $ 534,037 |
Cost Basis | |
Total TBA securities, net | 548,378 |
Market Value | |
Total TBA securities, net | 550,922 |
Net Carrying Value | |
Total TBA securities, net | (2,544) |
Long | |
Notional Amount | |
Notional amount, assets | 167,641 |
Notional amount, liabilities | 25,500 |
Notional Amount | 193,141 |
Cost Basis | |
Assets | 173,619 |
Liabilities | 25,875 |
Total TBA securities, net | 199,494 |
Market Value | |
Assets | 174,064 |
Liabilities | 25,842 |
Total TBA securities, net | 199,906 |
Net Carrying Value | |
Assets | 445 |
Liabilities | (33) |
Total TBA securities, net | 412 |
Short | |
Notional Amount | |
Notional amount, assets | 155,175 |
Notional amount, liabilities | 572,003 |
Notional Amount | 727,178 |
Cost Basis | |
Assets | 158,767 |
Liabilities | 589,105 |
Total TBA securities, net | 747,872 |
Market Value | |
Assets | 158,681 |
Liabilities | 592,147 |
Total TBA securities, net | 750,828 |
Net Carrying Value | |
Assets | 86 |
Liabilities | (3,042) |
Total TBA securities, net | $ (2,956) |
Financial Derivatives (Schedule
Financial Derivatives (Schedule of Gains and Losses on Derivative Contracts) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Derivative [Line Items] | ||
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | $ 719 | |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (12,264) | |
Net Realized Gains (Losses) on Financial Derivatives | (11,545) | $ (1,503) |
Unrealized gains (losses) on financial derivatives, net | (5,689) | 4,044 |
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | (275) | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (5,393) | |
Unrealized gains (losses) on financial derivatives, net | (5,668) | |
Foreign currency transactions | 25 | 1,769 |
Foreign currency translation | 21 | 101 |
Derivative [Member] | ||
Derivative [Line Items] | ||
Foreign currency transactions | (200) | |
Foreign currency translation | 47 | |
Interest rate swaps | Interest Rate Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | 719 | |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 1,458 | |
Net Realized Gains (Losses) on Financial Derivatives | 2,177 | (824) |
Unrealized gains (losses) on financial derivatives, net | 5,039 | |
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | (275) | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (5,774) | |
Unrealized gains (losses) on financial derivatives, net | (6,049) | |
Credit default swaps on asset-backed securities | Credit Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 275 | |
Net Realized Gains (Losses) on Financial Derivatives | 275 | 86 |
Unrealized gains (losses) on financial derivatives, net | (71) | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (239) | |
Unrealized gains (losses) on financial derivatives, net | (239) | |
Credit default swaps on corporate bond indices | Credit Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (746) | |
Net Realized Gains (Losses) on Financial Derivatives | (746) | (1,562) |
Unrealized gains (losses) on financial derivatives, net | 1,563 | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (548) | |
Unrealized gains (losses) on financial derivatives, net | (548) | |
Credit default swaps on asset-backed indices | Credit Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (2,513) | |
Net Realized Gains (Losses) on Financial Derivatives | (2,513) | (1,842) |
Unrealized gains (losses) on financial derivatives, net | 1,452 | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (2,407) | |
Unrealized gains (losses) on financial derivatives, net | (2,407) | |
Credit default swaps on corporate bonds | Credit Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (425) | |
Net Realized Gains (Losses) on Financial Derivatives | (425) | 4,469 |
Unrealized gains (losses) on financial derivatives, net | (3,855) | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 766 | |
Unrealized gains (losses) on financial derivatives, net | 766 | |
Total return swaps | Equity Market/Credit Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (1,298) | |
Net Realized Gains (Losses) on Financial Derivatives | (1,298) | 166 |
Unrealized gains (losses) on financial derivatives, net | 17 | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 129 | |
Unrealized gains (losses) on financial derivatives, net | 129 | |
TBAs | Interest Rate Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (6,435) | |
Net Realized Gains (Losses) on Financial Derivatives | (6,435) | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 1,898 | |
Unrealized gains (losses) on financial derivatives, net | 1,898 | |
Futures | Interest Rate/Currency Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (2,433) | |
Net Realized Gains (Losses) on Financial Derivatives | (2,433) | (761) |
Unrealized gains (losses) on financial derivatives, net | (561) | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 359 | |
Unrealized gains (losses) on financial derivatives, net | 359 | |
Forwards | Currency risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (114) | |
Net Realized Gains (Losses) on Financial Derivatives | (114) | (1,174) |
Unrealized gains (losses) on financial derivatives, net | 384 | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 423 | |
Unrealized gains (losses) on financial derivatives, net | 423 | |
Options | Interest Rate Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (33) | |
Net Realized Gains (Losses) on Financial Derivatives | (33) | |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 0 | |
Unrealized gains (losses) on financial derivatives, net | $ 0 | |
Options | Interest Rates/Equity Market Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) on Financial Derivatives | (61) | |
Unrealized gains (losses) on financial derivatives, net | $ 76 |
Financial Derivatives (Schedu_2
Financial Derivatives (Schedule of Derivative Activity) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Interest rate swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | $ 912,934 | $ 1,059,756 |
TBAs | ||
Derivative [Line Items] | ||
Average Monthly Notional | 984,292 | |
Credit default swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | 403,254 | 566,805 |
Total return swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | 38,400 | 53,603 |
Futures | ||
Derivative [Line Items] | ||
Average Monthly Notional | 280,947 | 201,295 |
Options | ||
Derivative [Line Items] | ||
Average Monthly Notional | 51,545 | 99,891 |
Forwards | ||
Derivative [Line Items] | ||
Average Monthly Notional | 29,078 | $ 45,522 |
Warrants | ||
Derivative [Line Items] | ||
Average Monthly Notional | $ 2,281 |
Financial Derivatives (Schedu_3
Financial Derivatives (Schedule of Credit Derivatives) (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Credit Default Swap, Selling Protection [Member] | ||
Credit Derivatives [Line Items] | ||
Fair Value of Written Credit Derivatives, Net | $ 2,598 | $ (4,339) |
Notional value | 89,230 | 98,586 |
Credit Default Swap, Buying Protection [Member] | ||
Credit Derivatives [Line Items] | ||
Fair Value of Written Credit Derivatives, Net | (167) | (284) |
Notional value | $ 13,153 | $ 41,134 |
Financial Derivatives (Narrativ
Financial Derivatives (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | ||
Written credit derivative spread threshold | 20.00% | 20.00% |
Credit Default Swap, Selling Protection [Member] | ||
Derivative [Line Items] | ||
Credit risk derivative in excess of threshold, at fair value, net | $ (0.2) | $ (1) |
Total net up-front payments received | $ (2) | $ (2) |
Minimum | ||
Derivative [Line Items] | ||
Spread on written credit derivatives | 0.426% | 0.218% |
Upfront points on written credit derivative in excess of threshold | 36.9 | 56.3 |
Maximum | ||
Derivative [Line Items] | ||
Spread on written credit derivatives | 8.151% | 19.56% |
Upfront points on written credit derivative in excess of threshold | 75.2 | 74.7 |
Consolidated VIEs (Details)
Consolidated VIEs (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | ||
Assets | ||||||
Cash and cash equivalents(1) | $ 55,876 | [1] | $ 44,656 | $ 44,700 | ||
Restricted cash(1) | 175 | [1] | 425 | |||
Loans, at fair value(1) | [1] | 1,014,990 | ||||
Investment in unconsolidated entities, at fair value | [1] | 58,152 | ||||
Real estate owned(1) | 31,003 | [1] | 30,778 | |||
Due from brokers(1) | 58,145 | [1] | 71,794 | |||
Reverse repurchase agreements | 25,381 | |||||
Investment related receivables(1) | [1] | 78,223 | ||||
Other assets(1) | 3,779 | [1] | 15,536 | |||
Total Assets | 2,870,565 | 3,971,499 | ||||
Liabilities | ||||||
Repurchase agreements(1) | [1] | 1,550,016 | ||||
Investment related payables(1) | 168,211 | [1] | 488,411 | |||
Other secured borrowings(1) | 117,315 | [1] | 114,100 | |||
Other secured borrowings, at fair value(1) | 282,124 | [1] | 297,948 | |||
Accounts payable and accrued expenses(1) | 6,167 | [1] | 5,723 | |||
Interest payable(1) | [1] | 4,995 | ||||
Other liabilities(1) | 278 | [1] | 424 | |||
Total Liabilities | 2,278,131 | 3,376,329 | ||||
Total Stockholders' Equity | 562,209 | 563,833 | ||||
Non-controlling interests(1) | 30,225 | [1] | 31,337 | |||
Total Equity | 592,434 | 595,170 | $ 609,950 | $ 620,961 | ||
Total Liabilities and Equity | 2,870,565 | $ 3,971,499 | ||||
Primary Beneficiary | ||||||
Assets | ||||||
Cash and cash equivalents(1) | 2,914 | |||||
Restricted cash(1) | 175 | |||||
Loans, at fair value(1) | 1,004,211 | |||||
Investment in unconsolidated entities, at fair value | 7,712 | |||||
Real estate owned(1) | 31,003 | |||||
Due from brokers(1) | 190 | |||||
Investment related receivables(1) | 25,221 | |||||
Other assets(1) | 2,499 | |||||
Total Assets | 1,073,925 | |||||
Liabilities | ||||||
Repurchase agreements(1) | 348,737 | |||||
Investment related payables(1) | 1,452 | |||||
Other secured borrowings(1) | 117,315 | |||||
Other secured borrowings, at fair value(1) | 282,124 | |||||
Accounts payable and accrued expenses(1) | 1,347 | |||||
Interest payable(1) | 957 | |||||
Other liabilities(1) | 278 | |||||
Total Liabilities | 752,210 | |||||
Total Stockholders' Equity | 305,479 | |||||
Non-controlling interests(1) | 16,236 | |||||
Total Equity | 321,715 | |||||
Total Liabilities and Equity | $ 1,073,925 | |||||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Securitization Transactions Nar
Securitization Transactions Narrative (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||||
Aug. 31, 2016 | Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | Dec. 31, 2017 | ||||
Securitization Transactions [Line Items] | ||||||||
Face amount of notes distributed from Risk Retention Vehicle | $ 5,600 | |||||||
Proceeds received from equity investment in risk retention vehicle (liquidation) | 5,700 | |||||||
Minimum economic interest required to be retained | 5.00% | |||||||
TBA securities, at fair value | $ 2,939,311 | |||||||
Participation in Multi-Seller Consumer Loan Securitization [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
Aggregate unpaid principal balance of loans sold | $ 124,000 | |||||||
Company's share of loans sold | 51.00% | |||||||
Co-participants share of loans sold | 49.00% | |||||||
Loss on securitization of financial assets | $ (100) | |||||||
Senior notes issued in securitization transaction | 87,000 | |||||||
Subordinated notes issued in securitization transaction | $ 18,700 | |||||||
Company's initial percentage ownership of jointly owned entity | 51.00% | |||||||
Affiliated co-participants initial percentage ownership of jointly owned entity | 49.00% | |||||||
Company's current percentage ownership of jointly owned entity | 49.60% | 62.00% | 75.00% | |||||
Maximum amount at risk | $ 2,600 | |||||||
CLO I Securitization [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
Loss on securitization of financial assets | $ 200 | |||||||
The Company [Member] | CLO I Securitization [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
Corporate loans transferred into CLO securitization | 62,000 | |||||||
Affiliated Entity [Member] | CLO I Securitization [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
Corporate loans transferred into CLO securitization | $ 141,700 | |||||||
CLOs | ||||||||
Securitization Transactions [Line Items] | ||||||||
TBA securities, at fair value | $ 123,893 | |||||||
CLOs | CLO I Securitization [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
TBA securities, at fair value | [1],[2] | $ 17,742 | [3] | 0 | [4] | |||
CLOs | Distributed from Risk Retention Vehicle [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
TBA securities, at fair value | $ 4,300 | |||||||
Non-QM loan securitization | ||||||||
Securitization Transactions [Line Items] | ||||||||
Threshold for exercising Optional Redemption | 30.00% | 30.00% | ||||||
Percentage used to calculate servicing administrator fee | 0.03% | 0.03% | ||||||
[1] | In August 2018, the notes originally issued by the CLO I Issuer in 2017 were fully redeemed, and the CLO I Issuer simultaneously issued new notes in conjunction with this full redemption. | |||||||
[2] | Included on the Company's Consolidated Condensed Schedule of Investments in Collateralized Loan Obligations. | |||||||
[3] | Includes secured and unsecured subordinated notes. | |||||||
[4] | Excludes the Company's equity investment in the CLO I Risk Retention Vehicle, as discussed above. |
Securitization Transactions (Sc
Securitization Transactions (Schedule of CLO Securitization Transactions) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2019 | Dec. 31, 2018 | ||||
Securitization Transactions [Line Items] | |||||
TBA securities, at fair value | $ 2,939,311 | ||||
CLO I Securitization [Member] | |||||
Securitization Transactions [Line Items] | |||||
CLO Pricing Date | [1],[2] | 2018-08 | 2017-05 | ||
CLO Closing Date | [1],[2] | 2018-08 | 2017-06 | ||
Total Face Amount of Notes Issued | [2] | $ 461,840 | $ 373,550 | [1] | |
Face Amount of Notes Initially Purchased | [2],[3] | 36,579 | 36,606 | [1] | |
Aggregate Purchase Price of Notes Initially Purchased | [2] | $ 25,622 | $ 35,926 | [1] | |
Reset CLO I Securitization [Member] | |||||
Securitization Transactions [Line Items] | |||||
CLO Pricing Date | [2] | 2018-08 | |||
CLO Closing Date | [2] | 2018-08 | |||
Total Face Amount of Notes Issued | [2] | $ 461,840 | |||
Face Amount of Notes Initially Purchased | [2],[3] | 36,579 | |||
Aggregate Purchase Price of Notes Initially Purchased | [2] | $ 25,622 | |||
CLO II Securitization [Member] | |||||
Securitization Transactions [Line Items] | |||||
CLO Pricing Date | 2017-12 | 2017-12 | |||
CLO Closing Date | 2018-01 | 2018-01 | |||
Total Face Amount of Notes Issued | $ 452,800 | $ 452,800 | |||
Face Amount of Notes Initially Purchased | [4] | 18,223 | 18,223 | ||
Aggregate Purchase Price of Notes Initially Purchased | $ 16,621 | $ 16,621 | |||
CLO III Securitization [Member] | |||||
Securitization Transactions [Line Items] | |||||
CLO Pricing Date | 2018-06 | 2018-06 | |||
CLO Closing Date | 2018-07 | 2018-07 | |||
Total Face Amount of Notes Issued | $ 407,100 | $ 407,100 | |||
Face Amount of Notes Initially Purchased | [4] | 35,480 | 35,480 | ||
Aggregate Purchase Price of Notes Initially Purchased | $ 32,394 | 32,394 | |||
CLO IV Securitization [Member] | |||||
Securitization Transactions [Line Items] | |||||
CLO Pricing Date | 2019-02 | ||||
CLO Closing Date | 2019-03 | ||||
Total Face Amount of Notes Issued | $ 478,488 | ||||
Face Amount of Notes Initially Purchased | [4] | 12,700 | |||
Aggregate Purchase Price of Notes Initially Purchased | 10,618 | ||||
CLOs | |||||
Securitization Transactions [Line Items] | |||||
TBA securities, at fair value | 123,893 | ||||
CLOs | CLO I Securitization [Member] | |||||
Securitization Transactions [Line Items] | |||||
TBA securities, at fair value | [2],[5] | 17,742 | [6] | 0 | [1] |
CLOs | Reset CLO I Securitization [Member] | |||||
Securitization Transactions [Line Items] | |||||
TBA securities, at fair value | [2],[5],[6] | 16,973 | |||
CLOs | CLO II Securitization [Member] | |||||
Securitization Transactions [Line Items] | |||||
TBA securities, at fair value | [5],[6] | 14,931 | 14,721 | ||
CLOs | CLO III Securitization [Member] | |||||
Securitization Transactions [Line Items] | |||||
TBA securities, at fair value | [5],[7] | 19,561 | $ 19,071 | ||
CLOs | CLO IV Securitization [Member] | |||||
Securitization Transactions [Line Items] | |||||
TBA securities, at fair value | [5],[7] | $ 10,496 | |||
[1] | Excludes the Company's equity investment in the CLO I Risk Retention Vehicle, as discussed above. | ||||
[2] | In August 2018, the notes originally issued by the CLO I Issuer in 2017 were fully redeemed, and the CLO I Issuer simultaneously issued new notes in conjunction with this full redemption. | ||||
[3] | The Company purchased secured and unsecured subordinated notes. | ||||
[4] | The Company purchased secured senior and secured and unsecured subordinated notes. | ||||
[5] | Included on the Company's Consolidated Condensed Schedule of Investments in Collateralized Loan Obligations. | ||||
[6] | Includes secured and unsecured subordinated notes. | ||||
[7] | Includes secured senior and secured and unsecured subordinated notes. |
Securitization Transactions (_2
Securitization Transactions (Schedule of Residential Loan Securitizations) (Details) - Non-QM loan securitization - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | ||
November 2017 [Member] | |||
Securitization Transactions [Line Items] | |||
Total Face Amount of Certificates Issued | [1] | $ 141,233,000 | $ 141,233,000 |
Economic interest retained | 5.10% | 5.10% | |
Purchase of certificates | $ 0.7 | $ 700,000 | |
November 2018 [Member] | |||
Securitization Transactions [Line Items] | |||
Total Face Amount of Certificates Issued | [2] | $ 232,518,000 | $ 232,518,000 |
Economic interest retained | 5.70% | 5.70% | |
Purchase of certificates | $ 1.3 | $ 1,300,000 | |
The Company [Member] | November 2017 [Member] | |||
Securitization Transactions [Line Items] | |||
Principal Balance of Loans Transferred to the Depositor | 141,233,000 | 141,233,000 | |
The Company [Member] | November 2018 [Member] | |||
Securitization Transactions [Line Items] | |||
Principal Balance of Loans Transferred to the Depositor | $ 232,518,000 | $ 232,518,000 | |
[1] | In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.1% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $0.7 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. | ||
[2] | In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.7% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. |
Securitization Transactions (_3
Securitization Transactions (Schedule of Assets and Liabilities Attributable to Consolidated VIEs) (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | |
Variable Interest Entity [Line Items] | ||||
Cash and cash equivalents(1) | $ 55,876 | [1] | $ 44,656 | $ 44,700 |
TBA securities, at fair value | 2,939,311 | |||
Interest payable | 7,159 | |||
Other secured borrowings, at fair value | 282,124 | [1] | 297,948 | |
Consolidated Entities [Member] | ||||
Variable Interest Entity [Line Items] | ||||
Cash and cash equivalents(1) | 0 | |||
Loans, at fair value | 296,366 | |||
TBA securities, at fair value | 314,202 | |||
Interest and dividends receivable | 4,734 | 3,527 | ||
Interest payable | 91 | 103 | ||
Other secured borrowings, at fair value | $ 282,124 | $ 297,948 | ||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
(Schedule of Reverse Repurchase
(Schedule of Reverse Repurchase Agreements by Maturity) (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019USD ($)counterparty | Dec. 31, 2018USD ($)counterparty | ||
Borrowings [Line Items] | |||
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparty | 24 | 23 | |
Total secured borrowings | $ 1,949,000 | $ 1,911,000 | |
Reverse repurchase agreements | [1] | $ 1,550,016 | $ 1,498,849 |
Debt, Weighted Average Interest Rate | 3.30% | 3.13% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 121 days | 122 days | |
Agency RMBS | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 941,266 | $ 917,262 | |
Debt, Weighted Average Interest Rate | 2.71% | 2.59% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 53 days | 47 days | |
Agency RMBS | 30 Days or Less | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 180,657 | $ 245,956 | |
Debt, Weighted Average Interest Rate | 2.73% | 2.46% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 14 days | 17 days | |
Agency RMBS | 31-60 Days | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 358,677 | $ 415,379 | |
Debt, Weighted Average Interest Rate | 2.71% | 2.58% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 45 days | 46 days | |
Agency RMBS | 61-90 Days | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 393,529 | $ 255,421 | |
Debt, Weighted Average Interest Rate | 2.69% | 2.74% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 76 days | 76 days | |
Agency RMBS | 91-120 Days | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 5,690 | $ 506 | |
Debt, Weighted Average Interest Rate | 2.73% | 3.31% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 148 days | 91 days | |
Agency RMBS | 151-180 Days | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 2,713 | ||
Debt, Weighted Average Interest Rate | 2.64% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 180 days | ||
U.S. Treasury securities | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 29,507 | $ 273 | |
Debt, Weighted Average Interest Rate | 2.54% | 3.10% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 1 day | 2 days | |
U.S. Treasury securities | 30 Days or Less | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 29,507 | $ 273 | |
Debt, Weighted Average Interest Rate | 2.54% | 3.10% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 1 day | 2 days | |
Credit | 30 Days or Less | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 9,330 | $ 30,426 | |
Debt, Weighted Average Interest Rate | 4.13% | 2.55% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 20 days | 22 days | |
Credit | 31-60 Days | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 70,732 | $ 189,937 | |
Debt, Weighted Average Interest Rate | 3.77% | 3.32% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 41 days | 48 days | |
Credit | 61-90 Days | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 156,414 | $ 93,202 | |
Debt, Weighted Average Interest Rate | 3.58% | 3.21% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 79 days | 74 days | |
Credit | 91-120 Days | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 683 | $ 26,222 | |
Debt, Weighted Average Interest Rate | 5.00% | 4.60% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 101 days | 123 days | |
Credit | 151-180 Days | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 9,487 | $ 9,491 | |
Debt, Weighted Average Interest Rate | 4.50% | 4.64% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 168 days | 166 days | |
Credit | 181-360 Days | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 264,458 | $ 91,730 | |
Debt, Weighted Average Interest Rate | 4.55% | 4.54% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 254 days | 316 days | |
Credit | More Than 360 Days | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 68,139 | $ 140,306 | |
Debt, Weighted Average Interest Rate | 5.46% | 5.15% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 774 days | 636 days | |
Credit | Total Credit Assets | |||
Borrowings [Line Items] | |||
Reverse repurchase agreements | $ 579,243 | $ 581,314 | |
Debt, Weighted Average Interest Rate | 4.29% | 3.98% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 236 days | 240 days | |
Minimum | |||
Borrowings [Line Items] | |||
Reverse Repurchase Agreements Remaining Terms | 1 day | 2 days | |
Reverse Repurchase Agreements Interest Rate | 0.24% | 0.23% | |
Maximum | |||
Borrowings [Line Items] | |||
Reverse Repurchase Agreements Remaining Terms | 781 days | 871 days | |
Reverse Repurchase Agreements Interest Rate | 5.85% | 6.07% | |
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. |
Borrowings (Details)
Borrowings (Details) $ in Thousands | Feb. 13, 2019USD ($) | Aug. 18, 2017USD ($) | Mar. 31, 2019USD ($)counterparty | Dec. 31, 2018USD ($)counterparty | Mar. 31, 2018USD ($) | ||
Borrowings [Line Items] | |||||||
Total secured borrowings | $ 1,949,000 | $ 1,911,000 | |||||
Concentration Risk, Reverse Repurchase Agreements | 21.00% | ||||||
Number of Counterparties With Concentration Risk, Reverse Repurchase Agreements | counterparty | 1 | ||||||
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparty | 24 | 23 | |||||
Investments held with dealers as collateral | $ 1,850,000 | $ 1,790,000 | |||||
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | $ 20,700 | $ 86,700 | $ 86,700 | ||||
Repurchase Agreements amount at risk threshold | 10.00% | 10.00% | |||||
Other secured borrowings | $ 117,315 | [1] | $ 114,100 | ||||
Minimum | |||||||
Borrowings [Line Items] | |||||||
Reverse Repurchase Agreements Maturity | 30 days | 30 days | |||||
Reverse Repurchase Agreements Remaining Terms | 1 day | 2 days | |||||
Reverse Repurchase Agreements Interest Rate | 0.24% | 0.23% | |||||
Maximum | |||||||
Borrowings [Line Items] | |||||||
Reverse Repurchase Agreements Maturity | 180 days | 180 days | |||||
Reverse Repurchase Agreements Remaining Terms | 781 days | 871 days | |||||
Reverse Repurchase Agreements Interest Rate | 5.85% | 6.07% | |||||
Reverse repurchase agreements | |||||||
Borrowings [Line Items] | |||||||
Cash collateral posted for securities sold under agreements to repurchase | [2],[3] | $ 13,900 | $ 17,000 | ||||
Security Owned and Pledged as Collateral, Fair Value | 200 | 200 | |||||
Securitized residential mortgage loans | |||||||
Borrowings [Line Items] | |||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 296,400 | 314,200 | |||||
Secured borrowing recourse facility collateralized by unsecured loan portfolio | |||||||
Borrowings [Line Items] | |||||||
Other secured borrowings | $ 11,400 | $ 13,200 | |||||
Effective interest rate on borrowing | 4.75% | 4.72% | |||||
Secured borrowing recourse facility collateralized by unsecured loan portfolio | Unsecured loans | |||||||
Borrowings [Line Items] | |||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 20,200 | $ 20,300 | |||||
Non-QM loan securitization | |||||||
Borrowings [Line Items] | |||||||
Other secured borrowings | $ 282,100 | $ 297,900 | |||||
Effective interest rate on borrowing | 3.75% | 3.72% | |||||
Secured borrowing facility collateralized by unsecured loan portfolio | |||||||
Borrowings [Line Items] | |||||||
Other secured borrowings | $ 105,900 | $ 101,000 | |||||
Effective interest rate on borrowing | 4.67% | 4.68% | |||||
Secured borrowing facility collateralized by unsecured loan portfolio | Unsecured loans | |||||||
Borrowings [Line Items] | |||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 157,100 | $ 149,000 | |||||
Senior Notes | |||||||
Borrowings [Line Items] | |||||||
Debt Instrument, Face Amount | $ 86,000 | $ 86,000 | |||||
Proceeds from Debt, Net of Issuance Costs | $ 84,700 | ||||||
Debt Instrument, Interest Rate, Stated Percentage | 5.50% | 5.25% | |||||
Redemption percentage | 100.00% | 100.00% | |||||
Debt Instrument, Maturity Date | Sep. 1, 2022 | ||||||
Effective interest rate on borrowing | 5.80% | 5.55% | |||||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. | ||||||
[2] | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of December 31, 2018 were $1.79 billion. As of December 31, 2018 total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $0.1 million. As of December 31, 2018 total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $16.4 million | ||||||
[3] | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Borrowings (Schedule of Debt Re
Borrowings (Schedule of Debt Repayments) (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Repurchase Agreements | |||
Debt Instrument [Line Items] | |||
2019 Scheduled Repayment of Principal | $ 1,346,013 | $ 1,358,542 | [1] |
2020 Scheduled Repayment of Principal | 139,258 | 78,530 | [1] |
2021 Scheduled Repayment of Principal | 64,745 | 61,776 | [1] |
2022 Scheduled Repayment of Principal | 0 | 0 | [1] |
2023 Scheduled Repayment of Principal | 0 | 0 | [1] |
Total Scheduled Repayment of Principal | 1,550,016 | 1,498,848 | [1] |
Other Secured Borrowings | |||
Debt Instrument [Line Items] | |||
2019 Scheduled Repayment of Principal | 177,617 | 194,135 | [2] |
2020 Scheduled Repayment of Principal | 211,266 | 205,198 | [2] |
2021 Scheduled Repayment of Principal | 11,375 | 13,150 | [2] |
2022 Scheduled Repayment of Principal | 0 | 0 | [2] |
2023 Scheduled Repayment of Principal | 0 | 0 | [2] |
Total Scheduled Repayment of Principal | 400,258 | 412,483 | [2] |
Senior Notes | |||
Debt Instrument [Line Items] | |||
2019 Scheduled Repayment of Principal | 0 | 0 | [1] |
2020 Scheduled Repayment of Principal | 0 | 0 | [1] |
2021 Scheduled Repayment of Principal | 0 | 0 | [1] |
2022 Scheduled Repayment of Principal | 86,000 | 86,000 | [1] |
2023 Scheduled Repayment of Principal | 0 | 0 | [1] |
Total Scheduled Repayment of Principal | 86,000 | 86,000 | [1] |
Total | |||
Debt Instrument [Line Items] | |||
2019 Scheduled Repayment of Principal | 1,523,630 | 1,552,677 | |
2020 Scheduled Repayment of Principal | 350,524 | 283,728 | |
2021 Scheduled Repayment of Principal | 76,120 | 74,926 | |
2022 Scheduled Repayment of Principal | 86,000 | 86,000 | |
2023 Scheduled Repayment of Principal | 0 | 0 | |
Total Scheduled Repayment of Principal | $ 2,036,274 | $ 1,997,331 | |
[1] | Reflects the Company's contractual principal repayment dates. | ||
[2] | Reflects the Company's expected principal repayment dates. |
Related Party Transactions (Det
Related Party Transactions (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2019USD ($)period | Mar. 31, 2018USD ($) | Dec. 31, 2018USD ($) | ||||
Related Party Transaction [Line Items] | ||||||
Annual base management fee percentage | 1.50% | 1.50% | ||||
Base management fee to affiliate | $ 1,722 | [1] | $ 1,978 | [2] | ||
Base management fee, gross | 2,100 | |||||
Base management fee, rebates | $ 400 | |||||
Incentive fee rate | 25.00% | 25.00% | ||||
Incentive Fee, Loss Carryforward | $ 0 | $ 2,100 | ||||
Incentive fee hurdle rate fixed | 9.00% | 9.00% | ||||
Incentive fee hurdle rate floating | 3.00% | 3.00% | ||||
Minimum percentage of incentive fee to be paid in share | 10.00% | 10.00% | ||||
Termination Fee, Number Of Periods | period | 2 | |||||
Termination Fee, Period | 12 months | |||||
Expense Reimbursement Period | 60 days | 60 days | ||||
Expense Reimbursement - Manager | $ 2,700 | $ 1,500 | ||||
TBA securities, at fair value | 2,939,311 | |||||
Investment in unconsolidated entities, at fair value | [3] | 58,152 | ||||
Non-controlling interests(1) | 30,225 | [3] | 31,337 | |||
Reverse repurchase agreements | [4] | 1,550,016 | 1,498,849 | |||
Management fee rebate | 447 | $ 1,380 | 300 | |||
Other assets(1) | 3,779 | [3] | 15,536 | |||
Face amount of investments purchased from related party | $ 2,900 | |||||
Management Fee, description | The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. | |||||
Incentive fee, description | The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of December 31, 2018, there was a Loss Carryforward of $2.1 million. For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common share and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares and OP Units issued in such issuance and the number of days that such issued shares and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to common shares and OP Units at the beginning of such fiscal quarter by (II) the average number of common shares and OP Units outstanding for each day during such fiscal quarter, (iii) the sum of (x) the average number of common shares and LTIP Units outstanding for each day during such fiscal quarter, and (y) the average number of OP Units and OP LTIP Units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares, OP LTIP Units, and OP Units (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of common shares and cash, provided that at least 10% of any quarterly payment will be made in common shares. | |||||
Termination fee, description | The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company or (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual Quarterly Base Management Fee Amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual Quarterly Incentive Fee Amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. | |||||
Commercial mortgage loans and REO | ||||||
Related Party Transaction [Line Items] | ||||||
TBA securities, at fair value | 25,300 | $ 25,300 | ||||
Reverse repurchase agreements | 148,300 | 77,000 | ||||
Corporate equity securities | ||||||
Related Party Transaction [Line Items] | ||||||
TBA securities, at fair value | 43,793 | |||||
Secured notes | ||||||
Related Party Transaction [Line Items] | ||||||
TBA securities, at fair value | 10,917 | |||||
Corporate debt securities | ||||||
Related Party Transaction [Line Items] | ||||||
TBA securities, at fair value | 22,392 | |||||
Mortgage Originator | ||||||
Related Party Transaction [Line Items] | ||||||
Warehouse facility, monetary amount | $ 5,000 | $ 5,000 | ||||
Interest rate | 15.00% | 15.00% | ||||
Advances made under warehouse facility | $ 0 | $ 0 | ||||
Related Party-Consumer Loans Titled in Name of Related Party | ||||||
Related Party Transaction [Line Items] | ||||||
Fair value of loans held in related party trust | 23,300 | 21,900 | ||||
Purchasing Entity | ||||||
Related Party Transaction [Line Items] | ||||||
Fair value of loans held in related party trust | 190,200 | 181,500 | ||||
Consumer loans purchased through affiliate | 43,600 | 166,300 | ||||
Estimated remaining contingent purchase obligations | 227,200 | 263,500 | ||||
Related party trust - Residential Mortgage Loans and REO | ||||||
Related Party Transaction [Line Items] | ||||||
Fair value of loans held in related party trust | 288,400 | 498,100 | ||||
Non-controlling interest of joint venture partner | Unrelated third party joint venture interest | Commercial mortgage loans and REO | ||||||
Related Party Transaction [Line Items] | ||||||
Non-controlling interests(1) | 1,500 | 1,400 | ||||
Non-controlling interest of joint venture partner | Related party joint venture interest | Commercial mortgage loans and REO | ||||||
Related Party Transaction [Line Items] | ||||||
Non-controlling interests(1) | 4,100 | 4,100 | ||||
Participation in multi-borrower financing facility | ||||||
Related Party Transaction [Line Items] | ||||||
Outstanding debt of related party | 234,300 | 149,000 | ||||
Loan receivable from affiliated entity related to warehouse facility | ||||||
Related Party Transaction [Line Items] | ||||||
Other assets(1) | 4,800 | 11,600 | ||||
Investment purchased from related party | Corporate debt securities | ||||||
Related Party Transaction [Line Items] | ||||||
TBA securities, at fair value | 1,600 | |||||
Mortgage-related Commercial | Corporate equity securities | ||||||
Related Party Transaction [Line Items] | ||||||
TBA securities, at fair value | 8,800 | $ 1,100 | ||||
Ownership percentage of limited liability company held as investment | 15.00% | |||||
Jepson Holdings Limited | ||||||
Related Party Transaction [Line Items] | ||||||
Investment in unconsolidated entities, at fair value | $ 7,000 | |||||
[1] | See Note 13 for further details on management fee rebates. | |||||
[2] | See Note 9 for further details on management fee rebates. | |||||
[3] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. | |||||
[4] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. |
Long-Term Incentive Plan Unit_2
Long-Term Incentive Plan Units (Narrative) (Details) - USD ($) $ in Thousands | Dec. 12, 2018 | Sep. 12, 2018 | Mar. 07, 2018 | Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based long term incentive plan unit expense | $ 116 | $ 93 | ||||
Capital shares reserved for future issuance (in shares) | 1,874,223 | 1,874,223 | ||||
Long-Term Incentive Plan Units [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
LTIP Unit Grants in Period (in units) | 0 | 1,723 | ||||
Grants in Period (in shares) | 37,709 | 39,432 | ||||
Director [Member] | Long-Term Incentive Plan Units [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
LTIP Unit Grants in Period (in units) | 14,440 | |||||
Grants in Period (in shares) | 14,440 | 14,440 | ||||
Dedicated or partially dedicated personnel [Member] | Long-Term Incentive Plan Units [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
LTIP Unit Grants in Period (in units) | 17,383 | 1,723 | ||||
Vest December 11, 2019 [Member] | Dedicated or partially dedicated personnel [Member] | Long-Term Incentive Plan Units [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Grants in Period (in shares) | 8,692 | 8,692 | ||||
Vest December 12, 2019 [Member] | Dedicated or partially dedicated personnel [Member] | Long-Term Incentive Plan Units [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Grants in Period (in shares) | 5,886 | 5,886 | ||||
Vest December 11, 2020 [Member] | Dedicated or partially dedicated personnel [Member] | Long-Term Incentive Plan Units [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Grants in Period (in shares) | 8,691 | 8,691 | ||||
Non-controlling interest in Operating Partnership [Member] | Non-controlling Interest | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Operating Partnership LTIP Units Redeemed (in units) | 503,988 |
Long-Term Incentive Plan Unit_3
Long-Term Incentive Plan Units Long-Term Incentive Plan Units (Unvested LTIP Units) (Details) - Long-Term Incentive Plan Units [Member] - shares | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | ||
Schedule of Unvested LTIP Units [Line Items] | |||
Number of OP LTIP Units (in units) | 37,709 | 39,432 | |
Director [Member] | |||
Schedule of Unvested LTIP Units [Line Items] | |||
Number of OP LTIP Units (in units) | 14,440 | 14,440 | |
Grant Date | Sep. 12, 2018 | Sep. 12, 2018 | |
Vesting Date(1) | [1] | Sep. 11, 2019 | Sep. 11, 2019 |
Vest December 11, 2019 [Member] | Dedicated or partially dedicated personnel [Member] | |||
Schedule of Unvested LTIP Units [Line Items] | |||
Number of OP LTIP Units (in units) | 8,692 | 8,692 | |
Grant Date | Dec. 11, 2018 | Dec. 11, 2018 | |
Vesting Date(1) | [1] | Dec. 11, 2019 | Dec. 11, 2019 |
Vest December 11, 2020 [Member] | Dedicated or partially dedicated personnel [Member] | |||
Schedule of Unvested LTIP Units [Line Items] | |||
Number of OP LTIP Units (in units) | 8,691 | 8,691 | |
Grant Date | Dec. 11, 2018 | Dec. 11, 2018 | |
Vesting Date(1) | [1] | Dec. 11, 2020 | Dec. 11, 2020 |
Vest March 7, 2019 [Member] | Dedicated or partially dedicated personnel [Member] | |||
Schedule of Unvested LTIP Units [Line Items] | |||
Number of OP LTIP Units (in units) | 1,723 | ||
Grant Date | Mar. 7, 2018 | ||
Vesting Date(1) | [1] | Mar. 7, 2019 | |
Vest December 12, 2019 [Member] | Dedicated or partially dedicated personnel [Member] | |||
Schedule of Unvested LTIP Units [Line Items] | |||
Number of OP LTIP Units (in units) | 5,886 | 5,886 | |
Grant Date | Dec. 12, 2017 | Dec. 12, 2017 | |
Vesting Date(1) | [1] | Dec. 12, 2019 | Dec. 12, 2019 |
[1] | Date at which such OP LTIP Units will vest and become non-forfeitable. |
Long-Term Incentive Plan Unit_4
Long-Term Incentive Plan Units (Roll-Forward of Company's LTIP Units Outstanding) (Details) - shares | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||
Exercised | 0 | 0 |
Long-Term Incentive Plan Units [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||
LTIP Units Outstanding, beginning of period | 521,371 | 491,159 |
Granted | 0 | 1,723 |
Exercised | 0 | 0 |
LTIP Units Outstanding, end of period | 521,371 | 492,882 |
OP LTIP Units Unvested and Outstanding end of period | 37,709 | |
OP LTIP Units Vested and Outstanding (3/31/19) | 483,662 | 461,155 |
Manager [Member] | Long-Term Incentive Plan Units [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||
LTIP Units Outstanding, beginning of period | 375,000 | 375,000 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
LTIP Units Outstanding, end of period | 375,000 | 375,000 |
OP LTIP Units Unvested and Outstanding end of period | 0 | |
OP LTIP Units Vested and Outstanding (3/31/19) | 375,000 | 375,000 |
Non-Manager [Member] | Long-Term Incentive Plan Units [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||
LTIP Units Outstanding, beginning of period | 146,371 | 116,159 |
Granted | 0 | 1,723 |
Exercised | 0 | 0 |
LTIP Units Outstanding, end of period | 146,371 | 117,882 |
OP LTIP Units Unvested and Outstanding end of period | 37,709 | |
OP LTIP Units Vested and Outstanding (3/31/19) | 108,662 | 86,155 |
Non-controlling Interests (Deta
Non-controlling Interests (Details) - USD ($) $ in Thousands | Dec. 12, 2018 | Jan. 02, 2013 | Mar. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Noncontrolling Interest [Line Items] | ||||||
Non-controlling interests(1) | $ 30,225 | [1] | $ 31,337 | |||
Non-controlling interest in Operating Partnership [Member] | Non-controlling Interest | ||||||
Noncontrolling Interest [Line Items] | ||||||
Operating Partnership Units Issued | 212,000 | |||||
Operating Partnership LTIP Units Issued (in units) | 17,383 | |||||
Operating Partnership LTIP Units Redeemed (in units) | 503,988 | |||||
Operating Partnership LTIP Units Distributed (in units) | 503,988 | |||||
Operating Partnership LTIP Units (in units) | 521,371 | 521,371 | ||||
Operating Partnership Units (in units) | 212,000 | 212,000 | ||||
Ownership Percentage | 2.40% | 2.40% | 0.70% | |||
Noncontrolling Interest in Operating Partnerships | $ 13,900 | $ 13,900 | ||||
Non-controlling interest of joint venture partner | Non-controlling Interest | ||||||
Noncontrolling Interest [Line Items] | ||||||
Non-controlling interests(1) | $ 16,200 | $ 17,300 | ||||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Common Stock Capitalization (Na
Common Stock Capitalization (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 10 Months Ended | ||||||
Mar. 31, 2019 | Mar. 31, 2018 | Mar. 31, 2019 | Feb. 28, 2019 | Dec. 31, 2018 | Jun. 13, 2018 | Feb. 06, 2018 | Dec. 31, 2017 | |
Stockholders' Equity Note [Abstract] | ||||||||
Common stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | 100,000,000 | |||||
Common shares | $ 0.001 | $ 0.001 | $ 0.001 | |||||
Common stock, shares outstanding | 29,745,776 | 30,392,041 | 29,745,776 | 29,796,601 | 31,335,938 | |||
Dividends declared (in usd per share) | $ 0.55 | $ 0.41 | ||||||
Dividends declared | $ 16,800 | |||||||
Dividends paid | $ (12,497) | $ (12,850) | ||||||
Common shares issued and outstanding upon conversion of all convertible securities (in shares) | 30,479,147 | 31,096,923 | 30,479,147 | |||||
Number of shares authorized to be repurchased (in shares) | 1,550,000 | 1,550,000 | ||||||
Shares repurchased (in shares) | 50,825 | 943,897 | 411,915 | |||||
Average price per share (USD per share) | $ 15.39 | $ 14.80 | $ 15.34 | |||||
Total cost | $ (782) | $ (13,966) | $ (6,300) |
Common Stock Capitalization (Su
Common Stock Capitalization (Summary of Common Stock Outstanding) (Details) - shares | 3 Months Ended | 10 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | Mar. 31, 2019 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning balance (in shares) | 29,796,601 | 31,335,938 | |
Shares repurchased | (50,825) | (943,897) | (411,915) |
Director OP LTIP Units exercised | 0 | 0 | |
Ending balance (in shares) | 29,745,776 | 30,392,041 | 29,745,776 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Net increase (decrease) in shareholders' equity resulting from operations | |||
Net income (loss) attributable to common stockholders | $ 15,408 | $ 21,039 | |
Add: Net income (loss) attributable to Convertible Non-controlling Interests | 380 | 142 | |
Net income (loss) related to common stockholders and Convertible Non-controlling Interests | 15,788 | 21,181 | |
Dividends Paid: | |||
Dividends | (16,764) | [1] | (12,850) |
Undistributed (Distributed in excess of) earnings: | |||
Total undistributed (distributed in excess of) earnings | $ (976) | $ (8,331) | |
Basic earnings per share of common stock: | |||
Distributed (in usd per share) | $ 0.55 | $ 0.41 | |
Undistributed (Distributed in excess of) (in usd per share) | (0.03) | 0.26 | |
Basic earnings per common share (in usd per share) | 0.52 | 0.67 | |
Diluted earnings per share of common stock: | |||
Distributed (in usd per share) | 0.55 | 0.41 | |
Undistributed (Distributed in excess of) (usd per share) | (0.03) | 0.26 | |
Diluted earnings per common share (in usd per share) | $ 0.52 | $ 0.67 | |
Net increase (decrease) in equity resulting from operations | $ 700 | $ 100 | |
Common Stock | |||
Net increase (decrease) in shareholders' equity resulting from operations | |||
Net income (loss) attributable to common stockholders | 20,709 | ||
Dividends Paid: | |||
Dividends | (16,360) | (12,562) | |
Undistributed (Distributed in excess of) earnings: | |||
Total undistributed (distributed in excess of) earnings | $ (952) | $ (8,147) | |
Weighted average shares outstanding (basic and diluted): | |||
Weighted average shares outstanding (basic and diluted) (in shares) | 29,747,537 | 30,830,615 | |
Long-Term Incentive Plan Units [Member] | |||
Net increase (decrease) in shareholders' equity resulting from operations | |||
Net income (loss) attributable to common stockholders | $ 330 | ||
Dividends Paid: | |||
Dividends | (201) | ||
Undistributed (Distributed in excess of) earnings: | |||
Total undistributed (distributed in excess of) earnings | $ (129) | ||
Weighted average shares outstanding (basic and diluted): | |||
Weighted average shares outstanding (basic and diluted) (in shares) | 491,638 | ||
Non-controlling Interest | |||
Dividends Paid: | |||
Dividends | $ (404) | $ (87) | |
Undistributed (Distributed in excess of) earnings: | |||
Total undistributed (distributed in excess of) earnings | $ (24) | $ (55) | |
Weighted average shares outstanding (basic and diluted): | |||
Weighted average shares outstanding (basic and diluted) (in shares) | 733,371 | 212,000 | |
Convertible Non-controlling Interest [Member] | |||
Weighted average shares outstanding (basic and diluted): | |||
Weighted average shares outstanding (basic and diluted) (in shares) | 30,480,908 | ||
[1] | For the three-month period ended March 31, 2019, dividends totaling $0.55 per share of common stock outstanding were declared. |
(Schedule of Restricted Cash) (
(Schedule of Restricted Cash) (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Restricted Cash [Line Items] | ||
Restricted cash | $ 425 | |
Minimum account balance required for regulatory purposes | ||
Restricted Cash [Line Items] | ||
Restricted cash | 250 | |
Flow consumer loan purchase and sale agreement | ||
Restricted Cash [Line Items] | ||
Restricted cash | $ 200 | $ 175 |
Offsetting of Assets and Liab_3
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Financial derivatives–assets | |||
Financial derivatives–assets, at fair value- | [1] | $ 15,356 | $ 20,001 |
Financial Instruments Available for Offset | (12,082) | (10,910) | |
Cash Collateral (Received) Pledged | [2],[3] | (1,232) | (2,514) |
Net Amount | 2,042 | 6,577 | |
Reverse repurchase agreements | |||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | [1] | 25,381 | 61,274 |
Financial Instruments Available for Offset | (25,381) | (61,274) | |
Cash Collateral (Received) Pledged | [2],[3] | 0 | 0 |
Net Amount | 0 | 0 | |
Repurchase agreements | |||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | [1] | (1,550,016) | (1,498,849) |
Financial Instruments Available for Offset | 25,381 | 61,274 | |
Cash Collateral (Received) Pledged | [2],[3] | 13,873 | 16,974 |
Net Amount | 0 | 0 | |
Financial derivatives–liabilities | |||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | [1] | (26,904) | (20,806) |
Financial Instruments Available for Offset | 12,082 | 10,910 | |
Cash Collateral (Received) Pledged | [2],[3] | 10,373 | 9,896 |
Net Amount | (4,449) | 0 | |
Securities Collateral relating to Reverse Repurchase Agreements | 1,850,000 | 1,790,000 | |
Financial Derivatives - Assets | |||
Financial derivatives–assets | |||
Financial derivatives–assets, at fair value- | 20,001 | ||
Financial Instruments Transferred or Pledged as Collateral | [2],[3] | 0 | 0 |
Financial derivatives–liabilities | |||
Excess cash collateral | 3,000 | 100 | |
Repurchase Agreements [Member] | |||
Financial derivatives–assets | |||
Financial Instruments Transferred or Pledged as Collateral | [2],[3] | 0 | 0 |
Reverse repurchase agreements | |||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | 61,274 | ||
Financial Derivatives - Liabilities | |||
Financial derivatives–assets | |||
Financial Instruments Transferred or Pledged as Collateral | [2],[3] | 0 | 0 |
Financial derivatives–liabilities | |||
Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet(1) | 20,806 | ||
Excess cash collateral | 13,800 | 16,400 | |
Reverse repurchase agreements | |||
Financial derivatives–assets | |||
Financial Instruments Transferred or Pledged as Collateral | [2],[3] | $ 1,510,762 | $ 1,420,601 |
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. | ||
[2] | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of December 31, 2018 were $1.79 billion. As of December 31, 2018 total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $0.1 million. As of December 31, 2018 total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $16.4 million | ||
[3] | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Counterparty Risk (Exposure to
Counterparty Risk (Exposure to Counterparty Risk) (Details) - Counterparty Risk [Member] $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($)counterparty | |
Cash and Cash Equivalents [Member] | |
Concentration Risk [Line Items] | |
Amount of Exposure | $ | $ 55,876 |
Number of Counterparties with Exposure | counterparty | 7 |
Percentage of Total Outstanding Unpaid Principal Balance | 55.90% |
Collateral On Repurchase Agreements Held By Dealers [Member] | |
Concentration Risk [Line Items] | |
Amount of Exposure | $ | $ 1,864,614 |
Number of Counterparties with Exposure | counterparty | 25 |
Percentage of Total Outstanding Unpaid Principal Balance | 16.00% |
Due From Broker [Member] | |
Concentration Risk [Line Items] | |
Amount of Exposure | $ | $ 58,145 |
Number of Counterparties with Exposure | counterparty | 17 |
Percentage of Total Outstanding Unpaid Principal Balance | 24.90% |
Receivable For Securities Sold [Member] | |
Concentration Risk [Line Items] | |
Amount of Exposure | $ | $ 40,489 |
Number of Counterparties with Exposure | counterparty | 6 |
Percentage of Total Outstanding Unpaid Principal Balance | 29.70% |
Counterparty Risk (Narrative) (
Counterparty Risk (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2018 | Dec. 31, 2018 | Mar. 31, 2019 | ||
Risks and Uncertainties [Abstract] | ||||
Investments held with dealers as collateral | $ 1,790,000 | $ 1,850,000 | ||
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | $ 86,700 | $ 86,700 | 20,700 | |
Concentration risk threshold | 15.00% | 15.00% | ||
Unencumbered investments held in custody | $ 13,300 | |||
Cash and cash equivalents(1) | $ 44,700 | $ 44,656 | $ 55,876 | [1] |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Counterparty Risk (% of Total C
Counterparty Risk (% of Total Collateral on Reverse Repurchase Agreements) (Details) | Dec. 31, 2018 |
Royal Bank of Canada [Member] | |
Concentration Risk [Line Items] | |
Percentage of Total Collateral On Reverse Repurchase Agreements | 19.00% |
Counterparty Risk (% of Due fro
Counterparty Risk (% of Due from Brokers) (Details) | Dec. 31, 2018 |
Morgan Stanley [Member] | |
Concentration Risk [Line Items] | |
% of Total Due from Brokers | 37.00% |
J.P. Morgan Securities LLC [Member] | |
Concentration Risk [Line Items] | |
% of Total Due from Brokers | 30.00% |
Counterparty Risk (% of Total R
Counterparty Risk (% of Total Receivable for Securities Sold) (Details) | Dec. 31, 2018 |
J.P. Morgan Securities LLC [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 25.00% |
Bank of America Securities [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 26.00% |
CS First Boston Limited [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 34.00% |
Counterparty Risk (Cash and Cas
Counterparty Risk (Cash and Cash Equivalents) (Details) | Dec. 31, 2018 |
Bank of New York Mellon Corporation [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage, cash and cash equivalents | 64.00% |
Deutsche Bank Securities [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage, cash and cash equivalents | 5.00% |
Bank of America Securities [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage, cash and cash equivalents | 2.00% |
Morgan Stanley Institutional Liquidity Fund - Government Portfolio [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage, cash and cash equivalents | 10.00% |
BlackRock Liquidity Funds FedFund Portfolio, Institutional Class Shares [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage, cash and cash equivalents | 9.00% |
Goldman Sachs Financial Square Funds - Government Fund [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage, cash and cash equivalents | 9.00% |
US Bank N.A. [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage, cash and cash equivalents | 1.00% |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 |
Other Commitments [Line Items] | ||
Unfunded commitments | $ 1,600,000 | $ 1,000,000 |
Related party mortgage originator (with flow mortgage loan purchase and sale agreement) [Member] | Non-Exchange Traded Equity Investment in Mortgage Originators [Member] | ||
Other Commitments [Line Items] | ||
Unfunded commitments | 0 | |
Maximum guarantees | 25,000,000 | 25,000,000 |
Drawn down amount being guaranteed | $ 9,400,000 | $ 2,900,000 |
Financial Highlights (Narrative
Financial Highlights (Narrative) (Details) | 3 Months Ended |
Mar. 31, 2018 | |
Investment Company, Financial Highlights [Abstract] | |
Market Based Total Return | 5.03% |
Financial Highlights (Results o
Financial Highlights (Results of Operations for a Share Outstanding) (Details) - $ / shares | 3 Months Ended | |||
Mar. 31, 2018 | Mar. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Increase (Decrease) Equity Per Share [Roll Forward] | ||||
Beginning Shareholders' Equity Per Share (12/31/2017) | $ 19.15 | |||
Net Investment Income | 0.33 | |||
Net Realized/Unrealized Gains (Losses) | 0.36 | |||
Results of Operations Attributable to Equity | 0.69 | |||
Less: Results of Operations Attributable to Non-controlling Interests | (0.01) | |||
Results of Operations Attributable to Shareholders' Equity | 0.68 | |||
Dividends Paid to Common Shareholders | (0.41) | |||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | 0.14 | |||
Ending Shareholders' Equity Per Share (3/31/2018 and 3/31/2017, respectively) | $ 19.56 | |||
Shares Outstanding, end of period | 30,392,041 | 29,745,776 | 29,796,601 | 31,335,938 |
Shareholders Equity Per Share Upon Conversion Of All Convertible Units (in usd per share) | $ 19.25 |
Financial Highlights (Net Asset
Financial Highlights (Net Asset Value Based Total Return for a Shareholder) (Details) | 3 Months Ended |
Mar. 31, 2018 | |
Investment Company, Financial Highlights [Abstract] | |
Total Return | 4.30% |
Financial Highlights (Net Inves
Financial Highlights (Net Investment Income Ratio to Average Equity) (Details) | 3 Months Ended |
Mar. 31, 2018 | |
Investment Company, Financial Highlights [Abstract] | |
Net Investment Income (Loss) Ratio | 6.75% |
Financial Highlights (Expense R
Financial Highlights (Expense Ratios to Average Equity) (Details) | 3 Months Ended |
Mar. 31, 2018 | |
Investment Company, Financial Highlights [Abstract] | |
Operating expenses, before interest expense and other investment related expenses | (2.67%) |
Interest expense and other investment related expenses | (9.56%) |
Total Expenses | (12.23%) |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Millions | Mar. 12, 2019 | Feb. 15, 2019 | May 07, 2019 | Apr. 05, 2019 | Mar. 31, 2019 | Mar. 11, 2019 | Feb. 28, 2019 | Feb. 14, 2019 | Feb. 13, 2019 | Aug. 18, 2017 |
Subsequent Event [Line Items] | ||||||||||
Dividend Per Share (USD per share) | $ 0.14 | $ 0.41 | ||||||||
Common shares | $ 0.001 | $ 0.001 | ||||||||
Declared date | Mar. 11, 2019 | Feb. 14, 2019 | ||||||||
Payment Date | Apr. 25, 2019 | Mar. 15, 2019 | ||||||||
Record Date | Mar. 29, 2019 | Mar. 1, 2019 | ||||||||
Subsequent Event [Member] | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Dividend Per Share (USD per share) | $ 0.14 | $ 0.14 | ||||||||
Senior Notes | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Debt Instrument, Face Amount | $ 86 | $ 86 | ||||||||
Debt Instrument, Interest Rate, Stated Percentage | 5.50% | 5.25% |