Cover
Cover - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Feb. 17, 2023 | Jun. 30, 2022 | |
Entity Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2022 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 001-34385 | ||
Entity Registrant Name | Invesco Mortgage Capital Inc. | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Tax Identification Number | 26-2749336 | ||
Entity Address, Address Line One | 1555 Peachtree Street, N.E., Suite 1800 | ||
Entity Address, City or Town | Atlanta, | ||
Entity Address, State or Province | GA | ||
Entity Address, Postal Zip Code | 30309 | ||
City Area Code | 404 | ||
Local Phone Number | 892-0896 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 483,410,477 | ||
Entity Common Stock, Shares Outstanding | 38,710,916 | ||
Documents Incorporated by Reference | Part III of this Form 10-K incorporates by reference certain information (solely to the extent explicitly indicated) from the registrant’s proxy statement for the 2023 Annual Meeting of Stockholders to be filed pursuant to Regulation 14A. | ||
Amendment Flag | false | ||
Document Fiscal Year Focus | 2022 | ||
Document Fiscal Period Focus | FY | ||
Entity Central Index Key | 0001437071 | ||
Common Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Common Stock, par value $0.01 per share | ||
Trading Symbol | IVR | ||
Security Exchange Name | NYSE | ||
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | ||
Trading Symbol | IVRpB | ||
Security Exchange Name | NYSE | ||
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | ||
Trading Symbol | IVRpC | ||
Security Exchange Name | NYSE |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2022 | |
Audit Information [Abstract] | |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | Atlanta, Georgia |
Auditor Firm ID | 238 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
ASSETS | ||
Mortgage-backed securities, at fair value (including pledged securities of $4,439,583 and $7,326,175, respectively) | $ 4,791,893 | $ 7,804,259 |
Cash and cash equivalents | 175,535 | 357,134 |
Restricted cash | 103,246 | 219,918 |
Due from counterparties | 1,584 | 7,985 |
Investment related receivable | 22,744 | 16,766 |
Derivative assets, at fair value | 662 | 270 |
Other assets | 1,731 | 37,509 |
Total assets | 5,097,395 | 8,443,841 |
Liabilities: | ||
Repurchase agreements | 4,234,823 | 6,987,834 |
Derivative liabilities, at fair value | 2,079 | 14,356 |
Dividends payable | 25,162 | 29,689 |
Accrued interest payable | 20,546 | 1,171 |
Collateral held payable | 4,892 | 280 |
Accounts payable and accrued expenses | 1,365 | 1,887 |
Due to affiliate | 4,453 | 6,489 |
Total liabilities | 4,293,320 | 7,041,706 |
Commitments and contingencies | ||
Stockholders' equity: | ||
Common Stock, par value $0.01 per share; 67,000,000 and 450,000,000 shares authorized, respectively; 38,710,916 and 32,987,478 shares issued and outstanding, respectively | 387 | 330 |
Additional paid in capital | 3,901,562 | 3,819,375 |
Accumulated other comprehensive income | 10,761 | 37,286 |
Retained earnings (distributions in excess of earnings) | (3,407,342) | (2,882,824) |
Total stockholders’ equity | 804,075 | 1,402,135 |
Total liabilities and stockholders' equity | 5,097,395 | 8,443,841 |
Series B Preferred Stock | ||
Stockholders' equity: | ||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | 109,679 | 149,860 |
Series C Preferred Stock | ||
Stockholders' equity: | ||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | $ 189,028 | $ 278,108 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 |
MBS and GSE CRT pledged as collateral | $ 4,439,583,000 | $ 7,326,175,000 |
Preferred Stock, par value (in usd per share) | $ 0.01 | $ 0.01 |
Preferred Stock, shares authorized | 50,000,000 | 50,000,000 |
Common stock, par value (in usd per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 67,000,000 | 450,000,000 |
Common stock, shares issued | 38,710,916 | 32,987,478 |
Common stock, shares outstanding | 38,710,916 | 32,987,478 |
Series B Preferred Stock | ||
Preferred Stock, dividend rate stated percentage | 7.75% | 7.75% |
Preferred Stock, shares issued | 4,537,634 | 6,200,000 |
Preferred Stock, shares outstanding | 4,537,634 | 6,200,000 |
Preferred Stock, aggregate liquidation preference | $ 113,441,000 | $ 155,000,000 |
Series C Preferred Stock | ||
Preferred Stock, dividend rate stated percentage | 7.50% | 7.50% |
Preferred Stock, shares issued | 7,816,470 | 11,500,000 |
Preferred Stock, shares outstanding | 7,816,470 | 11,500,000 |
Preferred Stock, aggregate liquidation preference | $ 195,412,000 | $ 287,500,000 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | ||
Interest income | ||||
Mortgage-backed and other securities | $ 192,566 | $ 167,056 | $ 277,400 | |
Commercial and other loans | 1,947 | 2,146 | 2,766 | |
Total interest income | 194,513 | 169,202 | 280,166 | |
Interest expense | ||||
Repurchase agreements | [1] | 51,560 | (11,290) | 73,607 |
Secured loans | 0 | 0 | 8,655 | |
Total interest expense | 51,560 | (11,290) | 82,262 | |
Net interest income | 142,953 | 180,492 | 197,904 | |
Other income (loss) | ||||
Gain (loss) on investments, net | (1,079,339) | (366,509) | (961,938) | |
(Increase) decrease in provision for credit losses | 0 | 1,768 | (1,768) | |
Equity in earnings (losses) of unconsolidated ventures | (407) | 870 | 1,163 | |
Gain (loss) on derivative instruments, net | 559,007 | 122,611 | (851,050) | |
Realized and unrealized credit derivative income (loss), net | 0 | 0 | (35,312) | |
Net gain (loss) on extinguishment of debt | 0 | 0 | 14,742 | |
Other investment income (loss), net | 186 | 1 | 2,137 | |
Total other income (loss) | (520,553) | (241,259) | (1,832,026) | |
Expenses | ||||
Management fee — related party | 16,906 | 21,080 | 29,367 | |
General and administrative | 8,418 | 8,153 | 10,863 | |
Total expenses | 25,324 | 29,233 | 40,230 | |
Net income (loss) | (402,924) | (90,000) | (1,674,352) | |
Dividends to preferred stockholders | (28,218) | (37,795) | (44,426) | |
Gain on repurchase and retirement of preferred stock | 14,179 | 0 | 0 | |
Issuance and redemption costs of redeemed preferred stock | 0 | 4,682 | 0 | |
Net income (loss) attributable to common stockholders | $ (416,963) | $ (132,477) | $ (1,718,778) | |
Net income (loss) attributable to common stockholders | ||||
Basic (in usd per share) | $ (12.21) | $ (4.82) | $ (98.93) | |
Diluted (in usd per share) | $ (12.21) | $ (4.82) | $ (98.93) | |
Weighted average number of shares of common stock: | ||||
Basic (in shares) | 34,160,080 | 27,513,223 | 17,373,039 | |
Diluted (in shares) | 34,160,080 | 27,513,223 | 17,373,039 | |
[1]Negative interest expense on repurchase agreements in 2021 is due to amortization of net deferred gains on de-designated interest rate swaps that exceeds current period interest expense on repurchase agreements. For further information on amortization of amounts classified in accumulated other comprehensive income before we discontinued hedge accounting, see Note 8 - “Derivatives and Hedging Activities” and Note 12 - “Stockholders' Equity” |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Statement of Comprehensive Income [Abstract] | |||
Net income (loss) | $ (402,924) | $ (90,000) | $ (1,674,352) |
Other comprehensive income (loss): | |||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | (6,280) | 756 | (223,416) |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 0 | 0 | 13,940 |
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses | 0 | 0 | 1,768 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (19,708) | (22,000) | (23,794) |
Currency translation adjustments on investment in unconsolidated venture | (537) | (75) | 1,144 |
Total other comprehensive income (loss) | (26,525) | (21,319) | (230,358) |
Comprehensive income (loss) | (429,449) | (111,319) | (1,904,710) |
Dividends to preferred stockholders | (28,218) | (37,795) | (44,426) |
Gain on repurchase and retirement of preferred stock | 14,179 | 0 | 0 |
Issuance and redemption costs of redeemed preferred stock | 0 | (4,682) | 0 |
Comprehensive income (loss) attributable to common stockholders | $ (443,488) | $ (153,796) | $ (1,949,136) |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Cumulative Effect, Period of Adoption, Adjustment | Series B Preferred Stock | Series C Preferred Stock | Preferred Stock Series A Preferred Stock | Preferred Stock Series B Preferred Stock | Preferred Stock Series C Preferred Stock | Common Stock | Additional Paid in Capital | Accumulated Other Comprehensive Income (Loss) | Retained Earnings (Distributions in Excess of Earnings) | Retained Earnings (Distributions in Excess of Earnings) Cumulative Effect, Period of Adoption, Adjustment |
Beginning balance (in shares) at Dec. 31, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 14,425,636 | ||||||||
Beginning balance at Dec. 31, 2019 | $ 2,931,899 | $ 342 | $ 135,356 | $ 149,860 | $ 278,108 | $ 144 | $ 2,893,951 | $ 288,963 | $ (814,483) | $ 342 | ||
Increase (Decrease) in Stockholders' Equity | ||||||||||||
Net income (loss) | (1,674,352) | (1,674,352) | ||||||||||
Other comprehensive income (loss) | (230,358) | (230,358) | ||||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 4,254,974 | |||||||||||
Proceeds from issuance of common stock, net of offering costs | 420,737 | $ 43 | 420,694 | |||||||||
Stocks awards (in shares) | 7,750 | |||||||||||
Stock awards | 0 | $ 0 | ||||||||||
Common stock dividends (in shares) | 1,633,851 | |||||||||||
Common stock dividends | (37,202) | $ 16 | 74,218 | (111,436) | ||||||||
Preferred stock dividends | (44,426) | (44,426) | ||||||||||
Amortization of equity-based compensation | 518 | 518 | ||||||||||
Ending balance (in shares) at Dec. 31, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | 20,322,211 | ||||||||
Ending balance at Dec. 31, 2020 | 1,367,158 | $ 135,356 | $ 149,860 | $ 278,108 | $ 203 | 3,389,381 | 58,605 | (2,644,355) | ||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||
Net income (loss) | (90,000) | (90,000) | ||||||||||
Other comprehensive income (loss) | (21,319) | (21,319) | ||||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 12,646,902 | |||||||||||
Proceeds from issuance of common stock, net of offering costs | 429,504 | $ 126 | 429,378 | |||||||||
Stocks awards (in shares) | 18,365 | |||||||||||
Stock awards | 1 | $ 1 | ||||||||||
Redemption of preferred stock (in shares) | (5,600,000) | |||||||||||
Redemption of preferred stock | (140,038) | $ (135,356) | (4,682) | |||||||||
Common stock dividends | (105,992) | (105,992) | ||||||||||
Preferred stock dividends | (37,795) | (37,795) | ||||||||||
Amortization of equity-based compensation | 616 | 616 | ||||||||||
Ending balance (in shares) at Dec. 31, 2021 | 0 | 6,200,000 | 11,500,000 | 32,987,478 | ||||||||
Ending balance at Dec. 31, 2021 | 1,402,135 | $ 0 | $ 149,860 | $ 278,108 | $ 330 | 3,819,375 | 37,286 | (2,882,824) | ||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||
Net income (loss) | (402,924) | (402,924) | ||||||||||
Other comprehensive income (loss) | (26,525) | (26,525) | ||||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 5,686,598 | |||||||||||
Proceeds from issuance of common stock, net of offering costs | 81,632 | $ 57 | 81,575 | |||||||||
Stocks awards (in shares) | 36,886 | |||||||||||
Stock awards | 0 | $ 0 | ||||||||||
Payments in lieu of fractional shares in connection with one-for-ten reverse stock split (in shares) | (46) | |||||||||||
Payments in lieu of fractional shares in connection with one-for-ten reverse stock split | (1) | (1) | ||||||||||
Repurchase and retirement of preferred stock (in shares) | (1,662,366) | (3,683,530) | (1,662,366) | (3,683,530) | ||||||||
Repurchase and retirement of preferred stock | (115,082) | $ (40,181) | $ (89,080) | 14,179 | ||||||||
Common stock dividends | (107,555) | (107,555) | ||||||||||
Preferred stock dividends | (28,218) | (28,218) | ||||||||||
Amortization of equity-based compensation | 613 | 613 | ||||||||||
Ending balance (in shares) at Dec. 31, 2022 | 0 | 4,537,634 | 7,816,470 | 38,710,916 | ||||||||
Ending balance at Dec. 31, 2022 | $ 804,075 | $ 0 | $ 109,679 | $ 189,028 | $ 387 | $ 3,901,562 | $ 10,761 | $ (3,407,342) |
CONSOLIDATED STATEMENTS OF ST_2
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) | 1 Months Ended | 12 Months Ended |
May 31, 2022 | Dec. 31, 2022 | |
Common Stock | ||
Reverse stock split conversion ratio | 0.1 | 0.1 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash Flows from Operating Activities | |||
Net income (loss) | $ (402,924) | $ (90,000) | $ (1,674,352) |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Amortization of mortgage-backed and other securities premiums and (discounts), net | (1,118) | 37,397 | 15,980 |
Realized and unrealized (gain) loss on derivative instruments, net | (472,135) | (138,414) | 859,097 |
Realized and unrealized (gain) loss on credit derivatives, net | 0 | 0 | 41,635 |
(Gain) loss on investments, net | 1,079,339 | 366,509 | 961,938 |
Increase (decrease) in provision for credit losses | 0 | (1,768) | 1,768 |
(Gain) loss from investments in unconsolidated ventures in excess of distributions received | 45 | 9 | 229 |
Other amortization | (19,095) | (21,383) | (23,276) |
Net (gain) loss on extinguishment of debt | 0 | 0 | (14,742) |
Changes in operating assets and liabilities: | |||
(Increase) decrease in operating assets | (5,230) | (1,166) | 51,645 |
Increase (decrease) in operating liabilities | 17,201 | 1,108 | (49,463) |
Net cash provided by (used in) operating activities | 196,083 | 152,292 | 170,459 |
Cash Flows from Investing Activities | |||
Purchase of mortgage-backed and credit risk transfer securities | (25,723,584) | (17,132,975) | (13,613,447) |
Purchase of U.S. Treasury securities | (502,290) | 0 | 0 |
Distributions from (contributions to) investments in unconsolidated ventures, net | 11,342 | 3,848 | 6,505 |
Change in other assets | 0 | 0 | 40,846 |
Principal payments from mortgage-backed and credit risk transfer securities | 403,327 | 825,189 | 892,592 |
Proceeds from sale of mortgage-backed and credit risk transfer securities | 27,281,250 | 16,273,956 | 25,028,464 |
Proceeds from sale of U.S. Treasury securities | 468,051 | 0 | 0 |
Payment on the sale of credit derivatives | 0 | 0 | (31,353) |
Settlement (termination) of forwards, swaps, swaptions and TBAs, net | 459,466 | 156,160 | (844,577) |
Redemption of Federal Home Loan Bank of Indianapolis stock | 0 | 0 | 74,250 |
Net change in due from counterparties and collateral held payable on derivative instruments | 2,594 | (5,430) | 1,093 |
Principal payments from commercial loan held-for-investment | 23,917 | 0 | 136 |
Net cash provided by (used in) investing activities | 2,424,073 | 120,748 | 11,554,509 |
Cash Flows from Financing Activities | |||
Proceeds from issuance of common stock | 81,899 | 430,496 | 420,737 |
Redemption of preferred stock | 0 | (140,038) | 0 |
Repurchase of preferred stock | (115,082) | 0 | 0 |
Cash paid in lieu of fractional shares in connection with one-for-ten reverse stock split | (1) | 0 | 0 |
Principal repayments of secured loans | 0 | 0 | (1,650,000) |
Proceeds from repurchase agreements | 66,872,266 | 82,347,113 | 75,698,735 |
Principal repayments of repurchase agreements and related fees | (69,625,277) | (82,587,978) | (85,987,597) |
Net change in due from counterparties and collateral held payable on repurchase agreements | 8,419 | (4,743) | 33,773 |
Payments of deferred costs | (351) | (354) | (35) |
Payments of dividends | (140,300) | (133,068) | (137,499) |
Net cash provided by (used in) financing activities | (2,918,427) | (88,572) | (11,621,886) |
Net change in cash, cash equivalents and restricted cash | (298,271) | 184,468 | 103,082 |
Cash, cash equivalents and restricted cash, beginning of period | 577,052 | 392,584 | 289,502 |
Cash, cash equivalents and restricted cash, end of period | 278,781 | 577,052 | 392,584 |
Supplement Disclosure of Cash Flow Information | |||
Interest paid | 51,892 | 10,363 | 149,230 |
Non-cash Investing and Financing Activities Information | |||
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities classified as available-for-sale | (6,280) | 756 | (207,708) |
Dividends declared not paid | 25,162 | 29,689 | 18,970 |
Increase (decrease) in Agency CMBS purchase commitments | 0 | 0 | (99,557) |
Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments | (707) | 46 | 266 |
Change in foreign currency translation adjustment on other investments | 537 | 75 | (1,144) |
Dividend paid in common stock | $ 0 | $ 0 | $ 74,234 |
CONSOLIDATED STATEMENTS OF CA_2
CONSOLIDATED STATEMENTS OF CASH FLOWS (Parenthetical) (Details) | 1 Months Ended | 12 Months Ended |
May 31, 2022 | Dec. 31, 2022 | |
Common Stock | ||
Reverse stock split conversion ratio | 0.1 | 0.1 |
Organization and Business Opera
Organization and Business Operations | 12 Months Ended |
Dec. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Business Operations | Organization and Business Operations Invesco Mortgage Capital Inc. (the “Company” or “we”) is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities ("MBS”) and other mortgage-related assets. As of December 31, 2022, we were invested in: • residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association (“Ginnie Mae”), or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively “Agency RMBS”); • commercial mortgage-backed securities (“CMBS”) that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS”); • RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency RMBS”); and • other real estate-related financing arrangements. During the periods presented in these consolidated financial statements, we also invested in: • CMBS that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively “Agency CMBS”); • credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises (“GSE CRT”); • a commercial mortgage loan; and • U.S. Treasury securities. We conduct our business through IAS Operating Partnership L.P. (the “Operating Partnership”) and have one operating segment. We are externally managed and advised by Invesco Advisers, Inc. (our “Manager”), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. (“Invesco”), a leading independent global investment management firm. We elected to be taxed as a real estate investment trust (“REIT”) for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits our exclusion from the “Investment Company” definition under the Investment Company Act of 1940, as amended (the “1940 Act”). |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation For all periods presented in these consolidated financial statements, common shares and per common share amounts have been adjusted on a retroactive basis to reflect our one-for-ten reverse stock split, which was effected following the close of business on June 3, 2022, unless otherwise noted. Our consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) and consolidate the financial statements of the Company and its controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. Use of Estimates The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates. Translation of Foreign Currencies The functional currency of the Company and its subsidiaries is U.S. dollars. Transactions in foreign currencies are recorded at the rates of exchange prevailing on the date of the transactions. At each balance sheet date, monetary assets and liabilities that are denominated in foreign currencies are remeasured at the rates prevailing at the balance sheet date. Gains and losses arising on revaluation are included in other investment income (loss), net on the consolidated statements of operations. Our reporting currency is U.S. dollars. Upon consolidation, the assets and liabilities of our investment in an unconsolidated venture whose functional currency is the Euro is translated to U.S. dollars using the period-end exchange rates. Equity accounts are translated at historical rates, except for the change in retained earnings during the year, which is the result of the income statement translation process. Revenue and expense accounts are translated using the weighted average exchange rate during the period. The cumulative translation adjustments associated with the investment in the unconsolidated venture are recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders’ equity. We have historically hedged foreign currency exposure with derivative financial instruments. Refer to Note 8 - “Derivatives and Hedging Activities” for further information. Fair Value Measurements We report our MBS and GSE CRTs and derivative assets and liabilities at fair value as determined by an independent pricing service. We generally obtain one price per instrument from our primary pricing service. If the primary pricing service cannot provide a price, we will seek a value from other pricing services. The pricing service uses two types of valuation approaches to determine the valuation of our various mortgage-backed and credit risk transfer securities: a market approach, which uses observable prices and other relevant information that is generated by market transactions involving identical or comparable assets or liabilities; and an income approach, which uses valuation techniques to convert future amounts to a single, discounted present value amount. In instances where sufficient market activity may not exist, the pricing service may utilize proprietary valuation models that may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics to estimate relevant cash flows, which are then discounted to calculate the fair values. Observable inputs may include a combination of benchmark yields, executed trades, broker/dealer quotes, issuer spreads, bids, offers and benchmark securities. In addition, the valuation models utilized by pricing services may consider additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. We and the pricing service continuously monitor market indicators and economic events to determine whether they may have an impact on our valuations. The pricing service values interest rate swaps, currency forward contracts and to-be-announced securities (“TBAs”) under the market approach through the use of quoted prices available in an active market. Overrides of prices from pricing services are rare in the current market environment for the assets we hold. Examples of instances that would cause an override include if we recently traded the same security or there is an indication of market activity that would cause the pricing service price to no longer be indicative of fair value. In the rare instance where a price is adjusted, we have a control process to monitor the reason for such adjustment. To gain comfort that pricing service prices are representative of current market information, we compare the transaction prices of security purchases and sales to the valuation levels provided by the pricing services. Price differences exceeding pre-defined tolerance levels are identified and investigated and may be challenged. Trends are monitored over time and if there are indications that the valuations are not comparable to market activity, the pricing services are asked to provide detailed information regarding their methodology and inputs. Transparency tools are also available from the pricing services which help us understand data points and/or market inputs used for pricing securities. We also review daily price movements for interest rate swaps, currency forward contracts and TBAs. Price movements exceeding pre-defined tolerance levels are investigated using an alternate price from another pricing service as well as available market information. Based on our findings, the primary pricing service may be challenged, or in rare cases, overridden with an alternate pricing source. In addition, we perform due diligence procedures on all pricing services on at least an annual basis. A questionnaire is sent to pricing services which requests information such as changes in methodologies, business recovery preparedness, internal controls and confirmation that evaluations are generated based on market data. Physical visits are also made to each pricing service's office. Virtual visits may take place in lieu of physical visits given concerns surrounding the COVID-19 pandemic. An independent pricing service valued our commercial loan investment using a discounted cash flow analysis. The yield used in the discounted cash flow analysis was determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market as well as a comparison of current market and collateral conditions to those present at origination. As described in Note 10 - “Fair Value of Financial Instruments,” we evaluate the source used to fair value our assets and liabilities and make a determination on its categorization within the fair value hierarchy. If the price of a security is obtained from quoted prices for identical instruments in active markets, the security is classified as a level 1 security. If the price of a security is obtained from quoted prices for similar instruments or model-derived valuations whose inputs are observable, the security is classified as a level 2 security. If the inputs appear to be unobservable, the security would be classified as a level 3 security. Transfers between levels, if any, are determined at the end of the reporting period. Mortgage-Backed and Credit Risk Transfer Securities We record our purchases of MBS and GSE CRTs on the trade date and report these securities at fair value as described above in the Fair Value Measurements section of this Note 2 to our consolidated financial statements. Approximately $4.7 billion or 99% of our MBS are accounted for under the fair value option as of December 31, 2022 (December 31, 2021: $7.7 billion or 99%). Under the fair value option, we recognize changes in fair value in our consolidated statements of operations as unrealized gains and losses. In our view, this election more appropriately reflects the results of our operations because fair value changes are accounted for in the same manner as fair value changes in our economic hedging instruments. We elected the fair value option for all MBS purchased on or after September 1, 2016, GSE CRTs purchased on or after August 24, 2015 and all RMBS interest-only securities. We classify the remaining balance of our MBS as available-for-sale ($42.5 million or 1% as of December 31, 2022; $70.2 million or 1% as of December 31, 2021). Unrealized gains or losses on available-for-sale securities are recorded in accumulated other comprehensive income, a separate component of stockholders' equity, until sale or disposition of the investment. Upon sale or disposition, the cumulative gain or loss previously reported in stockholders' equity is recognized in income. Realized gains and losses from sales of MBS are determined based upon the specific identification method. GSE CRTs purchased before August 24, 2015 were reported at fair value and accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative. Unrealized gains or losses arising from changes in fair value of the debt host contract, excluding other-than-temporary impairment, were recognized in accumulated other comprehensive income until sale or disposition of the investment. Upon sale or disposition of the debt host contract, the cumulative gain or loss previously reported in stockholders’ equity was recognized in income. Realized and unrealized gains or losses arising from changes in fair value of the embedded derivative were recognized in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. We elected the fair value option for GSE CRTs purchased on or after August 24, 2015 due to the complexities associated with bifurcation of GSE CRTs into a debt host contract and an embedded derivative. Realized gains and losses from sales of GSE CRTs were determined based upon the specific identification method. Our interest income recognition policies for MBS and GSE CRTs are described below in the Interest Income Recognition section of this Note 2 to our consolidated financial statements. Allowances for Credit Losses on Available-for-Sale Securities We are not required to measure expected credit losses for situations in which historic credit loss information, adjusted for current conditions and reasonable and supportable forecasts, results in an expectation that nonpayment of the amortized cost basis is zero. We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk. For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses. We calculate the allowance for credit losses as the difference between the investment's amortized cost basis and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment. In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. We place reliance on these internal models in determining credit quality. We record an allowance for credit losses as a contra-asset on the consolidated balance sheets and a provision for credit losses in the consolidated statements of operations. Credit losses are accreted into earnings over time at the effective interest rate used to recognize interest income. Subsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings. If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment. The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value. When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted. We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost. Recoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received. We record provisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within (increase) decrease in provision for credit losses in our consolidated statements of operations. When we determine that we intend to sell, or more likely than not will be required to sell, an available-for-sale security in an unrealized loss position before we recover its amortized cost, we write off any allowance for credit losses and write down the investment’s amortized cost to its fair value. We record the write off of the allowance for credit losses within (increase) decrease in provision for credit losses on our consolidated statements of operations and write down of the available-for-sale security within gain (loss) on investments, net in our consolidated statements of operations. We present accrued interest receivable separately from our investment portfolio on our consolidated balance sheets. We do not estimate an allowance for credit losses on accrued interest receivable because we write off accrued interest receivable as a reduction to interest income if it is not received when due. U.S. Treasury Securities U.S. Treasury securities are classified as trading securities and reported at fair value on our consolidated balance sheets. Purchases of U.S. Treasury Securities are recorded on the trade date. Changes in the fair value of U.S. Treasury securities are recognized within gain (loss) on investments, net in our consolidated statements of operations. Coupon interest income is accrued based on the outstanding principal balance of the securities and their contractual terms. Interest income on U.S. Treasury securities is recognized within mortgage-backed and other securities interest income on our consolidated statements of operations. Commercial Loan Held-For-Investment We reported our commercial loan investment at fair value as described in the Fair Value Measurements section of this Note 2 to the consolidated financial statements. We recorded changes in fair value within gain (loss) on investments, net in our consolidated statements of operations. Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal or notional balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on our MBS where we may not recover substantially all of our initial investment is based on estimated future cash flows. We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price. Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment, unless those changes are reflected in an allowance for credit losses. In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income. Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities, including write-offs of amortized cost when certain amounts are deemed uncollectible. For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes are reflected in an allowance for credit losses, and the security's yield is revised prospectively. For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows. We do not estimate prepayments in applying the effective interest method. Credit Risk Transfer Securities Interest income on GSE CRTs purchased before August 24, 2015 was accrued based on the coupon rate of the debt host contract which reflected the credit risk of GSE unsecured senior debt with a similar maturity. Premiums or discounts associated with the purchase of GSE CRTs were amortized or accreted into interest income over the life of the debt host contract using the effective interest method. The difference between the coupon rate on the hybrid instrument and the coupon rate on the debt host contract was considered premium income associated with the embedded derivative and was recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. Interest income on GSE CRTs purchased on or after August 24, 2015 was based on estimated future cash flows. Commercial and Other Loans We recognize interest income from commercial and other loans when earned and deemed collectible, or until a loan becomes past due based on the terms of the loan agreement. Any related origination fees or costs on commercial and other loans for which we have elected the fair value option are recognized immediately in earnings. Interest received after a loan becomes past due or impaired is used to reduce the outstanding loan principal balance. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, loans that have been individually impaired may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months. Cash and Cash Equivalents We consider all highly liquid investments that have original or remaining maturity dates of three months or less when purchased to be cash equivalents. At December 31, 2022, we had cash and cash equivalents in excess of the FDIC deposit insurance limit of $250,000 per institution. We mitigate our risk of loss by actively monitoring our counterparties. Restricted Cash Restricted cash represents cash posted with counterparties as collateral for various derivative instruments. Cash posted with counterparties as collateral is not available for general corporate purposes. Due from Counterparties / Collateral Held Payable Due from counterparties represents cash posted with our counterparties as collateral for our derivatives and repurchase agreements. Collateral held payable represents cash posted with us by counterparties as collateral under our derivatives and repurchase agreements. If we receive collateral other than cash from our counterparties, such assets are not included in our consolidated balance sheets. If we either sell such assets or pledge the assets as collateral under a repurchase agreement, the cash received and the corresponding liability is reflected on the consolidated balance sheets. Investment Related Receivable / Investment Related Payable Investment related receivable consists of receivables for mortgage-backed securities that we have sold but have not settled with the buyer and accrued interest and principal paydowns on mortgage-backed securities. Investment related payable consists of liabilities for mortgage-backed securities that we have purchased but have not settled with the seller. Investments in Unconsolidated Ventures Our non-controlling investments in unconsolidated ventures are included in other assets in our consolidated balance sheets and are accounted for under the equity method. Capital contributions, distributions, profits and losses of the entities are allocated in accordance with the terms of the entities’ operating agreements. Such allocations may differ from the stated percentage interests, if any, as a result of preferred returns and allocation formulas as described in the entities' operating agreements. Repurchase Agreements We have financed our purchases of mortgage-backed and credit risk transfer securities primarily through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. We record the mortgage-backed securities and the related repurchase agreement financing on a gross basis in our consolidated balance sheets, and the corresponding interest income and interest expense on a gross basis in our consolidated statements of operations. Secured Loans Our wholly-owned subsidiary, IAS Services LLC, was a member of the Federal Home Loan Bank of Indianapolis (“FHLBI”). As a member of the FHLBI, IAS Services LLC borrowed funds from the FHLBI in the form of secured advances. FHLBI advances were treated as secured financing transactions and carried at their contractual amounts. During the year ended December 31, 2020, we fully repaid our outstanding secured loans from the FHLBI and terminated our membership. IAS Services LLC was dissolved in December 2020. Dividends Payable Dividends payable represent dividends declared at the balance sheet date that are payable to common stockholders and preferred stockholders. Earnings (Loss) per Share We calculate basic earnings (loss) per share by dividing net income (loss) attributable to common stockholders for the period by the weighted-average number of shares of our common stock outstanding for that period. Diluted earnings per share takes into account the effect of dilutive instruments, such as unvested restricted stock awards, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. Share-Based Compensation Under the terms of our amended and restated 2009 Equity Incentive Plan (the “Incentive Plan”), our independent directors are eligible to receive stock awards as part of their compensation for serving as directors, In addition, we may compensate the officers and employees of our Manager and its affiliates under the Incentive Plan under the terms of our management agreement. Share-based compensation arrangements may include share options, restricted and non-restricted share awards, performance-based awards and share appreciation rights. Compensation related to stock awards is recognized in the consolidated financial statements based on the fair value of the equity or liability instruments issued on the date of grant. Underwriting Commissions and Offering Costs Underwriting commissions and direct costs incurred in connection with our common and preferred stock offerings are recorded as a reduction of additional paid in capital and preferred stock, respectively. Comprehensive Income Our comprehensive income consists of net income, as presented in the consolidated statements of operations, adjusted for unrealized gains and losses on MBS purchased before September 1, 2016 and the debt host contract associated with GSE CRTs purchased before August 24, 2015; reclassification of unrealized losses on available-for-sale securities to (increase) decrease in provision for credit losses; reclassification of amortization of net deferred gains and losses on de-designated interest rate swaps to repurchase agreements interest expense and currency translation adjustments on an investment in an unconsolidated venture. Unrealized gains and losses on our MBS purchased before September 1, 2016 and the debt host contract associated with GSE CRTs purchased before August 24, 2015 are reclassified into net income upon their sale. Accounting for Derivative Financial Instruments We record all derivatives on our consolidated balance sheets at fair value. At the inception of a derivative contract, we determine whether the instrument will be part of a qualifying hedge accounting relationship or whether we will account for the contract as a trading instrument. We have elected not to apply hedge accounting to all new derivative contracts entered into after January 1, 2014. Changes in the fair value of our derivatives are recorded in gain (loss) on derivative instruments, net in our consolidated statements of operations. Net interest paid or received under our interest rate swaps is also recognized in gain (loss) on derivative instruments, net in our consolidated statements of operations. Before 2014, we applied hedge accounting to our interest rate swap agreements. Effective December 31, 2013, we voluntarily discontinued hedge accounting for our interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges. As long as we expect the forecasted transactions that were being hedged (i.e., rollovers of our repurchase agreement borrowings) to still occur, the balance recorded in accumulated other comprehensive income (loss) (“AOCI”) from the interest rate swap activity through December 31, 2013 will remain in AOCI and be recognized in our consolidated statements of operations as interest expense over the remaining term of the interest rate swaps. Prior to December 31, 2020, we were a party to hybrid financial instruments that contained embedded derivative instruments and for which we did not elect the fair value option. We assessed at inception whether the economic characteristics of the embedded derivative instruments were clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the debt host contract), whether the financial instrument was remeasured to fair value through earnings and whether a separate instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it was determined that (1) the embedded instrument possessed economic characteristics that were not clearly and closely related to the economic characteristics of the debt host contract, (2) the financial instrument was not remeasured to fair value through earnings and (3) a separate instrument with the same terms would qualify as a derivative instrument, the embedded instrument qualified as an embedded derivative that was separated from the debt host contract. The embedded derivative was recorded at fair value, and changes in fair value were recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. We evaluate the terms and conditions of our holdings of swaptions, currency forward contracts and TBAs to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S. GAAP. Accordingly, swaptions, currency forward contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the consolidated statements of operations. The fair value of these swaptions, currency forward contracts and TBAs is included in derivative assets or derivative liabilities on the consolidated balance sheets. Income Taxes We elected to be taxed as a REIT commencing with our taxable year ended December 31, 2009. Accordingly, we will generally not be subject to U.S. federal and applicable state and local corporate income tax to the extent that we make qualifying distributions to our stockholders, and provided we satisfy on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If we fail to qualify as a REIT and do not qualify for certain statutory relief provisions, we 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 we lost our REIT qualification. Accordingly, our failure to qualify as a REIT could have a material adverse impact on our results of operations and amounts available for distribution to stockholders. Our dividends paid deduction for qualifying dividends to our stockholders is computed using our REIT taxable income as opposed to net income reported on the consolidated financial statements. REIT taxable income will generally differ from net income because the determination of REIT taxable income is based on tax regulations and not financial accounting principles. We have elected to treat one of our subsidiaries as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that we cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A TRS is subject to U.S. federal, state and local corporate income taxes. Our TRS did not generate material taxable income for the years ended December 31, 2022, 2021 and 2020. We do not have any accruals for uncertain tax positions. We would recognize interest and penalties related to uncertain tax positions, if any, as income tax expense, which would be included in general and administrative expenses. |
Variable Interest Entities ("VI
Variable Interest Entities ("VIEs") | 12 Months Ended |
Dec. 31, 2022 | |
Variable Interest Entity Disclosure [Abstract] | |
Variable Interest Entities (VIEs) | Variable Interest Entities (“VIEs”) Our maximum risk of loss in VIEs in which we are not the primary beneficiary at December 31, 2022 is presented in the table below. $ in thousands Carrying Company's Maximum Risk of Loss Non-Agency CMBS 36,787 36,787 Non-Agency RMBS 8,413 8,413 Investments in unconsolidated ventures 552 552 Total 45,752 45,752 Refer to Note 4 - “Mortgage-Backed and Credit Risk Transfer Securities” and Note 5 - “Other Assets” for additional details regarding these investments. |
Mortgage-Backed and Credit Risk
Mortgage-Backed and Credit Risk Transfer Securities | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed and Credit Risk Transfer Securities | Mortgage-Backed and Credit Risk Transfer Securities During the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic and sold a substantial portion of our MBS and GSE CRT portfolio to generate liquidity and reduce leverage. We resumed investing in Agency RMBS in July 2020. The following tables summarize our MBS portfolio by asset type at December 31, 2022 and 2021. December 31, 2022 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- (1) 30 year fixed-rate Agency RMBS 4,722,768 (115,365) 4,607,403 54,334 4,661,737 5.26 % Agency-CMO (2) 619,069 (536,376) 82,693 2,263 84,956 9.09 % Non-Agency CMBS 38,652 (1,472) 37,180 (393) 36,787 8.35 % Non-Agency RMBS (3)(4)(5) 307,016 (299,012) 8,004 409 8,413 8.33 % Total 5,687,505 (952,225) 4,735,280 56,613 4,791,893 5.35 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2022 and incorporates future prepayment and loss assumptions. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 68.6% fixed rate, 30.6% variable rate and 0.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities (“non-Agency IO”) which represent 97.1% of principal/notional balance, 41.6% of amortized cost and 35.3% of fair value. December 31, 2021 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Value Period- end Weighted Average Yield (1) 30 year fixed-rate Agency RMBS 7,514,229 246,183 7,760,412 (58,889) 7,701,523 2.07 % Agency-CMO (2) 235,216 (203,180) 32,036 (1,279) 30,757 6.47 % Non-Agency CMBS 61,427 (3,096) 58,331 4,578 62,909 8.63 % Non-Agency RMBS (3)(4)(5) 392,543 (383,591) 8,952 118 9,070 5.26 % Total 8,203,415 (343,684) 7,859,731 (55,472) 7,804,259 2.14 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2021 and incorporates future prepayment and loss assumptions. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 63.5% fixed rate, 35.6% variable rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes non-Agency IO which represent 97.7% of principal/notional balance, 44.8% of amortized cost and 19.9% of fair value. The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of December 31, 2022 and December 31, 2021. We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016. As of December 31, 2022 and December 31, 2021, approximately 99% of our MBS are accounted for under the fair value option. December 31, 2022 December 31, 2021 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total 30 year fixed-rate Agency RMBS — 4,661,737 4,661,737 — 7,701,523 7,701,523 Agency-CMO — 84,956 84,956 — 30,757 30,757 Non-Agency CMBS 36,787 — 36,787 62,909 — 62,909 Non-Agency RMBS 5,667 2,746 8,413 7,288 1,782 9,070 Total 42,454 4,749,439 4,791,893 70,197 7,734,062 7,804,259 The components of the carrying value of our MBS portfolio at December 31, 2022 and 2021 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our consolidated balance sheets, was $21.3 million at December 31, 2022 (December 31, 2021: $16.6 million). December 31, 2022 December 31, 2021 $ in thousands MBS Interest-Only Securities Total MBS Interest-Only Securities Total Principal/notional balance 4,770,175 917,330 5,687,505 7,584,812 618,603 8,203,415 Unamortized premium 5,195 — 5,195 250,771 — 250,771 Unamortized discount (126,112) (831,308) (957,420) (11,902) (582,553) (594,455) Gross unrealized gains (1) 62,245 4,605 66,850 8,754 109 8,863 Gross unrealized losses (1) (7,535) (2,702) (10,237) (60,741) (3,594) (64,335) Fair value 4,703,968 87,925 4,791,893 7,771,694 32,565 7,804,259 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the years ended December 31, 2022 and 2021 is provided below within this Note 4. The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of December 31, 2022 and 2021. $ in thousands December 31, 2022 December 31, 2021 Less than one year 26,593 23,150 Greater than one year and less than five years 10,194 891,510 Greater than or equal to five years 4,755,106 6,889,599 Total 4,791,893 7,804,259 The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2022 and 2021. December 31, 2022 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number of Securities Fair Unrealized Number of Securities Fair Unrealized Number of Securities 30 year fixed-rate Agency RMBS (1) 929,292 (7,060) 7 — — — 929,292 (7,060) 7 Agency-CMO (1) 25,417 (1,645) 6 2,934 (496) 1 28,351 (2,141) 7 Non-Agency CMBS (2) 26,592 (439) 2 — — — 26,592 (439) 2 Non-Agency RMBS (3) 349 (36) 2 1,411 (561) 9 1,760 (597) 11 Total 981,650 (9,180) 17 4,345 (1,057) 10 985,995 (10,237) 27 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis. (3) Includes non-Agency IO with fair value of $1.4 million for which the fair value option has been elected. Such securities have unrealized losses of $561,000. December 31, 2021 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number of Securities Fair Unrealized Number of Securities Fair Unrealized Number of Securities 30 year fixed-rate Agency RMBS (1) 6,838,999 (60,741) 54 — — — 6,838,999 (60,741) 54 Agency-CMO (1) 21,810 (1,389) 5 — — — 21,810 (1,389) 5 Non-Agency RMBS (2) 767 (1,132) 5 1,042 (1,073) 9 1,809 (2,205) 14 Total 6,861,576 (63,262) 64 1,042 (1,073) 9 6,862,618 (64,335) 73 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Includes non-Agency IO with a fair value of $1.7 million for which the fair value option has been elected. Such securities have unrealized losses of $2.1 million. The remaining $136,000 of unrealized losses on non-Agency RMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis. As of December 31, 2022 and 2021, we did not have an allowance for credit losses recorded on our consolidated balance sheet. The following table presents a roll-forward of our allowance for credit losses. $ in thousands Years Ended December 31, 2021 2020 Beginning allowance for credit losses (1,768) — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded — (1,768) Decreases in the allowance for credit losses on securities that had an allowance recorded in a previous period 1,768 — Ending allowance for credit losses — (1,768) The following table summarizes the components of our total gain (loss) on investments, net for the years ended December 31, 2022, 2021 and 2020. Years Ended December 31, $ in thousands 2022 2021 2020 Gross realized gains on sale of MBS and GSE CRT 5,348 3,297 656,915 Gross realized losses on sale of MBS and GSE CRT (1,169,258) (284,521) (1,020,696) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments — — (101,138) Net unrealized gains (losses) on MBS and GSE CRT accounted for under the fair value option 118,365 (85,702) (492,047) Net unrealized gains (losses) on commercial loan 404 417 (1,164) Net realized gains (losses) on U.S. Treasury securities (34,198) — — Realized loss on loan participation interest — — (3,808) Total gain (loss) on investments, net (1,079,339) (366,509) (961,938) The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the years ended December 31, 2022, 2021 and 2020. GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option of $6.3 million for the years ended December 31, 2020 that was recorded as realized and unrealized credit derivative income (loss), net. For the Year ended December 31, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 191,898 (6,755) 185,143 Non-Agency CMBS 2,366 1,624 3,990 Non-Agency RMBS 1,223 (552) 671 U.S. Treasury Securities 1,773 (41) 1,732 Other 1,030 — 1,030 Total 198,290 (5,724) 192,566 For the Year ended December 31, 2021 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion Interest Agency RMBS 201,694 (41,881) 159,813 Non-Agency CMBS 3,841 2,695 6,536 Non-Agency RMBS 1,950 (1,264) 686 Other 21 — 21 Total 207,506 (40,450) 167,056 For the Year ended December 31, 2020 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion Interest Agency RMBS 161,845 (32,737) 129,108 Agency CMBS 35,822 (1,744) 34,078 Non-Agency CMBS 76,068 14,721 90,789 Non-Agency RMBS 13,895 1,107 15,002 GSE CRT 10,232 (2,560) 7,672 Other 751 — 751 Total 298,613 (21,213) 277,400 |
Other Assets
Other Assets | 12 Months Ended |
Dec. 31, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets | Other Assets The following table summarizes our other assets as of December 31, 2022 and 2021: $ in thousands December 31, 2022 December 31, 2021 Commercial loan, held-for-investment — 23,515 Investments in unconsolidated ventures 552 12,476 Prepaid expenses and other assets 1,179 1,518 Total 1,731 37,509 Our commercial loan was fully repaid in October 2022. The loan had a principal balance of $23.9 million and a weighted average coupon rate of 8.60% as of December 31, 2021. During the year ended December 31, 2022 we recorded unrealized gains of $404,000 on our commercial loan (2021: unrealized gains of $417,000, 2020: unrealized losses of $1.2 million). We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 14 - “Commitments and Contingencies” for additional details regarding our commitments to these unconsolidated ventures. |
Borrowings
Borrowings | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings We finance the majority of our investment portfolio through repurchase agreements. The following tables summarize certain characteristics of our repurchase agreements at December 31, 2022 and 2021. Refer to Note 7 - “Collateral Positions” for collateral pledged and held under our repurchase agreements. December 31, 2022 $ in thousands Amount Weighted Weighted Repurchase Agreements - Agency RMBS 4,234,823 4.24 % 28 Total Borrowings 4,234,823 4.24 % 28 December 31, 2021 $ in thousands Amount Weighted Weighted Repurchase Agreements - Agency RMBS 6,987,834 0.14 % 29 Total Borrowings 6,987,834 0.14 % 29 Our repurchase agreements bear interest at a contractually agreed upon rate. Agency RMBS repurchase agreements generally have maturities ranging from one |
Collateral Positions
Collateral Positions | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Collateral Positions | Collateral Positions The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps, currency forward contracts, and TBAs as of December 31, 2022 and 2021. Refer to Note 2 - “Summary of Significant Accounting Policies - Fair Value Measurements” for a description of how we determine fair value. Agency RMBS collateral pledged is included in mortgage-backed securities on our consolidated balance sheets. Cash collateral pledged on centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our consolidated balance sheets. Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our consolidated balance sheets. Cash collateral held that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of December 31, 2022 and 2021, we did not recognize any non-cash collateral held on our consolidated balance sheets. $ in thousands As of Collateral Pledged December 31, 2022 December 31, 2021 Repurchase agreements: Agency RMBS 4,439,583 7,326,175 Cash — 3,527 Total repurchase agreements collateral pledged 4,439,583 7,329,702 Derivative instruments: Cash 1,584 4,458 Restricted cash 103,246 219,918 Total derivative instruments collateral pledged 104,830 224,376 Total collateral pledged: Agency RMBS 4,439,583 7,326,175 Cash 1,584 7,985 Restricted cash 103,246 219,918 Total collateral pledged 4,544,413 7,554,078 Collateral Held December 31, 2022 December 31, 2021 Repurchase agreements: Cash 4,892 — Non-cash collateral 7,216 248 Total repurchase agreements collateral held 12,108 248 Derivative instruments: Cash — 280 Total derivative instruments collateral held — 280 Total collateral held: Cash 4,892 280 Non-cash collateral 7,216 248 Total collateral held 12,108 528 Repurchase Agreements Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value. We would be required to provide additional collateral to fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls. As of December 31, 2022 and 2021, our repurchase agreement collateral ratio (MBS pledged as collateral/ repurchase agreement amount outstanding) was 105%. Interest Rate Swaps As of December 31, 2022 and 2021, all of our interest rate swaps were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange (“CME”) and LCH Limited (“LCH”) through a Futures Commission Merchant (“FCM”). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our consolidated statements of operations. Certain of our FCM agreements include cross default provisions. TBAs and Currency Forward Contracts |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Risk Management Objective of Using Derivatives We are exposed to certain risks arising from both our business operations and economic conditions. We principally manage our exposures to a wide variety of business and operational risks through management of our core business activities. We manage economic risks, including interest rate, liquidity, credit and foreign exchange rate risk primarily by managing the amount, sources, and duration of our investments, borrowings, and the use of derivative financial instruments. Specifically, we use derivative financial instruments to manage exposures that arise from business activities that result in the receipt or payment of future known and uncertain cash amounts, the value of which are determined by interest rates or foreign exchange rates. Our derivative financial instruments are used to manage differences in the amount, timing, and duration of our known or expected cash receipts and our known or expected cash payments principally related to our investments and borrowings. The following table summarizes changes in the notional amount of our derivative instruments during 2022: $ in thousands Notional Amount as of December 31, 2021 Additions Settlement, Notional Amount as Interest Rate Swaps (1)(2) 8,050,000 10,075,000 (9,975,000) 8,150,000 Currency Forward Contracts 13,596 23,485 (37,081) — TBA Purchase Contracts 1,600,000 20,072,000 (21,272,000) 400,000 TBA Sale Contracts — (21,672,000) 21,272,000 (400,000) Total 9,663,596 8,498,485 (10,012,081) 8,150,000 (1) Does not include interest rate swaps with forward start dates. See below for additional details on our interest rate swaps with forward start dates. (2) Notional amount as of December 31, 2022 includes $5.8 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $2.4 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. Notional amount as of December 31, 2021 includes $6.3 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $1.8 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. Refer to Note 7 - “Collateral Positions” for further information regarding our collateral pledged to and received from our derivative counterparties. Interest Rate Swaps Our repurchase agreements are usually settled on a short-term basis ranging from one month to six months. At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Under the terms of the majority of our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of floating-rate amounts over the life of the agreements without exchange of the underlying notional amount. To a lesser extent, we also enter into interest rate swap contracts whereby we make floating-rate payments to a counterparty in exchange for the receipt of fixed-rate amounts as part of our overall risk management strategy. Amounts recorded in accumulated other comprehensive income (“AOCI”) before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. We reclassified $19.7 million as a decrease to interest expense for the year ended December 31, 2022 (2021: $22.0 million as a decrease; 2020: $23.8 million as a decrease). As of December 31, 2022, $10.4 million (2021: $30.1 million) of net unrealized gains on discontinued cash flow hedges are still included in accumulated other comprehensive income. We expect to reclassify the remaining amount of net unrealized gains recorded in AOCI as a decrease to interest expense on repurchase agreements on the consolidated statements of operations in 2023. As of December 31, 2022 and 2021, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on the secured overnight financing rate (“SOFR”) with the following maturities outstand ing, excluding interest rate swaps with forward start dates. $ in thousands As of December 31, 2022 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,550,000 0.09 % 4.30 % 2.2 3 to 5 years 1,475,000 0.27 % 4.30 % 4.7 5 to 7 years 850,000 0.38 % 4.30 % 6.2 7 to 10 years 1,425,000 0.55 % 4.30 % 7.8 Greater than 10 years 500,000 1.92 % 4.30 % 19.2 Total 5,800,000 0.45 % 4.30 % 6.3 $ in thousands As of December 31, 2021 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.06 % 0.05 % 2.6 3 to 5 years 1,250,000 0.12 % 0.05 % 3.6 5 to 7 years 2,225,000 0.32 % 0.05 % 5.9 7 to 10 years 1,825,000 0.52 % 0.05 % 8.6 Total 6,300,000 0.30 % 0.05 % 5.7 As of December 31, 2022, we held $975.0 million notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2021: $1.3 billion). As of December 31, 2022, these interest rate swaps had a weighted average maturity of 16.5 years (December 31, 2021: 20.8 years) and a weighted average fixed pay rate of 0.89% (December 31, 2021: 0.99%). As of December 31, 2022 and December 31, 2021, we had interest rate swaps whereby we pay floating interest based on SOFR and receive interest at a fixed rate with the following maturities outstanding, excluding interest rate swaps with forward start dates. $ in thousands As of December 31, 2022 Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 100,000 4.30 % 4.90 % 0.9 3 to 5 years 550,000 4.30 % 2.74 % 4.0 5 to 7 years 1,125,000 4.30 % 2.66 % 6.0 7 to 10 years 200,000 4.30 % 2.66 % 8.4 Greater than 10 years 375,000 4.30 % 2.67 % 29.5 Total 2,350,000 4.30 % 2.78 % 9.3 $ in thousands As of December 31, 2021 Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.05 % 0.77 % 2.6 5 to 7 years 500,000 0.05 % 1.26 % 6.9 7 to 10 years 250,000 0.05 % 1.27 % 10.0 Total 1,750,000 0.05 % 0.98 % 4.9 As of December 31, 2022, we held $275.0 million notional amount of interest rate swaps with forward start dates that will pay floating interest based on SOFR. As of December 31, 2022, these interest rate swaps had a weighted average maturity of 16.0 years and a weighted average fixed receive rate of 2.63%. We did not hold any such interest rate swaps as of December 31, 2021. Swaptions and Currency Forward Contracts We periodically purchase interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of our Agency RMBS portfolio (referred to as “convexity risk”). The interest rate swaptions provide us the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future. The premium paid for interest rate swaptions is reported as a derivative asset in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments, net in our consolidated statements of operations. If an interest rate swaption expires unexercised, the loss on the interest rate swaption would equal the premium paid. If we sell or exercise an interest rate swaption, the realized gain or loss on the interest rate swaption would equal the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our consolidated statements of operations. We did not have any currency forward contracts outstanding as of December 31, 2022. As of December 31, 2021 we had $13.6 million of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in euro. Credit Derivatives Our GSE CRTs purchased before August 24, 2015 were accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. Embedded derivatives associated with GSE CRTs were recorded within mortgage-backed and credit risk transfer securities, at fair value, on our consolidated balance sheets. We sold all of our GSE CRT investments that were accounted for as hybrid financial instruments in 2020. TBAs We primarily use TBAs that we do not intend to physically settle on the contractual settlement date as an alternative means of investing in and financing Agency RMBS. The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of December 31, 2022 and 2021. $ in thousands As of December 31, 2022 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts (1) 400,000 404,144 402,237 (1,907) TBA sales contracts (2) (400,000) (402,707) (402,237) 470 Net TBA derivatives — 1,437 — (1,437) (1) Net carrying value of TBA purchase contracts includes $1.9 million of derivative liabilities. (2) Net carrying value of TBA sales contract includes $642,000 of derivative assets and $172,000 of derivative liabilities. $ in thousands As of December 31, 2021 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts 1,600,000 1,636,906 1,633,955 (2,951) Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on our consolidated balance sheets as of December 31, 2022 and 2021. $ in thousands Derivative Assets Derivative Liabilities As of December 31, 2022 As of December 31, 2021 As of December 31, 2022 As of December 31, 2021 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset 20 — Interest Rate Swaps Liability — 11,405 Currency Forward Contracts — 270 Currency Forward Contracts — — TBAs 642 — TBAs 2,079 2,951 Total Derivative Assets 662 270 Total Derivative Liabilities 2,079 14,356 Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement The tables below present the effect of our credit derivatives on our consolidated statements of operations for the year ended December 31, 2020. $ in thousands Year Ended December 31, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (31,354) 6,323 (10,281) (35,312) The following tables summarize the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the consolidated statements of operations for the years ended December 31, 2022, 2021 and 2020. $ in thousands Year ended December 31, 2022 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps 593,035 86,872 11,426 691,333 Currency Forward Contracts 919 — (271) 648 TBAs (134,488) — 1,514 (132,974) Total 459,466 86,872 12,669 559,007 $ in thousands Year ended December 31, 2021 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps 185,232 (15,803) (5,869) 163,560 Interest Rate Swaptions (553) — — (553) Currency Forward Contracts 209 — 970 1,179 TBAs (28,731) — (12,844) (41,575) Total 156,157 (15,803) (17,743) 122,611 $ in thousands Year ended December 31, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps (857,753) 8,047 (24,068) (873,774) Currency Forward Contracts (1,301) — (345) (1,646) TBAs 14,477 — 9,893 24,370 Total (844,577) 8,047 (14,520) (851,050) |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 12 Months Ended |
Dec. 31, 2022 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the consolidated balance sheets. The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our consolidated balance sheets at December 31, 2022 and December 31, 2021. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $20,000 at December 31, 2022 (December 31, 2021: liability of $11.4 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of December 31, 2022 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 642 — 642 (642) — — Total Assets 642 — 642 (642) — — Liabilities Derivatives (1) (2) (2,079) — (2,079) 642 1,297 (140) Repurchase Agreements (3) (4,234,823) — (4,234,823) 4,234,823 — — Total Liabilities (4,236,902) — (4,236,902) 4,235,465 1,297 (140) As of December 31, 2021 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 270 — 270 — (270) — Total Assets 270 — 270 — (270) — Liabilities Derivatives (1) (2) (2,951) — (2,951) — 2,951 — Repurchase Agreements (3) (6,987,834) — (6,987,834) 6,987,834 — — Total Liabilities (6,990,785) — (6,990,785) 6,987,834 2,951 — (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $104.8 million and $224.4 million at December 31, 2022 and December 31, 2021, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held no cash collateral on our derivatives as of December 31, 2022 and $280,000 as of December 31, 2021. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $4.4 billion and $7.3 billion as of December 31, 2022 and December 31, 2021, respectively. We pledged no cash collateral and $3.5 million of cash collateral under repurchase agreements as of December 31, 2022 and December 31, 2021, respectively. We held cash collateral of $4.9 million and no cash collateral under repurchase agreements as of December 31, 2022 and December 31, 2021, respectively. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows: • Level 1 Inputs – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables present our assets and liabilities measured at fair value on a recurring basis. December 31, 2022 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 4,791,893 — — 4,791,893 Derivative assets — 662 — — 662 Other assets — — — 552 552 Total assets — 4,792,555 — 552 4,793,107 Liabilities: Derivative liabilities — 2,079 — — 2,079 Total liabilities — 2,079 — — 2,079 December 31, 2021 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 (3) NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 7,804,259 — — 7,804,259 Derivative assets — 270 — — 270 Other assets — — 23,515 12,476 35,991 Total assets — 7,804,529 23,515 12,476 7,840,520 Liabilities: Derivative liabilities — 14,356 — — 14,356 Total liabilities — 14,356 — — 14,356 (1) For more detail about the fair value of our MBS, refer to Note 4 - “Mortgage-Backed Securities”. (2) Investments in unconsolidated ventures are valued using the net asset value (“NAV”) as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of December 31, 2022, our unconsolidated ventures were in liquidation and plan to sell or settle their remaining investments as expeditiously as possible. (3) We used an independent third party appraisal to value our commercial loan investment. The following table shows a reconciliation of the beginning and ending fair value measurements of our commercial loan investment, which we valued utilizing Level 3 inputs. Years Ended $ in thousands December 31, 2022 December 31, 2021 Beginning balance 23,515 23,098 Repayments (23,919) — Total net unrealized gains (losses) included in net income: Unrealized gain (loss) 404 417 Ending balance — 23,515 Unrealized gains and losses on our commercial loan investment are included in gain (loss) on investments, net in our consolidated statements of operations. The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan investment: Fair Value at Valuation Unobservable $ in thousands December 31, 2021 Technique Input Rate Commercial Loan 23,515 Discounted Cash Flow Discount rate 18.8 % The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the consolidated balance sheets at December 31, 2022 and December 31, 2021: December 31, 2022 December 31, 2021 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities: Repurchase agreements 4,234,823 4,233,627 6,987,834 6,987,806 Total 4,234,823 4,233,627 6,987,834 6,987,806 The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Our Manager is at all times subject to the supervision and oversight of our board of directors and has only such functions and authority as we delegate to it. Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. During the year ended December 31, 2022, we reimbursed our Manager $1.5 million (2021: $1.1 million; 2020: $1.1 million) for costs of support personnel. Management Fee We pay our Manager a fee equal to 1.50% of our stockholders' equity per annum. For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S. GAAP. Stockholders' equity may exclude one-time events due to changes in U.S. GAAP and certain non-cash items upon approval by a majority of our independent directors. We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager. Expense Reimbursement We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, legal services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation. The following table summarizes the costs incurred on our behalf by our Manager for the years ended December 31, 2022, 2021 and 2020. Years ended December 31, $ in thousands 2022 2021 2020 Incurred costs, prepaid or expensed 8,085 7,108 10,845 Incurred costs, charged against equity as a cost of raising capital 223 692 239 Total incurred costs, originally paid by our Manager 8,308 7,800 11,084 Termination Fee If we terminate our management agreement, we owe our Manager a termination fee equal to three times the sum of our average annual management fee during the 24-month period before termination, calculated as of the end of the most recently completed fiscal quarter. |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Preferred Stock In June 2021, we redeemed all issued and outstanding shares of our Series A Preferred Stock for $140.0 million plus accrued and unpaid dividends. The excess of the consideration transferred over carrying value was accounted for as a deemed dividend and resulted in a reduction of $4.7 million in net income (loss) attributable to common stockholders during the year ended December 31, 2021. In May 2022, our board of directors approved a share repurchase program for our Series B and Series C Preferred Stock. During the year ended December 31, 2022, we repurchased and retired 1,662,366 shares of Series B Preferred Stock and 3,683,530 shares of Series C Preferred Stock and recorded a gain on repurchase and retirement of preferred stock of $14.2 million. As of December 31, 2022, we had authority to purchase 1,337,634 additional shares of our Series B Preferred Stock and 1,316,470 additional shares of our Series C Preferred Stock under the current share repurchase program. Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month London Interbank Offered Rate ("LIBOR") plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50% of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. The United Kingdom Financial Conduct Authority, which regulates LIBOR, announced that it will cease to publish three-month USD LIBOR settings on July 1, 2023. We do not currently intend to amend our Series B or Series C Preferred Stock to change the existing USD LIBOR cessation fallback language. We have the option to redeem shares of our Series B Preferred Stock after December 27, 2024 and shares of our Series C Preferred Stock after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company before those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control. Common Stock In May 2022, our board of directors approved a one-for-ten reverse split of outstanding shares of our common stock. The reverse stock split was effected following the close of business on June 3, 2022 (the "Effective Time"). At the Effective Time, every ten issued and outstanding shares of our common stock were converted into one share of our common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares received cash, in lieu of such fractional shares, in an amount determined based on the closing price of our common stock at the Effective Time. The reverse stock split applied to all of our outstanding shares of common stock and did not affect any stockholder’s ownership percentage of our common stock, except for changes resulting from the payment of cash for fractional shares. During the year ended December 31, 2022, we sold 5,686,598 shares (2021: 5,574,402 shares) of common stock in at-the-market transactions under our equity distribution agreements for proceeds of $81.6 million (2021: $180.5 million) net of approximately $1.3 million (2021: $2.6 million) in commissions and fees. We did not have any remaining shares authorized under our at-the-market program as of December 31, 2022. During the years ended December 31, 2022 and December 31, 2021, we did not repurchase any shares of our common stock. As of December 31, 2022, we had authority to purchase 1,816,398 shares of our common stock through our share repurchase program. In May 2022, we granted 32,571 restricted shares of common stock to our independent directors. The restricted shares will become unrestricted shares of common stock on the first anniversary of the grant date unless forfeited, subject to certain conditions that accelerate vesting. Accumulated Other Comprehensive Income The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income (“AOCI”) at December 31, 2022 and December 31, 2021, respectively. The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. December 31, 2022 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (6,280) — (6,280) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (19,708) (19,708) Currency translation adjustments on investment in unconsolidated venture (537) — — (537) Total other comprehensive income (loss) (537) (6,280) (19,708) (26,525) AOCI balance at beginning of period 424 6,749 30,113 37,286 Total other comprehensive income (loss) (537) (6,280) (19,708) (26,525) AOCI balance at end of period (113) 469 10,405 10,761 December 31, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — 756 — 756 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (22,000) (22,000) Currency translation adjustments on investment in unconsolidated venture (75) — — (75) Total other comprehensive income (loss) (75) 756 (22,000) (21,319) AOCI balance at beginning of period 499 5,993 52,113 58,605 Total other comprehensive income (loss) (75) 756 (22,000) (21,319) AOCI balance at end of period 424 6,749 30,113 37,286 Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements. Dividends Dividends declared per share on our common stock have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022. We declared the following dividends during 2022 and 2021: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2021 (1) February 19, 2021 0.4844 2,713 April 26, 2021 (1) On June 16, 2021, we paid a final dividend of $0.2691 per share ($1.5 million in aggregate) in connection with the redemption of our Series A Preferred Stock. The final dividend was treated as a component of the redemption price for tax purposes. $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2022 November 1, 2022 0.4844 2,198 December 27, 2022 August 2, 2022 0.4844 2,198 September 27, 2022 May 3, 2022 0.4844 2,991 June 27, 2022 February 16, 2022 0.4844 3,003 March 28, 2022 2021 November 2, 2021 0.4844 3,003 December 27, 2021 August 3, 2021 0.4844 3,003 September 27, 2021 May 4, 2021 0.4844 3,004 June 28, 2021 February 19, 2021 0.4844 3,003 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2022 November 1, 2022 0.46875 3,664 December 27, 2022 August 2, 2022 0.46875 3,664 September 27, 2022 May 3, 2022 0.46875 5,109 June 27, 2022 February 16, 2022 0.46875 5,391 March 28, 2022 2021 November 2, 2021 0.46875 5,391 December 27, 2021 August 3, 2021 0.46875 5,391 September 27, 2021 May 4, 2021 0.46875 5,390 June 28, 2021 February 19, 2021 0.46875 5,391 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2022 December 19, 2022 0.65 25,162 January 27, 2023 September 26, 2022 0.65 22,979 October 27, 2022 June 27, 2022 0.90 29,721 July 27, 2022 March 28, 2022 0.90 29,693 April 27, 2022 2021 December 27, 2021 0.90 29,689 January 27, 2022 September 28, 2021 0.90 28,057 October 26, 2021 June 23, 2021 0.90 26,071 July 27, 2021 March 26, 2021 0.90 22,176 April 27, 2021 The following table sets forth the dividends declared per share of our preferred and common stock and their related tax characterization for the fiscal tax years ended December 31, 2022 and 2021. Common stock dividends on CUSIP 46131B100, which were declared and paid prior to our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022, have not been retroactively adjusted in the table below. Tax Characterization of Dividends Fiscal Tax Year Dividends Declared in Prior Year and Taxable in Current Year Dividends Declared and Taxable in Current Year Ordinary Dividends Return of Capital Capital Gain Distribution Series A Preferred Stock Dividends Fiscal tax year 2021 0.484400 0.484400 0.968800 — — Series B Preferred Stock Dividends Fiscal tax year 2022 — 1.963700 1.936700 — — Fiscal tax year 2021 — 1.936700 1.936700 — — Series C Preferred Stock Dividends Fiscal tax year 2022 — 1.875000 1.875000 — — Fiscal tax year 2021 — 1.875000 0.590720 1.284280 — Common Stock Dividends Fiscal tax year 2022 (CUSIP 46131B704) (1) — 1.550000 0.873081 0.676919 — Fiscal tax year 2022 (CUSIP 46131B100) 0.090000 0.090000 0.101390 0.078610 — Fiscal tax year 2021 (CUSIP 46131B100) (2) 0.080000 0.270000 — 0.350000 — (1) Excludes common stock dividend of $0.65 per share declared on December 19, 2022 that had a record date of January 9, 2023. This dividend is a 2023 dividend for federal income tax purposes. (2) Excludes common stock dividend of $0.09 per share declared on December 27, 2021 that had a record date of January 11, 2022. This dividend is a 2022 dividend for federal income tax purposes. |
Earnings (Loss) per Common Shar
Earnings (Loss) per Common Share | 12 Months Ended |
Dec. 31, 2022 | |
Earnings Per Share [Abstract] | |
Earnings (Loss) per Common Share | Earnings (Loss) per Common Share Common share amounts and earnings (loss) per share have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022. Earnings per share for the years ended December 31, 2022, 2021 and 2020 is computed as follows: In thousands except per share amounts Years Ended December 31, 2022 2021 2020 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (416,963) (132,477) (1,718,778) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 34,160 27,513 17,373 Dilutive Shares 34,160 27,513 17,373 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (12.21) (4.82) (98.93) Diluted (12.21) (4.82) (98.93) The following potential weighted average common shares were excluded from diluted earnings per share as the effect would be anti-dilutive. For the year ended December 31, 2022, 1,216 shares for restricted stock awards. (December 31, 2021: 1,606 for restricted stock awards, December 31, 2020: 1,102 for restricted stock awards). |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and ContingenciesCommitments and contingencies may arise in the ordinary course of business. Our material off balance sheet commitments and contingencies as of December 31, 2022 are discussed below.As discussed in Note 5 - “Other Assets”, we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager. The unconsolidated ventures are structured as partnerships, and we invested in the partnerships as a limited partner. Both of the unconsolidated ventures are in liquidation and plan to sell or settle their remaining investments as expeditiously as possible. Until the ventures complete their liquidation, we are committed to fund $6.3 million in additional capital to cover future expenses should they occur. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Dividends We declared the following dividends on February17, 2023: a Series B Preferred Stock dividend of $0.4844 per share payable on March 27, 2023 to our stockholders of record as of March 5, 2023, and a Series C Preferred Stock dividend of $0.46875 per share payable on March 27, 2023 to our stockholders of record on March 5, 2023. |
Schedule IV Mortgage Loans on R
Schedule IV Mortgage Loans on Real Estate | 12 Months Ended |
Dec. 31, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule IV Mortgage Loans on Real Estate | INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES Schedule IV Mortgage Loans on Real Estate As of December 31, 2022 $ in thousands Reconciliation of Carrying Value of Mortgage Loans on Real Estate: 2022 2021 2020 Beginning balance 23,515 23,098 24,055 Additions: Unrealized gain 404 417 — Deductions: Collection of principal 23,919 — 136 Unrealized loss — — 821 Ending balance — 23,515 23,098 |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation For all periods presented in these consolidated financial statements, common shares and per common share amounts have been adjusted on a retroactive basis to reflect our one-for-ten reverse stock split, which was effected following the close of business on June 3, 2022, unless otherwise noted. |
Use of Estimates | Use of Estimates The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates. |
Translation of Foreign Currencies | Translation of Foreign Currencies The functional currency of the Company and its subsidiaries is U.S. dollars. Transactions in foreign currencies are recorded at the rates of exchange prevailing on the date of the transactions. At each balance sheet date, monetary assets and liabilities that are denominated in foreign currencies are remeasured at the rates prevailing at the balance sheet date. Gains and losses arising on revaluation are included in other investment income (loss), net on the consolidated statements of operations. Our reporting currency is U.S. dollars. Upon consolidation, the assets and liabilities of our investment in an unconsolidated venture whose functional currency is the Euro is translated to U.S. dollars using the period-end exchange rates. Equity accounts are translated at historical rates, except for the change in retained earnings during the year, which is the result of the income statement translation process. Revenue and expense accounts are translated using the weighted average exchange rate during the period. The cumulative translation adjustments associated with the investment in the unconsolidated venture are recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders’ equity. |
Fair Value Measurements | Fair Value Measurements We report our MBS and GSE CRTs and derivative assets and liabilities at fair value as determined by an independent pricing service. We generally obtain one price per instrument from our primary pricing service. If the primary pricing service cannot provide a price, we will seek a value from other pricing services. The pricing service uses two types of valuation approaches to determine the valuation of our various mortgage-backed and credit risk transfer securities: a market approach, which uses observable prices and other relevant information that is generated by market transactions involving identical or comparable assets or liabilities; and an income approach, which uses valuation techniques to convert future amounts to a single, discounted present value amount. In instances where sufficient market activity may not exist, the pricing service may utilize proprietary valuation models that may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics to estimate relevant cash flows, which are then discounted to calculate the fair values. Observable inputs may include a combination of benchmark yields, executed trades, broker/dealer quotes, issuer spreads, bids, offers and benchmark securities. In addition, the valuation models utilized by pricing services may consider additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. We and the pricing service continuously monitor market indicators and economic events to determine whether they may have an impact on our valuations. The pricing service values interest rate swaps, currency forward contracts and to-be-announced securities (“TBAs”) under the market approach through the use of quoted prices available in an active market. Overrides of prices from pricing services are rare in the current market environment for the assets we hold. Examples of instances that would cause an override include if we recently traded the same security or there is an indication of market activity that would cause the pricing service price to no longer be indicative of fair value. In the rare instance where a price is adjusted, we have a control process to monitor the reason for such adjustment. To gain comfort that pricing service prices are representative of current market information, we compare the transaction prices of security purchases and sales to the valuation levels provided by the pricing services. Price differences exceeding pre-defined tolerance levels are identified and investigated and may be challenged. Trends are monitored over time and if there are indications that the valuations are not comparable to market activity, the pricing services are asked to provide detailed information regarding their methodology and inputs. Transparency tools are also available from the pricing services which help us understand data points and/or market inputs used for pricing securities. We also review daily price movements for interest rate swaps, currency forward contracts and TBAs. Price movements exceeding pre-defined tolerance levels are investigated using an alternate price from another pricing service as well as available market information. Based on our findings, the primary pricing service may be challenged, or in rare cases, overridden with an alternate pricing source. In addition, we perform due diligence procedures on all pricing services on at least an annual basis. A questionnaire is sent to pricing services which requests information such as changes in methodologies, business recovery preparedness, internal controls and confirmation that evaluations are generated based on market data. Physical visits are also made to each pricing service's office. Virtual visits may take place in lieu of physical visits given concerns surrounding the COVID-19 pandemic. An independent pricing service valued our commercial loan investment using a discounted cash flow analysis. The yield used in the discounted cash flow analysis was determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market as well as a comparison of current market and collateral conditions to those present at origination. As described in Note 10 - “Fair Value of Financial Instruments,” we evaluate the source used to fair value our assets and liabilities and make a determination on its categorization within the fair value hierarchy. If the price of a security is obtained from quoted prices for identical instruments in active markets, the security is classified as a level 1 security. If the price of a security is obtained from quoted prices for similar instruments or model-derived valuations whose inputs are observable, the security is classified as a level 2 security. If the inputs appear to be unobservable, the security would be classified as a level 3 security. Transfers between levels, if any, are determined at the end of the reporting period. |
Mortgage-Backed and Credit Risk Transfer Securities | Mortgage-Backed and Credit Risk Transfer Securities We record our purchases of MBS and GSE CRTs on the trade date and report these securities at fair value as described above in the Fair Value Measurements section of this Note 2 to our consolidated financial statements. Approximately $4.7 billion or 99% of our MBS are accounted for under the fair value option as of December 31, 2022 (December 31, 2021: $7.7 billion or 99%). Under the fair value option, we recognize changes in fair value in our consolidated statements of operations as unrealized gains and losses. In our view, this election more appropriately reflects the results of our operations because fair value changes are accounted for in the same manner as fair value changes in our economic hedging instruments. We elected the fair value option for all MBS purchased on or after September 1, 2016, GSE CRTs purchased on or after August 24, 2015 and all RMBS interest-only securities. We classify the remaining balance of our MBS as available-for-sale ($42.5 million or 1% as of December 31, 2022; $70.2 million or 1% as of December 31, 2021). Unrealized gains or losses on available-for-sale securities are recorded in accumulated other comprehensive income, a separate component of stockholders' equity, until sale or disposition of the investment. Upon sale or disposition, the cumulative gain or loss previously reported in stockholders' equity is recognized in income. Realized gains and losses from sales of MBS are determined based upon the specific identification method. GSE CRTs purchased before August 24, 2015 were reported at fair value and accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative. Unrealized gains or losses arising from changes in fair value of the debt host contract, excluding other-than-temporary impairment, were recognized in accumulated other comprehensive income until sale or disposition of the investment. Upon sale or disposition of the debt host contract, the cumulative gain or loss previously reported in stockholders’ equity was recognized in income. Realized and unrealized gains or losses arising from changes in fair value of the embedded derivative were recognized in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. We elected the fair value option for GSE CRTs purchased on or after August 24, 2015 due to the complexities associated with bifurcation of GSE CRTs into a debt host contract and an embedded derivative. Realized gains and losses from sales of GSE CRTs were determined based upon the specific identification method. Our interest income recognition policies for MBS and GSE CRTs are described below in the Interest Income Recognition section of this Note 2 to our consolidated financial statements. Allowances for Credit Losses on Available-for-Sale Securities We are not required to measure expected credit losses for situations in which historic credit loss information, adjusted for current conditions and reasonable and supportable forecasts, results in an expectation that nonpayment of the amortized cost basis is zero. We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk. For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses. We calculate the allowance for credit losses as the difference between the investment's amortized cost basis and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment. In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. We place reliance on these internal models in determining credit quality. We record an allowance for credit losses as a contra-asset on the consolidated balance sheets and a provision for credit losses in the consolidated statements of operations. Credit losses are accreted into earnings over time at the effective interest rate used to recognize interest income. Subsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings. If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment. The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value. When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted. We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost. Recoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received. We record provisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within (increase) decrease in provision for credit losses in our consolidated statements of operations. When we determine that we intend to sell, or more likely than not will be required to sell, an available-for-sale security in an unrealized loss position before we recover its amortized cost, we write off any allowance for credit losses and write down the investment’s amortized cost to its fair value. We record the write off of the allowance for credit losses within (increase) decrease in provision for credit losses on our consolidated statements of operations and write down of the available-for-sale security within gain (loss) on investments, net in our consolidated statements of operations. We present accrued interest receivable separately from our investment portfolio on our consolidated balance sheets. We do not estimate an allowance for credit losses on accrued interest receivable because we write off accrued interest receivable as a reduction to interest income if it is not received when due. U.S. Treasury Securities |
Commercial Loans Held-For-Investment | Commercial Loan Held-For-Investment We reported our commercial loan investment at fair value as described in the Fair Value Measurements section of this Note 2 to the consolidated financial statements. We recorded changes in fair value within gain (loss) on investments, net in our consolidated statements of operations. |
Interest Income Recognition | Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal or notional balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on our MBS where we may not recover substantially all of our initial investment is based on estimated future cash flows. We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price. Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment, unless those changes are reflected in an allowance for credit losses. In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income. Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities, including write-offs of amortized cost when certain amounts are deemed uncollectible. For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes are reflected in an allowance for credit losses, and the security's yield is revised prospectively. For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows. We do not estimate prepayments in applying the effective interest method. Credit Risk Transfer Securities Interest income on GSE CRTs purchased before August 24, 2015 was accrued based on the coupon rate of the debt host contract which reflected the credit risk of GSE unsecured senior debt with a similar maturity. Premiums or discounts associated with the purchase of GSE CRTs were amortized or accreted into interest income over the life of the debt host contract using the effective interest method. The difference between the coupon rate on the hybrid instrument and the coupon rate on the debt host contract was considered premium income associated with the embedded derivative and was recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. Interest income on GSE CRTs purchased on or after August 24, 2015 was based on estimated future cash flows. Commercial and Other Loans We recognize interest income from commercial and other loans when earned and deemed collectible, or until a loan becomes past due based on the terms of the loan agreement. Any related origination fees or costs on commercial and other loans for which we have elected the fair value option are recognized immediately in earnings. Interest received after a loan becomes past due or impaired is used to reduce the outstanding loan principal balance. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, loans that have been individually impaired may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months. |
Cash and Cash Equivalents | Cash and Cash EquivalentsWe consider all highly liquid investments that have original or remaining maturity dates of three months or less when purchased to be cash equivalents. |
Restricted Cash | Restricted CashRestricted cash represents cash posted with counterparties as collateral for various derivative instruments. Cash posted with counterparties as collateral is not available for general corporate purposes. |
Due from Counterparties/Collateral Held Payable | Due from Counterparties / Collateral Held PayableDue from counterparties represents cash posted with our counterparties as collateral for our derivatives and repurchase agreements. Collateral held payable represents cash posted with us by counterparties as collateral under our derivatives and repurchase agreements. If we receive collateral other than cash from our counterparties, such assets are not included in our consolidated balance sheets. If we either sell such assets or pledge the assets as collateral under a repurchase agreement, the cash received and the corresponding liability is reflected on the consolidated balance sheets |
Investment Related Receivable / Investment Related Payable | Investment Related Receivable / Investment Related Payable Investment related receivable consists of receivables for mortgage-backed securities that we have sold but have not settled with the buyer and accrued interest and principal paydowns on mortgage-backed securities. Investment related payable consists of liabilities for mortgage-backed securities that we have purchased but have not settled with the seller. |
Investments in Unconsolidated Ventures | Investments in Unconsolidated VenturesOur non-controlling investments in unconsolidated ventures are included in other assets in our consolidated balance sheets and are accounted for under the equity method. Capital contributions, distributions, profits and losses of the entities are allocated in accordance with the terms of the entities’ operating agreements. Such allocations may differ from the stated percentage interests, if any, as a result of preferred returns and allocation formulas as described in the entities' operating agreements. |
Repurchase Agreements | Repurchase Agreements We have financed our purchases of mortgage-backed and credit risk transfer securities primarily through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. We record the mortgage-backed securities and the related repurchase agreement financing on a gross basis in our consolidated balance sheets, and the corresponding interest income and interest expense on a gross basis in our consolidated statements of operations. |
Secured Loans | Secured Loans Our wholly-owned subsidiary, IAS Services LLC, was a member of the Federal Home Loan Bank of Indianapolis (“FHLBI”). As a member of the FHLBI, IAS Services LLC borrowed funds from the FHLBI in the form of secured advances. FHLBI advances were treated as secured financing transactions and carried at their contractual amounts. During the year ended December 31, 2020, we fully repaid our outstanding secured loans from the FHLBI and terminated our membership. IAS Services LLC was dissolved in December 2020. |
Dividends Payable | Dividends PayableDividends payable represent dividends declared at the balance sheet date that are payable to common stockholders and preferred stockholders. |
Earnings (Loss) per Share | Earnings (Loss) per Share We calculate basic earnings (loss) per share by dividing net income (loss) attributable to common stockholders for the period by the weighted-average number of shares of our common stock outstanding for that period. Diluted earnings per share takes into account the effect of dilutive instruments, such as unvested restricted stock awards, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. |
Share-Based Compensation | Share-Based Compensation Under the terms of our amended and restated 2009 Equity Incentive Plan (the “Incentive Plan”), our independent directors are eligible to receive stock awards as part of their compensation for serving as directors, In addition, we may compensate the officers and employees of our Manager and its affiliates under the Incentive Plan under the terms of our management agreement. |
Underwriting Commissions and Offering Costs | Underwriting Commissions and Offering Costs Underwriting commissions and direct costs incurred in connection with our common and preferred stock offerings are recorded as a reduction of additional paid in capital and preferred stock, respectively. |
Comprehensive Income | Comprehensive Income Our comprehensive income consists of net income, as presented in the consolidated statements of operations, adjusted for unrealized gains and losses on MBS purchased before September 1, 2016 and the debt host contract associated with GSE CRTs purchased before August 24, 2015; reclassification of unrealized losses on available-for-sale securities to (increase) decrease in provision for credit losses; reclassification of amortization of net deferred gains and losses on de-designated interest rate swaps to repurchase agreements interest expense and currency translation adjustments on an investment in an unconsolidated venture. Unrealized gains and losses on our MBS purchased before September 1, 2016 and the debt host contract associated with GSE CRTs purchased before August 24, 2015 are reclassified into net income upon their sale. |
Accounting for Derivative Financial Instruments | Accounting for Derivative Financial Instruments We record all derivatives on our consolidated balance sheets at fair value. At the inception of a derivative contract, we determine whether the instrument will be part of a qualifying hedge accounting relationship or whether we will account for the contract as a trading instrument. We have elected not to apply hedge accounting to all new derivative contracts entered into after January 1, 2014. Changes in the fair value of our derivatives are recorded in gain (loss) on derivative instruments, net in our consolidated statements of operations. Net interest paid or received under our interest rate swaps is also recognized in gain (loss) on derivative instruments, net in our consolidated statements of operations. Before 2014, we applied hedge accounting to our interest rate swap agreements. Effective December 31, 2013, we voluntarily discontinued hedge accounting for our interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges. As long as we expect the forecasted transactions that were being hedged (i.e., rollovers of our repurchase agreement borrowings) to still occur, the balance recorded in accumulated other comprehensive income (loss) (“AOCI”) from the interest rate swap activity through December 31, 2013 will remain in AOCI and be recognized in our consolidated statements of operations as interest expense over the remaining term of the interest rate swaps. Prior to December 31, 2020, we were a party to hybrid financial instruments that contained embedded derivative instruments and for which we did not elect the fair value option. We assessed at inception whether the economic characteristics of the embedded derivative instruments were clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the debt host contract), whether the financial instrument was remeasured to fair value through earnings and whether a separate instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it was determined that (1) the embedded instrument possessed economic characteristics that were not clearly and closely related to the economic characteristics of the debt host contract, (2) the financial instrument was not remeasured to fair value through earnings and (3) a separate instrument with the same terms would qualify as a derivative instrument, the embedded instrument qualified as an embedded derivative that was separated from the debt host contract. The embedded derivative was recorded at fair value, and changes in fair value were recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. We evaluate the terms and conditions of our holdings of swaptions, currency forward contracts and TBAs to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S. GAAP. Accordingly, swaptions, currency forward contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the consolidated statements of operations. The fair value of these swaptions, currency forward contracts and TBAs is included in derivative assets or derivative liabilities on the consolidated balance sheets. |
Income Taxes | Income Taxes We elected to be taxed as a REIT commencing with our taxable year ended December 31, 2009. Accordingly, we will generally not be subject to U.S. federal and applicable state and local corporate income tax to the extent that we make qualifying distributions to our stockholders, and provided we satisfy on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If we fail to qualify as a REIT and do not qualify for certain statutory relief provisions, we 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 we lost our REIT qualification. Accordingly, our failure to qualify as a REIT could have a material adverse impact on our results of operations and amounts available for distribution to stockholders. Our dividends paid deduction for qualifying dividends to our stockholders is computed using our REIT taxable income as opposed to net income reported on the consolidated financial statements. REIT taxable income will generally differ from net income because the determination of REIT taxable income is based on tax regulations and not financial accounting principles. We have elected to treat one of our subsidiaries as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that we cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A TRS is subject to U.S. federal, state and local corporate income taxes. Our TRS did not generate material taxable income for the years ended December 31, 2022, 2021 and 2020. We do not have any accruals for uncertain tax positions. We would recognize interest and penalties related to uncertain tax positions, if any, as income tax expense, which would be included in general and administrative expenses. |
Variable Interest Entities ("_2
Variable Interest Entities ("VIEs") (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Variable Interest Entity Disclosure [Abstract] | |
Schedule of Maximum Risk of Loss | Our maximum risk of loss in VIEs in which we are not the primary beneficiary at December 31, 2022 is presented in the table below. $ in thousands Carrying Company's Maximum Risk of Loss Non-Agency CMBS 36,787 36,787 Non-Agency RMBS 8,413 8,413 Investments in unconsolidated ventures 552 552 Total 45,752 45,752 |
Mortgage-Backed and Credit Ri_2
Mortgage-Backed and Credit Risk Transfer Securities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Investment Portfolio | The following tables summarize our MBS portfolio by asset type at December 31, 2022 and 2021. December 31, 2022 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- (1) 30 year fixed-rate Agency RMBS 4,722,768 (115,365) 4,607,403 54,334 4,661,737 5.26 % Agency-CMO (2) 619,069 (536,376) 82,693 2,263 84,956 9.09 % Non-Agency CMBS 38,652 (1,472) 37,180 (393) 36,787 8.35 % Non-Agency RMBS (3)(4)(5) 307,016 (299,012) 8,004 409 8,413 8.33 % Total 5,687,505 (952,225) 4,735,280 56,613 4,791,893 5.35 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2022 and incorporates future prepayment and loss assumptions. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 68.6% fixed rate, 30.6% variable rate and 0.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities (“non-Agency IO”) which represent 97.1% of principal/notional balance, 41.6% of amortized cost and 35.3% of fair value. December 31, 2021 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Value Period- end Weighted Average Yield (1) 30 year fixed-rate Agency RMBS 7,514,229 246,183 7,760,412 (58,889) 7,701,523 2.07 % Agency-CMO (2) 235,216 (203,180) 32,036 (1,279) 30,757 6.47 % Non-Agency CMBS 61,427 (3,096) 58,331 4,578 62,909 8.63 % Non-Agency RMBS (3)(4)(5) 392,543 (383,591) 8,952 118 9,070 5.26 % Total 8,203,415 (343,684) 7,859,731 (55,472) 7,804,259 2.14 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2021 and incorporates future prepayment and loss assumptions. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 63.5% fixed rate, 35.6% variable rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes non-Agency IO which represent 97.7% of principal/notional balance, 44.8% of amortized cost and 19.9% of fair value. The components of the carrying value of our MBS portfolio at December 31, 2022 and 2021 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our consolidated balance sheets, was $21.3 million at December 31, 2022 (December 31, 2021: $16.6 million). December 31, 2022 December 31, 2021 $ in thousands MBS Interest-Only Securities Total MBS Interest-Only Securities Total Principal/notional balance 4,770,175 917,330 5,687,505 7,584,812 618,603 8,203,415 Unamortized premium 5,195 — 5,195 250,771 — 250,771 Unamortized discount (126,112) (831,308) (957,420) (11,902) (582,553) (594,455) Gross unrealized gains (1) 62,245 4,605 66,850 8,754 109 8,863 Gross unrealized losses (1) (7,535) (2,702) (10,237) (60,741) (3,594) (64,335) Fair value 4,703,968 87,925 4,791,893 7,771,694 32,565 7,804,259 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the years ended December 31, 2022 and 2021 is provided below within this Note 4. |
Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type | The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of December 31, 2022 and December 31, 2021. We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016. As of December 31, 2022 and December 31, 2021, approximately 99% of our MBS are accounted for under the fair value option. December 31, 2022 December 31, 2021 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total 30 year fixed-rate Agency RMBS — 4,661,737 4,661,737 — 7,701,523 7,701,523 Agency-CMO — 84,956 84,956 — 30,757 30,757 Non-Agency CMBS 36,787 — 36,787 62,909 — 62,909 Non-Agency RMBS 5,667 2,746 8,413 7,288 1,782 9,070 Total 42,454 4,749,439 4,791,893 70,197 7,734,062 7,804,259 |
Schedule of Fair Value of MBS and GSE CRTs According to Weighted Average Life Classification | The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of December 31, 2022 and 2021. $ in thousands December 31, 2022 December 31, 2021 Less than one year 26,593 23,150 Greater than one year and less than five years 10,194 891,510 Greater than or equal to five years 4,755,106 6,889,599 Total 4,791,893 7,804,259 |
Schedule of Unrealized Losses and Estimated Fair Value of MBS and GSE CRTs by Length of Time | The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2022 and 2021. December 31, 2022 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number of Securities Fair Unrealized Number of Securities Fair Unrealized Number of Securities 30 year fixed-rate Agency RMBS (1) 929,292 (7,060) 7 — — — 929,292 (7,060) 7 Agency-CMO (1) 25,417 (1,645) 6 2,934 (496) 1 28,351 (2,141) 7 Non-Agency CMBS (2) 26,592 (439) 2 — — — 26,592 (439) 2 Non-Agency RMBS (3) 349 (36) 2 1,411 (561) 9 1,760 (597) 11 Total 981,650 (9,180) 17 4,345 (1,057) 10 985,995 (10,237) 27 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis. (3) Includes non-Agency IO with fair value of $1.4 million for which the fair value option has been elected. Such securities have unrealized losses of $561,000. December 31, 2021 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number of Securities Fair Unrealized Number of Securities Fair Unrealized Number of Securities 30 year fixed-rate Agency RMBS (1) 6,838,999 (60,741) 54 — — — 6,838,999 (60,741) 54 Agency-CMO (1) 21,810 (1,389) 5 — — — 21,810 (1,389) 5 Non-Agency RMBS (2) 767 (1,132) 5 1,042 (1,073) 9 1,809 (2,205) 14 Total 6,861,576 (63,262) 64 1,042 (1,073) 9 6,862,618 (64,335) 73 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. |
Schedule of Debt Securities, Available-for-sale, Allowance for Credit Loss | The following table presents a roll-forward of our allowance for credit losses. $ in thousands Years Ended December 31, 2021 2020 Beginning allowance for credit losses (1,768) — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded — (1,768) Decreases in the allowance for credit losses on securities that had an allowance recorded in a previous period 1,768 — Ending allowance for credit losses — (1,768) |
Schedule of Gain (Loss) on Investments | The following table summarizes the components of our total gain (loss) on investments, net for the years ended December 31, 2022, 2021 and 2020. Years Ended December 31, $ in thousands 2022 2021 2020 Gross realized gains on sale of MBS and GSE CRT 5,348 3,297 656,915 Gross realized losses on sale of MBS and GSE CRT (1,169,258) (284,521) (1,020,696) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments — — (101,138) Net unrealized gains (losses) on MBS and GSE CRT accounted for under the fair value option 118,365 (85,702) (492,047) Net unrealized gains (losses) on commercial loan 404 417 (1,164) Net realized gains (losses) on U.S. Treasury securities (34,198) — — Realized loss on loan participation interest — — (3,808) Total gain (loss) on investments, net (1,079,339) (366,509) (961,938) |
Schedule of Components of MBS and GSE CRT Interest Income | The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the years ended December 31, 2022, 2021 and 2020. GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option of $6.3 million for the years ended December 31, 2020 that was recorded as realized and unrealized credit derivative income (loss), net. For the Year ended December 31, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 191,898 (6,755) 185,143 Non-Agency CMBS 2,366 1,624 3,990 Non-Agency RMBS 1,223 (552) 671 U.S. Treasury Securities 1,773 (41) 1,732 Other 1,030 — 1,030 Total 198,290 (5,724) 192,566 For the Year ended December 31, 2021 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion Interest Agency RMBS 201,694 (41,881) 159,813 Non-Agency CMBS 3,841 2,695 6,536 Non-Agency RMBS 1,950 (1,264) 686 Other 21 — 21 Total 207,506 (40,450) 167,056 For the Year ended December 31, 2020 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion Interest Agency RMBS 161,845 (32,737) 129,108 Agency CMBS 35,822 (1,744) 34,078 Non-Agency CMBS 76,068 14,721 90,789 Non-Agency RMBS 13,895 1,107 15,002 GSE CRT 10,232 (2,560) 7,672 Other 751 — 751 Total 298,613 (21,213) 277,400 |
Other Assets (Tables)
Other Assets (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Schedule of Other Assets | The following table summarizes our other assets as of December 31, 2022 and 2021: $ in thousands December 31, 2022 December 31, 2021 Commercial loan, held-for-investment — 23,515 Investments in unconsolidated ventures 552 12,476 Prepaid expenses and other assets 1,179 1,518 Total 1,731 37,509 |
Borrowings (Tables)
Borrowings (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following tables summarize certain characteristics of our repurchase agreements at December 31, 2022 and 2021. Refer to Note 7 - “Collateral Positions” for collateral pledged and held under our repurchase agreements. December 31, 2022 $ in thousands Amount Weighted Weighted Repurchase Agreements - Agency RMBS 4,234,823 4.24 % 28 Total Borrowings 4,234,823 4.24 % 28 December 31, 2021 $ in thousands Amount Weighted Weighted Repurchase Agreements - Agency RMBS 6,987,834 0.14 % 29 Total Borrowings 6,987,834 0.14 % 29 |
Collateral Positions (Tables)
Collateral Positions (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Fair Value of Collateral Hold and Pledged | The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps, currency forward contracts, and TBAs as of December 31, 2022 and 2021. Refer to Note 2 - “Summary of Significant Accounting Policies - Fair Value Measurements” for a description of how we determine fair value. Agency RMBS collateral pledged is included in mortgage-backed securities on our consolidated balance sheets. Cash collateral pledged on centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our consolidated balance sheets. Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our consolidated balance sheets. Cash collateral held that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of December 31, 2022 and 2021, we did not recognize any non-cash collateral held on our consolidated balance sheets. $ in thousands As of Collateral Pledged December 31, 2022 December 31, 2021 Repurchase agreements: Agency RMBS 4,439,583 7,326,175 Cash — 3,527 Total repurchase agreements collateral pledged 4,439,583 7,329,702 Derivative instruments: Cash 1,584 4,458 Restricted cash 103,246 219,918 Total derivative instruments collateral pledged 104,830 224,376 Total collateral pledged: Agency RMBS 4,439,583 7,326,175 Cash 1,584 7,985 Restricted cash 103,246 219,918 Total collateral pledged 4,544,413 7,554,078 Collateral Held December 31, 2022 December 31, 2021 Repurchase agreements: Cash 4,892 — Non-cash collateral 7,216 248 Total repurchase agreements collateral held 12,108 248 Derivative instruments: Cash — 280 Total derivative instruments collateral held — 280 Total collateral held: Cash 4,892 280 Non-cash collateral 7,216 248 Total collateral held 12,108 528 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments | The following table summarizes changes in the notional amount of our derivative instruments during 2022: $ in thousands Notional Amount as of December 31, 2021 Additions Settlement, Notional Amount as Interest Rate Swaps (1)(2) 8,050,000 10,075,000 (9,975,000) 8,150,000 Currency Forward Contracts 13,596 23,485 (37,081) — TBA Purchase Contracts 1,600,000 20,072,000 (21,272,000) 400,000 TBA Sale Contracts — (21,672,000) 21,272,000 (400,000) Total 9,663,596 8,498,485 (10,012,081) 8,150,000 (1) Does not include interest rate swaps with forward start dates. See below for additional details on our interest rate swaps with forward start dates. (2) Notional amount as of December 31, 2022 includes $5.8 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $2.4 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. Notional amount as of December 31, 2021 includes $6.3 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $1.8 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. |
Schedule of Interest Rate Swaps Outstanding | As of December 31, 2022 and 2021, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on the secured overnight financing rate (“SOFR”) with the following maturities outstand ing, excluding interest rate swaps with forward start dates. $ in thousands As of December 31, 2022 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,550,000 0.09 % 4.30 % 2.2 3 to 5 years 1,475,000 0.27 % 4.30 % 4.7 5 to 7 years 850,000 0.38 % 4.30 % 6.2 7 to 10 years 1,425,000 0.55 % 4.30 % 7.8 Greater than 10 years 500,000 1.92 % 4.30 % 19.2 Total 5,800,000 0.45 % 4.30 % 6.3 $ in thousands As of December 31, 2021 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.06 % 0.05 % 2.6 3 to 5 years 1,250,000 0.12 % 0.05 % 3.6 5 to 7 years 2,225,000 0.32 % 0.05 % 5.9 7 to 10 years 1,825,000 0.52 % 0.05 % 8.6 Total 6,300,000 0.30 % 0.05 % 5.7 $ in thousands As of December 31, 2022 Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 100,000 4.30 % 4.90 % 0.9 3 to 5 years 550,000 4.30 % 2.74 % 4.0 5 to 7 years 1,125,000 4.30 % 2.66 % 6.0 7 to 10 years 200,000 4.30 % 2.66 % 8.4 Greater than 10 years 375,000 4.30 % 2.67 % 29.5 Total 2,350,000 4.30 % 2.78 % 9.3 $ in thousands As of December 31, 2021 Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.05 % 0.77 % 2.6 5 to 7 years 500,000 0.05 % 1.26 % 6.9 7 to 10 years 250,000 0.05 % 1.27 % 10.0 Total 1,750,000 0.05 % 0.98 % 4.9 |
Schedule of TBA Contracts | The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of December 31, 2022 and 2021. $ in thousands As of December 31, 2022 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts (1) 400,000 404,144 402,237 (1,907) TBA sales contracts (2) (400,000) (402,707) (402,237) 470 Net TBA derivatives — 1,437 — (1,437) (1) Net carrying value of TBA purchase contracts includes $1.9 million of derivative liabilities. (2) Net carrying value of TBA sales contract includes $642,000 of derivative assets and $172,000 of derivative liabilities. $ in thousands As of December 31, 2021 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts 1,600,000 1,636,906 1,633,955 (2,951) |
Schedule of Fair Value of Derivative Financial Instruments and Classification on Balance Sheet | The table below presents the fair value of our derivative financial instruments, as well as their classification on our consolidated balance sheets as of December 31, 2022 and 2021. $ in thousands Derivative Assets Derivative Liabilities As of December 31, 2022 As of December 31, 2021 As of December 31, 2022 As of December 31, 2021 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset 20 — Interest Rate Swaps Liability — 11,405 Currency Forward Contracts — 270 Currency Forward Contracts — — TBAs 642 — TBAs 2,079 2,951 Total Derivative Assets 662 270 Total Derivative Liabilities 2,079 14,356 |
Schedule of Effect of Derivative Financial Instruments on Statement of Operations | The tables below present the effect of our credit derivatives on our consolidated statements of operations for the year ended December 31, 2020. $ in thousands Year Ended December 31, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (31,354) 6,323 (10,281) (35,312) The following tables summarize the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the consolidated statements of operations for the years ended December 31, 2022, 2021 and 2020. $ in thousands Year ended December 31, 2022 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps 593,035 86,872 11,426 691,333 Currency Forward Contracts 919 — (271) 648 TBAs (134,488) — 1,514 (132,974) Total 459,466 86,872 12,669 559,007 $ in thousands Year ended December 31, 2021 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps 185,232 (15,803) (5,869) 163,560 Interest Rate Swaptions (553) — — (553) Currency Forward Contracts 209 — 970 1,179 TBAs (28,731) — (12,844) (41,575) Total 156,157 (15,803) (17,743) 122,611 $ in thousands Year ended December 31, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps (857,753) 8,047 (24,068) (873,774) Currency Forward Contracts (1,301) — (345) (1,646) TBAs 14,477 — 9,893 24,370 Total (844,577) 8,047 (14,520) (851,050) |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Offsetting [Abstract] | |
Schedule of Offsetting Assets | The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our consolidated balance sheets at December 31, 2022 and December 31, 2021. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $20,000 at December 31, 2022 (December 31, 2021: liability of $11.4 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of December 31, 2022 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 642 — 642 (642) — — Total Assets 642 — 642 (642) — — Liabilities Derivatives (1) (2) (2,079) — (2,079) 642 1,297 (140) Repurchase Agreements (3) (4,234,823) — (4,234,823) 4,234,823 — — Total Liabilities (4,236,902) — (4,236,902) 4,235,465 1,297 (140) As of December 31, 2021 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 270 — 270 — (270) — Total Assets 270 — 270 — (270) — Liabilities Derivatives (1) (2) (2,951) — (2,951) — 2,951 — Repurchase Agreements (3) (6,987,834) — (6,987,834) 6,987,834 — — Total Liabilities (6,990,785) — (6,990,785) 6,987,834 2,951 — (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $104.8 million and $224.4 million at December 31, 2022 and December 31, 2021, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held no cash collateral on our derivatives as of December 31, 2022 and $280,000 as of December 31, 2021. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $4.4 billion and $7.3 billion as of December 31, 2022 and December 31, 2021, respectively. We pledged no cash collateral and $3.5 million of cash collateral under repurchase agreements as of December 31, 2022 and December 31, 2021, respectively. We held cash collateral of $4.9 million and no cash collateral under repurchase agreements as of December 31, 2022 and December 31, 2021, respectively. |
Schedule of Offsetting Liabilities | The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our consolidated balance sheets at December 31, 2022 and December 31, 2021. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $20,000 at December 31, 2022 (December 31, 2021: liability of $11.4 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of December 31, 2022 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 642 — 642 (642) — — Total Assets 642 — 642 (642) — — Liabilities Derivatives (1) (2) (2,079) — (2,079) 642 1,297 (140) Repurchase Agreements (3) (4,234,823) — (4,234,823) 4,234,823 — — Total Liabilities (4,236,902) — (4,236,902) 4,235,465 1,297 (140) As of December 31, 2021 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 270 — 270 — (270) — Total Assets 270 — 270 — (270) — Liabilities Derivatives (1) (2) (2,951) — (2,951) — 2,951 — Repurchase Agreements (3) (6,987,834) — (6,987,834) 6,987,834 — — Total Liabilities (6,990,785) — (6,990,785) 6,987,834 2,951 — (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $104.8 million and $224.4 million at December 31, 2022 and December 31, 2021, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held no cash collateral on our derivatives as of December 31, 2022 and $280,000 as of December 31, 2021. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $4.4 billion and $7.3 billion as of December 31, 2022 and December 31, 2021, respectively. We pledged no cash collateral and $3.5 million of cash collateral under repurchase agreements as of December 31, 2022 and December 31, 2021, respectively. We held cash collateral of $4.9 million and no cash collateral under repurchase agreements as of December 31, 2022 and December 31, 2021, respectively. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Values Measured on Recurring Basis | The following tables present our assets and liabilities measured at fair value on a recurring basis. December 31, 2022 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 4,791,893 — — 4,791,893 Derivative assets — 662 — — 662 Other assets — — — 552 552 Total assets — 4,792,555 — 552 4,793,107 Liabilities: Derivative liabilities — 2,079 — — 2,079 Total liabilities — 2,079 — — 2,079 December 31, 2021 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 (3) NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 7,804,259 — — 7,804,259 Derivative assets — 270 — — 270 Other assets — — 23,515 12,476 35,991 Total assets — 7,804,529 23,515 12,476 7,840,520 Liabilities: Derivative liabilities — 14,356 — — 14,356 Total liabilities — 14,356 — — 14,356 (1) For more detail about the fair value of our MBS, refer to Note 4 - “Mortgage-Backed Securities”. (2) Investments in unconsolidated ventures are valued using the net asset value (“NAV”) as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of December 31, 2022, our unconsolidated ventures were in liquidation and plan to sell or settle their remaining investments as expeditiously as possible. (3) We used an independent third party appraisal to value our commercial loan investment. |
Schedule of Loan Participation Interest Level 3 Roll Forward | The following table shows a reconciliation of the beginning and ending fair value measurements of our commercial loan investment, which we valued utilizing Level 3 inputs. Years Ended $ in thousands December 31, 2022 December 31, 2021 Beginning balance 23,515 23,098 Repayments (23,919) — Total net unrealized gains (losses) included in net income: Unrealized gain (loss) 404 417 Ending balance — 23,515 |
Schedule of Fair Value Measurement of Commercial Loan | The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan investment: Fair Value at Valuation Unobservable $ in thousands December 31, 2021 Technique Input Rate Commercial Loan 23,515 Discounted Cash Flow Discount rate 18.8 % |
Schedule of Carrying Values and Estimated Fair Value of Financial Instruments | The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the consolidated balance sheets at December 31, 2022 and December 31, 2021: December 31, 2022 December 31, 2021 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities: Repurchase agreements 4,234,823 4,233,627 6,987,834 6,987,806 Total 4,234,823 4,233,627 6,987,834 6,987,806 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The following table summarizes the costs incurred on our behalf by our Manager for the years ended December 31, 2022, 2021 and 2020. Years ended December 31, $ in thousands 2022 2021 2020 Incurred costs, prepaid or expensed 8,085 7,108 10,845 Incurred costs, charged against equity as a cost of raising capital 223 692 239 Total incurred costs, originally paid by our Manager 8,308 7,800 11,084 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income | The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income (“AOCI”) at December 31, 2022 and December 31, 2021, respectively. The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. December 31, 2022 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (6,280) — (6,280) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (19,708) (19,708) Currency translation adjustments on investment in unconsolidated venture (537) — — (537) Total other comprehensive income (loss) (537) (6,280) (19,708) (26,525) AOCI balance at beginning of period 424 6,749 30,113 37,286 Total other comprehensive income (loss) (537) (6,280) (19,708) (26,525) AOCI balance at end of period (113) 469 10,405 10,761 December 31, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — 756 — 756 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (22,000) (22,000) Currency translation adjustments on investment in unconsolidated venture (75) — — (75) Total other comprehensive income (loss) (75) 756 (22,000) (21,319) AOCI balance at beginning of period 499 5,993 52,113 58,605 Total other comprehensive income (loss) (75) 756 (22,000) (21,319) AOCI balance at end of period 424 6,749 30,113 37,286 |
Schedule of Dividends Declared | We declared the following dividends during 2022 and 2021: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2021 (1) February 19, 2021 0.4844 2,713 April 26, 2021 (1) On June 16, 2021, we paid a final dividend of $0.2691 per share ($1.5 million in aggregate) in connection with the redemption of our Series A Preferred Stock. The final dividend was treated as a component of the redemption price for tax purposes. $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2022 November 1, 2022 0.4844 2,198 December 27, 2022 August 2, 2022 0.4844 2,198 September 27, 2022 May 3, 2022 0.4844 2,991 June 27, 2022 February 16, 2022 0.4844 3,003 March 28, 2022 2021 November 2, 2021 0.4844 3,003 December 27, 2021 August 3, 2021 0.4844 3,003 September 27, 2021 May 4, 2021 0.4844 3,004 June 28, 2021 February 19, 2021 0.4844 3,003 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2022 November 1, 2022 0.46875 3,664 December 27, 2022 August 2, 2022 0.46875 3,664 September 27, 2022 May 3, 2022 0.46875 5,109 June 27, 2022 February 16, 2022 0.46875 5,391 March 28, 2022 2021 November 2, 2021 0.46875 5,391 December 27, 2021 August 3, 2021 0.46875 5,391 September 27, 2021 May 4, 2021 0.46875 5,390 June 28, 2021 February 19, 2021 0.46875 5,391 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2022 December 19, 2022 0.65 25,162 January 27, 2023 September 26, 2022 0.65 22,979 October 27, 2022 June 27, 2022 0.90 29,721 July 27, 2022 March 28, 2022 0.90 29,693 April 27, 2022 2021 December 27, 2021 0.90 29,689 January 27, 2022 September 28, 2021 0.90 28,057 October 26, 2021 June 23, 2021 0.90 26,071 July 27, 2021 March 26, 2021 0.90 22,176 April 27, 2021 The following table sets forth the dividends declared per share of our preferred and common stock and their related tax characterization for the fiscal tax years ended December 31, 2022 and 2021. Common stock dividends on CUSIP 46131B100, which were declared and paid prior to our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022, have not been retroactively adjusted in the table below. Tax Characterization of Dividends Fiscal Tax Year Dividends Declared in Prior Year and Taxable in Current Year Dividends Declared and Taxable in Current Year Ordinary Dividends Return of Capital Capital Gain Distribution Series A Preferred Stock Dividends Fiscal tax year 2021 0.484400 0.484400 0.968800 — — Series B Preferred Stock Dividends Fiscal tax year 2022 — 1.963700 1.936700 — — Fiscal tax year 2021 — 1.936700 1.936700 — — Series C Preferred Stock Dividends Fiscal tax year 2022 — 1.875000 1.875000 — — Fiscal tax year 2021 — 1.875000 0.590720 1.284280 — Common Stock Dividends Fiscal tax year 2022 (CUSIP 46131B704) (1) — 1.550000 0.873081 0.676919 — Fiscal tax year 2022 (CUSIP 46131B100) 0.090000 0.090000 0.101390 0.078610 — Fiscal tax year 2021 (CUSIP 46131B100) (2) 0.080000 0.270000 — 0.350000 — (1) Excludes common stock dividend of $0.65 per share declared on December 19, 2022 that had a record date of January 9, 2023. This dividend is a 2023 dividend for federal income tax purposes. (2) Excludes common stock dividend of $0.09 per share declared on December 27, 2021 that had a record date of January 11, 2022. This dividend is a 2022 dividend for federal income tax purposes. |
Earnings (Loss) per Common Sh_2
Earnings (Loss) per Common Share (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share | Earnings per share for the years ended December 31, 2022, 2021 and 2020 is computed as follows: In thousands except per share amounts Years Ended December 31, 2022 2021 2020 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (416,963) (132,477) (1,718,778) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 34,160 27,513 17,373 Dilutive Shares 34,160 27,513 17,373 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (12.21) (4.82) (98.93) Diluted (12.21) (4.82) (98.93) |
Organization and Business Ope_2
Organization and Business Operations (Detail) | 12 Months Ended |
Dec. 31, 2022 segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 1 |
Minimum distribution percentage of taxable income to qualify for REIT | 90% |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Detail) | 1 Months Ended | 12 Months Ended | |
May 31, 2022 | Dec. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Securities under Fair Value Option | $ 4,749,439,000 | $ 7,734,062,000 | |
Percentage of MBS and GSE CRT accounted for under the fair value option | 99% | 99% | |
Available-for-sale securities | $ 42,454,000 | $ 70,197,000 | |
FDIC deposit insurance limit amount | $ 250,000 | ||
Common Stock | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Reverse stock split conversion ratio | 0.1 | 0.1 | |
MBS and GSE CRT Securities | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Securities under Fair Value Option | $ 4,700,000,000 | 7,700,000,000 | |
Available-for-sale securities | $ 42,500,000 | $ 70,200,000 | |
Percentage of MBS and GSE CRT securities classified as available-for-sale | 1% | 1% |
Variable Interest Entities ("_3
Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Variable Interest Entity | ||
Carrying Amount | $ 4,791,893 | $ 7,804,259 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 45,752 | |
Company's Maximum Risk of Loss | 45,752 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 36,787 | |
Company's Maximum Risk of Loss | 36,787 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 8,413 | |
Company's Maximum Risk of Loss | 8,413 | |
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures | ||
Variable Interest Entity | ||
Carrying Amount | 552 | |
Company's Maximum Risk of Loss | $ 552 |
Mortgage-Backed and Credit Ri_3
Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 5,687,505 | $ 8,203,415 |
Unamortized Premium (Discount) | (952,225) | (343,684) |
Amortized Cost | 4,735,280 | 7,859,731 |
Unrealized Gain/ (Loss), net | 56,613 | (55,472) |
Fair Value | $ 4,791,893 | $ 7,804,259 |
Period- end Weighted Average Yield | 5.35% | 2.14% |
Unamortized premium (discount) non-accretable portion | $ 2,100 | $ 2,100 |
Percentage of Non-Agency RMBS interest-only, principal balance | 97.10% | 97.70% |
Percentage of Non-Agency RMBS interest-only, amortized cost | 41.60% | 44.80% |
Percentage of Non-Agency RMBS interest only, fair value | 35.30% | 19.90% |
30 year fixed-rate Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 4,722,768 | $ 7,514,229 |
Unamortized Premium (Discount) | (115,365) | 246,183 |
Amortized Cost | 4,607,403 | 7,760,412 |
Unrealized Gain/ (Loss), net | 54,334 | (58,889) |
Fair Value | $ 4,661,737 | $ 7,701,523 |
Period- end Weighted Average Yield | 5.26% | 2.07% |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 619,069 | $ 235,216 |
Unamortized Premium (Discount) | (536,376) | (203,180) |
Amortized Cost | 82,693 | 32,036 |
Unrealized Gain/ (Loss), net | 2,263 | (1,279) |
Fair Value | $ 84,956 | $ 30,757 |
Period- end Weighted Average Yield | 9.09% | 6.47% |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 38,652 | $ 61,427 |
Unamortized Premium (Discount) | (1,472) | (3,096) |
Amortized Cost | 37,180 | 58,331 |
Unrealized Gain/ (Loss), net | (393) | 4,578 |
Fair Value | $ 36,787 | $ 62,909 |
Period- end Weighted Average Yield | 8.35% | 8.63% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 307,016 | $ 392,543 |
Unamortized Premium (Discount) | (299,012) | (383,591) |
Amortized Cost | 8,004 | 8,952 |
Unrealized Gain/ (Loss), net | 409 | 118 |
Fair Value | $ 8,413 | $ 9,070 |
Period- end Weighted Average Yield | 8.33% | 5.26% |
Percentage of non-agency securities classified as variable rate | 30.60% | 35.60% |
Percentage of non-agency securities classified as fixed rate | 68.60% | 63.50% |
Percentage of non-agency securities classified as floating rate | 0.80% | 0.90% |
Mortgage-Backed and Credit Ri_4
Mortgage-Backed and Credit Risk Transfer Securities - Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of MBS and GSE CRT accounted for under the fair value option | 99% | 99% |
Available-for-sale Securities | $ 42,454 | $ 70,197 |
Securities under Fair Value Option | 4,749,439 | 7,734,062 |
Total Fair Value | 4,791,893 | 7,804,259 |
30 year fixed-rate Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 4,661,737 | 7,701,523 |
Total Fair Value | 4,661,737 | 7,701,523 |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 84,956 | 30,757 |
Total Fair Value | 84,956 | 30,757 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 36,787 | 62,909 |
Securities under Fair Value Option | 0 | 0 |
Total Fair Value | 36,787 | 62,909 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 5,667 | 7,288 |
Securities under Fair Value Option | 2,746 | 1,782 |
Total Fair Value | $ 8,413 | $ 9,070 |
Mortgage-Backed and Credit Ri_5
Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Commercial loan, held-for-investment | $ 22,744 | $ 16,766 |
Principal/notional balance | 5,687,505 | 8,203,415 |
Unamortized premium | 5,195 | 250,771 |
Unamortized discount | (957,420) | (594,455) |
Gross unrealized gains | 66,850 | 8,863 |
Gross unrealized losses | (10,237) | (64,335) |
Fair Value | 4,791,893 | 7,804,259 |
MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Commercial loan, held-for-investment | 21,300 | 16,600 |
Principal/notional balance | 4,770,175 | 7,584,812 |
Unamortized premium | 5,195 | 250,771 |
Unamortized discount | (126,112) | (11,902) |
Gross unrealized gains | 62,245 | 8,754 |
Gross unrealized losses | (7,535) | (60,741) |
Fair Value | 4,703,968 | 7,771,694 |
Interest-Only Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 917,330 | 618,603 |
Unamortized premium | 0 | 0 |
Unamortized discount | (831,308) | (582,553) |
Gross unrealized gains | 4,605 | 109 |
Gross unrealized losses | (2,702) | (3,594) |
Fair Value | $ 87,925 | $ 32,565 |
Mortgage-Backed and Credit Ri_6
Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 26,593 | $ 23,150 |
Greater than one year and less than five years | 10,194 | 891,510 |
Greater than or equal to five years | 4,755,106 | 6,889,599 |
Total | $ 4,791,893 | $ 7,804,259 |
Mortgage-Backed and Credit Ri_7
Mortgage-Backed and Credit Risk Transfer Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Detail) $ in Thousands | Dec. 31, 2022 USD ($) security | Dec. 31, 2021 USD ($) security |
Fair Value | ||
Less than 12 Months | $ 981,650 | $ 6,861,576 |
12 Months or More | 4,345 | 1,042 |
Total | 985,995 | 6,862,618 |
Unrealized Losses | ||
Less than 12 Months | (9,180) | (63,262) |
12 Months or More | (1,057) | (1,073) |
Total | $ (10,237) | $ (64,335) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 17 | 64 |
12 Months or More (in securities) | security | 10 | 9 |
Total (in securities) | security | 27 | 73 |
30 year fixed-rate Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 929,292 | $ 6,838,999 |
12 Months or More | 0 | 0 |
Total | 929,292 | 6,838,999 |
Unrealized Losses | ||
Less than 12 Months | (7,060) | (60,741) |
12 Months or More | 0 | 0 |
Total | $ (7,060) | $ (60,741) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 7 | 54 |
12 Months or More (in securities) | security | 0 | 0 |
Total (in securities) | security | 7 | 54 |
Agency-CMO | ||
Fair Value | ||
Less than 12 Months | $ 25,417 | $ 21,810 |
12 Months or More | 2,934 | 0 |
Total | 28,351 | 21,810 |
Unrealized Losses | ||
Less than 12 Months | (1,645) | (1,389) |
12 Months or More | (496) | 0 |
Total | $ (2,141) | $ (1,389) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 6 | 5 |
12 Months or More (in securities) | security | 1 | 0 |
Total (in securities) | security | 7 | 5 |
Non-Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 26,592 | |
12 Months or More | 0 | |
Total | 26,592 | |
Unrealized Losses | ||
Less than 12 Months | (439) | |
12 Months or More | 0 | |
Total | $ (439) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 2 | |
12 Months or More (in securities) | security | 0 | |
Total (in securities) | security | 2 | |
Non-Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 349 | $ 767 |
12 Months or More | 1,411 | 1,042 |
Total | 1,760 | 1,809 |
Unrealized Losses | ||
Less than 12 Months | (36) | (1,132) |
12 Months or More | (561) | (1,073) |
Total | $ (597) | $ (2,205) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 2 | 5 |
12 Months or More (in securities) | security | 9 | 9 |
Total (in securities) | security | 11 | 14 |
Non-Agency IO | ||
Fair Value | ||
Total | $ 1,400 | $ 1,700 |
Unrealized Losses | ||
Total | $ (561) | (2,100) |
Non-Agency RMBS, Excluding Non-Agency IO | ||
Unrealized Losses | ||
Total | $ (136) |
Mortgage-Backed and Credit Ri_8
Mortgage-Backed and Credit Risk Transfer Securities - Roll-forward of Allowance For Credit Losses (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |||
Beginning allowance for credit losses | $ 0 | $ (1,768,000) | $ 0 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 0 | 1,768,000 | (1,768,000) |
Decreases in the allowance for credit losses on securities that had an allowance recorded in a previous period | 1,768,000 | 0 | |
Ending allowance for credit losses | $ 0 | $ 0 | $ (1,768,000) |
Mortgage-Backed and Credit Ri_9
Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |||
Gross realized gains on sale of MBS and GSE CRT | $ 5,348 | $ 3,297 | $ 656,915 |
Gross realized losses on sale of MBS and GSE CRT | (1,169,258) | (284,521) | (1,020,696) |
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments | 0 | 0 | (101,138) |
Net unrealized gains (losses) on MBS and GSE CRT accounted for under the fair value option | 118,365 | (85,702) | (492,047) |
Net unrealized gains (losses) on commercial loan | 404 | 417 | (1,164) |
Net realized gains (losses) on U.S. Treasury securities | (34,198) | 0 | 0 |
Realized loss on loan participation interest | 0 | 0 | (3,808) |
Total gain (loss) on investments, net | $ (1,079,339) | $ (366,509) | $ (961,938) |
Mortgage-Backed and Credit R_10
Mortgage-Backed and Credit Risk Transfer Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||
Contractual net interest income (expense) | $ 6,300 | ||
Interest Income | $ 192,566 | $ 167,056 | 277,400 |
Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 191,898 | 201,694 | 161,845 |
Net (Premium Amortization)/ Discount Accretion | (6,755) | (41,881) | (32,737) |
Interest Income | 185,143 | 159,813 | 129,108 |
Agency CMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 35,822 | ||
Net (Premium Amortization)/ Discount Accretion | (1,744) | ||
Interest Income | 34,078 | ||
Non-Agency CMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 2,366 | 3,841 | 76,068 |
Net (Premium Amortization)/ Discount Accretion | 1,624 | 2,695 | 14,721 |
Interest Income | 3,990 | 6,536 | 90,789 |
Non-Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 1,223 | 1,950 | 13,895 |
Net (Premium Amortization)/ Discount Accretion | (552) | (1,264) | 1,107 |
Interest Income | 671 | 686 | 15,002 |
GSE CRT | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 10,232 | ||
Net (Premium Amortization)/ Discount Accretion | (2,560) | ||
Interest Income | 7,672 | ||
U.S. Treasury Securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 1,773 | ||
Net (Premium Amortization)/ Discount Accretion | (41) | ||
Interest Income | 1,732 | ||
Other | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 1,030 | 21 | 751 |
Net (Premium Amortization)/ Discount Accretion | 0 | 0 | 0 |
Interest Income | 1,030 | 21 | 751 |
MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 198,290 | 207,506 | 298,613 |
Net (Premium Amortization)/ Discount Accretion | (5,724) | (40,450) | (21,213) |
Interest Income | $ 192,566 | $ 167,056 | $ 277,400 |
Other Assets - Schedule of Othe
Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
Commercial loan, held-for-investment | $ 0 | $ 23,515 |
Investments in unconsolidated ventures | 552 | 12,476 |
Prepaid expenses and other assets | 1,179 | 1,518 |
Total | $ 1,731 | $ 37,509 |
Other Assets - Additional Infor
Other Assets - Additional Information (Details) - Commercial - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Loans and Leases Receivable Disclosure [Line Items] | |||
Face Amount of Mortgages | $ 23,900 | ||
Weighted average coupon rate | 8.60% | ||
Unrealized gains (losses) | $ 404 | $ 417 | $ (1,200) |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Secured Debt, Excluding Asset-backed Securities | ||
Total Borrowings | ||
Amount Outstanding | $ 4,234,823 | $ 6,987,834 |
Weighted Average Interest Rate | 4.24% | 0.14% |
Weighted Average Remaining Maturity (days) | 28 days | 29 days |
Agency RMBS | ||
Repurchase Agreements - Agency RMBS | ||
Amount Outstanding | $ 4,234,823 | $ 6,987,834 |
Weighted Average Interest Rate | 4.24% | 0.14% |
Weighted Average Remaining Maturity (days) | 28 days | 29 days |
Borrowings - Additional Informa
Borrowings - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2022 | |
Minimum | |
Repurchase Agreement Counterparty | |
Repurchase agreements, term | 1 month |
Maximum | |
Repurchase Agreement Counterparty | |
Repurchase agreements, term | 6 months |
Collateral Positions (Details)
Collateral Positions (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | $ 4,439,583,000 | $ 7,329,702,000 |
Total collateral pledged | 4,544,413,000 | 7,554,078,000 |
Cash | 4,892,000 | 280,000 |
Non-cash collateral | 7,216,000 | 248,000 |
Total collateral held | $ 12,108,000 | $ 528,000 |
Collateral ratio | 105% | 105% |
Derivative instruments: | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | $ 104,830,000 | $ 224,376,000 |
Repurchase agreements: | ||
Derivative [Line Items] | ||
Cash | 4,892,000 | 0 |
Non-cash collateral | 7,216,000 | 248,000 |
Total collateral held | 12,108,000 | 248,000 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Cash | 0 | 280,000 |
Total collateral held | 0 | 280,000 |
Cash | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | 0 | 3,527,000 |
Total collateral pledged | 1,584,000 | 7,985,000 |
Cash | 4,900,000 | 0 |
Cash | Derivative instruments: | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | 1,584,000 | 4,458,000 |
Restricted cash | ||
Derivative [Line Items] | ||
Total collateral pledged | 103,246,000 | 219,918,000 |
Restricted cash | Derivative instruments: | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | 103,246,000 | 219,918,000 |
Agency RMBS | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | 4,439,583,000 | 7,326,175,000 |
Total collateral pledged | $ 4,439,583,000 | $ 7,326,175,000 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2022 USD ($) | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2021 | $ 9,663,596 |
Additions | 8,498,485 |
Settlement, Termination, Expiration or Exercise | (10,012,081) |
Notional Amount as of December 31, 2022 | 8,150,000 |
Interest Rate Swaps | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2021 | 8,050,000 |
Additions | 10,075,000 |
Settlement, Termination, Expiration or Exercise | (9,975,000) |
Notional Amount as of December 31, 2022 | 8,150,000 |
Currency Forward Contracts | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2021 | 13,596 |
Additions | 23,485 |
Settlement, Termination, Expiration or Exercise | (37,081) |
Notional Amount as of December 31, 2022 | 0 |
TBA Purchase Contracts | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2021 | 1,600,000 |
Additions | 20,072,000 |
Settlement, Termination, Expiration or Exercise | (21,272,000) |
Notional Amount as of December 31, 2022 | 400,000 |
TBA Sale Contracts | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2021 | 0 |
Additions | (21,672,000) |
Settlement, Termination, Expiration or Exercise | 21,272,000 |
Notional Amount as of December 31, 2022 | $ 400,000 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosures | ||||
Derivative gain (loss) reclassified as a decrease (increase) to interest expense | $ 559,007 | $ 122,611 | $ (851,050) | |
Accumulated other comprehensive income | 804,075 | 1,402,135 | 1,367,158 | $ 2,931,899 |
Notional Amount | 8,150,000 | 9,663,596 | ||
Interest Rate Swaps | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Derivative gain (loss) reclassified as a decrease (increase) to interest expense | (19,700) | (22,000) | $ (23,800) | |
Notional Amount | 8,150,000 | 8,050,000 | ||
Interest Rate Swap, Fixed Rate | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Notional Amount | $ 5,800,000 | $ 6,300,000 | ||
Interest Rate Swap, Fixed Rate | SOFR | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Weighted Average Years to Maturity | 6 years 3 months 18 days | 5 years 8 months 12 days | ||
Weighted Average Fixed Pay Rate | 0.45% | 0.30% | ||
Notional Amount | $ 5,800,000 | $ 6,300,000 | ||
Interest Rate Swap, Forward Start Dates, Variable Interest Rate | SOFR | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Weighted Average Years to Maturity | 16 years | |||
Weighted Average Fixed Pay Rate | 2.63% | |||
Notional Amount | $ 275,000 | |||
Interest Rate Swap, Forward Start Dates, Fixed Rate | SOFR | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Notional amount | $ 975,000 | $ 1,300,000 | ||
Weighted Average Years to Maturity | 16 years 6 months | 20 years 9 months 18 days | ||
Weighted Average Fixed Pay Rate | 0.89% | 0.99% | ||
Accumulated Gain (Loss), Net, Cash Flow Hedge, Noncontrolling Interest | Interest Rate Swaps | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Accumulated other comprehensive income | $ 10,400 | $ 30,100 | ||
Minimum | Interest Rate Swaps | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Repurchase obligation maturity | 1 month | |||
Maximum | Interest Rate Swaps | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Repurchase obligation maturity | 6 months |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities - Schedule of Interest Rate Swaps Outstanding (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Derivative [Line Items] | ||
Notional Amount | $ 8,150,000 | $ 9,663,596 |
Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | 5,800,000 | 6,300,000 |
Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 5,800,000 | $ 6,300,000 |
Weighted Average Fixed Pay Rate | 0.45% | 0.30% |
Weighted Average Floating Receive Rate | 4.30% | 0.05% |
Weighted Average Years to Maturity | 6 years 3 months 18 days | 5 years 8 months 12 days |
Interest Rate Swap, Variable Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,400,000 | $ 1,800,000 |
Interest Rate Swap, Variable Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,350,000 | $ 1,750,000 |
Weighted Average Fixed Pay Rate | 4.30% | 0.05% |
Weighted Average Floating Receive Rate | 2.78% | 0.98% |
Weighted Average Years to Maturity | 9 years 3 months 18 days | 4 years 10 months 24 days |
Less than 3 years | Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,550,000 | $ 1,000,000 |
Weighted Average Fixed Pay Rate | 0.09% | 0.06% |
Weighted Average Floating Receive Rate | 4.30% | 0.05% |
Weighted Average Years to Maturity | 2 years 2 months 12 days | 2 years 7 months 6 days |
Less than 3 years | Interest Rate Swap, Variable Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 100,000 | $ 1,000,000 |
Weighted Average Fixed Pay Rate | 4.30% | 0.05% |
Weighted Average Floating Receive Rate | 4.90% | 0.77% |
Weighted Average Years to Maturity | 10 months 24 days | 2 years 7 months 6 days |
3 to 5 years | Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,475,000 | $ 1,250,000 |
Weighted Average Fixed Pay Rate | 0.27% | 0.12% |
Weighted Average Floating Receive Rate | 4.30% | 0.05% |
Weighted Average Years to Maturity | 4 years 8 months 12 days | 3 years 7 months 6 days |
3 to 5 years | Interest Rate Swap, Variable Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 550,000 | |
Weighted Average Fixed Pay Rate | 4.30% | |
Weighted Average Floating Receive Rate | 2.74% | |
Weighted Average Years to Maturity | 4 years | |
5 to 7 years | Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 850,000 | $ 2,225,000 |
Weighted Average Fixed Pay Rate | 0.38% | 0.32% |
Weighted Average Floating Receive Rate | 4.30% | 0.05% |
Weighted Average Years to Maturity | 6 years 2 months 12 days | 5 years 10 months 24 days |
5 to 7 years | Interest Rate Swap, Variable Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,125,000 | $ 500,000 |
Weighted Average Fixed Pay Rate | 4.30% | 0.05% |
Weighted Average Floating Receive Rate | 2.66% | 1.26% |
Weighted Average Years to Maturity | 6 years | 6 years 10 months 24 days |
7 to 10 years | Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,425,000 | $ 1,825,000 |
Weighted Average Fixed Pay Rate | 0.55% | 0.52% |
Weighted Average Floating Receive Rate | 4.30% | 0.05% |
Weighted Average Years to Maturity | 7 years 9 months 18 days | 8 years 7 months 6 days |
7 to 10 years | Interest Rate Swap, Variable Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 200,000 | $ 250,000 |
Weighted Average Fixed Pay Rate | 4.30% | 0.05% |
Weighted Average Floating Receive Rate | 2.66% | 1.27% |
Weighted Average Years to Maturity | 8 years 4 months 24 days | 10 years |
Greater Than 10 Years | Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 500,000 | |
Weighted Average Fixed Pay Rate | 1.92% | |
Weighted Average Floating Receive Rate | 4.30% | |
Weighted Average Years to Maturity | 19 years 2 months 12 days | |
Greater Than 10 Years | Interest Rate Swap, Variable Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 375,000 | |
Weighted Average Fixed Pay Rate | 4.30% | |
Weighted Average Floating Receive Rate | 2.67% | |
Weighted Average Years to Maturity | 29 years 6 months |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities - Schedule of TBA Contracts (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Derivative [Line Items] | ||
Notional Amount | $ 8,150,000 | $ 9,663,596 |
Currency Forward Contracts | ||
Derivative [Line Items] | ||
Notional Amount | 0 | 13,596 |
Currency Forward Contracts | Euro | ||
Derivative [Line Items] | ||
Notional Amount | 13,600 | |
TBA Purchase Contracts | ||
Derivative [Line Items] | ||
Notional Amount | 400,000 | 1,600,000 |
Implied Cost Basis | 404,144 | 1,636,906 |
Implied Market Value | 402,237 | 1,633,955 |
Net Carrying Value | (1,907) | (2,951) |
Net derivative liabilities | 1,900 | |
TBA Sale Contracts | ||
Derivative [Line Items] | ||
Notional Amount | 400,000 | $ 0 |
Implied Cost Basis | (402,707) | |
Implied Market Value | (402,237) | |
Net Carrying Value | 470 | |
Net derivative liabilities | 172 | |
Net derivative assets | 642 | |
Net TBA derivatives | ||
Derivative [Line Items] | ||
Notional Amount | 0 | |
Implied Cost Basis | 1,437 | |
Implied Market Value | 0 | |
Net Carrying Value | $ (1,437) |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments Classification on Balance Sheet (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Derivatives, Fair Value | ||
Derivative Assets | $ 662 | $ 270 |
Derivative Liabilities | 2,079 | 14,356 |
Interest Rate Swaps | ||
Derivatives, Fair Value | ||
Derivative Assets | 20 | 0 |
Derivative Liabilities | 0 | 11,405 |
Currency Forward Contracts | ||
Derivatives, Fair Value | ||
Derivative Assets | 0 | 270 |
Derivative Liabilities | 0 | 0 |
TBAs | ||
Derivatives, Fair Value | ||
Derivative Assets | 642 | 0 |
Derivative Liabilities | $ 2,079 | $ 2,951 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments, Gain (Loss) | |||
Contractual net interest income (expense) | $ 6,300 | ||
Gain (loss) on derivative instruments, net | $ 559,007 | $ 122,611 | (851,050) |
Interest Rate Swaps | |||
Derivative Instruments, Gain (Loss) | |||
Gain (loss) on derivative instruments, net | (19,700) | (22,000) | (23,800) |
Not Designated as Hedging Instrument | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | 459,466 | 156,157 | (844,577) |
Contractual net interest income (expense) | 86,872 | (15,803) | 8,047 |
Unrealized gain (loss), net | 12,669 | (17,743) | (14,520) |
Gain (loss) on derivative instruments, net | 559,007 | 122,611 | (851,050) |
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (31,354) | ||
Contractual net interest income (expense) | 6,323 | ||
Unrealized gain (loss), net | (10,281) | ||
Gain (loss) on derivative instruments, net | (35,312) | ||
Not Designated as Hedging Instrument | Interest Rate Swaps | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | 593,035 | 185,232 | (857,753) |
Contractual net interest income (expense) | 86,872 | (15,803) | 8,047 |
Unrealized gain (loss), net | 11,426 | (5,869) | (24,068) |
Gain (loss) on derivative instruments, net | 691,333 | 163,560 | (873,774) |
Not Designated as Hedging Instrument | Futures Contracts | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (553) | ||
Contractual net interest income (expense) | 0 | ||
Unrealized gain (loss), net | 0 | ||
Gain (loss) on derivative instruments, net | (553) | ||
Not Designated as Hedging Instrument | Currency Forward Contracts | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | 919 | 209 | (1,301) |
Contractual net interest income (expense) | 0 | 0 | 0 |
Unrealized gain (loss), net | (271) | 970 | (345) |
Gain (loss) on derivative instruments, net | 648 | 1,179 | (1,646) |
Not Designated as Hedging Instrument | TBAs | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (134,488) | (28,731) | 14,477 |
Contractual net interest income (expense) | 0 | 0 | 0 |
Unrealized gain (loss), net | 1,514 | (12,844) | 9,893 |
Gain (loss) on derivative instruments, net | $ (132,974) | $ (41,575) | $ 24,370 |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Offsetting Liabilities [Line Items] | ||
Derivative assets | $ 662 | $ 270 |
Derivative liabilities, at fair value | 2,079 | 14,356 |
Central Clearing Counterparty | ||
Offsetting Liabilities [Line Items] | ||
Derivative assets | $ 20 | |
Derivative liabilities, at fair value | $ 11,400 |
Offsetting Assets and Liabili_4
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Derivatives | ||
Gross amounts of recognized assets | $ 642 | $ 270 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) presented in the Consolidated Balance Sheets | 642 | 270 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (642) | 0 |
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | 0 | (270) |
Net Amount | $ 0 | $ 0 |
Offsetting Assets and Liabili_5
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 |
Derivatives: | ||
Gross amounts of recognized liabilities | $ (2,079,000) | $ (2,951,000) |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) presented in the Consolidated Balance Sheets | (2,079,000) | (2,951,000) |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 642,000 | 0 |
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | 1,297,000 | 2,951,000 |
Net Amount | (140,000) | 0 |
Repurchase Agreements: | ||
Gross Amounts of Recognized Assets (Liabilities) | (4,234,823,000) | (6,987,834,000) |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) presented in the Consolidated Balance Sheets | (4,234,823,000) | (6,987,834,000) |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 4,234,823,000 | 6,987,834,000 |
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | 0 | 0 |
Net Amount | 0 | 0 |
Gross Amounts of Recognized Assets (Liabilities) | (4,236,902,000) | (6,990,785,000) |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) presented in the Consolidated Balance Sheets | (4,236,902,000) | (6,990,785,000) |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, financial instruments | 4,235,465,000 | 6,987,834,000 |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, cash collateral (received) pledged | 1,297,000 | 2,951,000 |
Net Amount | (140,000) | 0 |
Cash collateral pledged on derivatives | 104,800,000 | 224,400,000 |
Cash collateral received | 4,892,000 | 280,000 |
Fair value of securities pledged under repurchase agreements, excluding cash collateral | 4,400,000,000 | 7,300,000,000 |
Securities sold under agreements to repurchase fair value of collateral | 4,439,583,000 | 7,329,702,000 |
Cash | ||
Repurchase Agreements: | ||
Cash collateral received | 4,900,000 | 0 |
Securities sold under agreements to repurchase fair value of collateral | 0 | 3,527,000 |
Interest Rate Swaps | ||
Repurchase Agreements: | ||
Cash collateral received | $ 0 | $ 280,000 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Values Measured on Recurring Basis (Detail) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | $ 4,791,893 | $ 7,804,259 |
Derivative assets | 642 | 270 |
Derivative liabilities | 2,079 | 2,951 |
Recurring | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 4,791,893 | 7,804,259 |
Derivative assets | 662 | 270 |
Other assets | 552 | 35,991 |
Total assets | 4,793,107 | 7,840,520 |
Derivative liabilities | 2,079 | 14,356 |
Total liabilities | 2,079 | 14,356 |
Recurring | Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Derivative assets | 0 | 0 |
Other assets | 0 | 0 |
Total assets | 0 | 0 |
Derivative liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 4,791,893 | 7,804,259 |
Derivative assets | 662 | 270 |
Other assets | 0 | 0 |
Total assets | 4,792,555 | 7,804,529 |
Derivative liabilities | 2,079 | 14,356 |
Total liabilities | 2,079 | 14,356 |
Recurring | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Derivative assets | 0 | 0 |
Other assets | 0 | 23,515 |
Total assets | 0 | 23,515 |
Derivative liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | NAV as a practical expedient | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
NAV as a practical expedient | $ 552 | $ 12,476 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Reconciliation of Beginning and Ending Fair Value Measurement Utilizing Level 3 Inputs (Details) - Commercial loan - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | $ 23,515 | $ 23,098 |
Repayments | (23,919) | 0 |
Unrealized gain (loss) | 404 | 417 |
Ending balance | $ 0 | $ 23,515 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Schedule of Fair Value Measurement of Commercial Loan (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Commercial loan, held-for-investment | $ 0 | $ 23,515 |
Measurement Input, Discount Rate | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Loan Receivable Measurement Input | 18.80% |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Carrying Value | ||
Financial Liabilities: | ||
Repurchase agreements | $ 4,234,823 | $ 6,987,834 |
Total | 4,234,823 | 6,987,834 |
Estimated Fair Value | ||
Financial Liabilities: | ||
Repurchase agreements | 4,233,627 | 6,987,806 |
Total | $ 4,233,627 | $ 6,987,806 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Management fee — related party | $ 16,906 | $ 21,080 | $ 29,367 |
Management | |||
Related Party Transaction [Line Items] | |||
Fee paid by company to manager as percentage of company's shareholders' equity | 1.50% | ||
Termination fee multiplier | 3 | ||
Termination fees assessment period | 24 months | ||
Invesco Advisers, Inc. | Affiliated Entity | |||
Related Party Transaction [Line Items] | |||
Management fee — related party | $ 1,500 | $ 1,100 | $ 1,100 |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Related Party Transactions (Details) - Manager - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Total incurred costs, originally paid by our Manager | $ 8,308 | $ 7,800 | $ 11,084 |
Incurred costs, prepaid or expensed | |||
Related Party Transaction [Line Items] | |||
Total incurred costs, originally paid by our Manager | 8,085 | 7,108 | 10,845 |
Incurred costs, charged against equity as a cost of raising capital | |||
Related Party Transaction [Line Items] | |||
Total incurred costs, originally paid by our Manager | $ 223 | $ 692 | $ 239 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | 1 Months Ended | 12 Months Ended | |||
May 31, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Jun. 30, 2021 | |
Class of Stock [Line Items] | |||||
Issuance and redemption costs of redeemed preferred stock | $ 0 | $ (4,682) | $ 0 | ||
Gain on repurchase of stock | 14,200 | ||||
Gain on repurchase and retirement of preferred stock | $ 14,179 | $ 0 | $ 0 | ||
Restricted Stock | |||||
Class of Stock [Line Items] | |||||
Shares granted during the year (in shares) | 32,571 | ||||
Series A Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock, redemption amount | $ 140,000 | ||||
Series B Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Repurchase and retirement of preferred stock (in shares) | 1,662,366 | ||||
Number of shares authorized to be repurchased (in shares) | 1,337,634 | ||||
Preferred stock dividend rate | 7.75% | ||||
Preferred stock redemption price (in USD per share) | $ 25 | ||||
Preferred stock, price per share per annum | $ 1.9375 | ||||
Series B Cumulative Redeemable Preferred Stock | LIBOR | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividends basis spread on variable rate | 5.18% | ||||
Series C Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Repurchase and retirement of preferred stock (in shares) | 3,683,530 | ||||
Number of shares authorized to be repurchased (in shares) | 1,316,470 | ||||
Preferred stock dividend rate | 7.50% | ||||
Preferred stock, price per share per annum | $ 1.875 | ||||
Preferred stock, liquidation preference (in USD per share) | $ 25 | ||||
Series C Cumulative Redeemable Preferred Stock | LIBOR | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividends basis spread on variable rate | 5.289% | ||||
Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock redemption price (in USD per share) | $ 25 | ||||
Common Stock | |||||
Class of Stock [Line Items] | |||||
Number of shares authorized to be repurchased (in shares) | 1,816,398 | ||||
Common Stock | Equity Distribution Agreement | |||||
Class of Stock [Line Items] | |||||
Number of shares sold in transaction (in shares) | 5,686,598 | 5,574,402 | |||
Proceeds from issuance of common stock | $ 81,600 | $ 180,500 | |||
Payments of stock issuance costs | $ 1,300 | $ 2,600 |
Stockholders' Equity - Componen
Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | $ (6,280) | $ 756 | $ (223,416) |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (19,708) | (22,000) | (23,794) |
Currency translation adjustments on investment in unconsolidated venture | (537) | (75) | 1,144 |
Total other comprehensive income (loss) | (26,525) | (21,319) | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 1,402,135 | 1,367,158 | 2,931,899 |
Total other comprehensive income (loss) | (26,525) | (21,319) | (230,358) |
Ending balance | 804,075 | 1,402,135 | 1,367,158 |
Equity method investments | |||
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Currency translation adjustments on investment in unconsolidated venture | (537) | (75) | |
Total other comprehensive income (loss) | (537) | (75) | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 424 | 499 | |
Total other comprehensive income (loss) | (537) | (75) | |
Ending balance | (113) | 424 | 499 |
Available-for-sale securities | |||
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | (6,280) | 756 | |
Total other comprehensive income (loss) | (6,280) | 756 | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 6,749 | 5,993 | |
Total other comprehensive income (loss) | (6,280) | 756 | |
Ending balance | 469 | 6,749 | 5,993 |
Derivatives and hedging | |||
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (19,708) | (22,000) | |
Total other comprehensive income (loss) | (19,708) | (22,000) | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 30,113 | 52,113 | |
Total other comprehensive income (loss) | (19,708) | (22,000) | |
Ending balance | 10,405 | 30,113 | 52,113 |
Accumulated other comprehensive income | |||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 37,286 | 58,605 | 288,963 |
Total other comprehensive income (loss) | (26,525) | (21,319) | (230,358) |
Ending balance | $ 10,761 | $ 37,286 | $ 58,605 |
Stockholders' Equity - Schedule
Stockholders' Equity - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||||||||||||||||||
Dec. 19, 2022 | Nov. 01, 2022 | Sep. 26, 2022 | Aug. 02, 2022 | Jun. 27, 2022 | May 03, 2022 | Mar. 28, 2022 | Feb. 16, 2022 | Dec. 27, 2021 | Nov. 02, 2021 | Sep. 28, 2021 | Aug. 03, 2021 | Jun. 23, 2021 | Jun. 16, 2021 | May 04, 2021 | Mar. 26, 2021 | Feb. 19, 2021 | Dec. 31, 2022 | Dec. 31, 2021 | |
Class of Stock [Line Items] | |||||||||||||||||||
Common stock dividend declared (in USD per share) | $ 0.65 | $ 0.65 | $ 0.90 | $ 0.90 | $ 0.90 | $ 0.90 | $ 0.90 | $ 0.90 | |||||||||||
Dividends, common stock | $ 25,162 | $ 22,979 | $ 29,721 | $ 29,693 | $ 29,689 | $ 28,057 | $ 26,071 | $ 22,176 | |||||||||||
Common stock, dividends declared in prior year, taxable in current year (in dollars per share) | $ 0 | $ 0.090000 | $ 0.080000 | ||||||||||||||||
Common stock, dividends declared and taxable in current year (in dollars per share) | 1.550000 | 0.090000 | 0.270000 | ||||||||||||||||
Ordinary Dividends | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Common stock dividend declared (in USD per share) | 0.873081 | 0.101390 | 0 | ||||||||||||||||
Return of Capital | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Common stock dividend declared (in USD per share) | 0.676919 | 0.078610 | 0.350000 | ||||||||||||||||
Capital Gain Distribution | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Common stock dividend declared (in USD per share) | $ 0 | 0 | 0 | ||||||||||||||||
Series A Preferred Stock | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | $ 0.2691 | $ 0.4844 | |||||||||||||||||
Dividends, preferred stock | $ 1,500 | $ 2,713 | |||||||||||||||||
Preferred stock, dividends declared in prior year, taxable in current year (in dollars per share) | 0.484400 | ||||||||||||||||||
Preferred stock, dividends declared and taxable in current year (in dollars per share) | 0.484400 | ||||||||||||||||||
Series A Preferred Stock | Ordinary Dividends | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | 0.968800 | ||||||||||||||||||
Series A Preferred Stock | Return of Capital | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | 0 | ||||||||||||||||||
Series A Preferred Stock | Capital Gain Distribution | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | 0 | ||||||||||||||||||
Series B Preferred Stock | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | |||||||||||
Dividends, preferred stock | $ 2,198 | $ 2,198 | $ 2,991 | $ 3,003 | $ 3,003 | $ 3,003 | $ 3,004 | $ 3,003 | |||||||||||
Preferred stock, dividends declared and taxable in current year (in dollars per share) | 1.963700 | 1.936700 | |||||||||||||||||
Series B Preferred Stock | Ordinary Dividends | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | 1.936700 | 1.936700 | |||||||||||||||||
Series B Preferred Stock | Return of Capital | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | |||||||||||||||||
Series B Preferred Stock | Capital Gain Distribution | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | |||||||||||||||||
Series C Preferred Stock | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | |||||||||||
Dividends, preferred stock | $ 3,664 | $ 3,664 | $ 5,109 | $ 5,391 | $ 5,391 | $ 5,391 | $ 5,390 | $ 5,391 | |||||||||||
Preferred stock, dividends declared and taxable in current year (in dollars per share) | 1.875000 | 1.875000 | |||||||||||||||||
Series C Preferred Stock | Ordinary Dividends | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | 1.875000 | 0.590720 | |||||||||||||||||
Series C Preferred Stock | Return of Capital | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 1.284280 | |||||||||||||||||
Series C Preferred Stock | Capital Gain Distribution | |||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||
Preferred stock dividend declared (in USD per share) | $ 0 | $ 0 |
Earnings (Loss) per Common Sh_3
Earnings (Loss) per Common Share (Detail) $ / shares in Units, $ in Thousands | 1 Months Ended | 12 Months Ended | ||
May 31, 2022 | Dec. 31, 2022 USD ($) $ / shares shares | Dec. 31, 2021 USD ($) $ / shares shares | Dec. 31, 2020 USD ($) $ / shares shares | |
Basic Earnings: | ||||
Net income (loss) available to common stockholders | $ | $ (416,963) | $ (132,477) | $ (1,718,778) | |
Basic Earnings: | ||||
Shares available to common stockholders (in shares) | 34,160,080 | 27,513,223 | 17,373,039 | |
Dilutive Shares (in shares) | 34,160,080 | 27,513,223 | 17,373,039 | |
Earnings (loss) per share: | ||||
Basic (in usd per share) | $ / shares | $ (12.21) | $ (4.82) | $ (98.93) | |
Diluted (in usd per share) | $ / shares | $ (12.21) | $ (4.82) | $ (98.93) | |
Common Stock | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share | ||||
Reverse stock split conversion ratio | 0.1 | 0.1 | ||
Restricted stock awards | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share | ||||
Potential common shares excluded from diluted earnings per common share (in shares) | 1,216 | 1,606 | 1,102 |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Millions | Dec. 31, 2022 USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $ 6.3 |
Subsequent Events (Details)
Subsequent Events (Details) - $ / shares | Mar. 05, 2023 | Feb. 17, 2023 | Nov. 01, 2022 | Aug. 02, 2022 | May 03, 2022 | Feb. 16, 2022 | Nov. 02, 2021 | Aug. 03, 2021 | May 04, 2021 | Feb. 19, 2021 |
Series B Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Preferred stock, dividends (in USD per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | ||
Series C Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Preferred stock, dividends (in USD per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | ||
Subsequent Event | Series B Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Preferred stock, dividends (in USD per share) | $ 0.4844 | |||||||||
Subsequent Event | Series C Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Preferred stock, dividends (in USD per share) | $ 0.46875 |
Schedule IV Mortgage Loans on_2
Schedule IV Mortgage Loans on Real Estate (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Beginning balance | $ 23,515 | $ 23,098 | $ 24,055 |
Additions: | |||
Unrealized gain | 404 | 417 | 0 |
Deductions: | |||
Collection of principal | 23,919 | 0 | 136 |
Unrealized loss | 0 | 0 | 821 |
Ending balance | $ 0 | $ 23,515 | $ 23,098 |
Uncategorized Items - ivr-20221
Label | Element | Value |
Accounting Standards Update [Extensible Enumeration] | us-gaap_AccountingStandardsUpdateExtensibleList | Accounting Standards Update 2016-13 [Member] |