Cover
Cover - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Feb. 20, 2024 | Jun. 30, 2023 | |
Entity Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2023 | ||
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 | 1331 Spring Street, N.W. Suite 2500 | ||
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 | ||
Document Financial Statement Error Correction [Flag] | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 510,063,009 | ||
Entity Common Stock, Shares Outstanding | 48,460,626 | ||
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 2024 Annual Meeting of Stockholders to be filed pursuant to Regulation 14A. | ||
Amendment Flag | false | ||
Document Fiscal Year Focus | 2023 | ||
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 $0.01 per share | ||
Trading Symbol | IVR | ||
Security Exchange Name | NYSE | ||
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | ||
Trading Symbol | IVR PrB | ||
Security Exchange Name | NYSE | ||
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | ||
Trading Symbol | IVR PrC | ||
Security Exchange Name | NYSE |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2023 | |
Audit Information [Abstract] | |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | Atlanta, Georgia |
Auditor Firm ID | 238 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
ASSETS | ||
Mortgage-backed securities, at fair value (including pledged securities of $4,712,185 and $4,439,583, respectively, net of allowance for credit losses of $320 and $0, respectively) | $ 5,045,306 | $ 4,791,893 |
U.S. Treasury securities, at fair value | 11,214 | 0 |
Cash and cash equivalents | 76,967 | 175,535 |
Restricted cash | 121,670 | 103,246 |
Due from counterparties | 0 | 1,584 |
Investment related receivable | 26,604 | 22,744 |
Derivative assets, at fair value | 939 | 662 |
Other assets | 1,509 | 1,731 |
Total assets | 5,284,209 | 5,097,395 |
Liabilities: | ||
Repurchase agreements | 4,458,695 | 4,234,823 |
Derivative liabilities, at fair value | 0 | 2,079 |
Dividends payable | 19,384 | 25,162 |
Accrued interest payable | 15,787 | 20,546 |
Collateral held payable | 2,475 | 4,892 |
Total liabilities | 4,501,544 | 4,293,320 |
Commitments and contingencies | ||
Stockholders' equity: | ||
Common Stock, par value $0.01 per share; 67,000,000 shares authorized, 48,460,626 and 38,710,916 shares issued and outstanding, respectively | 484 | 387 |
Additional paid in capital | 4,011,138 | 3,901,562 |
Accumulated other comprehensive income | 698 | 10,761 |
Retained earnings (distributions in excess of earnings) | (3,518,143) | (3,407,342) |
Total stockholders’ equity | 782,665 | 804,075 |
Total liabilities and stockholders' equity | 5,284,209 | 5,097,395 |
Affiliated Entity | ||
Liabilities: | ||
Accounts payable and accrued expenses | 3,907 | 4,453 |
Non-Related Party | ||
Liabilities: | ||
Accounts payable and accrued expenses | 1,296 | 1,365 |
Series B Preferred Stock | ||
Stockholders' equity: | ||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | 106,014 | 109,679 |
Series C Preferred Stock | ||
Stockholders' equity: | ||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | $ 182,474 | $ 189,028 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Marketable securities pledged as collateral | $ 4,712,185 | $ 4,439,583 |
Allowance for credit losses | $ (320) | $ 0 |
Preferred stock, par value (in usd per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 50,000,000 | 50,000,000 |
Common stock, par value (in usd per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 67,000,000 | 67,000,000 |
Common stock, shares issued (in shares) | 48,460,626 | 38,710,916 |
Common stock, shares outstanding (in shares) | 48,460,626 | 38,710,916 |
Series B Preferred Stock | Preferred Stock | ||
Preferred stock, dividend rate stated percentage | 7.75% | 7.75% |
Preferred stock, shares issued (in shares) | 4,385,997 | 4,537,634 |
Preferred stock, shares outstanding (in shares) | 4,385,997 | 4,537,634 |
Preferred stock, aggregate liquidation preference | $ 109,650 | $ 113,441 |
Common stock, shares outstanding (in shares) | 4,385,997 | 4,537,634 |
Series C Preferred Stock | Preferred Stock | ||
Preferred stock, dividend rate stated percentage | 7.50% | 7.50% |
Preferred stock, shares issued (in shares) | 7,545,439 | 7,816,470 |
Preferred stock, shares outstanding (in shares) | 7,545,439 | 7,816,470 |
Preferred stock, aggregate liquidation preference | $ 188,636 | $ 195,412 |
Common stock, shares outstanding (in shares) | 7,545,439 | 7,816,470 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Interest income | ||||
Mortgage-backed and other securities | $ 277,929 | $ 192,566 | $ 167,056 | |
Commercial loan | 0 | 1,947 | 2,146 | |
Total interest income | 277,929 | 194,513 | 169,202 | |
Interest expense | ||||
Repurchase agreements | [1] | 228,229 | 51,560 | (11,290) |
Total interest expense | 228,229 | 51,560 | (11,290) | |
Net interest income | 49,700 | 142,953 | 180,492 | |
Other income (loss) | ||||
Gain (loss) on investments, net | (107,280) | (1,079,339) | (366,509) | |
(Increase) decrease in provision for credit losses | (320) | 0 | 1,768 | |
Equity in earnings (losses) of unconsolidated ventures | (1) | (407) | 870 | |
Gain (loss) on derivative instruments, net | 61,838 | 559,007 | 122,611 | |
Other investment income (loss), net | (66) | 186 | 1 | |
Total other income (loss) | (45,829) | (520,553) | (241,259) | |
Expenses | ||||
Management fee — related party | 12,290 | 16,906 | 21,080 | |
General and administrative | 7,440 | 8,418 | 8,153 | |
Total expenses | 19,730 | 25,324 | 29,233 | |
Net income (loss) | (15,859) | (402,924) | (90,000) | |
Dividends to preferred stockholders | (23,153) | (28,218) | (37,795) | |
Gain on repurchase and retirement of preferred stock | 1,471 | 14,179 | 0 | |
Issuance and redemption costs of redeemed preferred stock | 0 | 0 | 4,682 | |
Net income (loss) attributable to common stockholders | $ (37,541) | $ (416,963) | $ (132,477) | |
Net income (loss) attributable to common stockholders | ||||
Basic (in usd per share) | $ (0.85) | $ (12.21) | $ (4.82) | |
Diluted (in usd per share) | $ (0.85) | $ (12.21) | $ (4.82) | |
Weighted average number of shares of common stock: | ||||
Basic (in shares) | 44,073,815 | 34,160,080 | 27,513,223 | |
Diluted (in shares) | 44,073,815 | 34,160,080 | 27,513,223 | |
[1]Negative interest expense on repurchase agreements in 2021 is due to amortization of net deferred gains on de-designated interest rate swaps that exceeded 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, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Statement of Comprehensive Income [Abstract] | |||
Net income (loss) | $ (15,859) | $ (402,924) | $ (90,000) |
Other comprehensive income (loss): | |||
Unrealized gain (loss) on mortgage-backed securities, net | (91) | (6,280) | 756 |
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses | 320 | 0 | 0 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (10,405) | (19,708) | (22,000) |
Currency translation adjustments on investment in unconsolidated venture | (10) | (537) | (75) |
Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net | 123 | 0 | 0 |
Total other comprehensive income (loss) | (10,063) | (26,525) | (21,319) |
Comprehensive income (loss) | (25,922) | (429,449) | (111,319) |
Dividends to preferred stockholders | (23,153) | (28,218) | (37,795) |
Gain on repurchase and retirement of preferred stock | 1,471 | 14,179 | 0 |
Issuance and redemption costs of redeemed preferred stock | 0 | 0 | (4,682) |
Comprehensive income (loss) attributable to common stockholders | $ (47,604) | $ (443,488) | $ (153,796) |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | 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) |
Beginning balance (in shares) at Dec. 31, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | 20,322,211 | ||||||
Beginning 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 | ||||||||
Repurchase and retirement of preferred stock (in shares) | (5,600,000) | |||||||||
Repurchase and retirement of preferred stock | (140,038) | $ (135,356) | (4,682) | |||||||
Common stock dividends (in shares) | 0 | |||||||||
Common stock dividends | (105,992) | $ 0 | 0 | (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 | ||||||||
Repurchase and retirement of preferred stock (in shares) | (1,662,366) | (3,683,530) | ||||||||
Repurchase and retirement of preferred stock | (115,082) | $ (40,181) | $ (89,080) | 14,179 | ||||||
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) | ||||||||
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 | 38,710,916 | 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) | ||
Increase (Decrease) in Stockholders' Equity | ||||||||||
Net income (loss) | (15,859) | (15,859) | ||||||||
Other comprehensive income (loss) | (10,063) | (10,063) | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 9,699,471 | |||||||||
Proceeds from issuance of common stock, net of offering costs | 109,104 | $ 97 | 109,007 | |||||||
Stocks awards (in shares) | 50,239 | |||||||||
Stock awards | 0 | $ 0 | ||||||||
Repurchase and retirement of preferred stock (in shares) | (151,637) | (271,031) | (151,637) | (271,031) | ||||||
Repurchase and retirement of preferred stock | (8,748) | $ (3,665) | $ (6,554) | 1,471 | ||||||
Common stock dividends | (73,260) | (73,260) | ||||||||
Preferred stock dividends | (23,153) | (23,153) | ||||||||
Amortization of equity-based compensation | $ 569 | 569 | ||||||||
Ending balance (in shares) at Dec. 31, 2023 | 48,460,626 | 0 | 4,385,997 | 7,545,439 | 48,460,626 | |||||
Ending balance at Dec. 31, 2023 | $ 782,665 | $ 0 | $ 106,014 | $ 182,474 | $ 484 | $ 4,011,138 | $ 698 | $ (3,518,143) |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Cash Flows from Operating Activities | |||
Net income (loss) | $ (15,859) | $ (402,924) | $ (90,000) |
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 | (14,380) | (1,118) | 37,397 |
Realized and unrealized (gain) loss on derivative instruments, net | 177,170 | (472,135) | (138,414) |
(Gain) loss on investments, net | 107,280 | 1,079,339 | 366,509 |
Increase (decrease) in provision for credit losses | 320 | 0 | (1,768) |
(Gain) loss from investments in unconsolidated ventures in excess of distributions received | 1 | 45 | 9 |
Other amortization | (9,836) | (19,095) | (21,383) |
Loss on foreign currency translation | 123 | 0 | 0 |
Changes in operating assets and liabilities: | |||
(Increase) decrease in operating assets | (1,977) | (5,230) | (1,166) |
Increase (decrease) in operating liabilities | (5,055) | 17,201 | 1,108 |
Net cash provided by (used in) operating activities | 237,787 | 196,083 | 152,292 |
Cash Flows from Investing Activities | |||
Purchase of mortgage-backed securities | (5,933,598) | (25,723,584) | (17,132,975) |
Purchase of U.S. Treasury securities | (59,514) | (502,290) | 0 |
Distributions from (contributions to) investments in unconsolidated ventures, net | 41 | 11,342 | 3,848 |
Principal payments from mortgage-backed securities | 348,547 | 403,327 | 825,189 |
Proceeds from sale of mortgage-backed securities | 5,236,686 | 27,281,250 | 16,273,956 |
Proceeds from sale of U.S. Treasury securities | 48,977 | 468,051 | 0 |
Settlement (termination) of forwards, swaps, swaptions and TBAs, net | (179,526) | 459,466 | 156,160 |
Net change in due from counterparties and collateral held payable on derivative instruments | 1,584 | 2,594 | (5,430) |
Principal payments from commercial loan held-for-investment | 0 | 23,917 | 0 |
Net cash provided by (used in) investing activities | (536,803) | 2,424,073 | 120,748 |
Cash Flows from Financing Activities | |||
Proceeds from issuance of common stock | 109,104 | 81,899 | 430,496 |
Redemption of preferred stock | 0 | 0 | (140,038) |
Repurchase of preferred stock | (8,748) | (115,082) | 0 |
Cash paid in lieu of fractional shares in connection with one-for-ten reverse stock split | 0 | (1) | 0 |
Proceeds from repurchase agreements | 41,084,893 | 66,872,266 | 82,347,113 |
Principal repayments of repurchase agreements | (40,861,440) | (69,625,277) | (82,587,978) |
Net change in due from counterparties and collateral held payable on repurchase agreements | (2,417) | 8,419 | (4,743) |
Payments of deferred costs | (329) | (351) | (354) |
Payments of dividends | (102,191) | (140,300) | (133,068) |
Net cash provided by (used in) financing activities | 218,872 | (2,918,427) | (88,572) |
Net change in cash, cash equivalents and restricted cash | (80,144) | (298,271) | 184,468 |
Cash, cash equivalents and restricted cash, beginning of period | 278,781 | 577,052 | 392,584 |
Cash, cash equivalents and restricted cash, end of period | 198,637 | 278,781 | 577,052 |
Supplement Disclosure of Cash Flow Information | |||
Interest paid | 243,394 | 51,892 | 10,363 |
Non-cash Investing and Financing Activities Information | |||
Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale | (229) | (6,280) | 756 |
Dividends declared not paid | 19,384 | 25,162 | 29,689 |
Net change in investment related receivable (payable) | 1,706 | (707) | 46 |
Net change in foreign currency translation adjustment recorded in accumulated other comprehensive income | (113) | 537 | 75 |
Offering costs not paid | $ 10 | $ 144 | $ 527 |
Organization and Business Opera
Organization and Business Operations | 12 Months Ended |
Dec. 31, 2023 | |
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, 2023, 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”); • U.S. Treasury securities; and • a real estate-related financing arrangement. During the periods presented in these consolidated financial statements, we also invested in a commercial mortgage loan. 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, 2023 | |
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 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, U.S. Treasury securities 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. 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 readily available, meaning that it is a quoted price in an active market for identical assets, the security is classified as a level 1 security. If the price of a security is obtained from quoted prices in inactive markets for similar instruments, or whose values are model-derived but the inputs are observable either directly or indirectly, the security is classified as a level 2 security. If the inputs appear to be not observable, and reflect judgment about assumptions used to value the asset, 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 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 $5.0 billion or 99.7% of our MBS are accounted for under the fair value option as of December 31, 2023 (December 31, 2022: $4.7 billion or 99.1%). 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 and all RMBS interest-only securities. We classify the remaining balance of our MBS as available-for-sale ($15.7 million or 0.3% as of December 31, 2023; $42.5 million or 0.9% as of December 31, 2022). 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. Our interest income recognition policies for MBS is 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. 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 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. Commercial and Other Loans We recognized interest income from commercial and other loans when earned and deemed collectible, or until a loan became past due based on the terms of the loan agreement. U.S. Treasury Securities Coupon interest income on U.S. Treasury securities 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. 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, 2023, 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. 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, 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 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. Cash receipts or payments that are attributed to contractual interest earned or incurred on interest rate swaps are classified as cash flows from operating activities in our consolidated statements of cash flows. All other cash flows from derivatives are generally recorded as investing cash flows in our consolidated statements of cash flows. 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. Amounts recorded in accumulated other comprehensive income (loss) (“AOCI”) before we discontinued cash flow hedge accounting for our interest rate swaps were reclassified to interest expense on repurchase agreements on the consolidated statements of operations as interest was accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements. 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, 2023, 2022 and 2021. 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. Recently Issued Accounting Pronouncements In November 2023, the Financial Standards Accounting Board issued an accounting standards update intended to improve reportable segment disclosure requirements on an annual and interim basis. The amendments require, among other items, enhanced disclosures around significant segment expenses regularly provided to the chief operating decision maker (“CODM”), as well as the CODM's title and position. Additionally, the amendments expand the scope of all segment reporting disclosure requirements to include those entities with only a single operating segment, such as us. We are required to implement the amendments in our consolidated financial statements for the year ended December 31, 2024 and for interim periods thereafter. The amendments must be applied on a retrospective basis and early adoption is permitted. We are currently evaluating the impact of these amendments on our disclosures. |
Variable Interest Entities ("VI
Variable Interest Entities ("VIEs") | 12 Months Ended |
Dec. 31, 2023 | |
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, 2023 is presented in the table below. $ in thousands Carrying Company's Maximum Risk of Loss Non-Agency CMBS 9,935 9,935 Non-Agency RMBS 8,139 8,139 Investment in unconsolidated venture 500 500 Total 18,574 18,574 Refer to Note 4 - “Mortgage-Backed Securities” for additional details regarding our non-Agency CMBS and non-Agency RMBS. |
Mortgage-Backed Securities
Mortgage-Backed Securities | 12 Months Ended |
Dec. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | Mortgage-Backed Securities The following tables summarize our MBS portfolio by asset type at December 31, 2023 and 2022. As of December 31, 2023 $ in thousands Principal/ Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- (1) 30 year fixed-rate Agency RMBS 5,005,512 (159,924) 4,845,588 — 106,886 4,952,474 5.33 % Agency-CMO (2) 573,240 (498,355) 74,885 — (127) 74,758 9.74 % Non-Agency CMBS 11,000 (372) 10,628 (320) (373) 9,935 9.58 % Non-Agency RMBS (3)(4)(5) 275,061 (267,744) 7,317 — 822 8,139 9.10 % Total 5,864,813 (926,395) 4,938,418 (320) 107,208 5,045,306 5.42 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2023 and incorporates future prepayment and loss assumptions when appropriate. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 66.8% fixed rate, 32.5% variable rate and 0.7% 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 96.9% of principal/notional balance, 37.6% of amortized cost and 31.7% of fair value. As of December 31, 2022 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Value Period- end Weighted Average Yield (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 when appropriate. (2) All Agency-CMO are 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 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 97.1% of principal/notional balance, 41.6% of amortized cost and 35.3% 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, 2023 and December 31, 2022. 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, 2023 and December 31, 2022, approximately 99.7% and 99.1% of our MBS are accounted for under the fair value option, respectively. As of December 31, 2023 December 31, 2022 $ 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 — 4,952,474 4,952,474 — 4,661,737 4,661,737 Agency-CMO — 74,758 74,758 — 84,956 84,956 Non-Agency CMBS 9,935 — 9,935 36,787 — 36,787 Non-Agency RMBS 5,743 2,396 8,139 5,667 2,746 8,413 Total 15,678 5,029,628 5,045,306 42,454 4,749,439 4,791,893 The components of the carrying value of our MBS portfolio at December 31, 2023 and 2022 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our consolidated balance sheets, was $22.3 million at December 31, 2023 (December 31, 2022: $21.3 million). As of December 31, 2023 December 31, 2022 $ in thousands MBS Interest-Only Securities Total MBS Interest-Only Securities Total Principal/notional balance 5,025,062 839,751 5,864,813 4,770,175 917,330 5,687,505 Unamortized premium 5,061 — 5,061 5,195 — 5,195 Unamortized discount (169,342) (762,114) (931,456) (126,112) (831,308) (957,420) Allowance for credit losses (320) — (320) — — — Gross unrealized gains (1) 107,899 3,523 111,422 62,245 4,605 66,850 Gross unrealized losses (1) (393) (3,821) (4,214) (7,535) (2,702) (10,237) Fair value 4,967,967 77,339 5,045,306 4,703,968 87,925 4,791,893 (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, 2023 and 2022 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, 2023 and 2022. As of $ in thousands December 31, 2023 December 31, 2022 Less than one year — 26,593 Greater than one year and less than five years 189,845 10,194 Greater than or equal to five years 4,855,461 4,755,106 Total 5,045,306 4,791,893 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, 2023 and 2022. As of December 31, 2023 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 Agency-CMO (1) 17,486 (849) 3 21,664 (2,574) 6 39,150 (3,423) 9 Non-Agency CMBS (2) 9,935 (373) 1 — — — 9,935 (373) 1 Non-Agency RMBS (3) — — — 1,462 (418) 9 1,462 (418) 9 Total 27,421 (1,222) 4 23,126 (2,992) 15 50,547 (4,214) 19 (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 a fair value of $1.2 million for which the fair value option has been elected. Such securities have unrealized losses of $399,000. As of 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 a fair value of $1.4 million for which the fair value option has been elected. Such securities have unrealized losses of $561,000. We recorded a $320,000 provision for credit losses on a single non-Agency CMBS during the year ended December 31, 2023. The following table presents a roll-forward of our allowance for credit losses. $ in thousands Years Ended December 31, 2023 2022 2021 Beginning allowance for credit losses — — (1,768) Additions to the allowance for credit losses on securities for which credit losses were not previously recorded (320) — — 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 (320) — — The following table summarizes the components of our total gain (loss) on investments, net for the years ended December 31, 2023, 2022 and 2021. Years Ended December 31, $ in thousands 2023 2022 2021 Gross realized gains on sale of MBS 5,363 5,348 3,297 Gross realized losses on sale of MBS (163,391) (1,169,258) (284,521) Net unrealized gains (losses) on MBS accounted for under the fair value option 50,364 118,365 (85,702) Net unrealized gains (losses) on commercial loan — 404 417 Net unrealized gains (losses) on U.S. Treasury securities 372 — — Net realized gains (losses) on U.S. Treasury securities 12 (34,198) — Total gain (loss) on investments, net (107,280) (1,079,339) (366,509) The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the years ended December 31, 2023, 2022 and 2021. For the Year ended December 31, 2023 $ in thousands Coupon Net (Premium Interest Agency RMBS 266,193 5,160 271,353 Non-Agency CMBS 1,597 1,101 2,698 Non-Agency RMBS 1,132 (479) 653 U.S. Treasury securities 31 291 322 Other (inclusive of interest earned on cash balances) 2,903 — 2,903 Total 271,856 6,073 277,929 For the Year ended December 31, 2022 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion 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 (inclusive of interest earned on cash balances) 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 (inclusive of interest earned on cash balances) 21 — 21 Total 207,506 (40,450) 167,056 The following table presents the components of the carrying value of our U.S. Treasury security as of December 31, 2023. The security is classified as a trading security and matures in 2053. We did not hold any U.S. Treasury securities as of December 31, 2022. As of $ in thousands December 31, 2023 Principal balance 10,000 Unamortized premium 842 Amortized cost 10,842 Unrealized gain (loss) 372 Fair value 11,214 |
U.S. Treasury Securities
U.S. Treasury Securities | 12 Months Ended |
Dec. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
U.S. Treasury Securities | Mortgage-Backed Securities The following tables summarize our MBS portfolio by asset type at December 31, 2023 and 2022. As of December 31, 2023 $ in thousands Principal/ Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- (1) 30 year fixed-rate Agency RMBS 5,005,512 (159,924) 4,845,588 — 106,886 4,952,474 5.33 % Agency-CMO (2) 573,240 (498,355) 74,885 — (127) 74,758 9.74 % Non-Agency CMBS 11,000 (372) 10,628 (320) (373) 9,935 9.58 % Non-Agency RMBS (3)(4)(5) 275,061 (267,744) 7,317 — 822 8,139 9.10 % Total 5,864,813 (926,395) 4,938,418 (320) 107,208 5,045,306 5.42 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2023 and incorporates future prepayment and loss assumptions when appropriate. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 66.8% fixed rate, 32.5% variable rate and 0.7% 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 96.9% of principal/notional balance, 37.6% of amortized cost and 31.7% of fair value. As of December 31, 2022 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Value Period- end Weighted Average Yield (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 when appropriate. (2) All Agency-CMO are 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 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 97.1% of principal/notional balance, 41.6% of amortized cost and 35.3% 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, 2023 and December 31, 2022. 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, 2023 and December 31, 2022, approximately 99.7% and 99.1% of our MBS are accounted for under the fair value option, respectively. As of December 31, 2023 December 31, 2022 $ 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 — 4,952,474 4,952,474 — 4,661,737 4,661,737 Agency-CMO — 74,758 74,758 — 84,956 84,956 Non-Agency CMBS 9,935 — 9,935 36,787 — 36,787 Non-Agency RMBS 5,743 2,396 8,139 5,667 2,746 8,413 Total 15,678 5,029,628 5,045,306 42,454 4,749,439 4,791,893 The components of the carrying value of our MBS portfolio at December 31, 2023 and 2022 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our consolidated balance sheets, was $22.3 million at December 31, 2023 (December 31, 2022: $21.3 million). As of December 31, 2023 December 31, 2022 $ in thousands MBS Interest-Only Securities Total MBS Interest-Only Securities Total Principal/notional balance 5,025,062 839,751 5,864,813 4,770,175 917,330 5,687,505 Unamortized premium 5,061 — 5,061 5,195 — 5,195 Unamortized discount (169,342) (762,114) (931,456) (126,112) (831,308) (957,420) Allowance for credit losses (320) — (320) — — — Gross unrealized gains (1) 107,899 3,523 111,422 62,245 4,605 66,850 Gross unrealized losses (1) (393) (3,821) (4,214) (7,535) (2,702) (10,237) Fair value 4,967,967 77,339 5,045,306 4,703,968 87,925 4,791,893 (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, 2023 and 2022 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, 2023 and 2022. As of $ in thousands December 31, 2023 December 31, 2022 Less than one year — 26,593 Greater than one year and less than five years 189,845 10,194 Greater than or equal to five years 4,855,461 4,755,106 Total 5,045,306 4,791,893 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, 2023 and 2022. As of December 31, 2023 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 Agency-CMO (1) 17,486 (849) 3 21,664 (2,574) 6 39,150 (3,423) 9 Non-Agency CMBS (2) 9,935 (373) 1 — — — 9,935 (373) 1 Non-Agency RMBS (3) — — — 1,462 (418) 9 1,462 (418) 9 Total 27,421 (1,222) 4 23,126 (2,992) 15 50,547 (4,214) 19 (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 a fair value of $1.2 million for which the fair value option has been elected. Such securities have unrealized losses of $399,000. As of 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 a fair value of $1.4 million for which the fair value option has been elected. Such securities have unrealized losses of $561,000. We recorded a $320,000 provision for credit losses on a single non-Agency CMBS during the year ended December 31, 2023. The following table presents a roll-forward of our allowance for credit losses. $ in thousands Years Ended December 31, 2023 2022 2021 Beginning allowance for credit losses — — (1,768) Additions to the allowance for credit losses on securities for which credit losses were not previously recorded (320) — — 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 (320) — — The following table summarizes the components of our total gain (loss) on investments, net for the years ended December 31, 2023, 2022 and 2021. Years Ended December 31, $ in thousands 2023 2022 2021 Gross realized gains on sale of MBS 5,363 5,348 3,297 Gross realized losses on sale of MBS (163,391) (1,169,258) (284,521) Net unrealized gains (losses) on MBS accounted for under the fair value option 50,364 118,365 (85,702) Net unrealized gains (losses) on commercial loan — 404 417 Net unrealized gains (losses) on U.S. Treasury securities 372 — — Net realized gains (losses) on U.S. Treasury securities 12 (34,198) — Total gain (loss) on investments, net (107,280) (1,079,339) (366,509) The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the years ended December 31, 2023, 2022 and 2021. For the Year ended December 31, 2023 $ in thousands Coupon Net (Premium Interest Agency RMBS 266,193 5,160 271,353 Non-Agency CMBS 1,597 1,101 2,698 Non-Agency RMBS 1,132 (479) 653 U.S. Treasury securities 31 291 322 Other (inclusive of interest earned on cash balances) 2,903 — 2,903 Total 271,856 6,073 277,929 For the Year ended December 31, 2022 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion 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 (inclusive of interest earned on cash balances) 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 (inclusive of interest earned on cash balances) 21 — 21 Total 207,506 (40,450) 167,056 The following table presents the components of the carrying value of our U.S. Treasury security as of December 31, 2023. The security is classified as a trading security and matures in 2053. We did not hold any U.S. Treasury securities as of December 31, 2022. As of $ in thousands December 31, 2023 Principal balance 10,000 Unamortized premium 842 Amortized cost 10,842 Unrealized gain (loss) 372 Fair value 11,214 |
Borrowings
Borrowings | 12 Months Ended |
Dec. 31, 2023 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings We finance the majority of our investment portfolio through repurchase agreements. Our repurchase agreements bear interest at a contractually agreed upon rate and generally have maturities ranging from one . We account for our repurchase agreements as secured borrowings since we maintain effective control of the financed assets. Our repurchase agreements are subject to certain financial covenants. We were in compliance with all of these covenants as of December 31, 2023. The following tables summarize certain characteristics of our repurchase agreements at December 31, 2023 and 2022. Refer to Note 7 - “Collateral Positions” for collateral pledged and held under our repurchase agreements. As of December 31, 2023 December 31, 2022 $ in thousands Amount Weighted Weighted Amount Weighted Weighted Repurchase Agreements - Agency RMBS 4,458,695 5.53 % 20 4,234,823 4.24 % 28 Total Borrowings 4,458,695 5.53 % 20 4,234,823 4.24 % 28 |
Collateral Positions
Collateral Positions | 12 Months Ended |
Dec. 31, 2023 | |
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 and TBAs as of December 31, 2023 and 2022. 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 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, 2023 and 2022, we did not recognize any non-cash collateral held on our consolidated balance sheets. $ in thousands As of Collateral Pledged December 31, 2023 December 31, 2022 Repurchase agreements: Agency RMBS 4,712,185 4,439,583 Total repurchase agreements collateral pledged 4,712,185 4,439,583 Derivative instruments: Cash — 1,584 Restricted cash 121,670 103,246 Total derivative instruments collateral pledged 121,670 104,830 Total collateral pledged: Agency RMBS 4,712,185 4,439,583 Cash — 1,584 Restricted cash 121,670 103,246 Total collateral pledged 4,833,855 4,544,413 As of Collateral Held December 31, 2023 December 31, 2022 Repurchase agreements: Cash 2,475 4,892 Non-cash collateral 39,130 7,216 Total repurchase agreements collateral held 41,605 12,108 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. The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 106% as of December 31, 2023 (December 31, 2022: 105%) based on the fair value of the securities as reported in our consolidated balance sheets. Interest Rate Swaps As of December 31, 2023 and 2022, 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 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2023 | |
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 2023: $ in thousands Notional Amount as of December 31, 2022 Additions Settlement, Notional Amount as of December 31, 2023 Interest Rate Swaps (1)(2) 8,150,000 3,525,000 (7,610,000) 4,065,000 TBA Purchase Contracts 400,000 1,150,000 (1,550,000) — TBA Sale Contracts (400,000) (1,150,000) 1,550,000 — Total 8,150,000 3,525,000 (7,610,000) 4,065,000 (1) Does not include interest rate swaps with forward start dates until the date they begin to bear interest. See below for additional detail on our interest rate swaps with forward start dates. (2) Notional amount as of December 31, 2023 includes $4.1 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate. 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. 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 before we discontinued cash flow hedge accounting for our interest rate swaps were reclassified to interest expense on repurchase agreements on the consolidated statements of operations as interest was accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. We reclassified $10.4 million as a decrease to interest expense for the year ended December 31, 2023 (2022: $19.7 million as a decrease; 2021: $22.0 million as a decrease). As of December 31, 2023, there were no net unrealized gains on discontinued cash flow hedges (2022: $10.4 million) included in accumulated other comprehensive income. As of December 31, 2023 and 2022, 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, 2023 Maturities Notional Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 950,000 2.55 % 5.38 % 1.6 3 to 5 years 1,375,000 0.29 % 5.38 % 3.8 5 to 7 years 1,150,000 0.55 % 5.38 % 6.6 Greater than 10 years 590,000 1.75 % 5.38 % 21.4 Total 4,065,000 1.10 % 5.38 % 6.6 $ in thousands As of December 31, 2022 Maturities Notional 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 As of December 31, 2022, we held $975.0 million notional amount of SOFR-based pay fixed and receive floating interest rate swaps with forward start dates that had a weighted average maturity of 16.5 years and a weighted average fixed pay rate of 0.89%. We did not have any interest rate swaps with forward start dates as of December 31, 2023. As of December 31, 2022, 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. We did not have any pay floating and receive fixed interest rate swaps as of December 31, 2023. $ in thousands As of December 31, 2022 Maturities Notional 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 As of December 31, 2022, we held $275.0 million notional amount of SOFR-based pay floating and receive fixed interest rate swaps with forward start dates that had a weighted average maturity of 16.0 years and a weighted average fixed receive rate of 2.63%. We did not have any interest rate swaps with forward start dates as of December 31, 2023. 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 have historically used 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, 2023 or December 31, 2022. 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. We did not have any TBAs outstanding as of December 31, 2023. $ 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. 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, 2023 and 2022. $ in thousands Derivative Assets Derivative Liabilities As of December 31, 2023 As of December 31, 2022 As of December 31, 2023 As of December 31, 2022 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset 939 20 Interest Rate Swaps Liability — — TBAs — 642 TBAs — 2,079 Total Derivative Assets 939 662 Total Derivative Liabilities — 2,079 Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement 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, 2023, 2022 and 2021. $ in thousands Year ended December 31, 2023 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps (177,628) 239,008 918 62,298 Currency Forward Contracts (18) — — (18) TBAs (1,880) — 1,438 (442) Total (179,526) 239,008 2,356 61,838 $ 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 |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 12 Months Ended |
Dec. 31, 2023 | |
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, 2023 and December 31, 2022. 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 $939,000 at December 31, 2023 (December 31, 2022: asset of $20,000) 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, 2023 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Liabilities Repurchase Agreements (1) (4,458,695) — (4,458,695) 4,458,695 — — Total Liabilities (4,458,695) — (4,458,695) 4,458,695 — — As of December 31, 2022 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Assets Derivatives (2) (3) 642 — 642 (642) — — Total Assets 642 — 642 (642) — — Liabilities Derivatives (2) (3) (2,079) — (2,079) 642 1,297 (140) Repurchase Agreements (1) (4,234,823) — (4,234,823) 4,234,823 — — Total Liabilities (4,236,902) — (4,236,902) 4,235,465 1,297 (140) (1) The fair value of securities pledged against our borrowings under repurchase agreements was $4.7 billion as of December 31, 2023 (December 31, 2022: $4.4 billion). We held $2.5 million of cash collateral under repurchase agreements as of December 31, 2023 (December 31, 2022: $4.9 million). (2) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (3) Cash collateral pledged by us on our derivatives was $121.7 million as of December 31, 2023 (December 31, 2022: $104.8 million) of which $121.7 million relates to initial margin pledged on centrally cleared interest rate swaps (December 31, 2022: $103.2 million). Centrally cleared interest rate swaps are excluded from the tables above. We held no cash collateral on our derivatives as of December 31, 2023 or December 31, 2022. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 12 Months Ended |
Dec. 31, 2023 | |
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. As of December 31, 2023 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed securities (1) — 5,045,306 — — 5,045,306 U.S. Treasury securities (2) — 11,214 — — 11,214 Derivative assets — 939 — — 939 Other assets — — — 500 500 Total assets — 5,057,459 — 500 5,057,959 As of December 31, 2022 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) 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 (1) For more detail about the fair value of our MBS, refer to Note 4 - “Mortgage-Backed Securities”. (2) For more information on U.S. Treasury securities, refer to Note 5 - “U.S. Treasury Securities”. (3) 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, we were invested in two unconsolidated ventures that were managed by an affiliate of our Manager. One of the unconsolidated ventures was dissolved during the first quarter of 2023. As of December 31, 2023, the remaining unconsolidated venture was in liquidation and plans to sell or settle its remaining investments as expeditiously as possible. 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. Year Ended $ in thousands December 31, 2022 Beginning balance 23,515 Repayments (23,919) Total net unrealized gains (losses) included in net income: Unrealized gain (loss) 404 Ending balance — 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 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, 2023 and December 31, 2022: As of December 31, 2023 December 31, 2022 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities: Repurchase agreements 4,458,695 4,458,662 4,234,823 4,233,627 Total 4,458,695 4,458,662 4,234,823 4,233,627 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, 2023 | |
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. The costs of support personnel provided by our Manager for the year ended December 31, 2023 were $1.6 million (2022: $1.5 million; 2021: $1.1 million). 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, 2023, 2022 and 2021. Years ended December 31, $ in thousands 2023 2022 2021 Incurred costs, prepaid or expensed 6,963 8,085 7,108 Incurred costs, charged or expected to be charged against equity as a cost of raising capital 257 223 692 Total incurred costs, originally paid by our Manager 7,220 8,308 7,800 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, 2023 | |
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, 2023, we repurchased and retired 151,637 shares of Series B Preferred Stock and 271,031 shares of Series C Preferred Stock and recorded a gain on repurchase and retirement of preferred stock of $1.5 million. 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, 2023, we had authority to repurchase 1,185,997 additional shares of our Series B Preferred Stock and 1,045,439 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 CME Term SOFR and the applicable credit spread adjustment (0.26161%) 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 CME Term SOFR and the applicable credit spread adjustment (0.26161%) plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. 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. As of December 31, 2023, we may sell up to 6,300,529 shares of our common stock from time to time in at-the-market or privately negotiated transactions under our equity distribution agreement with placement agents. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). During the year ended December 31, 2023, we sold 9,699,471 shares (2022: 5,686,598 shares) of common stock in at-the-market transactions under our equity distribution agreements for proceeds of $109.1 million (2022: $81.6 million) net of approximately $1.5 million (2022: $1.3 million) in commissions and fees. During the years ended December 31, 2023 and December 31, 2022, we did not repurchase any shares of our common stock. As of December 31, 2023, we had authority to purchase 1,816,398 shares of our common stock through our share repurchase program. For the year ended December 31, 2023, we granted 45,567 restricted shares of common stock to our independent directors (December 31, 2022: 33,573). Restricted shares 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, 2023 and December 31, 2022, respectively. The tables exclude gains and losses on MBS that are accounted for under the fair value option. December 31, 2023 $ 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 — (91) — (91) Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses — 320 — 320 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (10,405) (10,405) Currency translation adjustments on investment in unconsolidated venture (10) — — (10) Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net 123 — — 123 Total other comprehensive income (loss) 113 229 (10,405) (10,063) AOCI balance at beginning of period (113) 469 10,405 10,761 Total other comprehensive income (loss) 113 229 (10,405) (10,063) AOCI balance at end of period — 698 — 698 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 Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps were reclassified to interest expense on repurchase agreements on the consolidated statements of operations as interest was 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 2023 and 2022: $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2023 November 2, 2023 0.4844 2,131 December 27, 2023 August 2, 2023 0.4844 2,167 September 27, 2023 May 8, 2023 0.4844 2,186 June 27, 2023 February 17, 2023 0.4844 2,198 March 27, 2023 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 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2023 November 2, 2023 0.46875 3,548 December 27, 2023 August 2, 2023 0.46875 3,605 September 27, 2023 May 8, 2023 0.46875 3,654 June 27, 2023 February 17, 2023 0.46875 3,664 March 27, 2023 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 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2023 December 18, 2023 0.40 19,384 January 26, 2024 September 26, 2023 0.40 19,384 October 27, 2023 June 21, 2023 0.40 17,834 July 27, 2023 March 27, 2023 0.40 16,658 April 27, 2023 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 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, 2023 and 2022. 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 B Preferred Stock Dividends Fiscal tax year 2023 — 1.936700 1.936700 — — Fiscal tax year 2022 — 1.936700 1.936700 — — Series C Preferred Stock Dividends Fiscal tax year 2023 — 1.875000 1.875000 — — Fiscal tax year 2022 — 1.875000 1.875000 — — Common Stock Dividends Fiscal tax year 2023 (CUSIP 46131B704) 0.650000 1.600000 2.250000 — — 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 — (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. |
Earnings (Loss) per Common Shar
Earnings (Loss) per Common Share | 12 Months Ended |
Dec. 31, 2023 | |
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 (loss) per share for the years ended December 31, 2023, 2022 and 2021 is computed as follows: In thousands except per share amounts Years Ended December 31, 2023 2022 2021 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (37,541) (416,963) (132,477) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 44,074 34,160 27,513 Dilutive Shares 44,074 34,160 27,513 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (0.85) (12.21) (4.82) Diluted (0.85) (12.21) (4.82) The following potential weighted average common shares were excluded from diluted earnings per share as the effect would be antidilutive: for the year ended December 31, 2023: 944 shares for restricted stock awards. (December 31, 2022: 1,216 for restricted stock awards; December 31, 2021: 1,606 for restricted stock awards). |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. Our material off balance sheet commitments and contingencies as of December 31, 2023 are discussed below. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2023 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Dividends We declared the following dividends on February 21, 2024: a Series B Preferred Stock dividend of $0.4844 per share payable on March 27, 2024 to our stockholders of record as of March 5, 2024, and a Series C Preferred Stock dividend of $0.46875 per share payable on March 27, 2024 to our stockholders of record as of March 5, 2024. |
Schedule IV Mortgage Loans on R
Schedule IV Mortgage Loans on Real Estate | 12 Months Ended |
Dec. 31, 2023 | |
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, 2023 $ in thousands Reconciliation of Carrying Value of Mortgage Loans on Real Estate: 2023 2022 2021 Beginning balance — 23,515 23,098 Additions: Unrealized gain — 404 417 Deductions: Collection of principal — 23,919 — Unrealized loss — — — Ending balance — — 23,515 |
Pay vs Performance Disclosure
Pay vs Performance Disclosure - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Pay vs Performance Disclosure | |||
Net Income (Loss) | $ (15,859) | $ (402,924) | $ (90,000) |
Insider Trading Arrangements
Insider Trading Arrangements | 3 Months Ended |
Dec. 31, 2023 | |
Trading Arrangements, by Individual | |
Rule 10b5-1 Arrangement Adopted | false |
Non-Rule 10b5-1 Arrangement Adopted | false |
Rule 10b5-1 Arrangement Terminated | false |
Non-Rule 10b5-1 Arrangement Terminated | false |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2023 | |
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 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, U.S. Treasury securities 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. 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 readily available, meaning that it is a quoted price in an active market for identical assets, the security is classified as a level 1 security. If the price of a security is obtained from quoted prices in inactive markets for similar instruments, or whose values are model-derived but the inputs are observable either directly or indirectly, the security is classified as a level 2 security. If the inputs appear to be not observable, and reflect judgment about assumptions used to value the asset, 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 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 $5.0 billion or 99.7% of our MBS are accounted for under the fair value option as of December 31, 2023 (December 31, 2022: $4.7 billion or 99.1%). 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 and all RMBS interest-only securities. We classify the remaining balance of our MBS as available-for-sale ($15.7 million or 0.3% as of December 31, 2023; $42.5 million or 0.9% as of December 31, 2022). 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. Our interest income recognition policies for MBS is 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 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. Commercial and Other Loans We recognized interest income from commercial and other loans when earned and deemed collectible, or until a loan became past due based on the terms of the loan agreement. U.S. Treasury Securities |
Cash and Cash Equivalents | Cash and Cash Equivalents |
Restricted Cash | Restricted Cash |
Due from Counterparties/Collateral Held Payable | Due from Counterparties / Collateral Held Payable |
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 Ventures |
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. |
Dividends Payable | Dividends Payable |
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, 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 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. Cash receipts or payments that are attributed to contractual interest earned or incurred on interest rate swaps are classified as cash flows from operating activities in our consolidated statements of cash flows. All other cash flows from derivatives are generally recorded as investing cash flows in our consolidated statements of cash flows. 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. Amounts recorded in accumulated other comprehensive income (loss) (“AOCI”) before we discontinued cash flow hedge accounting for our interest rate swaps were reclassified to interest expense on repurchase agreements on the consolidated statements of operations as interest was accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements. 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, 2023, 2022 and 2021. 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. |
Recently Issued Accounting Pronouncements | Recently Issued Accounting Pronouncements In November 2023, the Financial Standards Accounting Board issued an accounting standards update intended to improve reportable segment disclosure requirements on an annual and interim basis. The amendments require, among other items, enhanced disclosures around significant segment expenses regularly provided to the chief operating decision maker (“CODM”), as well as the CODM's title and position. Additionally, the amendments expand the scope of all segment reporting disclosure requirements to include those entities with only a single operating segment, such as us. We are required to implement the amendments in our consolidated financial statements for the year ended December 31, 2024 and for interim periods thereafter. The amendments must be applied on a retrospective basis and early adoption is permitted. We are currently evaluating the impact of these amendments on our disclosures. |
Variable Interest Entities ("_2
Variable Interest Entities ("VIEs") (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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, 2023 is presented in the table below. $ in thousands Carrying Company's Maximum Risk of Loss Non-Agency CMBS 9,935 9,935 Non-Agency RMBS 8,139 8,139 Investment in unconsolidated venture 500 500 Total 18,574 18,574 |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Investment Portfolio | The following tables summarize our MBS portfolio by asset type at December 31, 2023 and 2022. As of December 31, 2023 $ in thousands Principal/ Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- (1) 30 year fixed-rate Agency RMBS 5,005,512 (159,924) 4,845,588 — 106,886 4,952,474 5.33 % Agency-CMO (2) 573,240 (498,355) 74,885 — (127) 74,758 9.74 % Non-Agency CMBS 11,000 (372) 10,628 (320) (373) 9,935 9.58 % Non-Agency RMBS (3)(4)(5) 275,061 (267,744) 7,317 — 822 8,139 9.10 % Total 5,864,813 (926,395) 4,938,418 (320) 107,208 5,045,306 5.42 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2023 and incorporates future prepayment and loss assumptions when appropriate. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 66.8% fixed rate, 32.5% variable rate and 0.7% 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 96.9% of principal/notional balance, 37.6% of amortized cost and 31.7% of fair value. As of December 31, 2022 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Value Period- end Weighted Average Yield (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 when appropriate. (2) All Agency-CMO are 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 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 97.1% of principal/notional balance, 41.6% of amortized cost and 35.3% of fair value. The components of the carrying value of our MBS portfolio at December 31, 2023 and 2022 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our consolidated balance sheets, was $22.3 million at December 31, 2023 (December 31, 2022: $21.3 million). As of December 31, 2023 December 31, 2022 $ in thousands MBS Interest-Only Securities Total MBS Interest-Only Securities Total Principal/notional balance 5,025,062 839,751 5,864,813 4,770,175 917,330 5,687,505 Unamortized premium 5,061 — 5,061 5,195 — 5,195 Unamortized discount (169,342) (762,114) (931,456) (126,112) (831,308) (957,420) Allowance for credit losses (320) — (320) — — — Gross unrealized gains (1) 107,899 3,523 111,422 62,245 4,605 66,850 Gross unrealized losses (1) (393) (3,821) (4,214) (7,535) (2,702) (10,237) Fair value 4,967,967 77,339 5,045,306 4,703,968 87,925 4,791,893 (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, 2023 and 2022 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, 2023 and December 31, 2022. 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, 2023 and December 31, 2022, approximately 99.7% and 99.1% of our MBS are accounted for under the fair value option, respectively. As of December 31, 2023 December 31, 2022 $ 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 — 4,952,474 4,952,474 — 4,661,737 4,661,737 Agency-CMO — 74,758 74,758 — 84,956 84,956 Non-Agency CMBS 9,935 — 9,935 36,787 — 36,787 Non-Agency RMBS 5,743 2,396 8,139 5,667 2,746 8,413 Total 15,678 5,029,628 5,045,306 42,454 4,749,439 4,791,893 |
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, 2023 and 2022. As of $ in thousands December 31, 2023 December 31, 2022 Less than one year — 26,593 Greater than one year and less than five years 189,845 10,194 Greater than or equal to five years 4,855,461 4,755,106 Total 5,045,306 4,791,893 |
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, 2023 and 2022. As of December 31, 2023 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 Agency-CMO (1) 17,486 (849) 3 21,664 (2,574) 6 39,150 (3,423) 9 Non-Agency CMBS (2) 9,935 (373) 1 — — — 9,935 (373) 1 Non-Agency RMBS (3) — — — 1,462 (418) 9 1,462 (418) 9 Total 27,421 (1,222) 4 23,126 (2,992) 15 50,547 (4,214) 19 (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 a fair value of $1.2 million for which the fair value option has been elected. Such securities have unrealized losses of $399,000. As of 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) |
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, 2023 2022 2021 Beginning allowance for credit losses — — (1,768) Additions to the allowance for credit losses on securities for which credit losses were not previously recorded (320) — — 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 (320) — — |
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, 2023, 2022 and 2021. Years Ended December 31, $ in thousands 2023 2022 2021 Gross realized gains on sale of MBS 5,363 5,348 3,297 Gross realized losses on sale of MBS (163,391) (1,169,258) (284,521) Net unrealized gains (losses) on MBS accounted for under the fair value option 50,364 118,365 (85,702) Net unrealized gains (losses) on commercial loan — 404 417 Net unrealized gains (losses) on U.S. Treasury securities 372 — — Net realized gains (losses) on U.S. Treasury securities 12 (34,198) — Total gain (loss) on investments, net (107,280) (1,079,339) (366,509) |
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, 2023, 2022 and 2021. For the Year ended December 31, 2023 $ in thousands Coupon Net (Premium Interest Agency RMBS 266,193 5,160 271,353 Non-Agency CMBS 1,597 1,101 2,698 Non-Agency RMBS 1,132 (479) 653 U.S. Treasury securities 31 291 322 Other (inclusive of interest earned on cash balances) 2,903 — 2,903 Total 271,856 6,073 277,929 For the Year ended December 31, 2022 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion 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 (inclusive of interest earned on cash balances) 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 (inclusive of interest earned on cash balances) 21 — 21 Total 207,506 (40,450) 167,056 |
U.S. Treasury Securities (Table
U.S. Treasury Securities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Debt Securities, Trading, and Equity Securities, FV-NI | The following table presents the components of the carrying value of our U.S. Treasury security as of December 31, 2023. The security is classified as a trading security and matures in 2053. We did not hold any U.S. Treasury securities as of December 31, 2022. As of $ in thousands December 31, 2023 Principal balance 10,000 Unamortized premium 842 Amortized cost 10,842 Unrealized gain (loss) 372 Fair value 11,214 |
Borrowings (Tables)
Borrowings (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following tables summarize certain characteristics of our repurchase agreements at December 31, 2023 and 2022. Refer to Note 7 - “Collateral Positions” for collateral pledged and held under our repurchase agreements. As of December 31, 2023 December 31, 2022 $ in thousands Amount Weighted Weighted Amount Weighted Weighted Repurchase Agreements - Agency RMBS 4,458,695 5.53 % 20 4,234,823 4.24 % 28 Total Borrowings 4,458,695 5.53 % 20 4,234,823 4.24 % 28 |
Collateral Positions (Tables)
Collateral Positions (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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 and TBAs as of December 31, 2023 and 2022. 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 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, 2023 and 2022, we did not recognize any non-cash collateral held on our consolidated balance sheets. $ in thousands As of Collateral Pledged December 31, 2023 December 31, 2022 Repurchase agreements: Agency RMBS 4,712,185 4,439,583 Total repurchase agreements collateral pledged 4,712,185 4,439,583 Derivative instruments: Cash — 1,584 Restricted cash 121,670 103,246 Total derivative instruments collateral pledged 121,670 104,830 Total collateral pledged: Agency RMBS 4,712,185 4,439,583 Cash — 1,584 Restricted cash 121,670 103,246 Total collateral pledged 4,833,855 4,544,413 As of Collateral Held December 31, 2023 December 31, 2022 Repurchase agreements: Cash 2,475 4,892 Non-cash collateral 39,130 7,216 Total repurchase agreements collateral held 41,605 12,108 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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 2023: $ in thousands Notional Amount as of December 31, 2022 Additions Settlement, Notional Amount as of December 31, 2023 Interest Rate Swaps (1)(2) 8,150,000 3,525,000 (7,610,000) 4,065,000 TBA Purchase Contracts 400,000 1,150,000 (1,550,000) — TBA Sale Contracts (400,000) (1,150,000) 1,550,000 — Total 8,150,000 3,525,000 (7,610,000) 4,065,000 (1) Does not include interest rate swaps with forward start dates until the date they begin to bear interest. See below for additional detail on our interest rate swaps with forward start dates. (2) Notional amount as of December 31, 2023 includes $4.1 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate. 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. |
Schedule of Interest Rate Swaps Outstanding | As of December 31, 2023 and 2022, 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, 2023 Maturities Notional Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 950,000 2.55 % 5.38 % 1.6 3 to 5 years 1,375,000 0.29 % 5.38 % 3.8 5 to 7 years 1,150,000 0.55 % 5.38 % 6.6 Greater than 10 years 590,000 1.75 % 5.38 % 21.4 Total 4,065,000 1.10 % 5.38 % 6.6 $ in thousands As of December 31, 2022 Maturities Notional 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, 2022 Maturities Notional 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 |
Schedule of TBA Contracts | The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of December 31, 2022. We did not have any TBAs outstanding as of December 31, 2023. $ 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. |
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, 2023 and 2022. $ in thousands Derivative Assets Derivative Liabilities As of December 31, 2023 As of December 31, 2022 As of December 31, 2023 As of December 31, 2022 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset 939 20 Interest Rate Swaps Liability — — TBAs — 642 TBAs — 2,079 Total Derivative Assets 939 662 Total Derivative Liabilities — 2,079 |
Schedule of Effect of Derivative Financial Instruments on Statement of Operations | 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, 2023, 2022 and 2021. $ in thousands Year ended December 31, 2023 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps (177,628) 239,008 918 62,298 Currency Forward Contracts (18) — — (18) TBAs (1,880) — 1,438 (442) Total (179,526) 239,008 2,356 61,838 $ 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 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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, 2023 and December 31, 2022. 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 $939,000 at December 31, 2023 (December 31, 2022: asset of $20,000) 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, 2023 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Liabilities Repurchase Agreements (1) (4,458,695) — (4,458,695) 4,458,695 — — Total Liabilities (4,458,695) — (4,458,695) 4,458,695 — — As of December 31, 2022 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Assets Derivatives (2) (3) 642 — 642 (642) — — Total Assets 642 — 642 (642) — — Liabilities Derivatives (2) (3) (2,079) — (2,079) 642 1,297 (140) Repurchase Agreements (1) (4,234,823) — (4,234,823) 4,234,823 — — Total Liabilities (4,236,902) — (4,236,902) 4,235,465 1,297 (140) (1) The fair value of securities pledged against our borrowings under repurchase agreements was $4.7 billion as of December 31, 2023 (December 31, 2022: $4.4 billion). We held $2.5 million of cash collateral under repurchase agreements as of December 31, 2023 (December 31, 2022: $4.9 million). (2) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (3) Cash collateral pledged by us on our derivatives was $121.7 million as of December 31, 2023 (December 31, 2022: $104.8 million) of which $121.7 million relates to initial margin pledged on centrally cleared interest rate swaps (December 31, 2022: $103.2 million). Centrally cleared interest rate swaps are excluded from the tables above. We held no cash collateral on our derivatives as of December 31, 2023 or December 31, 2022. |
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, 2023 and December 31, 2022. 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 $939,000 at December 31, 2023 (December 31, 2022: asset of $20,000) 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, 2023 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Liabilities Repurchase Agreements (1) (4,458,695) — (4,458,695) 4,458,695 — — Total Liabilities (4,458,695) — (4,458,695) 4,458,695 — — As of December 31, 2022 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Assets Derivatives (2) (3) 642 — 642 (642) — — Total Assets 642 — 642 (642) — — Liabilities Derivatives (2) (3) (2,079) — (2,079) 642 1,297 (140) Repurchase Agreements (1) (4,234,823) — (4,234,823) 4,234,823 — — Total Liabilities (4,236,902) — (4,236,902) 4,235,465 1,297 (140) (1) The fair value of securities pledged against our borrowings under repurchase agreements was $4.7 billion as of December 31, 2023 (December 31, 2022: $4.4 billion). We held $2.5 million of cash collateral under repurchase agreements as of December 31, 2023 (December 31, 2022: $4.9 million). (2) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (3) Cash collateral pledged by us on our derivatives was $121.7 million as of December 31, 2023 (December 31, 2022: $104.8 million) of which $121.7 million relates to initial margin pledged on centrally cleared interest rate swaps (December 31, 2022: $103.2 million). Centrally cleared interest rate swaps are excluded from the tables above. We held no cash collateral on our derivatives as of December 31, 2023 or December 31, 2022. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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. As of December 31, 2023 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed securities (1) — 5,045,306 — — 5,045,306 U.S. Treasury securities (2) — 11,214 — — 11,214 Derivative assets — 939 — — 939 Other assets — — — 500 500 Total assets — 5,057,459 — 500 5,057,959 As of December 31, 2022 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) 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 (1) For more detail about the fair value of our MBS, refer to Note 4 - “Mortgage-Backed Securities”. (2) For more information on U.S. Treasury securities, refer to Note 5 - “U.S. Treasury Securities”. (3) 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, we were invested in two unconsolidated ventures that were managed by an affiliate of our Manager. One of the unconsolidated ventures was dissolved during the first quarter of 2023. As of December 31, 2023, the remaining unconsolidated venture was in liquidation and plans to sell or settle its remaining investments as expeditiously as possible. |
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. Year Ended $ in thousands December 31, 2022 Beginning balance 23,515 Repayments (23,919) Total net unrealized gains (losses) included in net income: Unrealized gain (loss) 404 Ending balance — |
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, 2023 and December 31, 2022: As of December 31, 2023 December 31, 2022 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities: Repurchase agreements 4,458,695 4,458,662 4,234,823 4,233,627 Total 4,458,695 4,458,662 4,234,823 4,233,627 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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, 2023, 2022 and 2021. Years ended December 31, $ in thousands 2023 2022 2021 Incurred costs, prepaid or expensed 6,963 8,085 7,108 Incurred costs, charged or expected to be charged against equity as a cost of raising capital 257 223 692 Total incurred costs, originally paid by our Manager 7,220 8,308 7,800 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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, 2023 and December 31, 2022, respectively. The tables exclude gains and losses on MBS that are accounted for under the fair value option. December 31, 2023 $ 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 — (91) — (91) Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses — 320 — 320 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (10,405) (10,405) Currency translation adjustments on investment in unconsolidated venture (10) — — (10) Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net 123 — — 123 Total other comprehensive income (loss) 113 229 (10,405) (10,063) AOCI balance at beginning of period (113) 469 10,405 10,761 Total other comprehensive income (loss) 113 229 (10,405) (10,063) AOCI balance at end of period — 698 — 698 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 |
Schedule of Dividends Declared | We declared the following dividends during 2023 and 2022: $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2023 November 2, 2023 0.4844 2,131 December 27, 2023 August 2, 2023 0.4844 2,167 September 27, 2023 May 8, 2023 0.4844 2,186 June 27, 2023 February 17, 2023 0.4844 2,198 March 27, 2023 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 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2023 November 2, 2023 0.46875 3,548 December 27, 2023 August 2, 2023 0.46875 3,605 September 27, 2023 May 8, 2023 0.46875 3,654 June 27, 2023 February 17, 2023 0.46875 3,664 March 27, 2023 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 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2023 December 18, 2023 0.40 19,384 January 26, 2024 September 26, 2023 0.40 19,384 October 27, 2023 June 21, 2023 0.40 17,834 July 27, 2023 March 27, 2023 0.40 16,658 April 27, 2023 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 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, 2023 and 2022. 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 B Preferred Stock Dividends Fiscal tax year 2023 — 1.936700 1.936700 — — Fiscal tax year 2022 — 1.936700 1.936700 — — Series C Preferred Stock Dividends Fiscal tax year 2023 — 1.875000 1.875000 — — Fiscal tax year 2022 — 1.875000 1.875000 — — Common Stock Dividends Fiscal tax year 2023 (CUSIP 46131B704) 0.650000 1.600000 2.250000 — — 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 — (1) Excludes common stock dividend of $0.65 per share declared on December 19, 2022 that had a record date of January 9, 2023. This dividend is a 2023 dividend for federal income tax purposes. |
Earnings (Loss) per Common Sh_2
Earnings (Loss) per Common Share (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share | Earnings (loss) per share for the years ended December 31, 2023, 2022 and 2021 is computed as follows: In thousands except per share amounts Years Ended December 31, 2023 2022 2021 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (37,541) (416,963) (132,477) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 44,074 34,160 27,513 Dilutive Shares 44,074 34,160 27,513 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (0.85) (12.21) (4.82) Diluted (0.85) (12.21) (4.82) |
Organization and Business Ope_2
Organization and Business Operations (Details) | 12 Months Ended |
Dec. 31, 2023 segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 1 |
Minimum distribution percentage of taxable income to qualify for REIT | 90% |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) | 1 Months Ended | 12 Months Ended | |
May 31, 2022 | Dec. 31, 2023 USD ($) subsidiary | Dec. 31, 2022 USD ($) | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Securities under Fair Value Option | $ 5,029,628,000 | $ 4,749,439,000 | |
Percentage of MBS and GSE CRT accounted for under the fair value option | 99.70% | 99.10% | |
Available-for-sale securities | $ 15,678,000 | $ 42,454,000 | |
FDIC deposit insurance limit amount | $ 250,000 | ||
Income tax, taxable subsidiary person | subsidiary | 1 | ||
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 | $ 5,000,000,000 | 4,700,000,000 | |
Available-for-sale securities | $ 15,700,000 | $ 42,500,000 | |
Percentage of MBS and GSE CRT securities classified as available-for-sale | 0.30% | 0.90% |
Variable Interest Entities ("_3
Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Variable Interest Entity | ||
Carrying Amount | $ 5,045,306 | $ 4,791,893 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 18,574 | |
Company's Maximum Risk of Loss | 18,574 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 9,935 | |
Company's Maximum Risk of Loss | 9,935 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 8,139 | |
Company's Maximum Risk of Loss | 8,139 | |
Variable Interest Entity, Not Primary Beneficiary | Investment in unconsolidated venture | ||
Variable Interest Entity | ||
Carrying Amount | 500 | |
Company's Maximum Risk of Loss | $ 500 |
Mortgage-Backed Securities - Sc
Mortgage-Backed Securities - Schedule of Investment Portfolio (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/ Notional Balance | $ 5,864,813 | $ 5,687,505 | ||
Unamortized Premium (Discount) | (926,395) | (952,225) | ||
Amortized Cost | 4,938,418 | 4,735,280 | ||
Allowance for credit losses | (320) | 0 | $ 0 | $ (1,768) |
Unrealized Gain/ (Loss), net | 107,208 | 56,613 | ||
Fair Value | $ 5,045,306 | $ 4,791,893 | ||
Period- end Weighted Average Yield | 5.42% | 5.35% | ||
Unamortized premium (discount) non-accretable portion | $ 2,100 | $ 2,100 | ||
Percentage of Non-Agency RMBS interest-only, principal balance | 96.90% | 97.10% | ||
Percentage of Non-Agency RMBS interest-only, amortized cost | 37.60% | 41.60% | ||
Percentage of Non-Agency RMBS interest only, fair value | 31.70% | 35.30% | ||
30 year fixed-rate Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/ Notional Balance | $ 5,005,512 | $ 4,722,768 | ||
Unamortized Premium (Discount) | (159,924) | (115,365) | ||
Amortized Cost | 4,845,588 | 4,607,403 | ||
Unrealized Gain/ (Loss), net | 106,886 | 54,334 | ||
Fair Value | $ 4,952,474 | $ 4,661,737 | ||
Period- end Weighted Average Yield | 5.33% | 5.26% | ||
Agency-CMO | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/ Notional Balance | $ 573,240 | $ 619,069 | ||
Unamortized Premium (Discount) | (498,355) | (536,376) | ||
Amortized Cost | 74,885 | 82,693 | ||
Allowance for credit losses | 0 | |||
Unrealized Gain/ (Loss), net | (127) | 2,263 | ||
Fair Value | $ 74,758 | $ 84,956 | ||
Period- end Weighted Average Yield | 9.74% | 9.09% | ||
Non-Agency CMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/ Notional Balance | $ 11,000 | $ 38,652 | ||
Unamortized Premium (Discount) | (372) | (1,472) | ||
Amortized Cost | 10,628 | 37,180 | ||
Allowance for credit losses | (320) | |||
Unrealized Gain/ (Loss), net | (373) | (393) | ||
Fair Value | $ 9,935 | $ 36,787 | ||
Period- end Weighted Average Yield | 9.58% | 8.35% | ||
Non-Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/ Notional Balance | $ 275,061 | $ 307,016 | ||
Unamortized Premium (Discount) | (267,744) | (299,012) | ||
Amortized Cost | 7,317 | 8,004 | ||
Allowance for credit losses | 0 | |||
Unrealized Gain/ (Loss), net | 822 | 409 | ||
Fair Value | $ 8,139 | $ 8,413 | ||
Period- end Weighted Average Yield | 9.10% | 8.33% | ||
Percentage of non-agency securities classified as fixed rate | 66.80% | 68.60% | ||
Percentage of non-agency securities classified as variable rate | 32.50% | 30.60% | ||
Percentage of non-agency securities classified as floating rate | 0.70% | 0.80% | ||
30 year fixed-rate | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Allowance for credit losses | $ 0 |
Mortgage-Backed Securities - _2
Mortgage-Backed 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, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of MBS and GSE CRT accounted for under the fair value option | 99.70% | 99.10% |
Available-for-sale Securities | $ 15,678 | $ 42,454 |
Securities under Fair Value Option | 5,029,628 | 4,749,439 |
Total Fair Value | 5,045,306 | 4,791,893 |
30 year fixed-rate Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 4,952,474 | 4,661,737 |
Total Fair Value | 4,952,474 | 4,661,737 |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 74,758 | 84,956 |
Total Fair Value | 74,758 | 84,956 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 9,935 | 36,787 |
Securities under Fair Value Option | 0 | 0 |
Total Fair Value | 9,935 | 36,787 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 5,743 | 5,667 |
Securities under Fair Value Option | 2,396 | 2,746 |
Total Fair Value | $ 8,139 | $ 8,413 |
Mortgage-Backed Securities - _3
Mortgage-Backed Securities - Schedule of Components of Carrying Value of MBS and GSE CRT Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||||
Commercial loan, held-for-investment | $ 26,604 | $ 22,744 | ||
Principal/notional balance | 5,864,813 | 5,687,505 | ||
Unamortized premium | 5,061 | 5,195 | ||
Unamortized discount | (931,456) | (957,420) | ||
Allowance for credit losses | (320) | 0 | $ 0 | $ (1,768) |
Gross unrealized gains | 111,422 | 66,850 | ||
Gross unrealized losses | (4,214) | (10,237) | ||
Fair Value | 5,045,306 | 4,791,893 | ||
MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Commercial loan, held-for-investment | 22,300 | 21,300 | ||
Principal/notional balance | 5,025,062 | 4,770,175 | ||
Unamortized premium | 5,061 | 5,195 | ||
Unamortized discount | (169,342) | (126,112) | ||
Allowance for credit losses | (320) | 0 | ||
Gross unrealized gains | 107,899 | 62,245 | ||
Gross unrealized losses | (393) | (7,535) | ||
Fair Value | 4,967,967 | 4,703,968 | ||
Interest-Only Securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/notional balance | 839,751 | 917,330 | ||
Unamortized premium | 0 | 0 | ||
Unamortized discount | (762,114) | (831,308) | ||
Allowance for credit losses | 0 | 0 | ||
Gross unrealized gains | 3,523 | 4,605 | ||
Gross unrealized losses | (3,821) | (2,702) | ||
Fair Value | $ 77,339 | $ 87,925 |
Mortgage-Backed Securities - _4
Mortgage-Backed Securities - Schedule of Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 0 | $ 26,593 |
Greater than one year and less than five years | 189,845 | 10,194 |
Greater than or equal to five years | 4,855,461 | 4,755,106 |
Total | $ 5,045,306 | $ 4,791,893 |
Mortgage-Backed Securities - _5
Mortgage-Backed Securities - Schedule of Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Details) $ in Thousands | Dec. 31, 2023 USD ($) security | Dec. 31, 2022 USD ($) security |
Fair Value | ||
Less than 12 Months | $ 27,421 | $ 981,650 |
12 Months or More | 23,126 | 4,345 |
Total | 50,547 | 985,995 |
Unrealized Losses | ||
Less than 12 Months | (1,222) | (9,180) |
12 Months or More | (2,992) | (1,057) |
Total | $ (4,214) | $ (10,237) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 4 | 17 |
12 Months or More (in securities) | security | 15 | 10 |
Total (in securities) | security | 19 | 27 |
30 year fixed-rate Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 929,292 | |
12 Months or More | 0 | |
Total | 929,292 | |
Unrealized Losses | ||
Less than 12 Months | (7,060) | |
12 Months or More | 0 | |
Total | $ (7,060) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 7 | |
12 Months or More (in securities) | security | 0 | |
Total (in securities) | security | 7 | |
Agency-CMO | ||
Fair Value | ||
Less than 12 Months | $ 17,486 | $ 25,417 |
12 Months or More | 21,664 | 2,934 |
Total | 39,150 | 28,351 |
Unrealized Losses | ||
Less than 12 Months | (849) | (1,645) |
12 Months or More | (2,574) | (496) |
Total | $ (3,423) | $ (2,141) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 3 | 6 |
12 Months or More (in securities) | security | 6 | 1 |
Total (in securities) | security | 9 | 7 |
Non-Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 9,935 | $ 26,592 |
12 Months or More | 0 | 0 |
Total | 9,935 | 26,592 |
Unrealized Losses | ||
Less than 12 Months | (373) | (439) |
12 Months or More | 0 | 0 |
Total | $ (373) | $ (439) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 1 | 2 |
12 Months or More (in securities) | security | 0 | 0 |
Total (in securities) | security | 1 | 2 |
Non-Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 0 | $ 349 |
12 Months or More | 1,462 | 1,411 |
Total | 1,462 | 1,760 |
Unrealized Losses | ||
Less than 12 Months | 0 | (36) |
12 Months or More | (418) | (561) |
Total | $ (418) | $ (597) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 0 | 2 |
12 Months or More (in securities) | security | 9 | 9 |
Total (in securities) | security | 9 | 11 |
Non-Agency IO | ||
Fair Value | ||
Total | $ 1,200 | $ 1,400 |
Unrealized Losses | ||
Total | $ (399) | $ (561) |
Mortgage-Backed Securities - Ad
Mortgage-Backed Securities - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |||
Provision for credit losses | $ 320 | $ 0 | $ (1,768) |
Mortgage-Backed Securities - _6
Mortgage-Backed Securities - Schedule of Roll-forward of Allowance For Credit Losses (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |||
Beginning allowance for credit losses | $ 0 | $ 0 | $ (1,768) |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | (320) | 0 | 1,768 |
Decreases in the allowance for credit losses on securities that had an allowance recorded in a previous period | 0 | 0 | 1,768 |
Ending allowance for credit losses | $ (320) | $ 0 | $ 0 |
Mortgage-Backed Securities - _7
Mortgage-Backed Securities - Schedule of Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | |||
Gross realized gains on sale of MBS | $ 5,363 | $ 5,348 | $ 3,297 |
Marketable Securities, Realized Loss, Excluding Other Than Temporary Impairments | 163,391 | 1,169,258 | 284,521 |
Net unrealized gains (losses) on MBS accounted for under the fair value option | 50,364 | 118,365 | (85,702) |
Total gain (loss) on investments, net | (107,280) | (1,079,339) | (366,509) |
Commercial loan | |||
Debt Securities, Available-for-sale [Line Items] | |||
Net unrealized gains (losses) on commercial loan | 0 | 404 | 417 |
U.S. Treasury securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Net unrealized gains (losses) on commercial loan | 372 | 0 | 0 |
Net realized gains (losses) on U.S. Treasury securities | $ 12 | $ (34,198) | $ 0 |
Mortgage-Backed Securities - _8
Mortgage-Backed Securities - Schedule of Components of MBS and GSE CRT Interest Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | |||
Interest Income | $ 277,929 | $ 192,566 | $ 167,056 |
Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 266,193 | 191,898 | 201,694 |
Net (Premium Amortization)/ Discount Accretion | 5,160 | (6,755) | (41,881) |
Interest Income | 271,353 | 185,143 | 159,813 |
Non-Agency CMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 1,597 | 2,366 | 3,841 |
Net (Premium Amortization)/ Discount Accretion | 1,101 | 1,624 | 2,695 |
Interest Income | 2,698 | 3,990 | 6,536 |
Non-Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 1,132 | 1,223 | 1,950 |
Net (Premium Amortization)/ Discount Accretion | (479) | (552) | (1,264) |
Interest Income | 653 | 671 | 686 |
U.S. Treasury securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 31 | 1,773 | |
Net (Premium Amortization)/ Discount Accretion | 291 | (41) | |
Interest Income | 322 | 1,732 | |
Other (inclusive of interest earned on cash balances) | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 2,903 | 1,030 | 21 |
Net (Premium Amortization)/ Discount Accretion | 0 | 0 | 0 |
Interest Income | 2,903 | 1,030 | 21 |
MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 271,856 | 198,290 | 207,506 |
Net (Premium Amortization)/ Discount Accretion | 6,073 | (5,724) | (40,450) |
Interest Income | $ 277,929 | $ 192,566 | $ 167,056 |
U.S. Treasury Securities (Detai
U.S. Treasury Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | ||
Principal balance | $ 10,000 | |
Unamortized premium | 842 | |
Amortized cost | 10,842 | |
Unrealized gain (loss) | 372 | |
Fair value | $ 11,214 | $ 0 |
Borrowings - Additional Informa
Borrowings - Additional Information (Details) | 12 Months Ended |
Dec. 31, 2023 | |
Minimum | |
Repurchase Agreement Counterparty | |
Debt instrument term | 1 month |
Maximum | |
Repurchase Agreement Counterparty | |
Debt instrument term | 6 months |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Secured Debt, Excluding Asset-backed Securities | ||
Total Borrowings | ||
Amount Outstanding | $ 4,458,695 | $ 4,234,823 |
Weighted Average Interest Rate | 5.53% | 4.24% |
Weighted Average Remaining Maturity (days) | 20 days | 28 days |
Agency RMBS | ||
Repurchase Agreements - Agency RMBS | ||
Amount Outstanding | $ 4,458,695 | $ 4,234,823 |
Weighted Average Interest Rate | 5.53% | 4.24% |
Weighted Average Remaining Maturity (days) | 20 days | 28 days |
Collateral Positions (Details)
Collateral Positions (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | $ 4,712,185 | $ 4,439,583 |
Total collateral pledged | 4,833,855 | 4,544,413 |
Cash | $ 2,500 | $ 4,900 |
Collateral ratio | 106% | 105% |
Derivative instruments: | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | $ 121,670 | $ 104,830 |
Repurchase agreements: | ||
Derivative [Line Items] | ||
Cash | 2,475 | 4,892 |
Non-cash collateral | 39,130 | 7,216 |
Total collateral held | 41,605 | 12,108 |
Cash | ||
Derivative [Line Items] | ||
Total collateral pledged | 0 | 1,584 |
Cash | Derivative instruments: | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | 0 | 1,584 |
Restricted cash | ||
Derivative [Line Items] | ||
Total collateral pledged | 121,670 | 103,246 |
Restricted cash | Derivative instruments: | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | 121,670 | 103,246 |
Agency RMBS | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | 4,712,185 | 4,439,583 |
Total collateral pledged | $ 4,712,185 | $ 4,439,583 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Schedule of Outstanding Interest Rate Swaptions and Derivative Instrument Information (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2023 USD ($) | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2022 | $ 8,150,000 |
Additions | 3,525,000 |
Settlement, Termination, Expiration or Exercise | (7,610,000) |
Notional Amount as of December 31, 2023 | 4,065,000 |
Interest Rate Swaps | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2022 | 8,150,000 |
Additions | 3,525,000 |
Settlement, Termination, Expiration or Exercise | (7,610,000) |
Notional Amount as of December 31, 2023 | 4,065,000 |
TBA Purchase Contracts | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2022 | 400,000 |
Additions | 1,150,000 |
Settlement, Termination, Expiration or Exercise | (1,550,000) |
Notional Amount as of December 31, 2023 | 0 |
TBA Sale Contracts | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2022 | 400,000 |
Additions | (1,150,000) |
Settlement, Termination, Expiration or Exercise | 1,550,000 |
Notional Amount as of December 31, 2023 | 0 |
Interest Rate Swap, Fixed Rate | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2022 | 5,800,000 |
Notional Amount as of December 31, 2023 | 4,100,000 |
Interest Rate Swap, Variable Rate | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2022 | $ 2,400,000 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosures | ||||
Gain (loss) on derivative instruments, net | $ 61,838 | $ 559,007 | $ 122,611 | |
Accumulated other comprehensive income | 782,665 | 804,075 | 1,402,135 | $ 1,367,158 |
Interest Rate Swaps | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Gain (loss) on derivative instruments, net | $ (10,400) | (19,700) | $ (22,000) | |
Interest Rate Swaps | Accumulated Gain (Loss), Net, Cash Flow Hedge, Noncontrolling Interest | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Accumulated other comprehensive income | 10,400 | |||
Interest Rate Swap, Forward Start Dates, Fixed Rate | SOFR | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Notional amount | $ 975,000 | |||
Weighted Average Years to Maturity | 16 years 6 months | |||
Weighted Average Fixed Pay Rate | 0.89% | |||
Interest Rate Swap, Forward Start Dates | SOFR | ||||
Derivative Instruments and Hedging Activities Disclosures | ||||
Notional amount | $ 275,000 | |||
Weighted Average Years to Maturity | 16 years | |||
Weighted Average Floating Receive Rate | 2.63% | |||
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, 2023 | Dec. 31, 2022 | |
Derivative [Line Items] | ||
Notional Amount | $ 4,065,000 | $ 8,150,000 |
Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 4,100,000 | 5,800,000 |
Weighted Average Floating Receive Rate | 5.38% | |
Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 4,065,000 | $ 5,800,000 |
Weighted Average Fixed Pay Rate | 1.10% | 0.45% |
Weighted Average Floating Receive Rate | 5.38% | 4.30% |
Weighted Average Years to Maturity | 6 years 7 months 6 days | 6 years 3 months 18 days |
Interest Rate Swap, Variable Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,400,000 | |
Interest Rate Swap, Variable Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,350,000 | |
Weighted Average Fixed Pay Rate | 4.30% | |
Weighted Average Floating Receive Rate | 2.78% | |
Weighted Average Years to Maturity | 9 years 3 months 18 days | |
Less than 3 years | Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 950,000 | $ 1,550,000 |
Weighted Average Fixed Pay Rate | 2.55% | 0.09% |
Weighted Average Floating Receive Rate | 5.38% | 4.30% |
Weighted Average Years to Maturity | 1 year 7 months 6 days | 2 years 2 months 12 days |
Less than 3 years | Interest Rate Swap, Variable Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 100,000 | |
Weighted Average Fixed Pay Rate | 4.30% | |
Weighted Average Floating Receive Rate | 4.90% | |
Weighted Average Years to Maturity | 10 months 24 days | |
3 to 5 years | Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,375,000 | $ 1,475,000 |
Weighted Average Fixed Pay Rate | 0.29% | 0.27% |
Weighted Average Floating Receive Rate | 5.38% | 4.30% |
Weighted Average Years to Maturity | 3 years 9 months 18 days | 4 years 8 months 12 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 | $ 1,150,000 | $ 850,000 |
Weighted Average Fixed Pay Rate | 0.55% | 0.38% |
Weighted Average Floating Receive Rate | 5.38% | 4.30% |
Weighted Average Years to Maturity | 6 years 7 months 6 days | 6 years 2 months 12 days |
5 to 7 years | Interest Rate Swap, Variable Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,125,000 | |
Weighted Average Fixed Pay Rate | 4.30% | |
Weighted Average Floating Receive Rate | 2.66% | |
Weighted Average Years to Maturity | 6 years | |
7 to 10 years | Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,425,000 | |
Weighted Average Fixed Pay Rate | 0.55% | |
Weighted Average Floating Receive Rate | 4.30% | |
Weighted Average Years to Maturity | 7 years 9 months 18 days | |
7 to 10 years | Interest Rate Swap, Variable Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 200,000 | |
Weighted Average Fixed Pay Rate | 4.30% | |
Weighted Average Floating Receive Rate | 2.66% | |
Weighted Average Years to Maturity | 8 years 4 months 24 days | |
Greater than 10 years | Interest Rate Swap, Fixed Rate | SOFR | ||
Derivative [Line Items] | ||
Notional Amount | $ 590,000 | $ 500,000 |
Weighted Average Fixed Pay Rate | 1.75% | 1.92% |
Weighted Average Floating Receive Rate | 5.38% | 4.30% |
Weighted Average Years to Maturity | 21 years 4 months 24 days | 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, 2023 | Dec. 31, 2022 |
Derivative [Line Items] | ||
Notional Amount | $ 4,065,000 | $ 8,150,000 |
TBA Purchase Contracts | ||
Derivative [Line Items] | ||
Notional Amount | 0 | 400,000 |
Implied Cost Basis | 404,144 | |
Implied Market Value | 402,237 | |
Net Carrying Value | (1,907) | |
Net derivative liabilities | 1,900 | |
TBA Sale Contracts | ||
Derivative [Line Items] | ||
Notional Amount | 0 | 400,000 |
Implied Cost Basis | (402,707) | |
Implied Market Value | (402,237) | |
Net Carrying Value | 470 | |
Net derivative liabilities | 172 | |
Net derivative assets | $ 642 | |
T B A | ||
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 - Schedule of Fair Value of Derivative Financial Instruments Classification on Balance Sheet (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Derivatives, Fair Value | ||
Derivative Assets | $ 939 | $ 662 |
Derivative Liabilities | 0 | 2,079 |
Interest Rate Swaps | ||
Derivatives, Fair Value | ||
Derivative Assets | 939 | 20 |
Derivative Liabilities | 0 | 0 |
TBAs | ||
Derivatives, Fair Value | ||
Derivative Assets | 0 | 642 |
Derivative Liabilities | $ 0 | $ 2,079 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities - Schedule of Effect of Derivative Financial Instruments on Statement of Operations (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Derivative Instruments, Gain (Loss) | |||
Gain (loss) on derivative instruments, net | $ 61,838 | $ 559,007 | $ 122,611 |
Interest Rate Swaps | |||
Derivative Instruments, Gain (Loss) | |||
Gain (loss) on derivative instruments, net | (10,400) | (19,700) | (22,000) |
Not Designated as Hedging Instrument | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (179,526) | 459,466 | 156,157 |
Contractual net interest income (expense) | 239,008 | 86,872 | (15,803) |
Unrealized gain (loss), net | 2,356 | 12,669 | (17,743) |
Gain (loss) on derivative instruments, net | 61,838 | 559,007 | 122,611 |
Not Designated as Hedging Instrument | Interest Rate Swaps | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (177,628) | 593,035 | 185,232 |
Contractual net interest income (expense) | 239,008 | 86,872 | (15,803) |
Unrealized gain (loss), net | 918 | 11,426 | (5,869) |
Gain (loss) on derivative instruments, net | 62,298 | 691,333 | 163,560 |
Not Designated as Hedging Instrument | Currency Forward Contracts | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (18) | 919 | 209 |
Contractual net interest income (expense) | 0 | 0 | 0 |
Unrealized gain (loss), net | 0 | (271) | 970 |
Gain (loss) on derivative instruments, net | (18) | 648 | 1,179 |
Not Designated as Hedging Instrument | TBAs | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (1,880) | (134,488) | (28,731) |
Contractual net interest income (expense) | 0 | 0 | 0 |
Unrealized gain (loss), net | 1,438 | 1,514 | (12,844) |
Gain (loss) on derivative instruments, net | $ (442) | $ (132,974) | (41,575) |
Not Designated as Hedging Instrument | Interest Rate Swaptions | |||
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) |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Offsetting Liabilities [Line Items] | ||
Derivative assets | $ 939 | $ 662 |
Central Clearing Counterparty | ||
Offsetting Liabilities [Line Items] | ||
Derivative assets | $ 939 | $ 20 |
Offsetting Assets and Liabili_4
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Derivatives: | ||
Gross amounts of recognized liabilities | $ (2,079) | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) presented in the Consolidated Balance Sheets | (2,079) | |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 642 | |
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | 1,297 | |
Net Amount | (140) | |
Repurchase Agreements: | ||
Gross Amounts of Recognized Assets (Liabilities) | $ (4,458,695) | (4,234,823) |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) presented in the Consolidated Balance Sheets | (4,458,695) | (4,234,823) |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 4,458,695 | 4,234,823 |
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | 0 | 0 |
Net Amount | 0 | 0 |
Gross Amounts of Recognized Assets (Liabilities) | (4,458,695) | (4,236,902) |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) presented in the Consolidated Balance Sheets | (4,458,695) | (4,236,902) |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, financial instruments | 4,458,695 | 4,235,465 |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, cash collateral (received) pledged | 0 | 1,297 |
Net Amount | 0 | (140) |
Fair value of securities pledged under repurchase agreements, excluding cash collateral | 4,700,000 | 4,400,000 |
Cash collateral received | 2,500 | 4,900 |
Cash collateral pledged on derivatives | 121,700 | 104,800 |
Cash collateral pledged on interest swap rates | 121,700 | 103,200 |
Repurchase agreements: | ||
Repurchase Agreements: | ||
Cash collateral received | $ 2,475 | $ 4,892 |
Offsetting Assets and Liabili_5
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Details) $ in Thousands | Dec. 31, 2022 USD ($) |
Derivatives | |
Gross amounts of recognized assets | $ 642 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 |
Net Amounts of Assets (Liabilities) presented in the Consolidated Balance Sheets | 642 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (642) |
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | 0 |
Net Amount | $ 0 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Schedule of Fair Values Measured on Recurring Basis (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 venture | Dec. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) venture | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | $ 5,045,306 | $ 4,791,893 | |
Derivative assets | 642 | ||
Derivative liabilities | $ 2,079 | ||
Unconsolidated ventures | venture | 2 | ||
Unconsolidated ventures dissolved | venture | 1 | ||
Recurring | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | $ 4,791,893 | ||
Derivative assets | 939 | 662 | |
Other assets | 500 | 552 | |
Total assets | 5,057,959 | 4,793,107 | |
Derivative liabilities | 2,079 | ||
Total liabilities | 2,079 | ||
Recurring | Asset-Backed Securities | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 5,045,306 | ||
Recurring | U.S. Treasury securities | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 11,214 | ||
Recurring | Level 1 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 0 | ||
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Total assets | 0 | 0 | |
Derivative liabilities | 0 | ||
Total liabilities | 0 | ||
Recurring | Level 1 | Asset-Backed Securities | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 0 | ||
Recurring | Level 1 | U.S. Treasury securities | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 0 | ||
Recurring | Level 2 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 4,791,893 | ||
Derivative assets | 939 | 662 | |
Other assets | 0 | 0 | |
Total assets | 5,057,459 | 4,792,555 | |
Derivative liabilities | 2,079 | ||
Total liabilities | 2,079 | ||
Recurring | Level 2 | Asset-Backed Securities | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 5,045,306 | ||
Recurring | Level 2 | U.S. Treasury securities | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 11,214 | ||
Recurring | Level 3 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 0 | ||
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Total assets | 0 | 0 | |
Derivative liabilities | 0 | ||
Total liabilities | 0 | ||
Recurring | Level 3 | Asset-Backed Securities | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 0 | ||
Recurring | Level 3 | U.S. Treasury securities | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Mortgage-backed securities | 0 | ||
Recurring | NAV as a practical expedient | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
NAV as a practical expedient | $ 500 | $ 552 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Schedule of Reconciliation of Beginning and Ending Fair Value Measurement Utilizing Level 3 Inputs (Details) - Commercial loan $ in Thousands | 12 Months Ended |
Dec. 31, 2022 USD ($) | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance | $ 23,515 |
Repayments | (23,919) |
Unrealized gain (loss) | 404 |
Ending balance | $ 0 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Schedule of Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Carrying Value | ||
Financial Liabilities: | ||
Repurchase agreements | $ 4,458,695 | $ 4,234,823 |
Total | 4,458,695 | 4,234,823 |
Estimated Fair Value | ||
Financial Liabilities: | ||
Repurchase agreements | 4,458,662 | 4,233,627 |
Total | $ 4,458,662 | $ 4,233,627 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Related Party Transaction [Line Items] | |||
Management fee — related party | $ 12,290 | $ 16,906 | $ 21,080 |
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. | Management | |||
Related Party Transaction [Line Items] | |||
Management fee — related party | $ 1,600 | $ 1,500 | $ 1,100 |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Related Party Transactions (Details) - Manager - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Related Party Transaction [Line Items] | |||
Total incurred costs, originally paid by our Manager | $ 7,220 | $ 8,308 | $ 7,800 |
Incurred costs, prepaid or expensed | |||
Related Party Transaction [Line Items] | |||
Total incurred costs, originally paid by our Manager | 6,963 | 8,085 | 7,108 |
Incurred costs, charged or expected to be charged against equity as a cost of raising capital | |||
Related Party Transaction [Line Items] | |||
Total incurred costs, originally paid by our Manager | $ 257 | $ 223 | $ 692 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | 12 Months Ended | |||
May 31, 2022 | Dec. 31, 2023 USD ($) $ / shares shares | Dec. 31, 2022 USD ($) shares | Dec. 31, 2021 USD ($) | Jun. 30, 2021 USD ($) | |
Class of Stock [Line Items] | |||||
Issuance and redemption costs of redeemed preferred stock | $ | $ 0 | $ 0 | $ 4,682 | ||
Gain on repurchase of stock | $ | $ 1,500 | $ 14,200 | |||
Restricted Stock | |||||
Class of Stock [Line Items] | |||||
Shares granted during the year (in shares) | 45,567 | 33,573 | |||
Common Stock | |||||
Class of Stock [Line Items] | |||||
Reverse stock split conversion ratio | 0.1 | 0.1 | |||
Series A Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock, redemption amount | $ | $ 140,000 | ||||
Series B Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Repurchase and retirement of preferred stock (in shares) | 151,637 | 1,662,366 | |||
Number of shares authorized to be repurchased (in shares) | 1,185,997 | ||||
Preferred stock dividend rate | 7.75% | ||||
Preferred stock, price per share per annum | $ / shares | $ 1.9375 | ||||
Series B Preferred Stock | SOFR | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividends basis spread on variable rate | 5.18% | ||||
Series B Preferred Stock | Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Repurchase and retirement of preferred stock (in shares) | 151,637 | ||||
Preferred stock, liquidation preference (in USD per share) | $ / shares | $ 25 | ||||
Series B Preferred Stock | Preferred Stock | SOFR | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividends basis spread on variable rate | 0.26161% | ||||
Series C Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Repurchase and retirement of preferred stock (in shares) | 271,031 | 3,683,530 | |||
Number of shares authorized to be repurchased (in shares) | 1,045,439 | ||||
Preferred stock dividend rate | 7.50% | ||||
Preferred stock, price per share per annum | $ / shares | $ 1.875 | ||||
Series C Cumulative Redeemable Preferred Stock | SOFR | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividends basis spread on variable rate | 5.289% | ||||
Series C Cumulative Redeemable Preferred Stock | Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Repurchase and retirement of preferred stock (in shares) | 271,031 | ||||
Preferred stock, liquidation preference (in USD per share) | $ / shares | $ 25 | ||||
Series C Cumulative Redeemable Preferred Stock | Preferred Stock | SOFR | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividends basis spread on variable rate | 0.26161% | ||||
Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock redemption price (in USD per share) | $ / shares | $ 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] | |||||
Equity distribution agreement, number of shares to sell | 6,300,529 | ||||
Number of shares sold in transaction (in shares) | 9,699,471 | 5,686,598 | |||
Proceeds from issuance of common stock | $ | $ 109,100 | $ 81,600 | |||
Payments of stock issuance costs | $ | $ 1,500 | $ 1,300 |
Stockholders' Equity - Schedule
Stockholders' Equity - Schedule of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Unrealized gain (loss) on mortgage-backed securities, net | $ (91) | $ (6,280) | $ 756 |
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses | 320 | 0 | 0 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (10,405) | (19,708) | (22,000) |
Currency translation adjustments on investment in unconsolidated venture | (10) | (537) | (75) |
Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net | 123 | 0 | 0 |
Total other comprehensive income (loss) | (10,063) | (26,525) | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 804,075 | 1,402,135 | 1,367,158 |
Total other comprehensive income (loss) | (10,063) | (26,525) | (21,319) |
Ending balance | 782,665 | 804,075 | 1,402,135 |
Equity method investments | |||
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Currency translation adjustments on investment in unconsolidated venture | (10) | (537) | |
Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net | 123 | ||
Total other comprehensive income (loss) | 113 | (537) | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | (113) | 424 | |
Total other comprehensive income (loss) | 113 | (537) | |
Ending balance | 0 | (113) | 424 |
Available-for-sale securities | |||
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Unrealized gain (loss) on mortgage-backed securities, net | (91) | (6,280) | |
Total other comprehensive income (loss) | 229 | (6,280) | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 469 | 6,749 | |
Total other comprehensive income (loss) | 229 | (6,280) | |
Ending balance | 698 | 469 | 6,749 |
Available-for-sale securities | |||
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses | 320 | ||
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 | (10,405) | (19,708) | |
Total other comprehensive income (loss) | (10,405) | (19,708) | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 10,405 | 30,113 | |
Total other comprehensive income (loss) | (10,405) | (19,708) | |
Ending balance | 0 | 10,405 | 30,113 |
Accumulated other comprehensive income | |||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 10,761 | 37,286 | 58,605 |
Total other comprehensive income (loss) | (10,063) | (26,525) | (21,319) |
Ending balance | $ 698 | $ 10,761 | $ 37,286 |
Stockholders' Equity - Schedu_2
Stockholders' Equity - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |||||||||||||||||
Dec. 18, 2023 | Nov. 02, 2023 | Sep. 26, 2023 | Aug. 02, 2023 | Jun. 21, 2023 | May 08, 2023 | Mar. 27, 2023 | Feb. 17, 2023 | 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. 31, 2023 | Dec. 31, 2022 | |
Class of Stock [Line Items] | ||||||||||||||||||
Common stock dividend declared (in USD per share) | $ 0.40 | $ 0.40 | $ 0.40 | $ 0.40 | $ 0.65 | $ 0.65 | $ 0.90 | $ 0.90 | ||||||||||
Dividends, common stock | $ 19,384 | $ 19,384 | $ 17,834 | $ 16,658 | $ 25,162 | $ 22,979 | $ 29,721 | $ 29,693 | ||||||||||
Common stock, dividends declared in prior year, taxable in current year (in dollars per share) | $ 0 | $ 0.650000 | $ 0.090000 | |||||||||||||||
Common stock, dividends declared and taxable in current year (in dollars per share) | 1.550000 | 1.600000 | 0.090000 | |||||||||||||||
Ordinary Dividends | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Common stock dividend declared (in USD per share) | 0.873081 | 2.250000 | 0.101390 | |||||||||||||||
Return of Capital | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Common stock dividend declared (in USD per share) | 0.676919 | 0 | 0.078610 | |||||||||||||||
Capital Gain Distribution | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Common stock dividend declared (in USD per share) | $ 0 | 0 | 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 | $ 2,131 | $ 2,167 | $ 2,186 | $ 2,198 | $ 2,198 | $ 2,198 | $ 2,991 | $ 3,003 | ||||||||||
Preferred stock, dividends declared in prior year, taxable in current year (in dollars per share) | 0 | 0 | ||||||||||||||||
Preferred stock, dividends declared and taxable in current year (in dollars per share) | 1.936700 | 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 | $ 3,548 | $ 3,605 | $ 3,654 | $ 3,664 | $ 3,664 | $ 3,664 | $ 5,109 | $ 5,391 | ||||||||||
Preferred stock, dividends declared in prior year, taxable in current year (in dollars per share) | 0 | 0 | ||||||||||||||||
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 | 1.875000 | ||||||||||||||||
Series C Preferred Stock | Return of Capital | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | ||||||||||||||||
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 (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | 12 Months Ended | ||
May 31, 2022 | Dec. 31, 2023 USD ($) $ / shares shares | Dec. 31, 2022 USD ($) $ / shares shares | Dec. 31, 2021 USD ($) $ / shares shares | |
Basic Earnings: | ||||
Net income (loss) available to common stockholders | $ | $ (37,541) | $ (416,963) | $ (132,477) | |
Basic Earnings: | ||||
Shares available to common stockholders (in shares) | 44,073,815 | 34,160,080 | 27,513,223 | |
Dilutive Shares (in shares) | 44,073,815 | 34,160,080 | 27,513,223 | |
Earnings (loss) per share: | ||||
Basic (in usd per share) | $ / shares | $ (0.85) | $ (12.21) | $ (4.82) | |
Diluted (in usd per share) | $ / shares | $ (0.85) | $ (12.21) | $ (4.82) | |
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) | 944 | 1,216 | 1,606 |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Millions | Dec. 31, 2023 USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Other commitment | $ 2.9 |
Subsequent Events (Details)
Subsequent Events (Details) - $ / shares | Mar. 05, 2024 | Feb. 21, 2024 | Nov. 02, 2023 | Aug. 02, 2023 | May 08, 2023 | Feb. 17, 2023 | Nov. 01, 2022 | Aug. 02, 2022 | May 03, 2022 | Feb. 16, 2022 |
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, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Beginning balance | $ 0 | $ 23,515 | $ 23,098 |
Additions: | |||
Unrealized gain | 0 | 404 | 417 |
Deductions: | |||
Collection of principal | 0 | 23,919 | 0 |
Unrealized loss | 0 | 0 | 0 |
Ending balance | $ 0 | $ 0 | $ 23,515 |