Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2018 | Nov. 06, 2018 | |
Document and Entity Information | ||
Entity Registrant Name | Western Asset Mortgage Capital Corp | |
Entity Central Index Key | 1,465,885 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2018 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 48,116,379 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q3 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Assets: | |||
Cash and cash equivalents | $ 12,817 | $ 48,024 | |
Restricted cash | 100,138 | 0 | |
Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively) | 684,463 | 237,423 | |
Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) | 249,471 | 106,673 | |
Securitized commercial loans, at fair value | 1,191,048 | 24,876 | |
Commercial Loans, at fair value ($123,677 and $0 pledged as collateral, at fair value, respectively) | 143,951 | 0 | |
Investment related receivable ($34,559 and $0 pledged as collateral, respectively) | 113,341 | 7,665 | |
Interest receivable | 21,869 | 13,603 | |
Due from counterparties | 81,513 | 86,930 | |
Derivative assets, at fair value | 2,700 | 728 | |
Other assets | 2,903 | 2,161 | |
Total assets | [1] | 5,537,985 | 3,886,906 |
Liabilities: | |||
Repurchase agreements, net | 3,469,319 | 3,251,686 | |
Convertible senior unsecured notes, net | 109,731 | 108,743 | |
Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively) | 1,119,089 | 10,945 | |
Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively) | 10,027 | 8,322 | |
Investment related payables | 169,499 | 17,217 | |
Due to counterparties | 1,068 | 1,490 | |
Derivative liability, at fair value | 2,159 | 4,346 | |
Accounts payable and accrued expenses | 3,513 | 3,118 | |
Payable to affiliate | 2,489 | 2,041 | |
Dividend payable | 14,916 | 12,960 | |
Other liabilities | 100,530 | 0 | |
Total liabilities | [2] | 5,002,340 | 3,420,868 |
Commitments and contingencies | |||
Stockholders’ Equity: | |||
Common stock: $0.01 par value, 500,000,000 shares authorized, 48,116,379 and 41,794,079 outstanding, respectively | 481 | 419 | |
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding | 0 | 0 | |
Treasury stock, at cost, 0 and 125,722 shares held, respectively | 0 | (1,232) | |
Additional paid-in capital | 833,840 | 768,763 | |
Retained earnings (accumulated deficit) | (298,676) | (301,912) | |
Total Stockholders’ Equity | 535,645 | 466,038 | |
Total Liabilities and Stockholders’ Equity | 5,537,985 | 3,886,906 | |
Agency MBS | |||
Assets: | |||
Agency mortgage-backed securities, at fair value ($2,325,859 and $2,833,595 pledged as collateral, at fair value, respectively) | 2,475,533 | 2,858,600 | |
Non-Agency MBS | |||
Assets: | |||
Agency mortgage-backed securities, at fair value ($2,325,859 and $2,833,595 pledged as collateral, at fair value, respectively) | 365,710 | 378,158 | |
Other securities | |||
Assets: | |||
Agency mortgage-backed securities, at fair value ($2,325,859 and $2,833,595 pledged as collateral, at fair value, respectively) | $ 92,528 | $ 122,065 | |
[1] | (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents——Restricted cash100,138—Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively)684,463237,423Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively)249,471106,673Securitized commercial loans, at fair value1,191,04824,876Commercial Loans, at fair value ($123,677 and $0 pledged as collateral, at fair value, respectively)123,677—Investment related receivable33,4307,665Interest receivable12,4183,358Other assets203—Total assets of consolidated VIEs2,394,848379,995Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively)234,74764,526 | ||
[2] | (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively)1,119,08910,945Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively)2,48770Accounts payable and accrued expenses737189Other liabilities100,531—Total liabilities of consolidated VIEs1,222,84411,204Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively)313,14310,945Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively)89170 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Fair value of residential whole-loans pledged as collateral | $ 684,463 | $ 237,423 | |
Residential bridge loan, at fair value | 234,747 | 64,526 | |
Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) | 249,471 | 106,673 | |
Commercial Loans, at fair value | 123,677 | 0 | |
Investment related receivable ($34,559 and $0 pledged as collateral, respectively) | 34,559 | 0 | |
Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively) | 1,119,089 | 10,945 | |
Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively) | $ 10,027 | $ 8,322 | |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 | |
Common stock, shares outstanding (in shares) | 48,116,379 | 41,794,079 | |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | |
Preferred stock, shares outstanding (in shares) | 0 | 0 | |
Treasury stock, shares held (in shares) | 0 | 125,722,000 | |
Assets and liabilities of the consolidated VIEs | |||
Restricted cash | $ 100,138 | $ 0 | |
Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively) | 684,463 | 237,423 | |
Residential Bridge Loan | 249,471 | 106,673 | |
Securitized commercial loans, at fair value | 1,191,048 | 24,876 | |
Investment related receivable ($34,559 and $0 pledged as collateral, respectively) | 113,341 | 7,665 | |
Interest receivable | 21,869 | 13,603 | |
Other assets | 2,903 | 2,161 | |
Total assets | [1] | 5,537,985 | 3,886,906 |
Accounts payable and accrued expenses | 3,513 | 3,118 | |
Other liabilities | 100,530 | 0 | |
Total liabilities | [2] | 5,002,340 | 3,420,868 |
VIE | |||
Residential bridge loan, at fair value | 234,747 | 64,526 | |
Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) | 249,471 | 106,673 | |
Commercial Loans, at fair value | 123,677 | 0 | |
Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively) | 1,119,089 | 10,945 | |
Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively) | 2,487 | 70 | |
Assets and liabilities of the consolidated VIEs | |||
Restricted cash | 100,138 | 0 | |
Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively) | 684,463 | 237,423 | |
Securitized commercial loans, at fair value | 1,191,048 | 24,876 | |
Investment related receivable ($34,559 and $0 pledged as collateral, respectively) | 33,430 | 7,665 | |
Interest receivable | 12,418 | 3,358 | |
Other assets | 203 | 0 | |
Total assets | 2,394,848 | 379,995 | |
Securitized debt | 1,119,089 | 10,945 | |
Accounts payable and accrued expenses | 737 | 189 | |
Other liabilities | 100,531 | 0 | |
Total liabilities | 1,222,844 | 11,204 | |
Non-Agency MBS | |||
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars) | 351,032 | 266,189 | |
Other securities | |||
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars) | 92,391 | 89,823 | |
Agency MBS | |||
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars) | 2,325,859 | 2,833,595 | |
Affiliated Entity | |||
Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively) | 313,143 | 10,945 | |
Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively) | 891 | 70 | |
Affiliated Entity | VIE | |||
Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively) | 313,143 | 10,945 | |
Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively) | $ 891 | $ 70 | |
[1] | (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents——Restricted cash100,138—Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively)684,463237,423Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively)249,471106,673Securitized commercial loans, at fair value1,191,04824,876Commercial Loans, at fair value ($123,677 and $0 pledged as collateral, at fair value, respectively)123,677—Investment related receivable33,4307,665Interest receivable12,4183,358Other assets203—Total assets of consolidated VIEs2,394,848379,995Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively)234,74764,526 | ||
[2] | (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively)1,119,08910,945Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively)2,48770Accounts payable and accrued expenses737189Other liabilities100,531—Total liabilities of consolidated VIEs1,222,84411,204Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively)313,14310,945Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively)89170 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Net Interest Income | ||||
Interest income | $ 54,461 | $ 30,928 | $ 151,342 | $ 89,413 |
Interest expense (includes $4,465, $251, $9,672 and $745 on securitized debt held by affiliates, respectively) | 38,517 | 12,363 | 97,348 | 31,507 |
Net Interest Income | 15,944 | 18,565 | 53,994 | 57,906 |
Other Income (Loss) | ||||
Realized gain (loss) on sale of investments, net | (24,229) | 1,830 | (29,262) | 20,600 |
Other than temporary impairment | (2,533) | (7,225) | (8,423) | (19,901) |
Unrealized gain (loss), net | 13,128 | 5,249 | (87,526) | 35,126 |
Gain (loss) on derivative instruments, net | 24,625 | 7,217 | 132,697 | (16,035) |
Other, net | (2) | 216 | (100) | 841 |
Other Income (Loss) | 10,989 | 7,287 | 7,386 | 20,631 |
Expenses | ||||
Management fee to affiliate | 2,284 | 1,853 | 6,723 | 6,159 |
Other operating expenses | 1,609 | 702 | 4,133 | 1,855 |
General and administrative expenses: | ||||
Compensation expense | 552 | 660 | 1,634 | 2,064 |
Professional fees | 1,065 | 781 | 3,178 | 2,501 |
Other general and administrative expenses | 335 | 244 | 1,093 | 993 |
Total general and administrative expenses | 1,952 | 1,685 | 5,905 | 5,558 |
Total Expenses | 5,845 | 4,240 | 16,761 | 13,572 |
Income before income taxes | 21,088 | 21,612 | 44,619 | 64,965 |
Income tax provision (benefit) | 206 | (1,155) | 555 | 1,272 |
Net income | $ 20,882 | $ 22,767 | $ 44,064 | $ 63,693 |
Net income (loss) per Common Share — Basic (in dollars per share) | $ 0.50 | $ 0.54 | $ 1.05 | $ 1.52 |
Net income (loss) per Common Share — Diluted (in dollars per share) | $ 0.50 | $ 0.54 | $ 1.05 | $ 1.52 |
Consolidated Statements of Op_2
Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Interest expense (includes $4,465, $251, $9,672 and $745 on securitized debt held by affiliates, respectively) | $ 38,517 | $ 12,363 | $ 97,348 | $ 31,507 |
Affiliated Entity | ||||
Interest expense (includes $4,465, $251, $9,672 and $745 on securitized debt held by affiliates, respectively) | $ 4,465 | $ 251 | $ 9,672 | $ 745 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands | Total | Common Stock Outstanding | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit) | Treasury Stock |
Balance at Dec. 31, 2016 | $ 430,482 | $ 419 | $ 765,042 | $ (334,979) | $ 0 |
Balance (in shares) at Dec. 31, 2016 | 41,919,801 | ||||
Increase (Decrease) in Stockholders' Equity | |||||
Vesting of restricted stock | 981 | 981 | |||
Equity component of convertible senior unsecured notes | 2,656 | 2,656 | |||
Treasury stock (shares) | (125,722) | ||||
Treasury stock | (1,232) | (1,232) | |||
Net income (loss) | 85,097 | 85,097 | |||
Dividends declared on common stock | (51,946) | 84 | (52,030) | ||
Balance at Dec. 31, 2017 | 466,038 | $ 419 | 768,763 | (301,912) | $ (1,232) |
Balance (in shares) at Dec. 31, 2017 | 41,794,079 | ||||
Increase (Decrease) in Stockholders' Equity | |||||
Vesting of restricted stock | 195 | 195 | |||
Net income (loss) | 44,064 | 44,064 | |||
Dividends declared on common stock | (40,738) | 90 | (40,828) | ||
Proceeds from public offerings of common stock (in shares) | 6,196,578 | ||||
Proceeds from public offerings of common stock | 64,880 | $ 62 | 64,818 | ||
Offering costs, public offerings of common stock | (239) | (239) | |||
Treasury stock (in shares) | 125,722 | 303,422 | |||
Treasury stock | 1,445 | 213 | $ 1,232 | ||
Balance at Sep. 30, 2018 | $ 535,645 | $ 481 | $ 833,840 | $ (298,676) | $ 0 |
Balance (in shares) at Sep. 30, 2018 | 48,116,379 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Cash flows from operating activities: | |||||
Net income (loss) | $ 20,882 | $ 22,767 | $ 44,064 | $ 63,693 | $ 85,097 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||
Premium amortization and (discount accretion), net | 2,884 | (2,658) | |||
Interest income earned added to principal of securities | 0 | (46) | |||
Amortization of deferred financing costs | 576 | 0 | |||
Amortization of discount on convertible senior notes | 412 | 0 | |||
Restricted stock amortization | 195 | 795 | |||
Interest payments and basis recovered on MAC interest rate swaps | 1,064 | 358 | |||
Premium on purchase of Residential Whole-Loans | (8,863) | (354) | |||
Premium on purchase of Residential Bridge Loans | (3,191) | (425) | |||
Premium on purchase of securitized commercial loans | (3,019) | 0 | |||
Unrealized (gain) loss, net | (13,128) | (5,249) | 87,526 | (35,126) | |
Unrealized (gain) loss on derivative instruments, net | 1,460 | (156,098) | |||
Other than temporary impairment | 2,533 | 7,225 | 8,423 | 19,901 | |
Realized (gain) loss on sale of securities, net | 24,229 | (1,830) | 29,262 | (20,600) | |
(Gain) loss on derivatives, net | (12,905) | 156,655 | |||
Loss on foreign currency transactions, net | 0 | 1 | |||
Changes in operating assets and liabilities: | |||||
(Increase) decrease in interest receivable | (8,266) | 5,787 | |||
(Increase) decrease in other assets | (599) | (3,736) | |||
Increase (decrease) in interest payable | 1,705 | (11,182) | |||
Increase (decrease) in accounts payable and accrued expenses | 221 | (667) | |||
Increase (decrease) in payable to affiliate | 448 | (664) | |||
Net cash provided by operating activities | 141,397 | 15,634 | |||
Cash flows from investing activities: | |||||
Purchase of securities | (846,680) | (2,473,379) | |||
Proceeds from sale of securities | 1,111,547 | 1,189,824 | |||
Principal repayments and basis recovered on securities | 109,938 | 187,157 | |||
Purchase of Residential Whole-Loans | (493,365) | (35,323) | |||
Principal repayments on Residential Whole-Loans | 42,867 | 32,287 | |||
Purchase of Commercial Loans | (164,570) | 0 | |||
Principal repayments on commercial loans | 20,638 | 0 | |||
Purchase of securitized commercial loans | (1,350,000) | 0 | |||
Principal repayments on securitized commercial loans | 196,007 | 59 | |||
Purchase of Residential Bridge Loans | (356,584) | (73,565) | |||
Principal repayments on Residential Bridge Loans | 197,099 | 16,251 | |||
Payment of premium for option derivatives | (829) | (14,995) | |||
Premium received from option derivatives | 298 | 13,721 | |||
Premium received from credit default swaps | (174) | 0 | |||
Net settlements of TBAs | 136 | 3,135 | |||
Proceeds from (Payments on) termination of futures, net | 8,823 | (9,230) | |||
Interest payments and basis recovered on MAC interest rate swaps | (1,064) | (358) | |||
Due from counterparties | 0 | 8,449 | |||
Payments on total return swaps, net | 0 | (552) | |||
Premium for interest rate swaptions, net | 0 | (115) | |||
Net cash used in investing activities | (1,525,913) | (1,156,634) | |||
Cash flows from financing activities: | |||||
Proceeds from issuance of common stock | 64,880 | 0 | |||
Payment of offering costs | (65) | 0 | |||
Repurchase of common stock | (1,733) | 0 | |||
Proceeds from sale of treasury stock | 3,177 | 0 | |||
Proceeds from repurchase agreement borrowings | 15,469,118 | 13,054,995 | |||
Repayments of repurchase agreement borrowings | (15,251,485) | (11,874,382) | |||
Proceeds from securitized debt | 1,285,219 | 0 | |||
Repayments of securitized debt | (186,015) | (26) | |||
Proceeds from forward contracts | 0 | 6,875 | |||
Repayments of forward contracts | 0 | (6,850) | |||
Due from counterparties, net | 5,417 | (11,709) | |||
Due to counterparties, net | (422) | 1,580 | |||
Increase in other liabilities | 100,138 | 0 | |||
Dividends paid on common stock | (38,782) | (38,985) | |||
Net cash provided by financing activities | 1,449,447 | 1,131,498 | |||
Effect of exchange rate changes on cash and cash equivalents | 0 | (1) | |||
Net increase (decrease) in cash, cash equivalents and restricted cash | 64,931 | (9,503) | |||
Cash, cash equivalents and restricted cash, beginning of period | 48,024 | 46,172 | 46,172 | ||
Cash, cash equivalents and restricted cash, end of period | 112,955 | 36,669 | 112,955 | 36,669 | 48,024 |
Supplemental disclosure of operating cash flow information: | |||||
Interest paid | 96,030 | 30,010 | |||
Income taxes paid | 1,635 | 4,966 | |||
Supplemental disclosure of non-cash financing/investing activities: | |||||
Underwriting and offering costs payable | 174 | 0 | |||
Principal payments of securities, not settled | 42 | 16 | |||
Securities sold, not settled | 34,559 | 0 | |||
Securities purchased, not settled | (124,036) | (293,959) | |||
Net unsettled TBAs | (10) | (2) | |||
Dividends and distributions declared, not paid | 14,916 | 12,995 | 14,916 | 12,995 | $ 12,960 |
Principal payments of Residential Whole-Loans, not settled | 11,061 | 4,580 | |||
Principal payments of Residential Bridge Loans, not settled | 22,227 | 2,598 | |||
Derivative collateral offset against derivatives | $ 0 | $ (157,913) | 0 | (157,913) | |
Other assets | $ 143 | $ 0 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization Western Asset Mortgage Capital Corporation, a Delaware corporation, and its subsidiaries (the “Company”), commenced operations in May 2012. The Company invests in, finances and manages a diversified portfolio of real estate related securities, whole-loans and other financial assets. The Company’s portfolio is comprised of Agency CMBS, Agency RMBS (including TBAs), Non-Agency RMBS, Non-Agency CMBS, Residential Whole-Loans, Residential Bridge Loans and Commercial Loans. In addition, and to a significantly lesser extent, the Company has invested in other securities including certain Agency obligations that are not technically MBS as well as certain Non U.S. CMBS and in asset-backed securities (“ABS”) investments secured by a portfolio of private student loans. The Company’s investment strategy is based on Western Asset Management Company LLC’s (the “Manager”) perspective of which mix of portfolio assets it believes provides the Company with the best risk-reward opportunities at any given time. The Manager will vary the allocation among various asset classes subject to maintaining the Company’s qualification as a REIT and maintaining its exemption from the Investment Company Act of 1940, as amended (the “1940 Act”). These restrictions limit the Company’s ability to invest in non-qualifying MBS, non-real estate assets and/or assets which are not secured by real estate. Accordingly, the Company’s portfolio will continue to be principally invested in qualifying MBS, Whole-Loans and other real estate related assets. The Company is externally managed by the Manager, an investment advisor registered with the Securities and Exchange Commission (“SEC”). The Manager is a wholly-owned subsidiary of Legg Mason, Inc. The Company operates and has elected to be taxed as a real estate investment trust or “REIT” commencing with its taxable year ended December 31, 2012. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended September 30, 2018 , are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2017 , filed with the SEC on March 29, 2018. The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiary and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiary and consolidated VIEs have been eliminated in consolidation. Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers is deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required. Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. Significant Accounting Policies There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017, other than the significant accounting policies disclosed below. Restricted Cash Restricted cash represents cash held by the trustee or servicer for mortgage escrows in connection with the Company's securitized loan and commercial loan investments held in two consolidated VIEs. These escrows consist of principal and interest escrows, capital improvement reserves, repair reserves, real estate tax and insurance reserves and tenant reserves. The corresponding liability is recorded in "Other liabilities" in the Consolidated Balance Sheets. The restricted cash is not available for general corporate use. Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net". The securitized commercial loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed. Interest income accrual is resumed when the loan becomes contractually current and performance is demonstrated. A loan is written off when it is no longer realizable and/or legally discharged. Commercial Loans Investments in Commercial Loans, which are comprised of first lien commercial mortgage loans and commercial mezzanine loans, are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825 for its Commercial Loan portfolio. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring the Commercial Loans or committing to purchase these loans are charged to expense as incurred. The Company’s loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed. Interest income accrual is resumed when the loan becomes contractually current and performance is demonstrated. A loan is written off when it is no longer realizable and/or legally discharged. Interest Income Recognition Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations. Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In May 2014, the FASB issued ASU 2014-9, “Revenue from Contracts with Customers (Topic 606).” The guidance changes an entity’s recognition of revenue from contracts with customers. The core principle of the guidance is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. In addition, the new guidance requires improved disclosures to enable users of financial statements to understand the nature, amount, timing, and uncertainty of revenue and cash flows arising from contracts with customers. In March 2016, the FASB issued implementation guidance which clarifies principal versus agent considerations in reporting revenue gross versus net (ASU 2016-8). In April 2016, the FASB issued implementation guidance which clarifies the identification of performance obligations (ASU 2016-10). In May 2016, the FASB issued amendments that affect only the narrow aspects of Topic 606 (ASU2016-12). First quarter 2018. The Company's revenue is mainly derived from interest income on our investments and to a lesser extent gains on sales of investments, which are not impacted by this standard. Therefore, the adoption of this standard did not have a material impact on the Company's consolidated financial statements. In January 2016, the FASB issued ASU 2016-1, “Financial Instruments - Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities.” The guidance improves certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. In February 2018, the FASB issued a separate Update for technical corrections and improvements related to the ASU 2016-01 to increase stakeholders' awareness of the amendments and to expedite the improvements (ASU 2018-3). First quarter 2018. The standard does not change the guidance for classifying and measuring investments in debt securities and loans as well nonrecourse liabilities of consolidated collateralized financing entities. Therefore, the adoption of this standard did not have a material impact on the Company's consolidated financial statements. In August 2016, the FASB issued ASU 2016-15, "Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments (Topic 230)." The guidance is intended to reduce diversity in practice in how certain transactions are classified on the statement of cash flows. First quarter 2018 and requires retrospective adoption. The adoption of this standard did not have a material impact on its Consolidated Statements of Cash Flows. In November 2016, the FASB issued ASU 2016-18 "Statement of Cash Flows (Topic 230): Restricted Cash, a consensus of the FASB's Emerging Issues Task Force." The guidance requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents as well as disclose information about the nature of the restrictions on its cash and cash equivalents. First quarter 2018 and requires retrospective adoption. The adoption of this standard did not have a material impact on its Consolidated Statements of Cash Flows. In January 2017, the FASB issued ASU 2017-01 "Business Combinations (Topic 805): Clarifying the Definition of a Business." This ASU provides a more robust framework to use in determining when a set of assets and activities constitutes a business. First quarter 2018. The guidance should be applied prospectively on or after the effective date. The adoption of this standard did not have a material impact on its Consolidated Statements of Cash Flows. In May 2017, the FASB issued ASU 2017-09 "Compensation-Stock Compensation (Topic 718): Scope of Modification Accounting." The amendments in this update provide guidance about which changes to the terms or conditions of a shared-based payment award require an entity to apply modification accounting in Topic 718. First quarter 2018. There are no changes to the terms and conditions of the Company's share-based compensation. The adoption of this standard did not have a material impact on the Company's consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. First quarter 2020. The Company is currently evaluating the impact the standard may have on its consolidated financial statements when adopted. In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception". Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements. In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements. In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements. In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits. First quarter 2020. The Company is evaluating the impact this standard may have on its consolidated financial statements. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments The following tables present the Company’s financial instruments carried at fair value as of September 30, 2018 and December 31, 2017 , based upon the valuation hierarchy (dollars in thousands): September 30, 2018 Fair Value Level I Level II Level III Total Assets Agency RMBS $ — $ 385,008 $ — $ 385,008 Agency RMBS Interest-Only Strips — — 12,203 12,203 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 8,006 8,006 Agency CMBS — 1,958,951 107,124 2,066,075 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 4,241 — 4,241 Subtotal Agency MBS — 2,348,200 127,333 2,475,533 Non-Agency RMBS — 26,076 57,274 83,350 Non-Agency RMBS Interest-Only Strips — — 15,513 15,513 Non-Agency CMBS — 266,847 — 266,847 Subtotal Non-Agency MBS — 292,923 72,787 365,710 Other securities — 82,820 9,708 92,528 Total mortgage-backed securities and other securities — 2,723,943 209,828 2,933,771 Residential Whole-Loans — — 684,463 684,463 Residential Bridge Loans — — 234,747 234,747 Securitized commercial loans — — 1,191,048 1,191,048 Commercial Loans — — 143,951 143,951 Derivative assets 1,812 888 — 2,700 Total Assets $ 1,812 $ 2,724,831 $ 2,464,037 $ 5,190,680 Liabilities Derivative liabilities $ — $ 2,159 $ — $ 2,159 Securitized debt — 1,116,483 2,606 1,119,089 Total Liabilities $ — $ 1,118,642 $ 2,606 $ 1,121,248 December 31, 2017 Fair Value Level I Level II Level III Total Assets Agency RMBS $ — $ 672,177 $ — $ 672,177 Agency RMBS Interest-Only Strips — 15,437 — 15,437 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 10,419 — 10,419 Agency CMBS — 2,137,583 17,217 2,154,800 Agency CMBS Interest-Only Strips — 10 — 10 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 5,757 — 5,757 Subtotal Agency MBS — 2,841,383 17,217 2,858,600 Non-Agency RMBS — 90,819 13 90,832 Non-Agency RMBS Interest-Only Strips — — 8,722 8,722 Non-Agency CMBS — 278,604 — 278,604 Subtotal Non-Agency MBS — 369,423 8,735 378,158 Other securities — 112,826 9,239 122,065 Total mortgage-backed securities and other securities — 3,323,632 35,191 3,358,823 Residential Whole-Loans — — 237,423 237,423 Residential Bridge Loans — — 64,526 64,526 Securitized commercial loan — — 24,876 24,876 Derivative assets 728 — — 728 Total Assets $ 728 $ 3,323,632 $ 362,016 $ 3,686,376 Liabilities Derivative liabilities $ 50 $ 4,296 $ — $ 4,346 Securitized debt — — 10,945 10,945 Total Liabilities $ 50 $ 4,296 $ 10,945 $ 15,291 When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company will use independent pricing services and if the independent pricing service cannot price a particular asset or liability, the Company will obtain third party broker quotes. The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the third party broker quotes by comparing the broker quotes for reasonableness to alternate sources when available. If independent pricing service, or third party broker quotes are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently-sourced market parameters, such as interest rates and when applicable, estimates of prepayments and credit losses. In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity ("CFE"), under GAAP, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE’s financial assets or financial liabilities, whichever is more observable. Mortgage-backed securities and other securities In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Agency RMBS, given the amount of available observable market data, are classified in Level II. For Non-Agency RMBS, CMBS and other securities, to determine whether a security should be a Level II, the securities are grouped by security type and the Manager reviews the internal trade history, for the quarter, for each security type. If there is sufficient trade data above a predetermined threshold of a security type, the Manager determines it has sufficient observable market data and the security will be categorized as a Level II. Values for the Company’s securities are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates a commonly used market pricing method. Depending on the type of asset and the underlying collateral, the primary inputs to the model include yields for TBAs, Agency RMBS, the U.S. Treasury market and floating rate indices such as LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third party pricing service cannot adequately price a particular security, the Company utilizes a broker’s quote which is reviewed for reasonableness by the Manager’s pricing group. Residential Whole-Loans and Residential Bridge Loans Values for the Company's Residential Whole-Loans and Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, including loan to value ("LTV"), debt to income, maturity, interest rates, collateral location, and unpaid principal balance, prepayment penalties, FICO scores, lien position and times late. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III. Commercial Loans Values for the Company's Commercial Loans are based upon either prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution or a broker quote. The third party pricing service uses a discounted cash flow valuation methodology that incorporates commonly used market pricing methods, including LTV, debt to income, maturity, interest rates, collateral location, and unpaid principal balance, prepayment penalties, lien position and times late. Due to the inherent uncertainty of such valuation, the fair values established for commercial loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's commercial loans are classified as a Level III. Securitized commercial loans Values for the Company’s securitized commercial loans are based on the CFE valuation methodology. Since there is an extremely limited market for the securitized commercial loans, the Company determined the securitized debt is more actively traded and therefore was more observable. Due to the inherent uncertainty of such valuation, the Company classifies its securitized commercial loans as Level III. Securitized debt In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III. Derivatives Values for the Company's derivatives are based upon prices from third party pricing services, whose pricing is subject to review by the Manager’s pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, its currency derivatives, such as swaps and forwards and credit derivatives such as total return swaps, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. No credit valuation adjustment was made in determining the fair value of interest rate and/or currency derivatives for the periods ended September 30, 2018 and December 31, 2017 . The Company performs quarterly reviews of the independent third party pricing data. These reviews may consist of a review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager’s pricing group. The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager’s pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price. The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended September 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Whole-Loans Residential Bridge Loans Commercial Loans Securitized commercial loans Securitized debt Beginning balance $ 75,043 $ 16,307 $ 8,955 $ 335,149 $ 236,359 $ 70,717 $ 1,309,195 $ 2,870 Transfers into Level III from Level II — 57,275 9,708 — — — — — Transfers from Level III into Level II (51,976 ) — (8,697 ) — — — — — Purchases 107,034 — — 372,348 70,465 94,313 — — Principal repayments (42 ) (14 ) (285 ) (21,258 ) (70,341 ) (20,638 ) (117,100 ) — Total net gains / losses included in net income Other than temporary impairment (384 ) (142 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,007 ) (95 ) (15 ) (1,469 ) (1,103 ) (575 ) 282 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (330 ) Premium and discount amortization, net (1,335 ) (544 ) 42 (307 ) (633 ) 134 (1,329 ) 66 Ending balance $ 127,333 $ 72,787 $ 9,708 $ 684,463 $ 234,747 $ 143,951 $ 1,191,048 $ 2,606 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (668 ) $ (94 ) $ — $ (1,231 ) $ (844 ) $ (618 ) $ 282 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 330 Three months ended September 30, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Securitized Securitized debt Derivative liability Beginning balance $ — $ 14,326 $ 22,405 $ 203,540 $ 24,875 $ 10,945 $ 329 Transfers into Level III from Level II — — 9,470 — — — — Transfers from Level III into Level II — — (23,852 ) — — — — Purchases 2,009 — — — — — — Sales and settlements — — — — — — (53 ) Principal repayments — (388 ) — (11,264 ) (59 ) (26 ) — Total net gains / losses included in net income 0 Realized (gains)/losses, net on liabilities — — — — — — 53 Other than temporary impairment — — (121 ) — — — — Unrealized gains/(losses), net on assets (1) — 291 1,094 (575 ) 136 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — 60 (329 ) Premium and discount amortization, net — 33 474 (262 ) — — — Ending balance $ 2,009 $ 14,262 $ 9,470 $ 191,439 $ 24,952 $ 10,979 $ — Unrealized gains/(losses), net on assets held at the end of the period (1) $ — $ 291 $ — $ (356 ) $ 136 $ — $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ (60 ) $ — Nine months ended September 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 17,217 $ 8,735 $ 9,239 $ 237,423 $ 64,526 $ — $ 24,876 $ 10,945 Transfers into Level III from Level II 22,794 57,275 9,708 — — — — — Transfers from Level III into Level II (16,805 ) — (8,697 ) — — — — (10,899 ) Purchases 109,002 8,602 — 486,354 221,619 144,035 1,353,019 — Sales and settlements — — — — — — — 12 Principal repayments (53 ) (14 ) (604 ) (36,092 ) (49,503 ) — (196,007 ) (44 ) Total net gains / losses included in net income Other than temporary impairment (590 ) (191 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,447 ) (149 ) (68 ) (2,644 ) (1,217 ) (159 ) 11,152 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 2,502 Premium and discount amortization, net (2,785 ) (1,471 ) 130 (578 ) (678 ) 75 (1,992 ) 90 Ending balance $ 127,333 $ 72,787 $ 9,708 $ 684,463 $ 234,747 $ 143,951 $ 1,191,048 $ 2,606 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (1,089 ) $ (148 ) $ — $ (2,101 ) $ (832 ) $ (159 ) $ 11,152 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (2,504 ) Nine months ended September 30, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Securitized Securitized debt Derivative liability Beginning balance $ 73,059 $ 75,576 $ 31,356 $ 192,136 $ 24,225 $ 10,659 $ 1,673 Transfers into Level III from Level II — 15,610 9,470 — — — — Transfers from Level III into Level II (73,715 ) (7,434 ) (33,080 ) — — — — Purchases 2,009 — — 33,718 — — — Sales and settlements — (60,132 ) — — — — (552 ) Principal repayments — (2,463 ) (172 ) (33,718 ) (59 ) (26 ) — Total net gains / losses included in net income Realized gains/(losses), net on assets — 2,623 — — — — — Realized (gains)/losses, net on liabilities — — — — — — 552 Other than temporary impairment — — (1,823 ) — — — — Unrealized gains/(losses), net on assets (1) 636 (8,715 ) 1,550 97 786 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — 346 (1,673 ) Premium and discount amortization, net 20 (803 ) 2,169 (794 ) — — — Ending balance $ 2,009 $ 14,262 $ 9,470 $ 191,439 $ 24,952 $ 10,979 $ — Unrealized gains/(losses), net on assets held at the end of the period (1) $ — $ 684 $ 72 $ 347 $ 786 $ — $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ (346 ) $ — (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt and derivative liability are included in "Unrealized gain (loss), net" and "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively. Transfers between hierarchy levels during operations for the three and nine months ended September 30, 2018 and September 30, 2017 were based on the availability of sufficient observable inputs. Movements from Level II to Level III was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager, which did not provide sufficient observable data to meet Level II versus Level III criteria, resulting in the movement from Level II to Level III. Movements form Level III to Level II was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager, which provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the three and nine months ended September 30, 2018 and September 30, 2017 . Other Fair Value Disclosures Certain Residential Bridge Loans, repurchase agreement borrowings and convertible senior unsecured notes are not carried at fair value in the consolidated financial statements. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of September 30, 2018 and December 31, 2017 in the consolidated financial statements (dollars in thousands): September 30, 2018 December 31, 2017 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 14,724 $ 14,479 $ 42,147 $ 42,881 Total $ 14,724 $ 14,479 $ 42,147 $ 42,881 Liabilities Borrowings under repurchase agreements $ 3,469,319 $ 3,591,751 $ 3,251,686 $ 3,257,956 Convertible senior unsecured notes 109,731 115,385 108,743 114,819 Total $ 3,579,050 $ 3,707,136 $ 3,360,429 $ 3,372,775 "Due from counterparties" and "Due to counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value. Residential Bridge Loans The fair values of the Residential Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution. Their valuation methodology uses a discounted cash flow model and incorporates commonly used market pricing methods, including LTV debt to income, maturity, interest rates, collateral location, and unpaid principal balance, prepayment penalties, FICO scores, lien position and times late. Due to the inherent uncertainty of such valuation, the fair values established for residential bridge loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III. Borrowings under repurchase agreements The fair values of the borrowings under repurchase agreements are based on a net present value technique. This method discounts future estimated cash flows using rates the Company determined best estimates current market interest rates that would be offered for loans with similar characteristics and credit quality. The use of different market assumptions or estimation methodologies could have a material effect on the fair value amounts. This fair value measurement is based on observable inputs, and as such, are classified as Level II. Convertible senior unsecured notes The fair value of the convertible senior unsecured notes is based on quoted market prices. Accordingly, the Company's convertible senior unsecured notes are classified as Level I. |
Mortgage-Backed Securities and
Mortgage-Backed Securities and other securities | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities and other securities | 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS $ — $ — $ 57,572 $ 327,436 $ 385,008 Agency RMBS Interest-Only Strips 3,937 2,436 5,830 — 12,203 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,223 4,104 2,679 — 8,006 Agency CMBS 1,507,428 558,647 — — 2,066,075 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 4,241 4,241 Subtotal Agency 1,512,588 565,187 66,081 331,677 2,475,533 Non-Agency RMBS — 24,752 16,757 41,841 83,350 Non-Agency RMBS Interest- Only Strips — — 7,900 7,613 15,513 Non-Agency CMBS 28,752 80,180 104,617 53,298 266,847 Subtotal Non-Agency 28,752 104,932 129,274 102,752 365,710 Other securities 3,782 59,908 — 28,838 92,528 Total $ 1,545,122 $ 730,027 $ 195,355 $ 463,267 $ 2,933,771 December 31, 2017 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS $ — $ 56,228 $ 239,197 $ 376,752 $ 672,177 Agency RMBS Interest-Only Strips 3,920 4,591 6,926 — 15,437 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,686 5,139 3,594 — 10,419 Agency CMBS 1,599,620 555,180 — — 2,154,800 Agency CMBS Interest-Only Strips 10 — — — 10 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 5,757 5,757 Subtotal Agency 1,605,236 621,138 249,717 382,509 2,858,600 Non-Agency RMBS 13 51,092 4,184 35,543 90,832 Non-Agency RMBS Interest- Only Strips — — — 8,722 8,722 Non-Agency CMBS — 60,583 139,209 78,812 278,604 Subtotal Non-Agency 13 111,675 143,393 123,077 378,158 Other securities — 99,062 — 23,003 122,065 Total $ 1,605,249 $ 831,875 $ 393,110 $ 528,589 $ 3,358,823 The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS $ 115,378 $ (3,131 ) 8 $ 269,630 $ (14,750 ) 2 $ 385,008 $ (17,881 ) 10 Agency RMBS Interest-Only Strips 3,588 (394 ) 9 2,753 (504 ) 6 6,341 (898 ) 15 Agency CMBS 1,135,925 (32,175 ) 76 516,838 (32,225 ) 37 1,652,763 (64,400 ) 113 Subtotal Agency 1,254,891 (35,700 ) 93 789,221 (47,479 ) 45 2,044,112 (83,179 ) 138 Non-Agency RMBS 29,798 (583 ) 5 — — — 29,798 (583 ) 5 Non-Agency RMBS Interest-Only Strips 8,003 (164 ) 2 — — — 8,003 (164 ) 2 Non-Agency CMBS 70,410 (894 ) 15 57,263 (4,483 ) 12 127,673 (5,377 ) 27 Subtotal Non-Agency 108,211 (1,641 ) 22 57,263 (4,483 ) 12 165,474 (6,124 ) 34 Other securities 8,697 (68 ) 1 — — — 8,697 (68 ) 1 Total $ 1,371,799 $ (37,409 ) 116 $ 846,484 $ (51,962 ) 57 $ 2,218,283 $ (89,371 ) 173 December 31, 2017 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS $ 330,259 $ (2,179 ) 11 $ 1,632 $ (135 ) 5 $ 331,891 $ (2,314 ) 16 Agency RMBS Interest-Only Strips 3,095 (142 ) 6 1,703 (49 ) 3 4,798 (191 ) 9 Agency CMBS 955,559 (9,394 ) 57 — — — 955,559 (9,394 ) 57 Subtotal Agency 1,288,913 (11,715 ) 74 3,335 (184 ) 8 1,292,248 (11,899 ) 82 Non-Agency RMBS 28,508 (161 ) 3 — — — 28,508 (161 ) 3 Non-Agency RMBS Interest-Only Strips 8,722 (16 ) 3 — — — 8,722 (16 ) 3 Non-Agency CMBS 69,661 (1,753 ) 15 119,729 (13,379 ) 35 189,390 (15,132 ) 50 Subtotal Non-Agency 106,891 (1,930 ) 21 119,729 (13,379 ) 35 226,620 (15,309 ) 56 Other securities 23,800 (187 ) 3 — — — 23,800 (187 ) 3 Total $ 1,419,604 $ (13,832 ) 98 $ 123,064 $ (13,563 ) 43 $ 1,542,668 $ (27,395 ) 141 The Company identified two securities with an unpaid principal balance of $4.1 million which it intended to sell that were in an unrealized loss position held at September 30, 2018 , and as a result, the Company recognized an impairment charge of approximately $161 thousand on Non-Agency CMBS which is included in "Other than temporary impairment" in the Company's Consolidated Statements of Operations. Generally, the Company records Other Than Temporary Impairment ("OTTI") when the credit quality of the underlying collateral deteriorates and or the scheduled payments are faster than previously projected. The credit deterioration could be as a result of, but not limited to, increased projected realized losses, foreclosures, delinquencies and the likelihood of the borrower being able to make payments in the future. Generally, a prepayment occurs when a loan has a higher interest rate relative to current interest rates and lenders are willing to extend credit at the lower current interest rate or the underlying collateral for the loan is sold or transferred. Refer to Note 2 "Summary of Significant Accounting Policies - Mortgage-Backed Securities and Other Securities." The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended September 30, 2018 Three months ended September 30, 2017 Nine months ended September 30, 2018 Nine months ended September 30, 2017 Agency RMBS (1) $ 320 $ 4,760 $ 663 $ 5,420 Non-Agency RMBS 159 — 269 — Non-Agency CMBS 2,054 2,344 7,491 12,658 Other securities — 121 — 1,823 Total $ 2,533 $ 7,225 $ 8,423 $ 19,901 (1) Normally, unrealized losses on Agency securities (excluding Agency IO's) with the explicit guarantee of principal and interest by the governmental sponsored entity are not credit losses but rather due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided the Company did not intend to sell the security. For the three and nine months ended September 30, 2018 and September 30, 2017 , $0 , $0 , $4.7 million and $4.7 million , respectively, of OTTI related to Agency RMBS securities the Company intended to sell. The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2018 and September 30, 2017 , respectively (dollars in thousands): For the three months ended September 30, 2018 For the three months ended September 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 4,551 $ (1,138 ) $ 3,413 $ 8,886 $ (2,995 ) $ 5,891 Agency CMBS 13,812 (298 ) 13,514 11,071 110 11,181 Non-Agency RMBS 2,139 (536 ) 1,603 571 372 943 Non-Agency CMBS 5,379 1,469 6,848 4,242 2,139 6,381 Other securities 3,674 (1,660 ) 2,014 2,160 464 2,624 Total $ 29,555 $ (2,163 ) $ 27,392 $ 26,930 $ 90 $ 27,020 Nine months ended September 30, 2018 Nine months ended September 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 17,471 $ (4,112 ) $ 13,359 $ 30,513 $ (10,662 ) $ 19,851 Agency CMBS 45,753 (266 ) 45,487 24,408 717 25,125 Non-Agency RMBS 5,616 (685 ) 4,931 4,482 303 4,785 Non-Agency CMBS 15,362 5,873 21,235 14,675 6,572 21,247 Other securities 11,610 (4,825 ) 6,785 5,300 2,112 7,412 Total $ 95,812 $ (4,015 ) $ 91,797 $ 79,378 $ (958 ) $ 78,420 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and nine months ended September 30, 2018 and September 30, 2017 , respectively (dollars in thousands): For the three months ended September 30, 2018 For the three months ended September 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ — $ — $ — $ — $ (2,906 ) $ (3 ) $ 51 $ 48 Agency CMBS 641,677 — (25,640 ) (25,640 ) — — — — Non-Agency CMBS 73,848 2,411 (2,712 ) (301 ) 10,597 1,641 (278 ) 1,363 Other securities 13,712 1,712 — 1,712 10,419 419 — 419 Total $ 729,237 $ 4,123 $ (28,352 ) $ (24,229 ) $ 18,110 $ 2,057 $ (227 ) $ 1,830 (1) For the three months ended September 30, 2017 reflects a reclassification of proceeds from a sale on the trade date to reflect subsequent Agency RMBS paydowns. Nine months ended September 30, 2018 Nine months ended September 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 209,581 $ 18 $ (4,531 ) $ (4,513 ) $ 862,245 $ 4,376 $ (7,314 ) $ (2,938 ) Agency CMBS 768,544 — (30,656 ) (30,656 ) — — — — Non-Agency RMBS (2) 51,958 3,114 — 3,114 243,811 24,389 (2,242 ) 22,147 Non-Agency CMBS 80,554 2,472 (3,148 ) (676 ) 45,634 2,377 (1,351 ) 1,026 Other securities 35,469 3,469 — 3,469 33,365 419 (54 ) 365 Total $ 1,146,106 $ 9,073 $ (38,335 ) $ (29,262 ) $ 1,185,055 $ 31,561 $ (10,961 ) $ 20,600 (1) For the nine months ended September 30, 2017 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of $432 thousand , respectively. (2) For the nine months ended September 30, 2017 , excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million , gross realized gains of $274 thousand and gross realized losses of $180 thousand , respectively. Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of September 30, 2018 , the Company held seven variable interest in CMBS VIEs and had three variable interests in CMBS VIE's as of December 31, 2017 , in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of September 30, 2018 and December 31, 2017 , the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $116.1 million and $62.1 million . These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of September 30, 2018 and December 31, 2017 , the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities." id="sjs-B4">Mortgage-Backed Securities and other securities The following tables present certain information about the Company’s investment portfolio at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon Agency RMBS $ 389,756 $ 13,133 $ — $ 402,889 $ — $ (17,881 ) $ 385,008 3.6 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 12,377 724 (898 ) 12,203 2.3 % (1) Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 8,006 2.8 % (1) Subtotal Agency RMBS 389,756 13,133 — 415,266 724 (18,779 ) 405,217 3.2 % Agency CMBS 2,124,942 4,970 — 2,129,912 563 (64,400 ) 2,066,075 3.2 % Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 4,241 0.4 % (1) Subtotal Agency CMBS 2,124,942 4,970 — 2,129,912 563 (64,400 ) 2,070,316 3.0 % Total Agency MBS 2,514,698 18,103 — 2,545,178 1,287 (83,179 ) 2,475,533 3.0 % Non-Agency RMBS 113,606 5,568 (39,585 ) 79,589 4,344 (583 ) 83,350 4.4 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 15,677 — (164 ) 15,513 0.5 % (1) Subtotal Non-Agency RMBS 113,606 5,568 (39,585 ) 95,266 4,344 (747 ) 98,863 1.0 % Non-Agency CMBS 322,255 (29,014 ) (24,976 ) 268,265 3,959 (5,377 ) 266,847 5.9 % Total Non-Agency MBS 435,861 (23,446 ) (64,561 ) 363,531 8,303 (6,124 ) 365,710 2.2 % Other securities (3) 71,420 2,116 (9,891 ) 82,349 10,247 (68 ) 92,528 9.0 % Total $ 3,021,979 $ (3,227 ) $ (74,452 ) $ 2,991,058 $ 19,837 $ (89,371 ) $ 2,933,771 2.9 % December 31, 2017 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon Agency RMBS $ 641,044 $ 28,876 $ — $ 669,920 $ 4,571 $ (2,314 ) $ 672,177 3.9 % Agency RMBS Interest-Only Strips (1) N/A N/A N/A 14,750 878 (191 ) 15,437 2.9 % (1) Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 10,419 2.9 % (1) Subtotal Agency RMBS 641,044 28,876 — 684,670 5,449 (2,505 ) 698,033 3.6 % Agency CMBS 2,145,139 2,142 — 2,147,281 16,913 (9,394 ) 2,154,800 2.9 % Agency CMBS Interest-Only Strips (1) N/A N/A N/A — 10 — 10 3.2 % (1) Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 5,757 0.5 % (1) Subtotal Agency CMBS 2,145,139 2,142 — 2,147,281 16,923 (9,394 ) 2,160,567 2.7 % Total Agency MBS 2,786,183 31,018 — 2,831,951 22,372 (11,899 ) 2,858,600 3.0 % Non-Agency RMBS 119,748 5,263 (39,491 ) 85,520 5,473 (161 ) 90,832 3.8 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 8,738 — (16 ) 8,722 0.9 % (1) Subtotal Non-Agency RMBS 119,748 5,263 (39,491 ) 94,258 5,473 (177 ) 99,554 1.8 % Non-Agency CMBS 379,183 (59,129 ) (28,020 ) 292,034 1,702 (15,132 ) 278,604 4.8 % Total Non-Agency MBS 498,931 (53,866 ) (67,511 ) 386,292 7,175 (15,309 ) 378,158 3.3 % Other securities (3) 86,305 6,300 (5,404 ) 110,091 12,161 (187 ) 122,065 7.8 % Total $ 3,371,419 $ (16,548 ) $ (72,915 ) $ 3,328,334 $ 41,708 $ (27,395 ) $ 3,358,823 3.1 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At September 30, 2018 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $166.4 million , $822.0 million , $96.2 million and $173.9 million , respectively. At December 31, 2017 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was $165.5 million , $278.4 million , $122.0 million , $192.5 million and $3.3 million , respectively. (2) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $18.7 million and $22.9 million , as of September 30, 2018 and December 31, 2017 , respectively. As of September 30, 2018 and December 31, 2017 the weighted average expected remaining term of the MBS and other securities investment portfolio was 9.0 years and 8.6 years , respectively. The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and nine months ended September 30, 2018 and September 30, 2017 (dollars in thousands): Three months ended September 30, 2018 Three months ended September 30, 2017 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (78,837 ) $ (68,677 ) $ 21,723 $ (49,830 ) $ (76,778 ) $ 15,186 Accretion of discount — 1,314 — — 2,588 — Amortization of premium — — (97 ) — — (87 ) Realized credit losses 3,305 — — 25 — — Purchases — — — — — — Sales 2,334 25,624 (400 ) 187 1,931 (18 ) Net impairment losses recognized in earnings (2,071 ) — — (2,345 ) — — Transfers/release of credit reserve (2) 817 8 (825 ) (866 ) 953 (87 ) Balance at end of period $ (74,452 ) $ (41,731 ) $ 20,401 $ (52,829 ) $ (71,306 ) $ 14,994 Nine months ended September 30, 2018 Nine months ended September 30, 2017 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (72,915 ) $ (68,438 ) $ 20,872 $ (130,484 ) $ (109,822 ) $ 44,527 Accretion of discount — 6,483 — — 8,542 — Amortization of premium — — (461 ) — — (776 ) Realized credit losses 5,526 — — 1,854 — — Purchases (7,182 ) (6,473 ) 435 (1,724 ) (668 ) 1,522 Sales 5,673 29,352 (1,084 ) 89,628 32,016 (31,060 ) Net impairment losses recognized in earnings (7,570 ) — — (12,696 ) — — Transfers/release of credit reserve (2) 2,016 (2,655 ) 639 593 (1,374 ) 781 Balance at end of period $ (74,452 ) $ (41,731 ) $ 20,401 $ (52,829 ) $ (71,306 ) $ 14,994 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium. The following tables present the fair value and contractual maturities of the Company’s investment securities at September 30, 2018 and December 31, 2017 (dollars in thousands) : September 30, 2018 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS $ — $ — $ 57,572 $ 327,436 $ 385,008 Agency RMBS Interest-Only Strips 3,937 2,436 5,830 — 12,203 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,223 4,104 2,679 — 8,006 Agency CMBS 1,507,428 558,647 — — 2,066,075 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 4,241 4,241 Subtotal Agency 1,512,588 565,187 66,081 331,677 2,475,533 Non-Agency RMBS — 24,752 16,757 41,841 83,350 Non-Agency RMBS Interest- Only Strips — — 7,900 7,613 15,513 Non-Agency CMBS 28,752 80,180 104,617 53,298 266,847 Subtotal Non-Agency 28,752 104,932 129,274 102,752 365,710 Other securities 3,782 59,908 — 28,838 92,528 Total $ 1,545,122 $ 730,027 $ 195,355 $ 463,267 $ 2,933,771 December 31, 2017 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS $ — $ 56,228 $ 239,197 $ 376,752 $ 672,177 Agency RMBS Interest-Only Strips 3,920 4,591 6,926 — 15,437 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,686 5,139 3,594 — 10,419 Agency CMBS 1,599,620 555,180 — — 2,154,800 Agency CMBS Interest-Only Strips 10 — — — 10 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 5,757 5,757 Subtotal Agency 1,605,236 621,138 249,717 382,509 2,858,600 Non-Agency RMBS 13 51,092 4,184 35,543 90,832 Non-Agency RMBS Interest- Only Strips — — — 8,722 8,722 Non-Agency CMBS — 60,583 139,209 78,812 278,604 Subtotal Non-Agency 13 111,675 143,393 123,077 378,158 Other securities — 99,062 — 23,003 122,065 Total $ 1,605,249 $ 831,875 $ 393,110 $ 528,589 $ 3,358,823 The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS $ 115,378 $ (3,131 ) 8 $ 269,630 $ (14,750 ) 2 $ 385,008 $ (17,881 ) 10 Agency RMBS Interest-Only Strips 3,588 (394 ) 9 2,753 (504 ) 6 6,341 (898 ) 15 Agency CMBS 1,135,925 (32,175 ) 76 516,838 (32,225 ) 37 1,652,763 (64,400 ) 113 Subtotal Agency 1,254,891 (35,700 ) 93 789,221 (47,479 ) 45 2,044,112 (83,179 ) 138 Non-Agency RMBS 29,798 (583 ) 5 — — — 29,798 (583 ) 5 Non-Agency RMBS Interest-Only Strips 8,003 (164 ) 2 — — — 8,003 (164 ) 2 Non-Agency CMBS 70,410 (894 ) 15 57,263 (4,483 ) 12 127,673 (5,377 ) 27 Subtotal Non-Agency 108,211 (1,641 ) 22 57,263 (4,483 ) 12 165,474 (6,124 ) 34 Other securities 8,697 (68 ) 1 — — — 8,697 (68 ) 1 Total $ 1,371,799 $ (37,409 ) 116 $ 846,484 $ (51,962 ) 57 $ 2,218,283 $ (89,371 ) 173 December 31, 2017 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS $ 330,259 $ (2,179 ) 11 $ 1,632 $ (135 ) 5 $ 331,891 $ (2,314 ) 16 Agency RMBS Interest-Only Strips 3,095 (142 ) 6 1,703 (49 ) 3 4,798 (191 ) 9 Agency CMBS 955,559 (9,394 ) 57 — — — 955,559 (9,394 ) 57 Subtotal Agency 1,288,913 (11,715 ) 74 3,335 (184 ) 8 1,292,248 (11,899 ) 82 Non-Agency RMBS 28,508 (161 ) 3 — — — 28,508 (161 ) 3 Non-Agency RMBS Interest-Only Strips 8,722 (16 ) 3 — — — 8,722 (16 ) 3 Non-Agency CMBS 69,661 (1,753 ) 15 119,729 (13,379 ) 35 189,390 (15,132 ) 50 Subtotal Non-Agency 106,891 (1,930 ) 21 119,729 (13,379 ) 35 226,620 (15,309 ) 56 Other securities 23,800 (187 ) 3 — — — 23,800 (187 ) 3 Total $ 1,419,604 $ (13,832 ) 98 $ 123,064 $ (13,563 ) 43 $ 1,542,668 $ (27,395 ) 141 The Company identified two securities with an unpaid principal balance of $4.1 million which it intended to sell that were in an unrealized loss position held at September 30, 2018 , and as a result, the Company recognized an impairment charge of approximately $161 thousand on Non-Agency CMBS which is included in "Other than temporary impairment" in the Company's Consolidated Statements of Operations. Generally, the Company records Other Than Temporary Impairment ("OTTI") when the credit quality of the underlying collateral deteriorates and or the scheduled payments are faster than previously projected. The credit deterioration could be as a result of, but not limited to, increased projected realized losses, foreclosures, delinquencies and the likelihood of the borrower being able to make payments in the future. Generally, a prepayment occurs when a loan has a higher interest rate relative to current interest rates and lenders are willing to extend credit at the lower current interest rate or the underlying collateral for the loan is sold or transferred. Refer to Note 2 "Summary of Significant Accounting Policies - Mortgage-Backed Securities and Other Securities." The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended September 30, 2018 Three months ended September 30, 2017 Nine months ended September 30, 2018 Nine months ended September 30, 2017 Agency RMBS (1) $ 320 $ 4,760 $ 663 $ 5,420 Non-Agency RMBS 159 — 269 — Non-Agency CMBS 2,054 2,344 7,491 12,658 Other securities — 121 — 1,823 Total $ 2,533 $ 7,225 $ 8,423 $ 19,901 (1) Normally, unrealized losses on Agency securities (excluding Agency IO's) with the explicit guarantee of principal and interest by the governmental sponsored entity are not credit losses but rather due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided the Company did not intend to sell the security. For the three and nine months ended September 30, 2018 and September 30, 2017 , $0 , $0 , $4.7 million and $4.7 million , respectively, of OTTI related to Agency RMBS securities the Company intended to sell. The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2018 and September 30, 2017 , respectively (dollars in thousands): For the three months ended September 30, 2018 For the three months ended September 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 4,551 $ (1,138 ) $ 3,413 $ 8,886 $ (2,995 ) $ 5,891 Agency CMBS 13,812 (298 ) 13,514 11,071 110 11,181 Non-Agency RMBS 2,139 (536 ) 1,603 571 372 943 Non-Agency CMBS 5,379 1,469 6,848 4,242 2,139 6,381 Other securities 3,674 (1,660 ) 2,014 2,160 464 2,624 Total $ 29,555 $ (2,163 ) $ 27,392 $ 26,930 $ 90 $ 27,020 Nine months ended September 30, 2018 Nine months ended September 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 17,471 $ (4,112 ) $ 13,359 $ 30,513 $ (10,662 ) $ 19,851 Agency CMBS 45,753 (266 ) 45,487 24,408 717 25,125 Non-Agency RMBS 5,616 (685 ) 4,931 4,482 303 4,785 Non-Agency CMBS 15,362 5,873 21,235 14,675 6,572 21,247 Other securities 11,610 (4,825 ) 6,785 5,300 2,112 7,412 Total $ 95,812 $ (4,015 ) $ 91,797 $ 79,378 $ (958 ) $ 78,420 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and nine months ended September 30, 2018 and September 30, 2017 , respectively (dollars in thousands): For the three months ended September 30, 2018 For the three months ended September 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ — $ — $ — $ — $ (2,906 ) $ (3 ) $ 51 $ 48 Agency CMBS 641,677 — (25,640 ) (25,640 ) — — — — Non-Agency CMBS 73,848 2,411 (2,712 ) (301 ) 10,597 1,641 (278 ) 1,363 Other securities 13,712 1,712 — 1,712 10,419 419 — 419 Total $ 729,237 $ 4,123 $ (28,352 ) $ (24,229 ) $ 18,110 $ 2,057 $ (227 ) $ 1,830 (1) For the three months ended September 30, 2017 reflects a reclassification of proceeds from a sale on the trade date to reflect subsequent Agency RMBS paydowns. Nine months ended September 30, 2018 Nine months ended September 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 209,581 $ 18 $ (4,531 ) $ (4,513 ) $ 862,245 $ 4,376 $ (7,314 ) $ (2,938 ) Agency CMBS 768,544 — (30,656 ) (30,656 ) — — — — Non-Agency RMBS (2) 51,958 3,114 — 3,114 243,811 24,389 (2,242 ) 22,147 Non-Agency CMBS 80,554 2,472 (3,148 ) (676 ) 45,634 2,377 (1,351 ) 1,026 Other securities 35,469 3,469 — 3,469 33,365 419 (54 ) 365 Total $ 1,146,106 $ 9,073 $ (38,335 ) $ (29,262 ) $ 1,185,055 $ 31,561 $ (10,961 ) $ 20,600 (1) For the nine months ended September 30, 2017 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of $432 thousand , respectively. (2) For the nine months ended September 30, 2017 , excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million , gross realized gains of $274 thousand and gross realized losses of $180 thousand , respectively. Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of September 30, 2018 , the Company held seven variable interest in CMBS VIEs and had three variable interests in CMBS VIE's as of December 31, 2017 , in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of September 30, 2018 and December 31, 2017 , the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $116.1 million and $62.1 million . These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of September 30, 2018 and December 31, 2017 , the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities. |
Residential Whole-Loans and Bri
Residential Whole-Loans and Bridge Loans | 9 Months Ended |
Sep. 30, 2018 | |
Variable Interest Entities | |
Residential Whole-Loans and Bridge Loans | Residential Whole-Loans and Bridge Loans Residential Whole-Loan Trust The consolidated financial statements include the consolidation of Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. RMI 2015 Trust has issued a trust certificate that is wholly owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole-Loans and the Commercial Loan held by the trust. As of September 30, 2018 , the Company financed the trust certificate with $334.9 million of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies the underlying Residential Whole-Loans owned by the trust in "Residential Whole-Loans, at fair value" and the Commercial Loan in "Commercial Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation. Refer to Note 6 - "Commercial Loans" for details on the commercial real estate mortgage loan. In August 2018, the Company formed Revolving Mortgage Investment Trust 2018-RCR ("RCR Trust") to acquire conforming Residential Whole-Loans. The Company determined that RCR Trust was a VIE and that the Company was the primary beneficiary of the trust because it was involved in the design of the trust of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2018 , the Company financed the trust certificate with $258.1 million of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies the underlying conforming mortgages owned by the trust in "Residential Whole-Loans" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. In September 2018, the Company formed Revolving Mortgage Investment Trust 2018-RNR ("RNR Trust") to acquire Non-QM Residential Whole-Loans. The Company determined that RNR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2018 , the Company financed the trust certificate with $15.3 million of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole-Loans in "Residential Whole-Loans" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. Residential Bridge Loan Trust In February 2017, The Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the beneficial interest in pools of Residential Bridge Loans and certain Residential Whole-Loans held by the trust. Residential Bridge Loans are mortgage loans secured by residences, typically short-term. The Company determined that RMI Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2018 , the Company financed the trust certificate with $219.7 million of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies both the underlying Residential Bridge Loans carried at amortized cost and the Residential Bridge Loans that it elected the fair value option in "Residential Bridge Loans" and the Residential Whole-Loans in "Residential Whole-Loans" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. Consolidated Residential Whole-Loan and Residential Bridge Loan Trusts The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated Residential Whole-Loan trusts collectively hold 1,936 Residential Whole-Loans and one commercial loan and the consolidated Bridge Loan Trust holds 673 Residential Bridge Loans and 13 Residential Whole-Loans as of September 30, 2018 . The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts, residential bridge loan trust included in the Consolidated Balance Sheets as of September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively) $ 684,463 $ 237,423 Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) 249,471 106,673 Commercial loan, at fair value 29,831 — Investment related receivable 33,430 7,665 Interest receivable 8,874 3,197 Other assets 203 — Total assets $ 1,006,272 $ 354,958 Accounts payable and accrued expenses 722 188 Other liabilities 393 — Total liabilities $ 1,115 $ 188 The Company’s risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole-Loans, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and nine months ended September 30, 2018 and September 30, 2017 . The following table presents the components of the carrying value of Residential Whole-Loans and Residential Bridge Loans as of September 30, 2018 and December 31, 2017 (dollars in thousands): Residential Whole-Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Principal balance $ 674,763 $ 232,270 $ 234,445 $ 63,802 $ 14,734 $ 42,066 Unamortized premium 10,592 2,021 1,426 293 28 122 Unamortized discount (2,499 ) (1,190 ) (434 ) (128 ) (38 ) (41 ) Amortized cost 682,856 233,101 235,437 63,967 14,724 42,147 Gross unrealized gains 5,506 4,463 525 655 N/A N/A Gross unrealized losses (3,899 ) (141 ) (1,215 ) (96 ) N/A N/A Fair value $ 684,463 $ 237,423 $ 234,747 $ 64,526 N/A N/A (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets. Residential Whole-Loans The Residential Whole-Loans have low LTV's and are comprised of 1,034 non-qualifying adjustable rate mortgages, 902 conforming fixed rate mortgages and 13 investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 69 $ 22,732 61.4 % 738 7.5 29.3 3.9 % 4.01– 5.00% 1,159 405,934 62.2 % 734 3.6 28.8 4.7 % 5.01 – 6.00% 708 238,961 63.2 % 709 2.8 28.0 5.4 % 6.01 – 7.00% 11 6,685 64.9 % 748 1.4 25.4 6.3 % 7.01 - 8.00% 1 357 70.0 % 777 1.9 29.3 7.2 % 8.01 - 9.00% 1 94 70.0 % 689 1.9 29.3 8.4 % Total 1,949 $ 674,763 62.6 % 727 3.4 28.5 4.9 % (1) The original FICO score is not available for 240 loans with a principal balance of approximately $81.6 million at September 30, 2018 . The Company has excluded these loans from the weighted average computations. December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 142 $ 55,593 55.5 % 751 1.7 29.1 3.9 % 4.01– 5.00% 338 125,860 56.9 % 725 1.4 26.5 4.5 % 5.01 – 6.00% 132 48,553 58.2 % 728 1.6 27.0 5.2 % 6.01 – 7.00% 4 2,264 71.1 % 758 1.3 20.5 6.3 % Total 616 $ 232,270 57.0 % 734 1.5 27.1 4.5 % (1) The original FICO score is not available for 141 loans with a principal balance of approximately $56.5 million at December 31, 2017 . The Company has excluded these loans from the weighted average computations. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole-Loans at September 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): September 30, 2018 December 31, 2017 State State Concentration Principal Balance State State Concentration Principal Balance California 68.8 % $ 463,638 California 62.2 % $ 144,321 New York 15.6 % 105,435 New York 24.4 % 56,631 Georgia 2.9 % 19,324 Georgia 4.3 % 10,061 Washington 2.2 % 14,886 Washington 4.0 % 9,244 Massachusetts 1.3 % 8,504 Massachusetts 3.9 % 9,114 Other 9.2 % 62,976 Other 1.2 % 2,899 Total 100.0 % $ 674,763 Total 100.0 % $ 232,270 Residential Bridge Loans The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 6.01 – 7.00% 14 $ 5,264 61.8 % 2.6 6.7 % 7.01 – 8.00% 127 57,820 72.9 % 6.5 7.7 % 8.01 – 9.00% 213 94,873 70.2 % 5.4 8.7 % 9.01 – 10.00% 189 59,927 72.3 % 5.5 9.7 % 10.01 – 11.00% 71 16,651 71.3 % 5.0 10.6 % 11.01 – 12.00% 37 9,121 63.5 % 6.1 11.4 % 12.01 – 13.00% 9 1,866 73.3 % 6.8 12.7 % 13.01 – 14.00% 1 88 65.0 % 7.0 14.0 % 17.01 – 18.00% 12 3,569 74.0 % 4.3 18.0 % Total 673 $ 249,179 71.1 % 5.6 9.1 % December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 5.01 - 6.00% 9 $ 4,016 64.5 % 10.8 5.9 % 6.01 - 7.00% 64 18,420 67.8 % 10.6 6.7 % 7.01 – 8.00% 98 25,608 66.4 % 9.5 7.6 % 8.01 – 9.00% 56 19,728 70.3 % 11.9 8.9 % 9.01 – 10.00% 67 25,001 73.3 % 6.8 9.7 % 10.01 – 11.00% 36 10,656 75.4 % 5.0 10.8 % 11.01 – 12.00% 2 919 89.8 % 8.2 11.4 % 17.01 – 18.00% 8 1,520 73.8 % 5.9 18.0 % Total 340 $ 105,868 70.1 % 9.0 8.6 % The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at September 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): September 30, 2018 December 31, 2017 State Concentration Principal Balance State Concentration Principal Balance California 48.2 % $ 119,784 California 48.2 % $ 51,080 New York 9.5 % 23,791 Florida 13.4 % 14,199 Florida 6.6 % 16,354 Washington 6.3 % 6,645 New Jersey 5.5 % 13,723 New York 4.4 % 4,703 Texas 4.8 % 11,964 Texas 4.4 % 4,660 Other 25.4 % 63,563 Other 23.3 % 24,581 Total 100.0 % $ 249,179 Total 100.0 % $ 105,868 Non-performing Loans Residential Whole-Loans As of September 30, 2018 , there was one Residential Whole-Loan in non-accrual status with a current unpaid principal balance of $806 thousand and a fair value of $787 thousand . This nonperforming loan represents approximately 0.1% of the total outstanding principal balance. No allowance and provision for credit losses was recorded for this loan as of and for the three and nine months ended September 30, 2018 since the Company elected the fair value option. The Company stopped accruing interest income for this loan when it became contractually 90 days delinquent. As of December 31, 2017 , there was one Residential Whole-Loan in non-accrual status with a current unpaid principal balance of $579 thousand and a fair value of $570 thousand . This nonperforming loan represents approximately 0.2% of the total outstanding principal balance. No allowance for credit losses for this loan as of December 31, 2017 and no provision for credit losses for the three and nine months ended September 30, 2017 was recorded since the Company elected the fair value option. The Company stopped accruing interest income for this loan when it became contractually 90 days delinquent. Residential Bridge Loans As of September 30, 2018 , there were 11 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $4.2 million and 4 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $727 thousand . These nonperforming loans represent approximately 2.0% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 74% . No allowance and provision for credit losses was recorded for loans carried at amortized costs as of and for the three and nine months ended September 30, 2018 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. No allowance and provision for credit losses was recorded for loans carried at fair value as of and for the three and nine months ended September 30, 2018 since the Company elected the fair value option. The Company stopped accruing interest income for this loan when it became contractually 90 days delinquent. As of December 31, 2017 , there were 9 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $1.8 million . These nonperforming loans represent approximately 1.7% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 74% . No allowance for credit losses as of as December 31, 2017 and no provision for credit losses for the three and nine months ended September 30, 2017 was recorded since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. Commercial Loans Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At September 30, 2018 , the Company had variable interests in two CMBS VIEs, CMSC Trust 2015 - Longhouse MZ and RETL 2018- RVP, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIE's can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. CMSC Trust 2015 - Longhouse MZ In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CMSC Trust 2015 - Longhouse MZ (“CMSC Trust”), with an outstanding balance of $13.8 million and a fair value of $13.8 million at September 30, 2018 . The Company determined that CMSC Trust was a VIE and that the Company was the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company was required to consolidate CMSC Trust and accordingly its $13.8 million investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.6 million mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.6 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt. RETL 2018-RVP In March 2018, the Company acquired a $67.8 million interest in the trust certificate issued by RETL 2018-RVP (“RETL Trust”), which represents the 5% eligible horizontal residual interest under the Credit Risk Retention Rules of Section 15G of the Exchange Act. Under the credit risk retention rules, the Company must retain its investment for five years and is limited in its ability to finance and hedge its investment. The trust certificate's pass-through rate is one month LIBOR plus 9.5% . The outstanding balance and the fair value of the Company's interest in the trust were $58.0 million and $58.2 million , respectively, at September 30, 2018 . The Company determined that RETL Trust was a VIE and that the Company was the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. The owner of 50% or more of the controlling class has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company was required to consolidate RETL and accordingly its investment in RETL was eliminated in consolidation. The RETL Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on this commercial loan is $1.15 billion as of September 30, 2018 . The loan's stated maturity date is February 9, 2021 (subject to the borrower's option to extend the initial stated maturity date for two successive one-year terms) and bears an interest rate of one month LIBOR plus 3.15% . The commercial loan serves as collateral for the $1.15 billion of securitized debt issued. Refer to Note 7 - "Financings" for details on the associated securitized debt. Commercial Loans In March 2018, the Company acquired a $20.0 million interest-only mezzanine loan secured by a partnership interest in an entity that owns a hotel. The mezzanine loan has a maturity date of December 9, 2019 with three one -year extension options and bears an interest rate of one month LIBOR plus 6.5% . In June 2018, the Company acquired a $30.0 million interest-only commercial loan. The loan is secured by a hotel. The loan has a maturity date of June 9, 2020 with a one -year extension option and bears an interest rate of one month LIBOR plus 4.5% . On August 3, 2018 the loan was transfered into our Residential Whole Loan Trust RMI 2015 Trust. Commercial Loan Trust Revolving Small Balance Commercial Trust 2018-1 In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. In March 2018, RSBC Trust acquired a $20.6 million interest-only first lien commercial mortgage loan ("SBC-Loan 1") collateralized by three assisted care living facilities. The loan matures on March 6, 2019 and bears an interest rate of one month LIBOR plus 4.75% . In August 2018, SBC-Loan 1 was paid in full. In July 2018, RSBC Trust acquired a $45.2 million interest-only commercial real estate mortgage loan ("SBC-Loan 2") secured by skilled nursing facilities. SBC-Loan 2 matures on July 6, 2020 with two extension options of one year each and bears an interest rate of one month LIBOR plus 4.25% subject to a LIBOR floor of 1.25% . In September 2018, RSBC Trust acquired a $49.6 million interest-only commercial real estate mortgage loan ("SBC-Loan 3") secured by assisted care living facilities. SBC-Loan 3 matures on September 6, 2021 with a one extension option of one year and bears an interest rate of one month LIBOR plus 5.30% , subject to a LIBOR floor of 1.90% and a LIBOR cap of 3.50% . The Company determined that the wholly owned RSBC Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust and holds significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2018 , the Company financed the trust certificate with $61.6 million of repurchase agreement borrowings, which is a liability held outside the trust. Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated trusts, CMSC Trust, RETL Trust and RSBC Trust collectively hold four commercial loans as of September 30, 2018 . The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Restricted cash $ 100,138 $ — Securitized commercial loans, at fair value 1,191,048 24,876 Commercial Loans, at fair value 93,846 — Interest receivable 3,544 161 Total assets $ 1,388,576 $ 25,037 Securitized debt, at fair value $ 1,119,089 $ 10,945 Interest payable 2,487 70 Accounts payable and accrued expenses 15 1 Other liabilities 100,138 — Total liabilities $ 1,221,729 $ 11,016 The Company’s risk with respect to its investment in each commercial loan trust is limited to its direct ownership in the trust. The commercial loans held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and nine months ended September 30, 2018 and September 30, 2017 . The following table presents the components of the carrying value of the commercial real estate loans as of September 30, 2018 and December 31, 2017 (dollars in thousands): CMSC Trust Securitized Commercial Loan, at Fair Value RETL Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Principal balance $ 24,556 $ 24,846 $ 1,154,283 $ — $ 94,787 $ — $ 50,000 $ — Unamortized premium — — 1,027 — — — — — Unamortized discount — — — — (445 ) — (232 ) — Amortized cost 24,556 24,846 1,155,310 — 94,342 — 49,768 — Gross unrealized gains 86 30 11,096 — — — 380 — Gross unrealized losses — — — — (496 ) — (43 ) — Fair value $ 24,642 $ 24,876 $ 1,166,406 $ — $ 93,846 $ — $ 50,105 $ — |
Commercial Loans
Commercial Loans | 9 Months Ended |
Sep. 30, 2018 | |
Noncontrolling Interest [Abstract] | |
Commercial Loans | Residential Whole-Loans and Bridge Loans Residential Whole-Loan Trust The consolidated financial statements include the consolidation of Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. RMI 2015 Trust has issued a trust certificate that is wholly owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole-Loans and the Commercial Loan held by the trust. As of September 30, 2018 , the Company financed the trust certificate with $334.9 million of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies the underlying Residential Whole-Loans owned by the trust in "Residential Whole-Loans, at fair value" and the Commercial Loan in "Commercial Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation. Refer to Note 6 - "Commercial Loans" for details on the commercial real estate mortgage loan. In August 2018, the Company formed Revolving Mortgage Investment Trust 2018-RCR ("RCR Trust") to acquire conforming Residential Whole-Loans. The Company determined that RCR Trust was a VIE and that the Company was the primary beneficiary of the trust because it was involved in the design of the trust of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2018 , the Company financed the trust certificate with $258.1 million of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies the underlying conforming mortgages owned by the trust in "Residential Whole-Loans" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. In September 2018, the Company formed Revolving Mortgage Investment Trust 2018-RNR ("RNR Trust") to acquire Non-QM Residential Whole-Loans. The Company determined that RNR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2018 , the Company financed the trust certificate with $15.3 million of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole-Loans in "Residential Whole-Loans" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. Residential Bridge Loan Trust In February 2017, The Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the beneficial interest in pools of Residential Bridge Loans and certain Residential Whole-Loans held by the trust. Residential Bridge Loans are mortgage loans secured by residences, typically short-term. The Company determined that RMI Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2018 , the Company financed the trust certificate with $219.7 million of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies both the underlying Residential Bridge Loans carried at amortized cost and the Residential Bridge Loans that it elected the fair value option in "Residential Bridge Loans" and the Residential Whole-Loans in "Residential Whole-Loans" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. Consolidated Residential Whole-Loan and Residential Bridge Loan Trusts The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated Residential Whole-Loan trusts collectively hold 1,936 Residential Whole-Loans and one commercial loan and the consolidated Bridge Loan Trust holds 673 Residential Bridge Loans and 13 Residential Whole-Loans as of September 30, 2018 . The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts, residential bridge loan trust included in the Consolidated Balance Sheets as of September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively) $ 684,463 $ 237,423 Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) 249,471 106,673 Commercial loan, at fair value 29,831 — Investment related receivable 33,430 7,665 Interest receivable 8,874 3,197 Other assets 203 — Total assets $ 1,006,272 $ 354,958 Accounts payable and accrued expenses 722 188 Other liabilities 393 — Total liabilities $ 1,115 $ 188 The Company’s risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole-Loans, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and nine months ended September 30, 2018 and September 30, 2017 . The following table presents the components of the carrying value of Residential Whole-Loans and Residential Bridge Loans as of September 30, 2018 and December 31, 2017 (dollars in thousands): Residential Whole-Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Principal balance $ 674,763 $ 232,270 $ 234,445 $ 63,802 $ 14,734 $ 42,066 Unamortized premium 10,592 2,021 1,426 293 28 122 Unamortized discount (2,499 ) (1,190 ) (434 ) (128 ) (38 ) (41 ) Amortized cost 682,856 233,101 235,437 63,967 14,724 42,147 Gross unrealized gains 5,506 4,463 525 655 N/A N/A Gross unrealized losses (3,899 ) (141 ) (1,215 ) (96 ) N/A N/A Fair value $ 684,463 $ 237,423 $ 234,747 $ 64,526 N/A N/A (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets. Residential Whole-Loans The Residential Whole-Loans have low LTV's and are comprised of 1,034 non-qualifying adjustable rate mortgages, 902 conforming fixed rate mortgages and 13 investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 69 $ 22,732 61.4 % 738 7.5 29.3 3.9 % 4.01– 5.00% 1,159 405,934 62.2 % 734 3.6 28.8 4.7 % 5.01 – 6.00% 708 238,961 63.2 % 709 2.8 28.0 5.4 % 6.01 – 7.00% 11 6,685 64.9 % 748 1.4 25.4 6.3 % 7.01 - 8.00% 1 357 70.0 % 777 1.9 29.3 7.2 % 8.01 - 9.00% 1 94 70.0 % 689 1.9 29.3 8.4 % Total 1,949 $ 674,763 62.6 % 727 3.4 28.5 4.9 % (1) The original FICO score is not available for 240 loans with a principal balance of approximately $81.6 million at September 30, 2018 . The Company has excluded these loans from the weighted average computations. December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 142 $ 55,593 55.5 % 751 1.7 29.1 3.9 % 4.01– 5.00% 338 125,860 56.9 % 725 1.4 26.5 4.5 % 5.01 – 6.00% 132 48,553 58.2 % 728 1.6 27.0 5.2 % 6.01 – 7.00% 4 2,264 71.1 % 758 1.3 20.5 6.3 % Total 616 $ 232,270 57.0 % 734 1.5 27.1 4.5 % (1) The original FICO score is not available for 141 loans with a principal balance of approximately $56.5 million at December 31, 2017 . The Company has excluded these loans from the weighted average computations. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole-Loans at September 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): September 30, 2018 December 31, 2017 State State Concentration Principal Balance State State Concentration Principal Balance California 68.8 % $ 463,638 California 62.2 % $ 144,321 New York 15.6 % 105,435 New York 24.4 % 56,631 Georgia 2.9 % 19,324 Georgia 4.3 % 10,061 Washington 2.2 % 14,886 Washington 4.0 % 9,244 Massachusetts 1.3 % 8,504 Massachusetts 3.9 % 9,114 Other 9.2 % 62,976 Other 1.2 % 2,899 Total 100.0 % $ 674,763 Total 100.0 % $ 232,270 Residential Bridge Loans The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 6.01 – 7.00% 14 $ 5,264 61.8 % 2.6 6.7 % 7.01 – 8.00% 127 57,820 72.9 % 6.5 7.7 % 8.01 – 9.00% 213 94,873 70.2 % 5.4 8.7 % 9.01 – 10.00% 189 59,927 72.3 % 5.5 9.7 % 10.01 – 11.00% 71 16,651 71.3 % 5.0 10.6 % 11.01 – 12.00% 37 9,121 63.5 % 6.1 11.4 % 12.01 – 13.00% 9 1,866 73.3 % 6.8 12.7 % 13.01 – 14.00% 1 88 65.0 % 7.0 14.0 % 17.01 – 18.00% 12 3,569 74.0 % 4.3 18.0 % Total 673 $ 249,179 71.1 % 5.6 9.1 % December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 5.01 - 6.00% 9 $ 4,016 64.5 % 10.8 5.9 % 6.01 - 7.00% 64 18,420 67.8 % 10.6 6.7 % 7.01 – 8.00% 98 25,608 66.4 % 9.5 7.6 % 8.01 – 9.00% 56 19,728 70.3 % 11.9 8.9 % 9.01 – 10.00% 67 25,001 73.3 % 6.8 9.7 % 10.01 – 11.00% 36 10,656 75.4 % 5.0 10.8 % 11.01 – 12.00% 2 919 89.8 % 8.2 11.4 % 17.01 – 18.00% 8 1,520 73.8 % 5.9 18.0 % Total 340 $ 105,868 70.1 % 9.0 8.6 % The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at September 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): September 30, 2018 December 31, 2017 State Concentration Principal Balance State Concentration Principal Balance California 48.2 % $ 119,784 California 48.2 % $ 51,080 New York 9.5 % 23,791 Florida 13.4 % 14,199 Florida 6.6 % 16,354 Washington 6.3 % 6,645 New Jersey 5.5 % 13,723 New York 4.4 % 4,703 Texas 4.8 % 11,964 Texas 4.4 % 4,660 Other 25.4 % 63,563 Other 23.3 % 24,581 Total 100.0 % $ 249,179 Total 100.0 % $ 105,868 Non-performing Loans Residential Whole-Loans As of September 30, 2018 , there was one Residential Whole-Loan in non-accrual status with a current unpaid principal balance of $806 thousand and a fair value of $787 thousand . This nonperforming loan represents approximately 0.1% of the total outstanding principal balance. No allowance and provision for credit losses was recorded for this loan as of and for the three and nine months ended September 30, 2018 since the Company elected the fair value option. The Company stopped accruing interest income for this loan when it became contractually 90 days delinquent. As of December 31, 2017 , there was one Residential Whole-Loan in non-accrual status with a current unpaid principal balance of $579 thousand and a fair value of $570 thousand . This nonperforming loan represents approximately 0.2% of the total outstanding principal balance. No allowance for credit losses for this loan as of December 31, 2017 and no provision for credit losses for the three and nine months ended September 30, 2017 was recorded since the Company elected the fair value option. The Company stopped accruing interest income for this loan when it became contractually 90 days delinquent. Residential Bridge Loans As of September 30, 2018 , there were 11 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $4.2 million and 4 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $727 thousand . These nonperforming loans represent approximately 2.0% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 74% . No allowance and provision for credit losses was recorded for loans carried at amortized costs as of and for the three and nine months ended September 30, 2018 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. No allowance and provision for credit losses was recorded for loans carried at fair value as of and for the three and nine months ended September 30, 2018 since the Company elected the fair value option. The Company stopped accruing interest income for this loan when it became contractually 90 days delinquent. As of December 31, 2017 , there were 9 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $1.8 million . These nonperforming loans represent approximately 1.7% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 74% . No allowance for credit losses as of as December 31, 2017 and no provision for credit losses for the three and nine months ended September 30, 2017 was recorded since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. Commercial Loans Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At September 30, 2018 , the Company had variable interests in two CMBS VIEs, CMSC Trust 2015 - Longhouse MZ and RETL 2018- RVP, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIE's can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. CMSC Trust 2015 - Longhouse MZ In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CMSC Trust 2015 - Longhouse MZ (“CMSC Trust”), with an outstanding balance of $13.8 million and a fair value of $13.8 million at September 30, 2018 . The Company determined that CMSC Trust was a VIE and that the Company was the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company was required to consolidate CMSC Trust and accordingly its $13.8 million investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.6 million mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.6 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt. RETL 2018-RVP In March 2018, the Company acquired a $67.8 million interest in the trust certificate issued by RETL 2018-RVP (“RETL Trust”), which represents the 5% eligible horizontal residual interest under the Credit Risk Retention Rules of Section 15G of the Exchange Act. Under the credit risk retention rules, the Company must retain its investment for five years and is limited in its ability to finance and hedge its investment. The trust certificate's pass-through rate is one month LIBOR plus 9.5% . The outstanding balance and the fair value of the Company's interest in the trust were $58.0 million and $58.2 million , respectively, at September 30, 2018 . The Company determined that RETL Trust was a VIE and that the Company was the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. The owner of 50% or more of the controlling class has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company was required to consolidate RETL and accordingly its investment in RETL was eliminated in consolidation. The RETL Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on this commercial loan is $1.15 billion as of September 30, 2018 . The loan's stated maturity date is February 9, 2021 (subject to the borrower's option to extend the initial stated maturity date for two successive one-year terms) and bears an interest rate of one month LIBOR plus 3.15% . The commercial loan serves as collateral for the $1.15 billion of securitized debt issued. Refer to Note 7 - "Financings" for details on the associated securitized debt. Commercial Loans In March 2018, the Company acquired a $20.0 million interest-only mezzanine loan secured by a partnership interest in an entity that owns a hotel. The mezzanine loan has a maturity date of December 9, 2019 with three one -year extension options and bears an interest rate of one month LIBOR plus 6.5% . In June 2018, the Company acquired a $30.0 million interest-only commercial loan. The loan is secured by a hotel. The loan has a maturity date of June 9, 2020 with a one -year extension option and bears an interest rate of one month LIBOR plus 4.5% . On August 3, 2018 the loan was transfered into our Residential Whole Loan Trust RMI 2015 Trust. Commercial Loan Trust Revolving Small Balance Commercial Trust 2018-1 In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. In March 2018, RSBC Trust acquired a $20.6 million interest-only first lien commercial mortgage loan ("SBC-Loan 1") collateralized by three assisted care living facilities. The loan matures on March 6, 2019 and bears an interest rate of one month LIBOR plus 4.75% . In August 2018, SBC-Loan 1 was paid in full. In July 2018, RSBC Trust acquired a $45.2 million interest-only commercial real estate mortgage loan ("SBC-Loan 2") secured by skilled nursing facilities. SBC-Loan 2 matures on July 6, 2020 with two extension options of one year each and bears an interest rate of one month LIBOR plus 4.25% subject to a LIBOR floor of 1.25% . In September 2018, RSBC Trust acquired a $49.6 million interest-only commercial real estate mortgage loan ("SBC-Loan 3") secured by assisted care living facilities. SBC-Loan 3 matures on September 6, 2021 with a one extension option of one year and bears an interest rate of one month LIBOR plus 5.30% , subject to a LIBOR floor of 1.90% and a LIBOR cap of 3.50% . The Company determined that the wholly owned RSBC Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust and holds significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2018 , the Company financed the trust certificate with $61.6 million of repurchase agreement borrowings, which is a liability held outside the trust. Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated trusts, CMSC Trust, RETL Trust and RSBC Trust collectively hold four commercial loans as of September 30, 2018 . The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Restricted cash $ 100,138 $ — Securitized commercial loans, at fair value 1,191,048 24,876 Commercial Loans, at fair value 93,846 — Interest receivable 3,544 161 Total assets $ 1,388,576 $ 25,037 Securitized debt, at fair value $ 1,119,089 $ 10,945 Interest payable 2,487 70 Accounts payable and accrued expenses 15 1 Other liabilities 100,138 — Total liabilities $ 1,221,729 $ 11,016 The Company’s risk with respect to its investment in each commercial loan trust is limited to its direct ownership in the trust. The commercial loans held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and nine months ended September 30, 2018 and September 30, 2017 . The following table presents the components of the carrying value of the commercial real estate loans as of September 30, 2018 and December 31, 2017 (dollars in thousands): CMSC Trust Securitized Commercial Loan, at Fair Value RETL Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Principal balance $ 24,556 $ 24,846 $ 1,154,283 $ — $ 94,787 $ — $ 50,000 $ — Unamortized premium — — 1,027 — — — — — Unamortized discount — — — — (445 ) — (232 ) — Amortized cost 24,556 24,846 1,155,310 — 94,342 — 49,768 — Gross unrealized gains 86 30 11,096 — — — 380 — Gross unrealized losses — — — — (496 ) — (43 ) — Fair value $ 24,642 $ 24,876 $ 1,166,406 $ — $ 93,846 $ — $ 50,105 $ — |
Financings
Financings | 9 Months Ended |
Sep. 30, 2018 | |
Debt Disclosure [Abstract] | |
Financings | Financings Repurchase Agreements The Company primarily finances its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to six months. The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company’s portfolio. For all the repurchase agreements with outstanding borrowings, the Company was in compliance with the terms of such financial tests as of September 30, 2018 . As of September 30, 2018 , the Company had master repurchase agreements with 28 counterparties. As of September 30, 2018 , the Company had borrowings under repurchase agreements with 16 counterparties. The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Agency RMBS $ 393,486 2.39 % 60 $ 665,919 1.62 % 61 Agency CMBS 1,833,352 2.36 % 62 2,035,222 1.53 % 53 Non-Agency RMBS 71,117 3.70 % 31 46,530 2.76 % 41 Non-Agency CMBS (1) 212,282 3.79 % 48 154,325 2.98 % 40 Residential Whole-Loans (2) 585,178 3.65 % 35 189,270 3.66 % 8 Residential Bridge Loans (2) 216,917 4.37 % 26 100,183 4.05 % 59 Commercial loans (2) 87,567 4.33 % 27 — — % — Securitized commercial loans (2) 7,599 3.99 % 12 — — % — Other securities 61,821 3.86 % 29 60,237 2.94 % 23 Borrowings under repurchase agreements $ 3,469,319 2.90 % 52 $ 3,251,686 1.86 % 51 (1) Includes approximately $22.6 million of repurchase agreement borrowings related to securities sold in September 2018 that was paid off when the sale settled in October 2018. (2) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. At September 30, 2018 and December 31, 2017 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2018 December 31, 2017 Overnight $ — $ — 1 to 29 days 1,494,121 1,387,599 30 to 59 days 332,521 665,656 60 to 89 days 1,531,084 871,819 90 to 119 days 111,593 — Greater than or equal to 120 days — 326,612 Total $ 3,469,319 $ 3,251,686 At September 30, 2018 , the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): September 30, 2018 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse AG, Cayman Islands Branch $ 88,584 29 16.5 % Nomura Securities International Inc. 72,697 29 13.6 % UBS AG, London Branch 65,095 33 12.2 % Citigroup Global Markets Inc. 56,038 80 10.5 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 403,339 $ 1,608 $ 404,947 $ 690,255 $ 2,601 $ 692,856 Agency CMBS, at fair value 1,922,520 5,391 1,927,911 2,143,340 5,454 2,148,794 Non-Agency RMBS, at fair value 98,863 718 99,581 58,127 160 58,287 Non-Agency CMBS, at fair value (3) 286,728 1,223 287,951 208,062 1,100 209,162 Residential Whole-Loans, at fair value (1) 684,463 4,778 689,241 237,423 1,754 239,177 Residential Bridge Loans (1) 249,471 3,975 253,446 106,673 1,443 108,116 Commercial Loans, at fair value (1) 123,677 789 124,466 — — — Securitized commercial loans, at fair value (1) 13,800 85 13,885 — — — Other securities, at fair value 92,391 179 92,570 89,823 105 89,928 Cash (2) 18,625 — 18,625 23,591 — 23,591 Total $ 3,893,877 $ 18,746 $ 3,912,623 $ 3,557,294 $ 12,617 $ 3,569,911 (1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (2) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets. (3) Assets pledge included $35 million of investment related receivable related to the unsettled sale of Non-Agency CMBS. A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At September 30, 2018 and December 31, 2017 , investments held by counterparties as security for repurchase agreements totaled approximately $3.9 billion and approximately $3.5 billion , respectively. Cash collateral held by counterparties at September 30, 2018 and December 31, 2017 was approximately $18.6 million and approximately $23.6 million , respectively. Cash posted by repurchase agreement counterparties at September 30, 2018 and December 31, 2017 , was $700 thousand and approximately $1.5 million , respectively. In addition, at September 30, 2018 and December 31, 2017 , the Company held securities with a fair value of $168 thousand and $306 thousand , respectively, received as collateral from its repurchase agreement counterparties to satisfy margin requirements. The Company has the ability to repledge collateral received from its repurchase counterparties. Convertible Senior Unsecured Notes In October 2017, the Company issued $115.0 million aggregate principal amount of 6.75% convertible senior unsecured notes, which included the underwriter’s option to purchase $15.0 million aggregate principal amount of the notes for net proceeds of $111.1 million . The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity. The notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the agreement. The initial conversion rate was 83.1947 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $12.02 per share of common stock. Securitized Debt CMSC Trust 2015 - Longhouse MZ CMSC Trust issued $25.0 million in commercial pass-through certificates. The outstanding balance of the trust certificates was $24.6 million at September 30, 2018 , with a fair value of $24.6 million . The trust certificates bear a fixed interest rate of 8.9% and mature on July 6, 2020. The Company owns $13.8 million of the trust certificates which was eliminated in consolidation and the remaining $10.8 million is held by related parties and is carried at a fair value of $10.8 million . RETL 2018-RVP The following table summarizes RETL Trust's commercial mortgage pass-through certificates at September 30, 2018 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A $ 448,033 3.3% $ 449,570 2/15/2021 Class B 136,120 3.9% 136,800 2/15/2021 Class C 117,908 4.2% 118,718 2/15/2021 Class D 104,228 4.9% 105,141 2/15/2021 Class E 141,507 6.7% 143,456 2/15/2021 Class F 137,060 8.2% 138,948 2/15/2021 Class G 11,457 9.7% 11,592 2/15/2021 Class HRR 57,971 11.7% 58,156 2/15/2021 Class X-CP (1) N/A 2.6% 1,420 3/11/2019 Class X-EXT (1) N/A —% 2,606 2/15/2021 $ 1,154,284 $ 1,166,407 (1) Class X-CP and Class X-EXT are interest-only classes with a notional balance of $104.2 million each. The Company owns the HRR certificates which are eliminated in consolidation. Of the remaining outstanding principal balance of $1.1 billion , excluding the interest-only securities, of trust certificates, $298.5 million is owned by related parties and $797.9 million owned by third parties. The securitized debt of the RETL Trust can only be settled with the commercial loan that serves as collateral for the securitized debt and is non-recourse to the Company. |
Derivative Instruments
Derivative Instruments | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Derivative Instruments The Company’s derivatives may include interest rate swaps, options, futures contracts, TBAs, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, credit default swaps and total return swaps. The following table summarizes the Company’s derivative instruments at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ 572,400 $ 200 $ — $ — Options, asset Non-Hedge Derivative assets, at fair value 100,000 109 320,000 100 Futures contracts, asset Non-Hedge Derivative assets, at fair value 280,000 1,703 480,000 628 TBA securities, asset Non-Hedge Derivative assets, at fair value 600,000 688 — — Total derivative instruments, assets 2,700 728 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 3,739,400 (1,414 ) 3,252,200 (4,191 ) Options, liability Non-Hedge Derivative liability, at fair value — — 320,000 (50 ) Credit default swaps, liability Non-Hedge Derivative liability, at fair value 64,747 (362 ) 14,815 (95 ) TBA securities, liability Non-Hedge Derivative liability, at fair value 200,000 (383 ) 125,000 (10 ) Total derivative instruments, liabilities (2,159 ) (4,346 ) Total derivative instruments, net $ 541 $ (3,618 ) The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2018 and September 30, 2017 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended September 30, 2018 Interest rate swaps $ 95 $ 25,250 $ 772 $ (3,742 ) $ 1,190 $ 23,565 Interest-Only Strips— accounted for as derivatives — — (996 ) (929 ) 1,209 (716 ) Options — — — (253 ) — (253 ) Futures contracts 4,232 — — (1,994 ) — 2,238 Credit default swaps (83 ) — — (492 ) — (575 ) TBAs (8 ) — — 374 — 366 Total $ 4,236 $ 25,250 $ (224 ) $ (7,036 ) $ 2,399 $ 24,625 Three months ended September 30, 2017 Interest rate swaps $ (38 ) $ 9,564 $ 92 $ (2,028 ) $ (1,764 ) $ 5,826 Interest-Only Strips— accounted for as derivatives — — (1,486 ) 351 1,816 681 Options (957 ) — — 477 — (480 ) Futures contracts (77 ) — — — — (77 ) Foreign currency forwards 45 — — (15 ) — 30 Total return swaps (52 ) — — 329 95 372 TBAs 577 — — 288 — 865 Total $ (502 ) $ 9,564 $ (1,394 ) $ (598 ) $ 147 $ 7,217 Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net Total Nine months ended September 30, 2018 Interest rate swaps $ 114 $ 123,114 $ 1,064 $ (1,497 ) $ 886 $ 123,681 Interest-Only Strips— accounted for as derivatives — — (2,970 ) (959 ) 3,642 (287 ) Options (518 ) — — 47 — (471 ) Futures contracts 8,824 — — 1,075 — 9,899 Credit default swaps (125 ) — — (441 ) — (566 ) TBAs 126 — — 315 — 441 Total $ 8,421 $ 123,114 $ (1,906 ) $ (1,460 ) $ 4,528 $ 132,697 Nine months ended September 30, 2017 Interest rate swaps $ (150,593 ) $ (7,966 ) $ 378 $ 156,102 $ (12,662 ) $ (14,741 ) Interest rate swaptions (115 ) — — — — (115 ) Interest-Only Strips— accounted for as derivatives 526 — (5,055 ) (783 ) 6,229 917 Options (892 ) — — (134 ) — (1,026 ) Futures contracts (9,230 ) — — 2,416 — (6,814 ) Foreign currency forwards 25 — — 43 — 68 Total return swaps (552 ) — — 1,673 469 1,590 TBAs 3,148 — — 938 — 4,086 Total $ (157,683 ) $ (7,966 ) $ (4,677 ) $ 160,255 $ (5,964 ) $ (16,035 ) At September 30, 2018 and December 31, 2017 , the Company had cash pledged as collateral for derivatives which represents upfront cash collateral upon the Company entering into the derivative transaction and cash collateral for derivatives not cleared through the Chicago Mercantile Exchange ("CME"), of approximately $62.9 million and approximately $63.3 million , respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. The Company also held cash collateral against derivatives of $368 thousand and $0 at September 30, 2018 and December 31, 2017 , respectively, which is reported in "Due to counterparties" in the Consolidated Balance Sheets. Interest rate swaps and interest rate swaptions The Company enters into interest rate swaps and interest rate swaptions to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps and interest rate swaptions to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. Interest rate swaptions provide the Company the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company generally enters into MAC (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements as previously described. The Company has not elected to account for its interest rate swaps as “hedges” under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain (loss) on derivatives instruments, net" in the Consolidated Statements of Operations. Interest Rate Swaps The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting (1) 1 year or less $ 400,000 1.5 % 2.3 % 0.8 — % Greater than 1 year and less than 3 years 200,000 1.8 % 2.3 % 1.7 — % Greater than 3 years and less than 5 years 1,164,700 2.4 % 2.3 % 4.1 — % Greater than 5 years 2,064,700 2.7 % 2.3 % 10.2 29.0 % Total $ 3,829,400 2.4 % 2.3 % 6.9 15.6 % September 30, 2018 Variable Pay Interest Rate Swap Remaining Term Notional Amount Average Variable Pay Rate Average Fixed Receive Rate Average Maturity (Years) Forward Starting (1) Greater than 5 years $ 482,400 2.3 % 2.4 % 8.6 — % Total $ 482,400 2.3 % 2.4 % 8.6 — % December 31, 2017 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting (1) Greater than 1 year and less than 3 years $ 600,000 1.6 % 1.5 % 1.8 — % Greater than 3 years and less than 5 years 960,000 2.0 % 1.4 % 4.3 — % Greater than 5 years 1,692,200 2.5 % 1.4 % 10.5 90.2 % Total $ 3,252,200 2.2 % 1.4 % 7.1 46.9 % (1) Represents the percentage of notional that is forward starting. The Company had no variable pay interest rate swap as of December 31, 2017 . As of September 30, 2018 and December 31, 2017 , the Company has entered into fixed-pay forward starting interest rate swaps of approximately $599.3 million and $1.5 billion , respectively, which have weighted average forward starting dates of 2.6 months and 4.0 months, respectively. Options The Company may enter into options on U.S. Treasuries and Eurodollar instruments. As of September 30, 2018 , the Company had long position options on U.S. Treasuries with a notional amount of $100.0 million and a fair value in an asset position of $109 thousand . As of December 31, 2017 , the Company had long position options on U.S. Treasuries with a notional amount of $320.0 million and a fair value in an asset position of $100 thousand and short position options on U.S. Treasuries with a notional amount of $320.0 million and a fair value in a liability position of $50 thousand . Futures Contracts The Company may enter into Eurodollar, Volatility Index, and U.S. Treasury futures. As of September 30, 2018 , the Company entered into contracts to sell or short positions for U.S. Treasuries with a notional amount of $280.0 million , a fair value in an asset position of $1.7 million and an expiration date of December 2018 . As of December 31, 2017 , the Company had entered into contracts to buy or long positions for U.S. Treasuries with a notional amount of $480.0 million , a fair value in an asset position of $628 thousand and an expiration date of March 2018 . To-Be-Announced Securities The Company purchased or sold TBAs during the nine months ended September 30, 2018 and the year ended December 31, 2017 . The following is a summary of the Company's long and short TBA positions as of September 30, 2018 and December 31, 2017 reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): September 30, 2018 December 31, 2017 Notional Fair Notional Fair Purchase contracts, asset $ 400,000 $ 641 $ — $ — Sale contracts, asset (200,000 ) 47 — — TBA securities, asset 200,000 688 — — Purchase contracts, liability — — 125,000 (10 ) Sale contracts, liability (200,000 ) (383 ) — — TBA securities, liability (200,000 ) (383 ) 125,000 (10 ) TBA securities, net $ — $ 305 $ 125,000 $ (10 ) The following tables present additional information about the Company’s contracts to purchase and sell TBAs for the nine months ended September 30, 2018 and the year ended December 31, 2017 (dollars in thousands): Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount December 31, 2017 September 30, 2018 Purchase of TBAs $ 125,000 $ 5,525,000 $ (5,250,000 ) $ 400,000 Sale of TBAs $ — $ 5,650,000 $ (5,250,000 ) $ 400,000 Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount December 31, 2016 December 31, 2017 Purchase of TBAs $ — $ 5,843,200 $ (5,718,200 ) $ 125,000 Sale of TBAs $ — $ 5,718,200 $ (5,718,200 ) $ — Interest-Only Strips The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as a MBS investment in the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received. The carrying value of these Interest-Only Strips is included in "Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets. Credit Default Swaps As of September 30, 2018 , the Company had entered into credit default swaps with a notional amount of $64.7 million and a fair value in net liability position of $362 thousand . As of December 31, 2017 , the Company had entered into credit default swaps with a notional amount of $14.8 million and a fair value in a liability position of $95 thousand . Under these instruments, the Company makes a monthly premium payment over the term of the contract in exchange for the counterparty making a payment to the Company for losses of the reference securities, upon the occurrence of a specified credit event. |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 9 Months Ended |
Sep. 30, 2018 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 12,247 $ — $ 12,247 $ (10,369 ) $ — $ 1,878 Derivative asset, at fair value (2) 2,700 — 2,700 (575 ) (368 ) 1,757 Total derivative assets $ 14,947 $ — $ 14,947 $ (10,944 ) $ (368 ) $ 3,635 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 2,159 $ — $ 2,159 $ (575 ) $ (1,576 ) $ 8 Repurchase Agreements (4) 3,469,319 — 3,469,319 (3,469,319 ) — — Total derivative liability $ 3,471,478 $ — $ 3,471,478 $ (3,469,894 ) $ (1,576 ) $ 8 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $62.9 million as of September 30, 2018 . (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.9 billion as of September 30, 2018 . December 31, 2017 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 16,176 $ — $ 16,176 $ (11,633 ) $ — $ 4,543 Derivative asset, at fair value (2) 728 — 728 (50 ) — 678 Total derivative assets $ 16,904 $ — $ 16,904 $ (11,683 ) $ — $ 5,221 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 4,346 $ — $ 4,346 $ (50 ) $ (4,270 ) $ 26 Repurchase Agreements (4) 3,251,686 — 3,251,686 (3,251,686 ) — — Total derivative liability $ 3,256,032 $ — $ 3,256,032 $ (3,251,736 ) $ (4,270 ) $ 26 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, total return swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $63.3 million as of December 31, 2017 . (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.5 billion as of December 31, 2017 . Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2018 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Management Agreement In connection with the Company’s initial public offering ("IPO") in May 2012, the Company entered into a management agreement (the “Management Agreement”) with the Manager, which describes the services to be provided by the Manager and compensation for such services. The Manager is responsible for managing the Company’s operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company’s Board of Directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company’s stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, “stockholders’ equity” means the sum of the net proceeds from any issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company’s shares of common stock, excluding any unrealized gains or losses on our investments and derivatives and other non-cash items (excluding OTTI ) that have impacted stockholders' equity as reported in the Company’s consolidated financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. However, if the Company’s stockholders’ equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter. In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company’s CFO, controller and their staff. Expense reimbursements to the Manager are made in cash on a regular basis. The Company’s reimbursement obligation is not subject to any dollar limitation. Because the Manager’s personnel perform certain legal, accounting, due diligence tasks and other services that outside professionals or outside consultants otherwise would perform, the Manager may be paid or reimbursed for the documented cost of performing such tasks, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm’s-length basis. The Management Agreement may be amended, supplemented or modified by agreement between the Company and the Manager. The Management Agreement expires on May 16, 2019. It is automatically renewed for one -year terms on each May 15th unless previously terminated as described below. The Company’s independent directors review the Manager’s performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company’s independent directors, based upon: (i) the Manager’s unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company’s determination that any fees payable to the Manager are not fair, subject to the Manager’s right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company’s independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24 -month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company’s Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company’s independent directors, which is defined as: (i) the Manager’s continued material breach of any provision of the Management Agreement (including the Manager’s failure to comply with the Company’s investment guidelines); (ii) the Manager’s fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager’s gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. In September 2018, the Company completed a secondary public offering in which it sold 6,500,000 share of its common stock for net proceeds of approximately $67.8 million after subtracting underwriting commissions and offering expenses. Refer to Note12- "Stockholders' Equity" for details on the secondary public offering Our Manager will not earn a management fee on the newly issued equity through March 31, 2019, to reduce any impact on earnings as the Company fully deploys the capital into its target assets. For the three months ended September 30, 2018 and September 30, 2017 , the Company incurred approximately $2.3 million and approximately $1.9 million in management fees, respectively. For the nine months ended September 30, 2018 and September 30, 2017 , the Company incurred approximately $6.7 million and approximately $6.2 million in management fees, respectively. In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company as defined in the Management Agreement. For the three months ended September 30, 2018 and September 30, 2017 , the Company recorded expenses included in general and administrative expenses totaling approximately $205 thousand and approximately $202 thousand , respectively, related to reimbursable employee costs. For the nine months ended September 30, 2018 and September 30, 2017 , the Company recorded expenses included in general and administrative expenses totaling approximately $1.3 million and approximately $1.1 million , respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company’s general and administrative expenses in the Consolidated Statements of Operations. At September 30, 2018 and December 31, 2017 , approximately $2.3 million and approximately $1.9 million , respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. In addition, at September 30, 2018 and December 31, 2017 , approximately $205 thousand and approximately $99 thousand , respectively, of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. |
Share-Based Payments
Share-Based Payments | 9 Months Ended |
Sep. 30, 2018 | |
Share-based Compensation [Abstract] | |
Share-Based Payments | Share-Based Payments In conjunction with the Company’s IPO and concurrent private placement, the Company’s Board of Directors approved the Western Asset Mortgage Capital Corporation Equity Plan (the “Equity Plan”) and the Western Asset Manager Equity Plan (the “Manager Equity Plan” and collectively the “Equity Incentive Plans”). The Equity Incentive Plans include provisions for grants of restricted common stock and other equity-based awards to the Manager, its employees and employees of its affiliates and to the Company’s directors, officers and employees. The Company can issue up to 3.0% of the total number of issued and outstanding shares of its common stock (on a fully diluted basis) at the time of each award (other than any shares previously issued or subject to awards made pursuant to one of the Company’s Equity Incentive Plans) under these Equity Incentive Plans. Upon the completion of the September 2018 secondary public offering, the number of shares of common stock available under the Equity Incentive Plans increased to 1,423,609 . Approximately 753,205 shares have been issued under the Equity Plans with 670,404 shares available for issuance, as of September 30, 2018 . Under the Equity Plan, the Company made the following grants during the nine months ended September 30, 2018 and the year ended December 31, 2017 : On June 1, 2017, the Company granted a total of 15,536 shares ( 3,884 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares vested in full on June 1, 2018, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company’s Director Deferred Fee Plan (the “Director Deferred Fee Plan”). The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director. On June 7, 2018, the Company granted a total of 25,904 shares ( 6,476 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares will vest in full on June 1, 2019, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company’s Director Deferred Fee Plan (the “Director Deferred Fee Plan”). The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director. During the nine months ended September 30, 2018 and September 30, 2017 , 84,203 and 152,630 restricted common shares vested, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan. The Company recognized stock-based compensation expense of approximately $70 thousand and approximately $218 thousand for the three months ended September 30, 2018 and September 30, 2017 , respectively. The Company recognized stock-based compensation expense of approximately $195 thousand and approximately $795 thousand for the nine months ended September 30, 2018 and September 30, 2017 , respectively. In addition, the Company had unamortized compensation expense of $187 thousand for equity awards and $0 for liability awards and $66 thousand for equity awards and approximately $111 thousand for liability awards at September 30, 2018 and December 31, 2017 , respectively. All restricted common shares granted, other than those whose issuance has been deferred pursuant to the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote. Dividend equivalent payments otherwise allocable to restricted common shares under the Company's Deferred Compensation Plan are deemed to purchase additional phantom shares of the Company’s common stock that are credited to each participant’s deferral account. The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee’s continuing to provide services to the Company as of the vesting date. Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee. The following is a summary of restricted common stock vesting dates as of September 30, 2018 and December 31, 2017 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: September 30, 2018 December 31, 2017 Vesting Date Shares Vesting Shares Vesting March 2018 — 66,667 June 2018 — 16,488 June 2019 26,708 — 26,708 83,155 The following table presents information with respect to the Company’s restricted stock for the nine months ended September 30, 2018 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 725,449 $ 17.00 Granted (2) 27,756 10.78 Cancelled/forfeited — — Outstanding at end of period 753,205 $ 16.77 Unvested at end of period 26,708 $ 10.81 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. (2) Includes 1,852 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2018 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Warrants On May 9, 2012, the Company entered into agreements with certain institutional investors to sell 2,231,787 warrant units. Each warrant unit consists of one share of the Company’s common stock and a warrant to purchase 0.5 of a share of the Company’s common stock, subject to adjustment. As of September 30, 2018 , the adjusted exercise price of the warrants was $15.87 per share and there were a total of 1,232,916 warrant shares purchasable. The warrants expire on May 15, 2019. At-The-Market Program In April 2017, the Company entered into an equity distribution agreement with JMP Securities LLC under which the Company may offer and sell up to $100.0 million shares of common stock in an At-The-Market equity offering. The Company has not sold any shares under this agreement. Secondary Public Offering In September 2018, the Company completed a secondary public offering in which it sold 6,500,000 of its common stock, including 303,422 shares of treasury stock, at a price of $10.85 per share, for net proceeds of approximately $67.8 million after subtracting underwriting commissions and offering expenses of approximately $2.7 million . The Company used the net proceeds from the offering to opportunistically invest in its target assets in accordance with its investment guidelines. Stock Repurchase Program On December 21, 2017, the Board of Directors of the Company reauthorized its repurchase program of up to 2,100,000 shares of its common stock through December 31, 2019. The previous reauthorization announced on February 25, 2016 of the Company's repurchase program of up to 2,050,000 shares of its common stock expired on December 31, 2017. Purchases made pursuant to the program will be made in the open market, in privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities and Exchange Act of 1934, as amended. The authorization does not obligate the Company to acquire any particular amount of common shares and the program may be suspended or discontinued at the Company’s discretion without prior notice. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. As of September 30, 2018 , the Company has repurchased 303,422 shares of common stock accounted for as treasury stock pursuant to the authorization. In September 2018, the Company re-issued all 303,422 shares in treasury stock as part of its secondary public offering. Dividends The following table presents cash dividends declared and paid by the Company on its common stock: Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2018 September 17, 2018 September 27, 2018 October 26, 2018 $ 0.31 Not yet determined June 21, 2018 July 2, 2018 July 26, 2018 $ 0.31 Not yet determined March 22, 2018 April 2, 2018 April 26, 2018 $ 0.31 Not yet determined 2017 December 21, 2017 January 2, 2018 January 26, 2018 $ 0.31 Return of capital September 21, 2017 October 2, 2017 October 26, 2017 $ 0.31 Return of capital June 20, 2017 June 30, 2017 July 26, 2017 $ 0.31 Return of capital March 23, 2017 April 3, 2017 April 26, 2017 $ 0.31 Ordinary income |
Net Income per Common Share
Net Income per Common Share | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share [Abstract] | |
Net Income per Common Share | Net Income per Common Share The table below presents basic and diluted net income per share of common stock using the two-class method for the three and nine months ended September 30, 2018 and September 30, 2017 (dollars, other than shares and per share amounts, in thousands): For the three months ended September 30, 2018 For the three months ended September 30, 2017 Nine months ended September 30, 2018 Nine months ended September 30, 2017 Numerator : Net income attributable to common stockholders and participating securities for basic and diluted earnings per share $ 20,882 $ 22,767 $ 44,064 $ 63,693 Less: Dividends and undistributed earnings allocated to participating securities 54 75 112 238 Net income allocable to common stockholders — basic and diluted $ 20,828 $ 22,692 $ 43,952 $ 63,455 Denominator : Weighted average common shares outstanding for basic earnings per share 42,060,077 41,853,134 41,802,302 41,824,318 Weighted average common shares outstanding for diluted earnings per share 42,060,077 41,853,134 41,802,302 41,824,318 Basic earnings per common share $ 0.50 $ 0.54 $ 1.05 $ 1.52 Diluted earnings per common share $ 0.50 $ 0.54 $ 1.05 $ 1.52 For the three and nine months ended September 30, 2018 and September 30, 2017 , the Company excluded the effects of the warrants and the convertible senior unsecured notes from the computation of diluted earnings per share since the average market value per share of the Company’s common stock was below the exercise price of the warrants and the convertible senior unsecured notes. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders and satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income and stock ownership tests. Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of September 30, 2018 . The Company files U.S. federal and state income tax returns. As of September 30, 2018 , U.S. federal tax returns filed by the Company for 2016 and 2015 and state tax returns filed for 2016, 2015, 2014 and 2013 are open for examination pursuant to relevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company’s policy is to classify them as a component of its provision for income taxes. Income Tax Provision Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more taxable REIT subsidiaries ("TRS"). Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. During the three months ended September 30, 2018 and September 30, 2017 , the Company recorded a federal and state tax provision of approximately $206 thousand and tax benefit of $1.2 million , respectively, which is recorded in "Income tax provision (benefit)" in the Consolidated Statements of Operations. During the nine months ended September 30, 2018 and September 30, 2017 , the Company recorded a federal and state tax provision of approximately $555 thousand and $1.3 million , respectively, which is recorded in "Income tax provision (benefit)" in the Consolidated Statements of Operations. Deferred Tax Asset As of September 30, 2018 and December 31, 2017 , the Company recorded a deferred tax asset of approximately $3.1 million and $6.1 million relating to capital loss carryforward and temporary differences as a result of the timing of income recognition of certain investments held in the TRS. The capital loss carryforwards may only be recognized to the extent of capital gains. There is uncertainty as to the TRS ability to recognize capital gains in the future. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized and has recorded a valuation allowance of $3.1 million and $6.1 million . In addition, the REIT generated net operating losses ("NOLs") during the year ended December 31, 2017, related to its interest rate swap terminations, and for its California return a portion of the NOL's is apportioned to the TRS. The TRS can carryback these NOLs to each of the two preceding years and receive a refund for taxes paid. The Company recorded a deferred state tax asset relating to the NOLs of $7.6 million and $8.8 million in the REIT and $1.4 million and $765 thousand in the TRS as of September 30, 2018 and December 31, 2017 , respectively. As a result, the Company has concluded it is more likely than not the deferred tax asset relating to the NOLs will not be realized with the exception of the TRS carryback to 2015 and has recorded a combined valuation allowance of $8.5 million and $9.2 million as of September 30, 2018 and December 31, 2017 , respectively. The Company also recorded a deferred federal tax liability of $85 thousand and $85 thousand as of September 30, 2018 and December 31, 2017 , respectively, in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL. Effective Tax Rate The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to its valuation allowance and the deduction of dividends distributions to be paid under Code Section 857(a). Tax Cuts and Jobs Act On December 22, 2017, the President of the United States signed and enacted comprehensive tax legislation into law H.R. 1, commonly referred to as the Tax Cuts and Jobs Act (the “Tax Act”). The Tax Act significantly revises the U.S. corporate income tax by, among other things, lowering the corporate income tax rate from 35% to 21%. Shortly after the enactment of the Tax Act, the SEC issued guidance under Staff Accounting Bulletin No. 118, Income Tax Accounting Implications of the Tax Cuts and Jobs Act (“SAB 118”), which allows a Company to record provisional amounts during a measurement period not to extend beyond one year of the enactment date. The ultimate impact of the Tax Act may differ from these provisional amounts due to, among other things, additional analysis, changes in interpretations and assumptions the Company has made, additional regulatory guidance that may be issued, and actions the Company may take as a result of the Act. |
Contingencies
Contingencies | 9 Months Ended |
Sep. 30, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies | Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at September 30, 2018 . |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended September 30, 2018 , are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2017 , filed with the SEC on March 29, 2018. The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiary and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiary and consolidated VIEs have been eliminated in consolidation. |
Variable Interest Entities | Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers is deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required. |
Use of Estimates | Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. |
Restricted Cash | Restricted Cash Restricted cash represents cash held by the trustee or servicer for mortgage escrows in connection with the Company's securitized loan and commercial loan investments held in two consolidated VIEs. These escrows consist of principal and interest escrows, capital improvement reserves, repair reserves, real estate tax and insurance reserves and tenant reserves. The corresponding liability is recorded in "Other liabilities" in the Consolidated Balance Sheets. The restricted cash is not available for general corporate use. |
Securitized / Unsecuritized Commercial Loans | Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net". The securitized commercial loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed. Interest income accrual is resumed when the loan becomes contractually current and performance is demonstrated. A loan is written off when it is no longer realizable and/or legally discharged. Commercial Loans Investments in Commercial Loans, which are comprised of first lien commercial mortgage loans and commercial mezzanine loans, are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825 for its Commercial Loan portfolio. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring the Commercial Loans or committing to purchase these loans are charged to expense as incurred. The Company’s loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed. Interest income accrual is resumed when the loan becomes contractually current and performance is demonstrated. A loan is written off when it is no longer realizable and/or legally discharged. |
Interest Income Recognition | Interest Income Recognition Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations. |
Recent accounting pronouncements | Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In May 2014, the FASB issued ASU 2014-9, “Revenue from Contracts with Customers (Topic 606).” The guidance changes an entity’s recognition of revenue from contracts with customers. The core principle of the guidance is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. In addition, the new guidance requires improved disclosures to enable users of financial statements to understand the nature, amount, timing, and uncertainty of revenue and cash flows arising from contracts with customers. In March 2016, the FASB issued implementation guidance which clarifies principal versus agent considerations in reporting revenue gross versus net (ASU 2016-8). In April 2016, the FASB issued implementation guidance which clarifies the identification of performance obligations (ASU 2016-10). In May 2016, the FASB issued amendments that affect only the narrow aspects of Topic 606 (ASU2016-12). First quarter 2018. The Company's revenue is mainly derived from interest income on our investments and to a lesser extent gains on sales of investments, which are not impacted by this standard. Therefore, the adoption of this standard did not have a material impact on the Company's consolidated financial statements. In January 2016, the FASB issued ASU 2016-1, “Financial Instruments - Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities.” The guidance improves certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. In February 2018, the FASB issued a separate Update for technical corrections and improvements related to the ASU 2016-01 to increase stakeholders' awareness of the amendments and to expedite the improvements (ASU 2018-3). First quarter 2018. The standard does not change the guidance for classifying and measuring investments in debt securities and loans as well nonrecourse liabilities of consolidated collateralized financing entities. Therefore, the adoption of this standard did not have a material impact on the Company's consolidated financial statements. In August 2016, the FASB issued ASU 2016-15, "Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments (Topic 230)." The guidance is intended to reduce diversity in practice in how certain transactions are classified on the statement of cash flows. First quarter 2018 and requires retrospective adoption. The adoption of this standard did not have a material impact on its Consolidated Statements of Cash Flows. In November 2016, the FASB issued ASU 2016-18 "Statement of Cash Flows (Topic 230): Restricted Cash, a consensus of the FASB's Emerging Issues Task Force." The guidance requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents as well as disclose information about the nature of the restrictions on its cash and cash equivalents. First quarter 2018 and requires retrospective adoption. The adoption of this standard did not have a material impact on its Consolidated Statements of Cash Flows. In January 2017, the FASB issued ASU 2017-01 "Business Combinations (Topic 805): Clarifying the Definition of a Business." This ASU provides a more robust framework to use in determining when a set of assets and activities constitutes a business. First quarter 2018. The guidance should be applied prospectively on or after the effective date. The adoption of this standard did not have a material impact on its Consolidated Statements of Cash Flows. In May 2017, the FASB issued ASU 2017-09 "Compensation-Stock Compensation (Topic 718): Scope of Modification Accounting." The amendments in this update provide guidance about which changes to the terms or conditions of a shared-based payment award require an entity to apply modification accounting in Topic 718. First quarter 2018. There are no changes to the terms and conditions of the Company's share-based compensation. The adoption of this standard did not have a material impact on the Company's consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. First quarter 2020. The Company is currently evaluating the impact the standard may have on its consolidated financial statements when adopted. In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception". Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements. In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements. In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements. In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits. First quarter 2020. The Company is evaluating the impact this standard may have on its consolidated financial statements. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of the entity's financial instruments carried at fair value based upon the valuation hierarchy | The following tables present the Company’s financial instruments carried at fair value as of September 30, 2018 and December 31, 2017 , based upon the valuation hierarchy (dollars in thousands): September 30, 2018 Fair Value Level I Level II Level III Total Assets Agency RMBS $ — $ 385,008 $ — $ 385,008 Agency RMBS Interest-Only Strips — — 12,203 12,203 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 8,006 8,006 Agency CMBS — 1,958,951 107,124 2,066,075 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 4,241 — 4,241 Subtotal Agency MBS — 2,348,200 127,333 2,475,533 Non-Agency RMBS — 26,076 57,274 83,350 Non-Agency RMBS Interest-Only Strips — — 15,513 15,513 Non-Agency CMBS — 266,847 — 266,847 Subtotal Non-Agency MBS — 292,923 72,787 365,710 Other securities — 82,820 9,708 92,528 Total mortgage-backed securities and other securities — 2,723,943 209,828 2,933,771 Residential Whole-Loans — — 684,463 684,463 Residential Bridge Loans — — 234,747 234,747 Securitized commercial loans — — 1,191,048 1,191,048 Commercial Loans — — 143,951 143,951 Derivative assets 1,812 888 — 2,700 Total Assets $ 1,812 $ 2,724,831 $ 2,464,037 $ 5,190,680 Liabilities Derivative liabilities $ — $ 2,159 $ — $ 2,159 Securitized debt — 1,116,483 2,606 1,119,089 Total Liabilities $ — $ 1,118,642 $ 2,606 $ 1,121,248 December 31, 2017 Fair Value Level I Level II Level III Total Assets Agency RMBS $ — $ 672,177 $ — $ 672,177 Agency RMBS Interest-Only Strips — 15,437 — 15,437 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 10,419 — 10,419 Agency CMBS — 2,137,583 17,217 2,154,800 Agency CMBS Interest-Only Strips — 10 — 10 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 5,757 — 5,757 Subtotal Agency MBS — 2,841,383 17,217 2,858,600 Non-Agency RMBS — 90,819 13 90,832 Non-Agency RMBS Interest-Only Strips — — 8,722 8,722 Non-Agency CMBS — 278,604 — 278,604 Subtotal Non-Agency MBS — 369,423 8,735 378,158 Other securities — 112,826 9,239 122,065 Total mortgage-backed securities and other securities — 3,323,632 35,191 3,358,823 Residential Whole-Loans — — 237,423 237,423 Residential Bridge Loans — — 64,526 64,526 Securitized commercial loan — — 24,876 24,876 Derivative assets 728 — — 728 Total Assets $ 728 $ 3,323,632 $ 362,016 $ 3,686,376 Liabilities Derivative liabilities $ 50 $ 4,296 $ — $ 4,346 Securitized debt — — 10,945 10,945 Total Liabilities $ 50 $ 4,296 $ 10,945 $ 15,291 |
Schedule of additional information about the entity's financial instruments, which are measured at fair value on a recurring basis for which the entity has utilized Level III inputs to determine fair value | The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended September 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Whole-Loans Residential Bridge Loans Commercial Loans Securitized commercial loans Securitized debt Beginning balance $ 75,043 $ 16,307 $ 8,955 $ 335,149 $ 236,359 $ 70,717 $ 1,309,195 $ 2,870 Transfers into Level III from Level II — 57,275 9,708 — — — — — Transfers from Level III into Level II (51,976 ) — (8,697 ) — — — — — Purchases 107,034 — — 372,348 70,465 94,313 — — Principal repayments (42 ) (14 ) (285 ) (21,258 ) (70,341 ) (20,638 ) (117,100 ) — Total net gains / losses included in net income Other than temporary impairment (384 ) (142 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,007 ) (95 ) (15 ) (1,469 ) (1,103 ) (575 ) 282 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (330 ) Premium and discount amortization, net (1,335 ) (544 ) 42 (307 ) (633 ) 134 (1,329 ) 66 Ending balance $ 127,333 $ 72,787 $ 9,708 $ 684,463 $ 234,747 $ 143,951 $ 1,191,048 $ 2,606 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (668 ) $ (94 ) $ — $ (1,231 ) $ (844 ) $ (618 ) $ 282 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 330 Three months ended September 30, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Securitized Securitized debt Derivative liability Beginning balance $ — $ 14,326 $ 22,405 $ 203,540 $ 24,875 $ 10,945 $ 329 Transfers into Level III from Level II — — 9,470 — — — — Transfers from Level III into Level II — — (23,852 ) — — — — Purchases 2,009 — — — — — — Sales and settlements — — — — — — (53 ) Principal repayments — (388 ) — (11,264 ) (59 ) (26 ) — Total net gains / losses included in net income 0 Realized (gains)/losses, net on liabilities — — — — — — 53 Other than temporary impairment — — (121 ) — — — — Unrealized gains/(losses), net on assets (1) — 291 1,094 (575 ) 136 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — 60 (329 ) Premium and discount amortization, net — 33 474 (262 ) — — — Ending balance $ 2,009 $ 14,262 $ 9,470 $ 191,439 $ 24,952 $ 10,979 $ — Unrealized gains/(losses), net on assets held at the end of the period (1) $ — $ 291 $ — $ (356 ) $ 136 $ — $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ (60 ) $ — Nine months ended September 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 17,217 $ 8,735 $ 9,239 $ 237,423 $ 64,526 $ — $ 24,876 $ 10,945 Transfers into Level III from Level II 22,794 57,275 9,708 — — — — — Transfers from Level III into Level II (16,805 ) — (8,697 ) — — — — (10,899 ) Purchases 109,002 8,602 — 486,354 221,619 144,035 1,353,019 — Sales and settlements — — — — — — — 12 Principal repayments (53 ) (14 ) (604 ) (36,092 ) (49,503 ) — (196,007 ) (44 ) Total net gains / losses included in net income Other than temporary impairment (590 ) (191 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,447 ) (149 ) (68 ) (2,644 ) (1,217 ) (159 ) 11,152 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 2,502 Premium and discount amortization, net (2,785 ) (1,471 ) 130 (578 ) (678 ) 75 (1,992 ) 90 Ending balance $ 127,333 $ 72,787 $ 9,708 $ 684,463 $ 234,747 $ 143,951 $ 1,191,048 $ 2,606 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (1,089 ) $ (148 ) $ — $ (2,101 ) $ (832 ) $ (159 ) $ 11,152 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (2,504 ) Nine months ended September 30, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Securitized Securitized debt Derivative liability Beginning balance $ 73,059 $ 75,576 $ 31,356 $ 192,136 $ 24,225 $ 10,659 $ 1,673 Transfers into Level III from Level II — 15,610 9,470 — — — — Transfers from Level III into Level II (73,715 ) (7,434 ) (33,080 ) — — — — Purchases 2,009 — — 33,718 — — — Sales and settlements — (60,132 ) — — — — (552 ) Principal repayments — (2,463 ) (172 ) (33,718 ) (59 ) (26 ) — Total net gains / losses included in net income Realized gains/(losses), net on assets — 2,623 — — — — — Realized (gains)/losses, net on liabilities — — — — — — 552 Other than temporary impairment — — (1,823 ) — — — — Unrealized gains/(losses), net on assets (1) 636 (8,715 ) 1,550 97 786 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — 346 (1,673 ) Premium and discount amortization, net 20 (803 ) 2,169 (794 ) — — — Ending balance $ 2,009 $ 14,262 $ 9,470 $ 191,439 $ 24,952 $ 10,979 $ — Unrealized gains/(losses), net on assets held at the end of the period (1) $ — $ 684 $ 72 $ 347 $ 786 $ — $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ (346 ) $ — (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt and derivative liability are included in "Unrealized gain (loss), net" and "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively. |
Schedule of fair value, by balance sheet grouping | The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of September 30, 2018 and December 31, 2017 in the consolidated financial statements (dollars in thousands): September 30, 2018 December 31, 2017 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 14,724 $ 14,479 $ 42,147 $ 42,881 Total $ 14,724 $ 14,479 $ 42,147 $ 42,881 Liabilities Borrowings under repurchase agreements $ 3,469,319 $ 3,591,751 $ 3,251,686 $ 3,257,956 Convertible senior unsecured notes 109,731 115,385 108,743 114,819 Total $ 3,579,050 $ 3,707,136 $ 3,360,429 $ 3,372,775 |
Mortgage-Backed Securities an_2
Mortgage-Backed Securities and other securities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of certain information about the Company's investment portfolio | The following tables present certain information about the Company’s investment portfolio at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon Agency RMBS $ 389,756 $ 13,133 $ — $ 402,889 $ — $ (17,881 ) $ 385,008 3.6 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 12,377 724 (898 ) 12,203 2.3 % (1) Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 8,006 2.8 % (1) Subtotal Agency RMBS 389,756 13,133 — 415,266 724 (18,779 ) 405,217 3.2 % Agency CMBS 2,124,942 4,970 — 2,129,912 563 (64,400 ) 2,066,075 3.2 % Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 4,241 0.4 % (1) Subtotal Agency CMBS 2,124,942 4,970 — 2,129,912 563 (64,400 ) 2,070,316 3.0 % Total Agency MBS 2,514,698 18,103 — 2,545,178 1,287 (83,179 ) 2,475,533 3.0 % Non-Agency RMBS 113,606 5,568 (39,585 ) 79,589 4,344 (583 ) 83,350 4.4 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 15,677 — (164 ) 15,513 0.5 % (1) Subtotal Non-Agency RMBS 113,606 5,568 (39,585 ) 95,266 4,344 (747 ) 98,863 1.0 % Non-Agency CMBS 322,255 (29,014 ) (24,976 ) 268,265 3,959 (5,377 ) 266,847 5.9 % Total Non-Agency MBS 435,861 (23,446 ) (64,561 ) 363,531 8,303 (6,124 ) 365,710 2.2 % Other securities (3) 71,420 2,116 (9,891 ) 82,349 10,247 (68 ) 92,528 9.0 % Total $ 3,021,979 $ (3,227 ) $ (74,452 ) $ 2,991,058 $ 19,837 $ (89,371 ) $ 2,933,771 2.9 % December 31, 2017 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon Agency RMBS $ 641,044 $ 28,876 $ — $ 669,920 $ 4,571 $ (2,314 ) $ 672,177 3.9 % Agency RMBS Interest-Only Strips (1) N/A N/A N/A 14,750 878 (191 ) 15,437 2.9 % (1) Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 10,419 2.9 % (1) Subtotal Agency RMBS 641,044 28,876 — 684,670 5,449 (2,505 ) 698,033 3.6 % Agency CMBS 2,145,139 2,142 — 2,147,281 16,913 (9,394 ) 2,154,800 2.9 % Agency CMBS Interest-Only Strips (1) N/A N/A N/A — 10 — 10 3.2 % (1) Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 5,757 0.5 % (1) Subtotal Agency CMBS 2,145,139 2,142 — 2,147,281 16,923 (9,394 ) 2,160,567 2.7 % Total Agency MBS 2,786,183 31,018 — 2,831,951 22,372 (11,899 ) 2,858,600 3.0 % Non-Agency RMBS 119,748 5,263 (39,491 ) 85,520 5,473 (161 ) 90,832 3.8 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 8,738 — (16 ) 8,722 0.9 % (1) Subtotal Non-Agency RMBS 119,748 5,263 (39,491 ) 94,258 5,473 (177 ) 99,554 1.8 % Non-Agency CMBS 379,183 (59,129 ) (28,020 ) 292,034 1,702 (15,132 ) 278,604 4.8 % Total Non-Agency MBS 498,931 (53,866 ) (67,511 ) 386,292 7,175 (15,309 ) 378,158 3.3 % Other securities (3) 86,305 6,300 (5,404 ) 110,091 12,161 (187 ) 122,065 7.8 % Total $ 3,371,419 $ (16,548 ) $ (72,915 ) $ 3,328,334 $ 41,708 $ (27,395 ) $ 3,358,823 3.1 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At September 30, 2018 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $166.4 million , $822.0 million , $96.2 million and $173.9 million , respectively. At December 31, 2017 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was $165.5 million , $278.4 million , $122.0 million , $192.5 million and $3.3 million , respectively. (2) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $18.7 million and $22.9 million , as of September 30, 2018 and December 31, 2017 , respectively. |
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities | The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and nine months ended September 30, 2018 and September 30, 2017 (dollars in thousands): Three months ended September 30, 2018 Three months ended September 30, 2017 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (78,837 ) $ (68,677 ) $ 21,723 $ (49,830 ) $ (76,778 ) $ 15,186 Accretion of discount — 1,314 — — 2,588 — Amortization of premium — — (97 ) — — (87 ) Realized credit losses 3,305 — — 25 — — Purchases — — — — — — Sales 2,334 25,624 (400 ) 187 1,931 (18 ) Net impairment losses recognized in earnings (2,071 ) — — (2,345 ) — — Transfers/release of credit reserve (2) 817 8 (825 ) (866 ) 953 (87 ) Balance at end of period $ (74,452 ) $ (41,731 ) $ 20,401 $ (52,829 ) $ (71,306 ) $ 14,994 Nine months ended September 30, 2018 Nine months ended September 30, 2017 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (72,915 ) $ (68,438 ) $ 20,872 $ (130,484 ) $ (109,822 ) $ 44,527 Accretion of discount — 6,483 — — 8,542 — Amortization of premium — — (461 ) — — (776 ) Realized credit losses 5,526 — — 1,854 — — Purchases (7,182 ) (6,473 ) 435 (1,724 ) (668 ) 1,522 Sales 5,673 29,352 (1,084 ) 89,628 32,016 (31,060 ) Net impairment losses recognized in earnings (7,570 ) — — (12,696 ) — — Transfers/release of credit reserve (2) 2,016 (2,655 ) 639 593 (1,374 ) 781 Balance at end of period $ (74,452 ) $ (41,731 ) $ 20,401 $ (52,829 ) $ (71,306 ) $ 14,994 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium. |
Schedule of the fair value and contractual maturities of the Company's investment securities | The following tables present the fair value and contractual maturities of the Company’s investment securities at September 30, 2018 and December 31, 2017 (dollars in thousands) : September 30, 2018 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS $ — $ — $ 57,572 $ 327,436 $ 385,008 Agency RMBS Interest-Only Strips 3,937 2,436 5,830 — 12,203 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,223 4,104 2,679 — 8,006 Agency CMBS 1,507,428 558,647 — — 2,066,075 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 4,241 4,241 Subtotal Agency 1,512,588 565,187 66,081 331,677 2,475,533 Non-Agency RMBS — 24,752 16,757 41,841 83,350 Non-Agency RMBS Interest- Only Strips — — 7,900 7,613 15,513 Non-Agency CMBS 28,752 80,180 104,617 53,298 266,847 Subtotal Non-Agency 28,752 104,932 129,274 102,752 365,710 Other securities 3,782 59,908 — 28,838 92,528 Total $ 1,545,122 $ 730,027 $ 195,355 $ 463,267 $ 2,933,771 December 31, 2017 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS $ — $ 56,228 $ 239,197 $ 376,752 $ 672,177 Agency RMBS Interest-Only Strips 3,920 4,591 6,926 — 15,437 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,686 5,139 3,594 — 10,419 Agency CMBS 1,599,620 555,180 — — 2,154,800 Agency CMBS Interest-Only Strips 10 — — — 10 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 5,757 5,757 Subtotal Agency 1,605,236 621,138 249,717 382,509 2,858,600 Non-Agency RMBS 13 51,092 4,184 35,543 90,832 Non-Agency RMBS Interest- Only Strips — — — 8,722 8,722 Non-Agency CMBS — 60,583 139,209 78,812 278,604 Subtotal Non-Agency 13 111,675 143,393 123,077 378,158 Other securities — 99,062 — 23,003 122,065 Total $ 1,605,249 $ 831,875 $ 393,110 $ 528,589 $ 3,358,823 |
Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position | The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS $ 115,378 $ (3,131 ) 8 $ 269,630 $ (14,750 ) 2 $ 385,008 $ (17,881 ) 10 Agency RMBS Interest-Only Strips 3,588 (394 ) 9 2,753 (504 ) 6 6,341 (898 ) 15 Agency CMBS 1,135,925 (32,175 ) 76 516,838 (32,225 ) 37 1,652,763 (64,400 ) 113 Subtotal Agency 1,254,891 (35,700 ) 93 789,221 (47,479 ) 45 2,044,112 (83,179 ) 138 Non-Agency RMBS 29,798 (583 ) 5 — — — 29,798 (583 ) 5 Non-Agency RMBS Interest-Only Strips 8,003 (164 ) 2 — — — 8,003 (164 ) 2 Non-Agency CMBS 70,410 (894 ) 15 57,263 (4,483 ) 12 127,673 (5,377 ) 27 Subtotal Non-Agency 108,211 (1,641 ) 22 57,263 (4,483 ) 12 165,474 (6,124 ) 34 Other securities 8,697 (68 ) 1 — — — 8,697 (68 ) 1 Total $ 1,371,799 $ (37,409 ) 116 $ 846,484 $ (51,962 ) 57 $ 2,218,283 $ (89,371 ) 173 December 31, 2017 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS $ 330,259 $ (2,179 ) 11 $ 1,632 $ (135 ) 5 $ 331,891 $ (2,314 ) 16 Agency RMBS Interest-Only Strips 3,095 (142 ) 6 1,703 (49 ) 3 4,798 (191 ) 9 Agency CMBS 955,559 (9,394 ) 57 — — — 955,559 (9,394 ) 57 Subtotal Agency 1,288,913 (11,715 ) 74 3,335 (184 ) 8 1,292,248 (11,899 ) 82 Non-Agency RMBS 28,508 (161 ) 3 — — — 28,508 (161 ) 3 Non-Agency RMBS Interest-Only Strips 8,722 (16 ) 3 — — — 8,722 (16 ) 3 Non-Agency CMBS 69,661 (1,753 ) 15 119,729 (13,379 ) 35 189,390 (15,132 ) 50 Subtotal Non-Agency 106,891 (1,930 ) 21 119,729 (13,379 ) 35 226,620 (15,309 ) 56 Other securities 23,800 (187 ) 3 — — — 23,800 (187 ) 3 Total $ 1,419,604 $ (13,832 ) 98 $ 123,064 $ (13,563 ) 43 $ 1,542,668 $ (27,395 ) 141 |
Schedule of other-than-temporary impairments the Company recorded on its securities portfolio | The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended September 30, 2018 Three months ended September 30, 2017 Nine months ended September 30, 2018 Nine months ended September 30, 2017 Agency RMBS (1) $ 320 $ 4,760 $ 663 $ 5,420 Non-Agency RMBS 159 — 269 — Non-Agency CMBS 2,054 2,344 7,491 12,658 Other securities — 121 — 1,823 Total $ 2,533 $ 7,225 $ 8,423 $ 19,901 (1) Normally, unrealized losses on Agency securities (excluding Agency IO's) with the explicit guarantee of principal and interest by the governmental sponsored entity are not credit losses but rather due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided the Company did not intend to sell the security. For the three and nine months ended September 30, 2018 and September 30, 2017 , $0 , $0 , $4.7 million and $4.7 million , respectively, of OTTI related to Agency RMBS securities the Company intended to sell. |
Summary of the components of interest income on the Company's MBS and other securities | The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2018 and September 30, 2017 , respectively (dollars in thousands): For the three months ended September 30, 2018 For the three months ended September 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 4,551 $ (1,138 ) $ 3,413 $ 8,886 $ (2,995 ) $ 5,891 Agency CMBS 13,812 (298 ) 13,514 11,071 110 11,181 Non-Agency RMBS 2,139 (536 ) 1,603 571 372 943 Non-Agency CMBS 5,379 1,469 6,848 4,242 2,139 6,381 Other securities 3,674 (1,660 ) 2,014 2,160 464 2,624 Total $ 29,555 $ (2,163 ) $ 27,392 $ 26,930 $ 90 $ 27,020 Nine months ended September 30, 2018 Nine months ended September 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 17,471 $ (4,112 ) $ 13,359 $ 30,513 $ (10,662 ) $ 19,851 Agency CMBS 45,753 (266 ) 45,487 24,408 717 25,125 Non-Agency RMBS 5,616 (685 ) 4,931 4,482 303 4,785 Non-Agency CMBS 15,362 5,873 21,235 14,675 6,572 21,247 Other securities 11,610 (4,825 ) 6,785 5,300 2,112 7,412 Total $ 95,812 $ (4,015 ) $ 91,797 $ 79,378 $ (958 ) $ 78,420 |
Schedule of sales and realized gain (loss) of the Company's MBS and other securities | The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and nine months ended September 30, 2018 and September 30, 2017 , respectively (dollars in thousands): For the three months ended September 30, 2018 For the three months ended September 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ — $ — $ — $ — $ (2,906 ) $ (3 ) $ 51 $ 48 Agency CMBS 641,677 — (25,640 ) (25,640 ) — — — — Non-Agency CMBS 73,848 2,411 (2,712 ) (301 ) 10,597 1,641 (278 ) 1,363 Other securities 13,712 1,712 — 1,712 10,419 419 — 419 Total $ 729,237 $ 4,123 $ (28,352 ) $ (24,229 ) $ 18,110 $ 2,057 $ (227 ) $ 1,830 (1) For the three months ended September 30, 2017 reflects a reclassification of proceeds from a sale on the trade date to reflect subsequent Agency RMBS paydowns. Nine months ended September 30, 2018 Nine months ended September 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 209,581 $ 18 $ (4,531 ) $ (4,513 ) $ 862,245 $ 4,376 $ (7,314 ) $ (2,938 ) Agency CMBS 768,544 — (30,656 ) (30,656 ) — — — — Non-Agency RMBS (2) 51,958 3,114 — 3,114 243,811 24,389 (2,242 ) 22,147 Non-Agency CMBS 80,554 2,472 (3,148 ) (676 ) 45,634 2,377 (1,351 ) 1,026 Other securities 35,469 3,469 — 3,469 33,365 419 (54 ) 365 Total $ 1,146,106 $ 9,073 $ (38,335 ) $ (29,262 ) $ 1,185,055 $ 31,561 $ (10,961 ) $ 20,600 (1) For the nine months ended September 30, 2017 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of $432 thousand , respectively. (2) For the nine months ended September 30, 2017 , excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million , gross realized gains of $274 thousand and gross realized losses of $180 thousand , respectively. |
Residential Whole-Loans and B_2
Residential Whole-Loans and Bridge Loans - (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Variable Interest Entities | |
Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets | The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts, residential bridge loan trust included in the Consolidated Balance Sheets as of September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively) $ 684,463 $ 237,423 Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) 249,471 106,673 Commercial loan, at fair value 29,831 — Investment related receivable 33,430 7,665 Interest receivable 8,874 3,197 Other assets 203 — Total assets $ 1,006,272 $ 354,958 Accounts payable and accrued expenses 722 188 Other liabilities 393 — Total liabilities $ 1,115 $ 188 The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Restricted cash $ 100,138 $ — Securitized commercial loans, at fair value 1,191,048 24,876 Commercial Loans, at fair value 93,846 — Interest receivable 3,544 161 Total assets $ 1,388,576 $ 25,037 Securitized debt, at fair value $ 1,119,089 $ 10,945 Interest payable 2,487 70 Accounts payable and accrued expenses 15 1 Other liabilities 100,138 — Total liabilities $ 1,221,729 $ 11,016 |
Schedule of components of the carrying value of Residential Whole-Loans and securitized commercial loan | The following table presents the components of the carrying value of Residential Whole-Loans and Residential Bridge Loans as of September 30, 2018 and December 31, 2017 (dollars in thousands): Residential Whole-Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Principal balance $ 674,763 $ 232,270 $ 234,445 $ 63,802 $ 14,734 $ 42,066 Unamortized premium 10,592 2,021 1,426 293 28 122 Unamortized discount (2,499 ) (1,190 ) (434 ) (128 ) (38 ) (41 ) Amortized cost 682,856 233,101 235,437 63,967 14,724 42,147 Gross unrealized gains 5,506 4,463 525 655 N/A N/A Gross unrealized losses (3,899 ) (141 ) (1,215 ) (96 ) N/A N/A Fair value $ 684,463 $ 237,423 $ 234,747 $ 64,526 N/A N/A (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets. |
Schedule of certain information about the Residential Whole-Loans investment portfolio | The Residential Whole-Loans have low LTV's and are comprised of 1,034 non-qualifying adjustable rate mortgages, 902 conforming fixed rate mortgages and 13 investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 69 $ 22,732 61.4 % 738 7.5 29.3 3.9 % 4.01– 5.00% 1,159 405,934 62.2 % 734 3.6 28.8 4.7 % 5.01 – 6.00% 708 238,961 63.2 % 709 2.8 28.0 5.4 % 6.01 – 7.00% 11 6,685 64.9 % 748 1.4 25.4 6.3 % 7.01 - 8.00% 1 357 70.0 % 777 1.9 29.3 7.2 % 8.01 - 9.00% 1 94 70.0 % 689 1.9 29.3 8.4 % Total 1,949 $ 674,763 62.6 % 727 3.4 28.5 4.9 % (1) The original FICO score is not available for 240 loans with a principal balance of approximately $81.6 million at September 30, 2018 . The Company has excluded these loans from the weighted average computations. December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 142 $ 55,593 55.5 % 751 1.7 29.1 3.9 % 4.01– 5.00% 338 125,860 56.9 % 725 1.4 26.5 4.5 % 5.01 – 6.00% 132 48,553 58.2 % 728 1.6 27.0 5.2 % 6.01 – 7.00% 4 2,264 71.1 % 758 1.3 20.5 6.3 % Total 616 $ 232,270 57.0 % 734 1.5 27.1 4.5 % (1) The original FICO score is not available for 141 loans with a principal balance of approximately $56.5 million at December 31, 2017 . The Company has excluded these loans from the weighted average computations. |
Schedule of the U.S. states concentration and principal balance of collateral securing residential whole-loans | The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole-Loans at September 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): September 30, 2018 December 31, 2017 State State Concentration Principal Balance State State Concentration Principal Balance California 68.8 % $ 463,638 California 62.2 % $ 144,321 New York 15.6 % 105,435 New York 24.4 % 56,631 Georgia 2.9 % 19,324 Georgia 4.3 % 10,061 Washington 2.2 % 14,886 Washington 4.0 % 9,244 Massachusetts 1.3 % 8,504 Massachusetts 3.9 % 9,114 Other 9.2 % 62,976 Other 1.2 % 2,899 Total 100.0 % $ 674,763 Total 100.0 % $ 232,270 |
Schedule of residential bridge loans | The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 6.01 – 7.00% 14 $ 5,264 61.8 % 2.6 6.7 % 7.01 – 8.00% 127 57,820 72.9 % 6.5 7.7 % 8.01 – 9.00% 213 94,873 70.2 % 5.4 8.7 % 9.01 – 10.00% 189 59,927 72.3 % 5.5 9.7 % 10.01 – 11.00% 71 16,651 71.3 % 5.0 10.6 % 11.01 – 12.00% 37 9,121 63.5 % 6.1 11.4 % 12.01 – 13.00% 9 1,866 73.3 % 6.8 12.7 % 13.01 – 14.00% 1 88 65.0 % 7.0 14.0 % 17.01 – 18.00% 12 3,569 74.0 % 4.3 18.0 % Total 673 $ 249,179 71.1 % 5.6 9.1 % December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 5.01 - 6.00% 9 $ 4,016 64.5 % 10.8 5.9 % 6.01 - 7.00% 64 18,420 67.8 % 10.6 6.7 % 7.01 – 8.00% 98 25,608 66.4 % 9.5 7.6 % 8.01 – 9.00% 56 19,728 70.3 % 11.9 8.9 % 9.01 – 10.00% 67 25,001 73.3 % 6.8 9.7 % 10.01 – 11.00% 36 10,656 75.4 % 5.0 10.8 % 11.01 – 12.00% 2 919 89.8 % 8.2 11.4 % 17.01 – 18.00% 8 1,520 73.8 % 5.9 18.0 % Total 340 $ 105,868 70.1 % 9.0 8.6 % |
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans | The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at September 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): September 30, 2018 December 31, 2017 State Concentration Principal Balance State Concentration Principal Balance California 48.2 % $ 119,784 California 48.2 % $ 51,080 New York 9.5 % 23,791 Florida 13.4 % 14,199 Florida 6.6 % 16,354 Washington 6.3 % 6,645 New Jersey 5.5 % 13,723 New York 4.4 % 4,703 Texas 4.8 % 11,964 Texas 4.4 % 4,660 Other 25.4 % 63,563 Other 23.3 % 24,581 Total 100.0 % $ 249,179 Total 100.0 % $ 105,868 |
Commercial Loans (Tables)
Commercial Loans (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Noncontrolling Interest [Abstract] | |
Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets | The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts, residential bridge loan trust included in the Consolidated Balance Sheets as of September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively) $ 684,463 $ 237,423 Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) 249,471 106,673 Commercial loan, at fair value 29,831 — Investment related receivable 33,430 7,665 Interest receivable 8,874 3,197 Other assets 203 — Total assets $ 1,006,272 $ 354,958 Accounts payable and accrued expenses 722 188 Other liabilities 393 — Total liabilities $ 1,115 $ 188 The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Restricted cash $ 100,138 $ — Securitized commercial loans, at fair value 1,191,048 24,876 Commercial Loans, at fair value 93,846 — Interest receivable 3,544 161 Total assets $ 1,388,576 $ 25,037 Securitized debt, at fair value $ 1,119,089 $ 10,945 Interest payable 2,487 70 Accounts payable and accrued expenses 15 1 Other liabilities 100,138 — Total liabilities $ 1,221,729 $ 11,016 |
Schedule of Carrying Value of the Commercial Real Estate Loans | The following table presents the components of the carrying value of the commercial real estate loans as of September 30, 2018 and December 31, 2017 (dollars in thousands): CMSC Trust Securitized Commercial Loan, at Fair Value RETL Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Principal balance $ 24,556 $ 24,846 $ 1,154,283 $ — $ 94,787 $ — $ 50,000 $ — Unamortized premium — — 1,027 — — — — — Unamortized discount — — — — (445 ) — (232 ) — Amortized cost 24,556 24,846 1,155,310 — 94,342 — 49,768 — Gross unrealized gains 86 30 11,096 — — — 380 — Gross unrealized losses — — — — (496 ) — (43 ) — Fair value $ 24,642 $ 24,876 $ 1,166,406 $ — $ 93,846 $ — $ 50,105 $ — |
Financings (Tables)
Financings (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Debt Disclosure [Abstract] | |
Summary of certain characteristics of the Company's repurchase agreements | The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Agency RMBS $ 393,486 2.39 % 60 $ 665,919 1.62 % 61 Agency CMBS 1,833,352 2.36 % 62 2,035,222 1.53 % 53 Non-Agency RMBS 71,117 3.70 % 31 46,530 2.76 % 41 Non-Agency CMBS (1) 212,282 3.79 % 48 154,325 2.98 % 40 Residential Whole-Loans (2) 585,178 3.65 % 35 189,270 3.66 % 8 Residential Bridge Loans (2) 216,917 4.37 % 26 100,183 4.05 % 59 Commercial loans (2) 87,567 4.33 % 27 — — % — Securitized commercial loans (2) 7,599 3.99 % 12 — — % — Other securities 61,821 3.86 % 29 60,237 2.94 % 23 Borrowings under repurchase agreements $ 3,469,319 2.90 % 52 $ 3,251,686 1.86 % 51 (1) Includes approximately $22.6 million of repurchase agreement borrowings related to securities sold in September 2018 that was paid off when the sale settled in October 2018. (2) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. |
Schedule of repurchase agreements collateralized by investments | At September 30, 2018 and December 31, 2017 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2018 December 31, 2017 Overnight $ — $ — 1 to 29 days 1,494,121 1,387,599 30 to 59 days 332,521 665,656 60 to 89 days 1,531,084 871,819 90 to 119 days 111,593 — Greater than or equal to 120 days — 326,612 Total $ 3,469,319 $ 3,251,686 |
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | At September 30, 2018 , the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): September 30, 2018 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse AG, Cayman Islands Branch $ 88,584 29 16.5 % Nomura Securities International Inc. 72,697 29 13.6 % UBS AG, London Branch 65,095 33 12.2 % Citigroup Global Markets Inc. 56,038 80 10.5 % |
Summary of collateral positions, with respect to borrowings under repurchase agreements, securitized debt, derivatives and clearing margin account | The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 403,339 $ 1,608 $ 404,947 $ 690,255 $ 2,601 $ 692,856 Agency CMBS, at fair value 1,922,520 5,391 1,927,911 2,143,340 5,454 2,148,794 Non-Agency RMBS, at fair value 98,863 718 99,581 58,127 160 58,287 Non-Agency CMBS, at fair value (3) 286,728 1,223 287,951 208,062 1,100 209,162 Residential Whole-Loans, at fair value (1) 684,463 4,778 689,241 237,423 1,754 239,177 Residential Bridge Loans (1) 249,471 3,975 253,446 106,673 1,443 108,116 Commercial Loans, at fair value (1) 123,677 789 124,466 — — — Securitized commercial loans, at fair value (1) 13,800 85 13,885 — — — Other securities, at fair value 92,391 179 92,570 89,823 105 89,928 Cash (2) 18,625 — 18,625 23,591 — 23,591 Total $ 3,893,877 $ 18,746 $ 3,912,623 $ 3,557,294 $ 12,617 $ 3,569,911 (1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (2) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets. (3) Assets pledge included $35 million of investment related receivable related to the unsettled sale of Non-Agency CMBS. |
Schedule of commercial mortgage pass-through certificates | The following table summarizes RETL Trust's commercial mortgage pass-through certificates at September 30, 2018 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A $ 448,033 3.3% $ 449,570 2/15/2021 Class B 136,120 3.9% 136,800 2/15/2021 Class C 117,908 4.2% 118,718 2/15/2021 Class D 104,228 4.9% 105,141 2/15/2021 Class E 141,507 6.7% 143,456 2/15/2021 Class F 137,060 8.2% 138,948 2/15/2021 Class G 11,457 9.7% 11,592 2/15/2021 Class HRR 57,971 11.7% 58,156 2/15/2021 Class X-CP (1) N/A 2.6% 1,420 3/11/2019 Class X-EXT (1) N/A —% 2,606 2/15/2021 $ 1,154,284 $ 1,166,407 (1) Class X-CP and Class X-EXT are interest-only classes with a notional balance of $104.2 million each. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Instruments | |
Summary of the entity's derivative instruments | The following table summarizes the Company’s derivative instruments at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 December 31, 2017 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ 572,400 $ 200 $ — $ — Options, asset Non-Hedge Derivative assets, at fair value 100,000 109 320,000 100 Futures contracts, asset Non-Hedge Derivative assets, at fair value 280,000 1,703 480,000 628 TBA securities, asset Non-Hedge Derivative assets, at fair value 600,000 688 — — Total derivative instruments, assets 2,700 728 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 3,739,400 (1,414 ) 3,252,200 (4,191 ) Options, liability Non-Hedge Derivative liability, at fair value — — 320,000 (50 ) Credit default swaps, liability Non-Hedge Derivative liability, at fair value 64,747 (362 ) 14,815 (95 ) TBA securities, liability Non-Hedge Derivative liability, at fair value 200,000 (383 ) 125,000 (10 ) Total derivative instruments, liabilities (2,159 ) (4,346 ) Total derivative instruments, net $ 541 $ (3,618 ) |
Summary of the effect of entity's derivative instruments reported in Gain (loss) on derivative instruments, net on the Statements of Operations | The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2018 and September 30, 2017 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended September 30, 2018 Interest rate swaps $ 95 $ 25,250 $ 772 $ (3,742 ) $ 1,190 $ 23,565 Interest-Only Strips— accounted for as derivatives — — (996 ) (929 ) 1,209 (716 ) Options — — — (253 ) — (253 ) Futures contracts 4,232 — — (1,994 ) — 2,238 Credit default swaps (83 ) — — (492 ) — (575 ) TBAs (8 ) — — 374 — 366 Total $ 4,236 $ 25,250 $ (224 ) $ (7,036 ) $ 2,399 $ 24,625 Three months ended September 30, 2017 Interest rate swaps $ (38 ) $ 9,564 $ 92 $ (2,028 ) $ (1,764 ) $ 5,826 Interest-Only Strips— accounted for as derivatives — — (1,486 ) 351 1,816 681 Options (957 ) — — 477 — (480 ) Futures contracts (77 ) — — — — (77 ) Foreign currency forwards 45 — — (15 ) — 30 Total return swaps (52 ) — — 329 95 372 TBAs 577 — — 288 — 865 Total $ (502 ) $ 9,564 $ (1,394 ) $ (598 ) $ 147 $ 7,217 Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net Total Nine months ended September 30, 2018 Interest rate swaps $ 114 $ 123,114 $ 1,064 $ (1,497 ) $ 886 $ 123,681 Interest-Only Strips— accounted for as derivatives — — (2,970 ) (959 ) 3,642 (287 ) Options (518 ) — — 47 — (471 ) Futures contracts 8,824 — — 1,075 — 9,899 Credit default swaps (125 ) — — (441 ) — (566 ) TBAs 126 — — 315 — 441 Total $ 8,421 $ 123,114 $ (1,906 ) $ (1,460 ) $ 4,528 $ 132,697 Nine months ended September 30, 2017 Interest rate swaps $ (150,593 ) $ (7,966 ) $ 378 $ 156,102 $ (12,662 ) $ (14,741 ) Interest rate swaptions (115 ) — — — — (115 ) Interest-Only Strips— accounted for as derivatives 526 — (5,055 ) (783 ) 6,229 917 Options (892 ) — — (134 ) — (1,026 ) Futures contracts (9,230 ) — — 2,416 — (6,814 ) Foreign currency forwards 25 — — 43 — 68 Total return swaps (552 ) — — 1,673 469 1,590 TBAs 3,148 — — 938 — 4,086 Total $ (157,683 ) $ (7,966 ) $ (4,677 ) $ 160,255 $ (5,964 ) $ (16,035 ) |
Schedule of to be announced securities | The following is a summary of the Company's long and short TBA positions as of September 30, 2018 and December 31, 2017 reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): September 30, 2018 December 31, 2017 Notional Fair Notional Fair Purchase contracts, asset $ 400,000 $ 641 $ — $ — Sale contracts, asset (200,000 ) 47 — — TBA securities, asset 200,000 688 — — Purchase contracts, liability — — 125,000 (10 ) Sale contracts, liability (200,000 ) (383 ) — — TBA securities, liability (200,000 ) (383 ) 125,000 (10 ) TBA securities, net $ — $ 305 $ 125,000 $ (10 ) |
Schedule of additional information about the contracts to purchase and sell TBAs | The following tables present additional information about the Company’s contracts to purchase and sell TBAs for the nine months ended September 30, 2018 and the year ended December 31, 2017 (dollars in thousands): Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount December 31, 2017 September 30, 2018 Purchase of TBAs $ 125,000 $ 5,525,000 $ (5,250,000 ) $ 400,000 Sale of TBAs $ — $ 5,650,000 $ (5,250,000 ) $ 400,000 Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount December 31, 2016 December 31, 2017 Purchase of TBAs $ — $ 5,843,200 $ (5,718,200 ) $ 125,000 Sale of TBAs $ — $ 5,718,200 $ (5,718,200 ) $ — |
Fixed Pay Rate | Interest rate swaps | |
Derivative Instruments | |
Summary of interest rate swaps or interest rate swaptions | December 31, 2017 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting (1) Greater than 1 year and less than 3 years $ 600,000 1.6 % 1.5 % 1.8 — % Greater than 3 years and less than 5 years 960,000 2.0 % 1.4 % 4.3 — % Greater than 5 years 1,692,200 2.5 % 1.4 % 10.5 90.2 % Total $ 3,252,200 2.2 % 1.4 % 7.1 46.9 % (1) Represents the percentage of notional that is forward starting. The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting (1) 1 year or less $ 400,000 1.5 % 2.3 % 0.8 — % Greater than 1 year and less than 3 years 200,000 1.8 % 2.3 % 1.7 — % Greater than 3 years and less than 5 years 1,164,700 2.4 % 2.3 % 4.1 — % Greater than 5 years 2,064,700 2.7 % 2.3 % 10.2 29.0 % Total $ 3,829,400 2.4 % 2.3 % 6.9 15.6 % |
Variable Pay Rate | Interest rate swaps | |
Derivative Instruments | |
Summary of interest rate swaps or interest rate swaptions | September 30, 2018 Variable Pay Interest Rate Swap Remaining Term Notional Amount Average Variable Pay Rate Average Fixed Receive Rate Average Maturity (Years) Forward Starting (1) Greater than 5 years $ 482,400 2.3 % 2.4 % 8.6 — % Total $ 482,400 2.3 % 2.4 % 8.6 — % |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Offsetting [Abstract] | |
Schedule of gross and net information about the Company's assets subject to master netting arrangements | The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 12,247 $ — $ 12,247 $ (10,369 ) $ — $ 1,878 Derivative asset, at fair value (2) 2,700 — 2,700 (575 ) (368 ) 1,757 Total derivative assets $ 14,947 $ — $ 14,947 $ (10,944 ) $ (368 ) $ 3,635 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 2,159 $ — $ 2,159 $ (575 ) $ (1,576 ) $ 8 Repurchase Agreements (4) 3,469,319 — 3,469,319 (3,469,319 ) — — Total derivative liability $ 3,471,478 $ — $ 3,471,478 $ (3,469,894 ) $ (1,576 ) $ 8 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $62.9 million as of September 30, 2018 . (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.9 billion as of September 30, 2018 . December 31, 2017 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 16,176 $ — $ 16,176 $ (11,633 ) $ — $ 4,543 Derivative asset, at fair value (2) 728 — 728 (50 ) — 678 Total derivative assets $ 16,904 $ — $ 16,904 $ (11,683 ) $ — $ 5,221 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 4,346 $ — $ 4,346 $ (50 ) $ (4,270 ) $ 26 Repurchase Agreements (4) 3,251,686 — 3,251,686 (3,251,686 ) — — Total derivative liability $ 3,256,032 $ — $ 3,256,032 $ (3,251,736 ) $ (4,270 ) $ 26 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, total return swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $63.3 million as of December 31, 2017 . (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.5 billion as of December 31, 2017 . |
Schedule of gross and net information about the Company's liabilities subject to master netting arrangements | The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2018 and December 31, 2017 (dollars in thousands): September 30, 2018 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 12,247 $ — $ 12,247 $ (10,369 ) $ — $ 1,878 Derivative asset, at fair value (2) 2,700 — 2,700 (575 ) (368 ) 1,757 Total derivative assets $ 14,947 $ — $ 14,947 $ (10,944 ) $ (368 ) $ 3,635 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 2,159 $ — $ 2,159 $ (575 ) $ (1,576 ) $ 8 Repurchase Agreements (4) 3,469,319 — 3,469,319 (3,469,319 ) — — Total derivative liability $ 3,471,478 $ — $ 3,471,478 $ (3,469,894 ) $ (1,576 ) $ 8 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $62.9 million as of September 30, 2018 . (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.9 billion as of September 30, 2018 . December 31, 2017 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 16,176 $ — $ 16,176 $ (11,633 ) $ — $ 4,543 Derivative asset, at fair value (2) 728 — 728 (50 ) — 678 Total derivative assets $ 16,904 $ — $ 16,904 $ (11,683 ) $ — $ 5,221 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 4,346 $ — $ 4,346 $ (50 ) $ (4,270 ) $ 26 Repurchase Agreements (4) 3,251,686 — 3,251,686 (3,251,686 ) — — Total derivative liability $ 3,256,032 $ — $ 3,256,032 $ (3,251,736 ) $ (4,270 ) $ 26 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, total return swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $63.3 million as of December 31, 2017 . (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.5 billion as of December 31, 2017 . |
Share-Based Payments (Tables)
Share-Based Payments (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Share-based Compensation [Abstract] | |
Summary of restricted common stock vesting dates | The following is a summary of restricted common stock vesting dates as of September 30, 2018 and December 31, 2017 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: September 30, 2018 December 31, 2017 Vesting Date Shares Vesting Shares Vesting March 2018 — 66,667 June 2018 — 16,488 June 2019 26,708 — 26,708 83,155 |
Schedule of restricted stock activity | The following table presents information with respect to the Company’s restricted stock for the nine months ended September 30, 2018 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 725,449 $ 17.00 Granted (2) 27,756 10.78 Cancelled/forfeited — — Outstanding at end of period 753,205 $ 16.77 Unvested at end of period 26,708 $ 10.81 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. (2) Includes 1,852 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Stockholders' Equity Note [Abstract] | |
Schedule of cash dividends declared and paid on common stock | The following table presents cash dividends declared and paid by the Company on its common stock: Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2018 September 17, 2018 September 27, 2018 October 26, 2018 $ 0.31 Not yet determined June 21, 2018 July 2, 2018 July 26, 2018 $ 0.31 Not yet determined March 22, 2018 April 2, 2018 April 26, 2018 $ 0.31 Not yet determined 2017 December 21, 2017 January 2, 2018 January 26, 2018 $ 0.31 Return of capital September 21, 2017 October 2, 2017 October 26, 2017 $ 0.31 Return of capital June 20, 2017 June 30, 2017 July 26, 2017 $ 0.31 Return of capital March 23, 2017 April 3, 2017 April 26, 2017 $ 0.31 Ordinary income |
Net Income per Common Share (Ta
Net Income per Common Share (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share [Abstract] | |
Schedule of basic and diluted net income (loss) per share of common stock | The table below presents basic and diluted net income per share of common stock using the two-class method for the three and nine months ended September 30, 2018 and September 30, 2017 (dollars, other than shares and per share amounts, in thousands): For the three months ended September 30, 2018 For the three months ended September 30, 2017 Nine months ended September 30, 2018 Nine months ended September 30, 2017 Numerator : Net income attributable to common stockholders and participating securities for basic and diluted earnings per share $ 20,882 $ 22,767 $ 44,064 $ 63,693 Less: Dividends and undistributed earnings allocated to participating securities 54 75 112 238 Net income allocable to common stockholders — basic and diluted $ 20,828 $ 22,692 $ 43,952 $ 63,455 Denominator : Weighted average common shares outstanding for basic earnings per share 42,060,077 41,853,134 41,802,302 41,824,318 Weighted average common shares outstanding for diluted earnings per share 42,060,077 41,853,134 41,802,302 41,824,318 Basic earnings per common share $ 0.50 $ 0.54 $ 1.05 $ 1.52 Diluted earnings per common share $ 0.50 $ 0.54 $ 1.05 $ 1.52 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Assets | |||||
Derivative assets | $ 14,947 | $ 14,947 | $ 16,904 | ||
Liabilities | |||||
Derivative liabilities | 2,159 | 2,159 | 4,346 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | (2,533) | $ (7,225) | (8,423) | $ (19,901) | |
Premium and discount amortization, net | (2,884) | 2,658 | |||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized (gains)/losses, net on liabilities | (1,673) | ||||
Residential Whole-Loans | |||||
Assets | |||||
Fair value | 684,463 | 684,463 | 237,423 | ||
Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 385,008 | 385,008 | 672,177 | ||
Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 2,475,533 | 2,475,533 | 2,858,600 | ||
Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 12,203 | 12,203 | 15,437 | ||
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 8,006 | 8,006 | 10,419 | ||
Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 2,066,075 | 2,066,075 | 2,154,800 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | (298) | 110 | (266) | 717 | |
Agency CMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 10 | ||||
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 4,241 | 4,241 | 5,757 | ||
Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 365,710 | 365,710 | 378,158 | ||
Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 83,350 | 83,350 | 90,832 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | (159) | 0 | (269) | 0 | |
Premium and discount amortization, net | (536) | 372 | (685) | 303 | |
Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 15,513 | 15,513 | 8,722 | ||
Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 266,847 | 266,847 | 278,604 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | (2,054) | (2,344) | (7,491) | (12,658) | |
Premium and discount amortization, net | 1,469 | 2,139 | 5,873 | 6,572 | |
Subtotal Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 365,710 | 365,710 | 378,158 | ||
Other securities | |||||
Assets | |||||
Estimated Fair Value | 92,528 | 92,528 | 122,065 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | 0 | (121) | 0 | (1,823) | |
Premium and discount amortization, net | (1,660) | 464 | (4,825) | 2,112 | |
Level I | |||||
Assets | |||||
Derivative assets | 1,812 | 1,812 | 728 | ||
Total Assets | 1,812 | 1,812 | 728 | ||
Liabilities | |||||
Derivative liabilities | 0 | 0 | 50 | ||
Securitized debt | 0 | 0 | |||
Total Liabilities | 0 | 0 | 50 | ||
Level II | |||||
Assets | |||||
Estimated Fair Value | 2,723,943 | 2,723,943 | 3,323,632 | ||
Derivative assets | 888 | 888 | 0 | ||
Total Assets | 2,724,831 | 2,724,831 | 3,323,632 | ||
Liabilities | |||||
Derivative liabilities | 2,159 | 2,159 | 4,296 | ||
Securitized debt | 1,116,483 | 1,116,483 | |||
Total Liabilities | 1,118,642 | 1,118,642 | 4,296 | ||
Level II | Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 385,008 | 385,008 | 672,177 | ||
Level II | Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 2,348,200 | 2,348,200 | 2,841,383 | ||
Level II | Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 15,437 | ||
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 10,419 | ||
Level II | Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 1,958,951 | 1,958,951 | 2,137,583 | ||
Level II | Agency CMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 10 | ||||
Level II | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 4,241 | 4,241 | 5,757 | ||
Level II | Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 26,076 | 26,076 | 90,819 | ||
Level II | Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 266,847 | 266,847 | 278,604 | ||
Level II | Subtotal Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 292,923 | 292,923 | 369,423 | ||
Level II | Other securities | |||||
Assets | |||||
Estimated Fair Value | 82,820 | 82,820 | 112,826 | ||
Level III | |||||
Assets | |||||
Estimated Fair Value | 209,828 | 209,828 | 35,191 | ||
Total Assets | 2,464,037 | 2,464,037 | 362,016 | ||
Liabilities | |||||
Derivative liabilities | 0 | 0 | 0 | ||
Securitized debt | 2,606 | 2,606 | 10,945 | ||
Total Liabilities | 2,606 | 2,606 | 10,945 | ||
Level III | Residential Whole-Loans | |||||
Assets | |||||
Fair value | 684,463 | 684,463 | 237,423 | ||
Level III | Residential Bridge Loans | |||||
Assets | |||||
Fair value | 234,747 | 234,747 | 64,526 | ||
Level III | Securitized commercial loans | |||||
Assets | |||||
Fair value | 1,191,048 | 1,191,048 | 24,876 | ||
Level III | Commercial Loans | |||||
Assets | |||||
Fair value | 143,951 | 143,951 | |||
Level III | Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 127,333 | 127,333 | 17,217 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 75,043 | 0 | 17,217 | 73,059 | |
Ending balance | 127,333 | 2,009 | 127,333 | 2,009 | |
Level III | Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 12,203 | 12,203 | |||
Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 8,006 | 8,006 | |||
Level III | Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 107,124 | 107,124 | 17,217 | ||
Level III | Non-Agency MBS | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 16,307 | 14,326 | 8,735 | 75,576 | |
Ending balance | 72,787 | 14,262 | 72,787 | 14,262 | |
Level III | Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 57,274 | 57,274 | 13 | ||
Level III | Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 15,513 | 15,513 | 8,722 | ||
Level III | Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level III | Subtotal Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 72,787 | 72,787 | 8,735 | ||
Level III | Other securities | |||||
Assets | |||||
Estimated Fair Value | 9,708 | 9,708 | 9,239 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 8,955 | 22,405 | 9,239 | 31,356 | |
Ending balance | 9,708 | 9,470 | 9,708 | 9,470 | |
Fair Value, Measurements, Recurring | Level III | Securitized debt | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Transfers from Level III into Level II | (10,899) | ||||
Principal repayments | 26 | (44) | 26 | ||
Premium and discount amortization, net | 66 | 90 | |||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 2,870 | 10,945 | 10,945 | 10,659 | |
Sales and settlements | 12 | ||||
Principal repayments | 26 | (44) | 26 | ||
Unrealized (gains)/losses, net on liabilities | (330) | 60 | 2,502 | 346 | |
Ending balance | 2,606 | 10,979 | 2,606 | 10,979 | |
Unrealized gains/(losses) on securities | 330 | (60) | (2,504) | (346) | |
Fair Value, Measurements, Recurring | Level III | Derivative liability | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 329 | 1,673 | |||
Sales and settlements | (53) | (552) | |||
Realized (gains)/losses, net on liabilities | 53 | 552 | |||
Unrealized (gains)/losses, net on liabilities | (329) | ||||
Ending balance | 0 | 0 | |||
Unrealized gains/(losses) on securities | 0 | 0 | |||
Fair Value, Measurements, Recurring | Level III | Residential Whole-Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 335,149 | 203,540 | 237,423 | 192,136 | |
Purchases | 372,348 | 486,354 | 33,718 | ||
Principal repayments | (21,258) | (11,264) | (36,092) | (33,718) | |
Unrealized gains/(losses), net on assets | (1,469) | (575) | (2,644) | 97 | |
Premium and discount amortization, net | (307) | (262) | (578) | (794) | |
Ending balance | 684,463 | 191,439 | 684,463 | 191,439 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (21,258) | (11,264) | (36,092) | (33,718) | |
Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 236,359 | 64,526 | |||
Purchases | 70,465 | 221,619 | |||
Principal repayments | (70,341) | (49,503) | |||
Unrealized gains/(losses), net on assets | (1,103) | (1,217) | |||
Premium and discount amortization, net | (633) | (678) | |||
Ending balance | 234,747 | 234,747 | |||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (70,341) | (49,503) | |||
Fair Value, Measurements, Recurring | Level III | Securitized commercial loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 1,309,195 | 24,875 | 24,876 | 24,225 | |
Purchases | 1,353,019 | ||||
Principal repayments | (117,100) | 59 | (196,007) | 59 | |
Unrealized gains/(losses), net on assets | 282 | 136 | 11,152 | 786 | |
Premium and discount amortization, net | (1,329) | (1,992) | |||
Ending balance | 1,191,048 | 24,952 | 1,191,048 | 24,952 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (117,100) | 59 | (196,007) | 59 | |
Fair Value, Measurements, Recurring | Level III | Commercial Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 70,717 | 0 | |||
Purchases | 94,313 | 144,035 | |||
Principal repayments | 20,638 | ||||
Unrealized gains/(losses), net on assets | (575) | (159) | |||
Premium and discount amortization, net | 134 | 75 | |||
Ending balance | 143,951 | 143,951 | |||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | 20,638 | ||||
Fair Value, Measurements, Recurring | Level III | Agency MBS | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Transfers into Level III from Level II | 22,794 | ||||
Transfers from Level III into Level II | (51,976) | (16,805) | (73,715) | ||
Purchases | 107,034 | 2,009 | 109,002 | 2,009 | |
Principal repayments | (42) | (53) | |||
Other than temporary impairment | (384) | (590) | |||
Unrealized gains/(losses), net on assets | (1,007) | 0 | (1,447) | 636 | |
Premium and discount amortization, net | (1,335) | 0 | (2,785) | 20 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (42) | (53) | |||
Fair Value, Measurements, Recurring | Level III | Non-Agency MBS | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Transfers into Level III from Level II | 57,275 | 57,275 | 15,610 | ||
Transfers from Level III into Level II | (7,434) | ||||
Purchases | 8,602 | ||||
Sales and settlements | (60,132) | ||||
Principal repayments | (14) | (388) | 14 | (2,463) | |
Other than temporary impairment | (142) | (191) | |||
Unrealized gains/(losses), net on assets | (95) | 291 | (149) | (8,715) | |
Premium and discount amortization, net | (544) | 33 | (1,471) | (803) | |
Realized gains/(losses), net on assets | 2,623 | ||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (14) | (388) | 14 | (2,463) | |
Fair Value, Measurements, Recurring | Level III | Other securities | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Transfers into Level III from Level II | 9,708 | 9,470 | 9,708 | 9,470 | |
Transfers from Level III into Level II | (8,697) | (23,852) | 8,697 | (33,080) | |
Principal repayments | (285) | (604) | (172) | ||
Other than temporary impairment | (121) | (1,823) | |||
Unrealized gains/(losses), net on assets | (15) | 1,094 | (68) | 1,550 | |
Premium and discount amortization, net | 42 | 474 | 130 | 2,169 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (285) | (604) | (172) | ||
Estimated Fair Value | |||||
Assets | |||||
Estimated Fair Value | 2,933,771 | 2,933,771 | 3,358,823 | ||
Derivative assets | 2,700 | 2,700 | 728 | ||
Total Assets | 5,190,680 | 5,190,680 | 3,686,376 | ||
Liabilities | |||||
Derivative liabilities | 2,159 | 2,159 | 4,346 | ||
Securitized debt | 1,119,089 | 1,119,089 | 10,945 | ||
Total Liabilities | 1,121,248 | 1,121,248 | 15,291 | ||
Estimated Fair Value | Residential Whole-Loans | |||||
Assets | |||||
Fair value | 684,463 | 684,463 | 237,423 | ||
Estimated Fair Value | Residential Bridge Loans | |||||
Assets | |||||
Fair value | 234,747 | 234,747 | 64,526 | ||
Estimated Fair Value | Securitized commercial loans | |||||
Assets | |||||
Fair value | 1,191,048 | 1,191,048 | 24,876 | ||
Estimated Fair Value | Commercial Loans | |||||
Assets | |||||
Fair value | 143,951 | 143,951 | |||
Estimated Fair Value | Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 385,008 | 385,008 | 672,177 | ||
Estimated Fair Value | Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 2,475,533 | 2,475,533 | 2,858,600 | ||
Estimated Fair Value | Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 12,203 | 12,203 | 15,437 | ||
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 8,006 | 8,006 | 10,419 | ||
Estimated Fair Value | Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 2,066,075 | 2,066,075 | 2,154,800 | ||
Estimated Fair Value | Agency CMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 10 | ||||
Estimated Fair Value | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 4,241 | 4,241 | 5,757 | ||
Estimated Fair Value | Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 83,350 | 83,350 | 90,832 | ||
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 15,513 | 15,513 | 8,722 | ||
Estimated Fair Value | Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 266,847 | 266,847 | 278,604 | ||
Estimated Fair Value | Subtotal Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 365,710 | 365,710 | 378,158 | ||
Estimated Fair Value | Other securities | |||||
Assets | |||||
Estimated Fair Value | 92,528 | 92,528 | $ 122,065 | ||
Assets | Fair Value, Measurements, Recurring | Level III | Residential Whole-Loans | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses) on securities | (1,231) | (356) | (2,101) | 347 | |
Assets | Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses) on securities | (844) | (832) | |||
Assets | Fair Value, Measurements, Recurring | Level III | Securitized commercial loans | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses) on securities | 282 | 136 | 11,152 | 786 | |
Assets | Fair Value, Measurements, Recurring | Level III | Commercial Loans | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses) on securities | (618) | (159) | |||
Assets | Fair Value, Measurements, Recurring | Level III | Agency MBS | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses) on securities | (668) | 0 | (1,089) | 0 | |
Assets | Fair Value, Measurements, Recurring | Level III | Non-Agency MBS | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses) on securities | (94) | 291 | (148) | 684 | |
Assets | Fair Value, Measurements, Recurring | Level III | Other securities | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses) on securities | $ 0 | $ 0 | $ 0 | $ 72 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments Narrative (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Fair Value Disclosures [Abstract] | ||
Derivative credit risk valuation adjustment, derivative assets | $ 0 | $ 0 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential Bridge Loans | $ 14,724 | $ 42,147 |
Borrowings under repurchase agreements | 3,469,319 | 3,251,686 |
Convertible senior unsecured notes | 109,731 | 108,743 |
Total | 3,579,050 | 3,360,429 |
Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential Bridge Loans | 14,479 | 42,881 |
Borrowings under repurchase agreements | 3,591,751 | 3,257,956 |
Convertible senior unsecured notes | 115,385 | 114,819 |
Total | 3,707,136 | 3,372,775 |
Residential Bridge Loans | Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential Bridge Loans | 14,724 | 42,147 |
Residential Bridge Loans | Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential Bridge Loans | $ 14,479 | $ 42,881 |
Mortgage-Backed Securities an_3
Mortgage-Backed Securities and other securities (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Agency RMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 389,756,000 | $ 641,044,000 |
Unamortized Premium (Discount), net | 13,133,000 | 28,876,000 |
Amortized Cost | 402,889,000 | 669,920,000 |
Unrealized Gain | 0 | 4,571,000 |
Unrealized Loss | (17,881,000) | (2,314,000) |
Estimated Fair Value | $ 385,008,000 | $ 672,177,000 |
Net Weighted Average Coupon (as a percent) | 3.60% | 3.90% |
Subtotal Agency RMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 389,756,000 | $ 641,044,000 |
Unamortized Premium (Discount), net | 13,133,000 | 28,876,000 |
Amortized Cost | 415,266,000 | 684,670,000 |
Unrealized Gain | 724,000 | 5,449,000 |
Unrealized Loss | (18,779,000) | (2,505,000) |
Estimated Fair Value | $ 405,217,000 | $ 698,033,000 |
Net Weighted Average Coupon (as a percent) | 3.20% | 3.60% |
Agency RMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Amortized Cost | $ 12,377,000 | $ 14,750,000 |
Unrealized Gain | 724,000 | 878,000 |
Unrealized Loss | (898,000) | (191,000) |
Estimated Fair Value | $ 12,203,000 | $ 15,437,000 |
Net Weighted Average Coupon (as a percent) | 2.30% | 2.90% |
Notional balance | $ 166,400,000 | $ 165,500,000 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | $ 8,006,000 | $ 10,419,000 |
Net Weighted Average Coupon (as a percent) | 2.80% | 2.90% |
Notional balance | $ 96,200,000 | $ 122,000,000 |
Subtotal Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | 2,124,942,000 | 2,145,139,000 |
Unamortized Premium (Discount), net | 4,970,000 | 2,142,000 |
Amortized Cost | 2,129,912,000 | 2,147,281,000 |
Unrealized Gain | 563,000 | 16,923,000 |
Unrealized Loss | (64,400,000) | (9,394,000) |
Estimated Fair Value | $ 2,070,316,000 | $ 2,160,567,000 |
Net Weighted Average Coupon (as a percent) | 3.00% | 2.70% |
Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 2,124,942,000 | $ 2,145,139,000 |
Unamortized Premium (Discount), net | 4,970,000 | 2,142,000 |
Amortized Cost | 2,129,912,000 | 2,147,281,000 |
Unrealized Gain | 563,000 | 16,913,000 |
Unrealized Loss | (64,400,000) | (9,394,000) |
Estimated Fair Value | $ 2,066,075,000 | $ 2,154,800,000 |
Net Weighted Average Coupon (as a percent) | 3.20% | 2.90% |
Agency CMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Amortized Cost | $ 0 | |
Unrealized Gain | 10,000 | |
Estimated Fair Value | $ 10,000 | |
Net Weighted Average Coupon (as a percent) | 3.20% | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | $ 4,241,000 | $ 5,757,000 |
Net Weighted Average Coupon (as a percent) | 0.40% | 0.50% |
Notional balance | $ 173,900,000 | |
Agency MBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | 2,514,698,000 | $ 2,786,183,000 |
Unamortized Premium (Discount), net | 18,103,000 | 31,018,000 |
Amortized Cost | 2,545,178,000 | 2,831,951,000 |
Unrealized Gain | 1,287,000 | 22,372,000 |
Unrealized Loss | (83,179,000) | (11,899,000) |
Estimated Fair Value | $ 2,475,533,000 | $ 2,858,600,000 |
Net Weighted Average Coupon (as a percent) | 3.00% | 3.00% |
Subtotal Non-Agency MBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 435,861,000 | $ 498,931,000 |
Unamortized Premium (Discount), net | (23,446,000) | (53,866,000) |
Discount Designated as Credit Reserve and OTTI | (64,561,000) | (67,511,000) |
Amortized Cost | 363,531,000 | 386,292,000 |
Unrealized Gain | 8,303,000 | 7,175,000 |
Unrealized Loss | (6,124,000) | (15,309,000) |
Estimated Fair Value | $ 365,710,000 | $ 378,158,000 |
Net Weighted Average Coupon (as a percent) | 2.20% | 3.30% |
Non-Agency RMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 113,606,000 | $ 119,748,000 |
Unamortized Premium (Discount), net | 5,568,000 | 5,263,000 |
Discount Designated as Credit Reserve and OTTI | (39,585,000) | (39,491,000) |
Amortized Cost | 79,589,000 | 85,520,000 |
Unrealized Gain | 4,344,000 | 5,473,000 |
Unrealized Loss | (583,000) | (161,000) |
Estimated Fair Value | $ 83,350,000 | $ 90,832,000 |
Net Weighted Average Coupon (as a percent) | 4.40% | 3.80% |
Non-Agency RMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Amortized Cost | $ 15,677,000 | $ 8,738,000 |
Unrealized Gain | 0 | 0 |
Unrealized Loss | (164,000) | (16,000) |
Estimated Fair Value | $ 15,513,000 | $ 8,722,000 |
Net Weighted Average Coupon (as a percent) | 0.50% | 0.90% |
Notional balance | $ 822,000,000 | $ 278,400,000 |
Subtotal Non-Agency RMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | 113,606,000 | 119,748,000 |
Unamortized Premium (Discount), net | 5,568,000 | 5,263,000 |
Discount Designated as Credit Reserve and OTTI | (39,585,000) | (39,491,000) |
Amortized Cost | 95,266,000 | 94,258,000 |
Unrealized Gain | 4,344,000 | 5,473,000 |
Unrealized Loss | (747,000) | (177,000) |
Estimated Fair Value | $ 98,863,000 | $ 99,554,000 |
Net Weighted Average Coupon (as a percent) | 1.00% | 1.80% |
Non-Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 322,255,000 | $ 379,183,000 |
Unamortized Premium (Discount), net | (29,014,000) | (59,129,000) |
Discount Designated as Credit Reserve and OTTI | (24,976,000) | (28,020,000) |
Amortized Cost | 268,265,000 | 292,034,000 |
Unrealized Gain | 3,959,000 | 1,702,000 |
Unrealized Loss | (5,377,000) | (15,132,000) |
Estimated Fair Value | $ 266,847,000 | $ 278,604,000 |
Net Weighted Average Coupon (as a percent) | 5.90% | 4.80% |
Total | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 3,021,979,000 | $ 3,371,419,000 |
Unamortized Premium (Discount), net | (3,227,000) | (16,548,000) |
Discount Designated as Credit Reserve and OTTI | (74,452,000) | (72,915,000) |
Amortized Cost | 2,991,058,000 | 3,328,334,000 |
Unrealized Gain | 19,837,000 | 41,708,000 |
Unrealized Loss | (89,371,000) | (27,395,000) |
Estimated Fair Value | $ 2,933,771,000 | $ 3,358,823,000 |
Net Weighted Average Coupon (as a percent) | 2.90% | 3.10% |
Weighted average expected remaining term to the expected maturity of investment portfolio | 9 years | 8 years 7 months 6 days |
Other securities | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 71,420,000 | $ 86,305,000 |
Unamortized Premium (Discount), net | 2,116,000 | 6,300,000 |
Discount Designated as Credit Reserve and OTTI | (9,891,000) | (5,404,000) |
Amortized Cost | 82,349,000 | 110,091,000 |
Unrealized Gain | 10,247,000 | 12,161,000 |
Unrealized Loss | (68,000) | (187,000) |
Estimated Fair Value | $ 92,528,000 | $ 122,065,000 |
Net Weighted Average Coupon (as a percent) | 9.00% | 7.80% |
Residual interests in asset-backed securities | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 0 | $ 0 |
Amortized Cost | $ 18,700,000 | 22,900,000 |
Agency interest only strips accounted for as derivatives | ||
Mortgage-Backed Securities and other securities | ||
Notional balance | 192,500,000 | |
CMBS Interest Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Notional balance | $ 3,300,000 |
Mortgage-Backed Securities an_4
Mortgage-Backed Securities and other securities- Purchase discount and premium (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Discount Designated as Credit Reserve and OTTI | ||||
Net impairment losses recognized in earnings | $ (2,533) | $ (7,225) | $ (8,423) | $ (19,901) |
Non-Agency RMBS and Non-Agency CMBS and other securities | ||||
Discount Designated as Credit Reserve and OTTI | ||||
Balance at beginning of period | (78,837) | (49,830) | (72,915) | (130,484) |
Realized credit losses | 3,305 | 25 | 5,526 | 1,854 |
Purchases | 0 | 0 | (7,182) | (1,724) |
Sales | 2,334 | 187 | 5,673 | 89,628 |
Net impairment losses recognized in earnings | (2,071) | (2,345) | (7,570) | (12,696) |
Transfers/release of credit reserve | 817 | (866) | 2,016 | 593 |
Balance at end of period | (74,452) | (52,829) | (74,452) | (52,829) |
Accretable Discount | ||||
Balance at beginning of period | (68,677) | (76,778) | (68,438) | (109,822) |
Accretion of discount | 1,314 | 2,588 | 6,483 | 8,542 |
Purchases | 0 | 0 | (6,473) | (668) |
Sales | 25,624 | 1,931 | 29,352 | 32,016 |
Transfers/release of credit reserve | 8 | 953 | (2,655) | (1,374) |
Balance at end of period | (41,731) | (71,306) | (41,731) | (71,306) |
Amortizable Premium | ||||
Balance at beginning of period | 21,723 | 15,186 | 20,872 | 44,527 |
Amortization of premium | (97) | (87) | (461) | (776) |
Purchases | 0 | 0 | (435) | (1,522) |
Sales | (400) | (18) | (1,084) | (31,060) |
Transfers/release of credit reserve | (825) | (87) | 639 | 781 |
Balance at end of period | $ 20,401 | $ 14,994 | $ 20,401 | $ 14,994 |
Mortgage-Backed Securities an_5
Mortgage-Backed Securities and other securities- Type of security (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Agency RMBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | $ 385,008 | $ 672,177 |
Agency RMBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 0 | 0 |
Agency RMBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 0 | 56,228 |
Agency RMBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 57,572 | 239,197 |
Agency RMBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 327,436 | 376,752 |
Total | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 2,933,771 | 3,358,823 |
Total | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 1,545,122 | 1,605,249 |
Total | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 730,027 | 831,875 |
Total | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 195,355 | 393,110 |
Total | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 463,267 | 528,589 |
Agency MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 2,475,533 | 2,858,600 |
Agency MBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 1,512,588 | 1,605,236 |
Agency MBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 565,187 | 621,138 |
Agency MBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 66,081 | 249,717 |
Agency MBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 331,677 | 382,509 |
Agency RMBS (1) | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 405,217 | 698,033 |
Agency RMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 12,203 | 15,437 |
Agency RMBS Interest-Only Strips | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 3,937 | 3,920 |
Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 2,436 | 4,591 |
Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 5,830 | 6,926 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 8,006 | 10,419 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 1,223 | 1,686 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 4,104 | 5,139 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 2,679 | 3,594 |
Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 2,066,075 | 2,154,800 |
Agency CMBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 1,507,428 | 1,599,620 |
Agency CMBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 558,647 | 555,180 |
Agency CMBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 0 | |
Agency CMBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 0 | |
Agency CMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 10 | |
Agency CMBS Interest-Only Strips | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 10 | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 4,241 | 5,757 |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 4,241 | 5,757 |
Subtotal Non-Agency MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 365,710 | 378,158 |
Subtotal Non-Agency MBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 28,752 | 13 |
Subtotal Non-Agency MBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 104,932 | 111,675 |
Subtotal Non-Agency MBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 129,274 | 143,393 |
Subtotal Non-Agency MBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 102,752 | 123,077 |
Non-Agency RMBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 83,350 | 90,832 |
Non-Agency RMBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 0 | 13 |
Non-Agency RMBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 24,752 | 51,092 |
Non-Agency RMBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 16,757 | 4,184 |
Non-Agency RMBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 41,841 | 35,543 |
Non-Agency RMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 15,513 | 8,722 |
Non-Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 0 | 0 |
Non-Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 7,900 | 0 |
Non-Agency RMBS Interest-Only Strips | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 7,613 | 8,722 |
Non-Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 266,847 | 278,604 |
Non-Agency CMBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 28,752 | 0 |
Non-Agency CMBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 80,180 | 60,583 |
Non-Agency CMBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 104,617 | 139,209 |
Non-Agency CMBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 53,298 | 78,812 |
Other securities | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 92,528 | 122,065 |
Other securities | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 3,782 | 0 |
Other securities | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 59,908 | 99,062 |
Other securities | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 0 | 0 |
Other securities | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | $ 28,838 | $ 23,003 |
Mortgage-Backed Securities an_6
Mortgage-Backed Securities and other securities- FV and unrealized loss (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018USD ($)itemsecurity | Sep. 30, 2017USD ($) | Sep. 30, 2018USD ($)itemsecurity | Sep. 30, 2017USD ($) | Dec. 31, 2017USD ($)itemsecurity | |
Fair Value | |||||
Fair value - Less than 12 months | $ 1,371,799 | $ 1,371,799 | $ 1,419,604 | ||
12 Months or More Fair Value | 846,484 | 846,484 | 123,064 | ||
Total Fair Value | 2,218,283 | 2,218,283 | 1,542,668 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (37,409) | (37,409) | (13,832) | ||
12 Months or More Unrealized Losses | (51,962) | (51,962) | (13,563) | ||
Total Unrealized Losses | $ (89,371) | $ (89,371) | $ (27,395) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 116 | 116 | 98 | ||
12 Months or More Number of Securities | security | 57 | 57 | 43 | ||
Total Number of Securities | security | 173 | 173 | 141 | ||
Other than temporary impairment | $ 2,533 | $ 7,225 | $ 8,423 | $ 19,901 | |
Agency RMBS | |||||
Fair Value | |||||
Fair value - Less than 12 months | 115,378 | 115,378 | $ 330,259 | ||
12 Months or More Fair Value | 269,630 | 269,630 | 1,632 | ||
Total Fair Value | 385,008 | 385,008 | 331,891 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (3,131) | (3,131) | (2,179) | ||
12 Months or More Unrealized Losses | (14,750) | (14,750) | (135) | ||
Total Unrealized Losses | $ (17,881) | $ (17,881) | $ (2,314) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 8 | 8 | 11 | ||
12 Months or More Number of Securities | security | 2 | 2 | 5 | ||
Total Number of Securities | item | 10 | 10 | 16 | ||
Agency RMBS (1) | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 1,254,891 | $ 1,254,891 | $ 1,288,913 | ||
12 Months or More Fair Value | 789,221 | 789,221 | 3,335 | ||
Total Fair Value | 2,044,112 | 2,044,112 | 1,292,248 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (35,700) | (35,700) | (11,715) | ||
12 Months or More Unrealized Losses | (47,479) | (47,479) | (184) | ||
Total Unrealized Losses | $ (83,179) | $ (83,179) | $ (11,899) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 93 | 93 | 74 | ||
12 Months or More Number of Securities | security | 45 | 45 | 8 | ||
Total Number of Securities | 138 | 138 | 82 | ||
Other than temporary impairment | $ 320 | 4,760 | $ 663 | 5,420 | |
Agency RMBS Interest-Only Strips | |||||
Fair Value | |||||
Fair value - Less than 12 months | 3,588 | 3,588 | $ 3,095 | ||
12 Months or More Fair Value | 2,753 | 2,753 | 1,703 | ||
Total Fair Value | 6,341 | 6,341 | 4,798 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (394) | (394) | (142) | ||
12 Months or More Unrealized Losses | (504) | (504) | (49) | ||
Total Unrealized Losses | $ (898) | $ (898) | $ (191) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 9 | 9 | 6 | ||
12 Months or More Number of Securities | security | 6 | 6 | 3 | ||
Total Number of Securities | 15 | 15 | 9 | ||
Agency CMBS | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 1,135,925 | $ 1,135,925 | $ 955,559 | ||
12 Months or More Fair Value | 516,838 | 516,838 | 0 | ||
Total Fair Value | 1,652,763 | 1,652,763 | 955,559 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (32,175) | (32,175) | (9,394) | ||
12 Months or More Unrealized Losses | (32,225) | (32,225) | 0 | ||
Total Unrealized Losses | $ (64,400) | $ (64,400) | $ (9,394) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 76 | 76 | 57 | ||
12 Months or More Number of Securities | security | 37 | 37 | 0 | ||
Total Number of Securities | 113 | 113 | 57 | ||
Subtotal Non-Agency MBS | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 108,211 | $ 108,211 | $ 106,891 | ||
12 Months or More Fair Value | 57,263 | 57,263 | 119,729 | ||
Total Fair Value | 165,474 | 165,474 | 226,620 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (1,641) | (1,641) | (1,930) | ||
12 Months or More Unrealized Losses | (4,483) | (4,483) | (13,379) | ||
Total Unrealized Losses | $ (6,124) | $ (6,124) | $ (15,309) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 22 | 22 | 21 | ||
12 Months or More Number of Securities | security | 12 | 12 | 35 | ||
Total Number of Securities | security | 34 | 34 | 56 | ||
Non-Agency RMBS | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 29,798 | $ 29,798 | $ 28,508 | ||
12 Months or More Fair Value | 0 | 0 | 0 | ||
Total Fair Value | 29,798 | 29,798 | 28,508 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (583) | (583) | (161) | ||
12 Months or More Unrealized Losses | 0 | 0 | 0 | ||
Total Unrealized Losses | $ (583) | $ (583) | $ (161) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | 5 | 5 | 3 | ||
12 Months or More Number of Securities | 0 | 0 | 0 | ||
Total Number of Securities | 5 | 5 | 3 | ||
Other than temporary impairment | $ 159 | 0 | $ 269 | 0 | |
Non-Agency RMBS Interest-Only Strips | |||||
Fair Value | |||||
Fair value - Less than 12 months | 8,003 | 8,003 | $ 8,722 | ||
12 Months or More Fair Value | 0 | 0 | 0 | ||
Total Fair Value | 8,003 | 8,003 | 8,722 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (164) | (164) | (16) | ||
12 Months or More Unrealized Losses | 0 | 0 | 0 | ||
Total Unrealized Losses | $ (164) | $ (164) | $ (16) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | item | 2 | 2 | 3 | ||
12 Months or More Number of Securities | item | 0 | 0 | 0 | ||
Total Number of Securities | item | 2 | 2 | 3 | ||
Non-Agency CMBS | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 70,410 | $ 70,410 | $ 69,661 | ||
12 Months or More Fair Value | 57,263 | 57,263 | 119,729 | ||
Total Fair Value | 127,673 | 127,673 | 189,390 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (894) | (894) | (1,753) | ||
12 Months or More Unrealized Losses | (4,483) | (4,483) | (13,379) | ||
Total Unrealized Losses | $ (5,377) | $ (5,377) | $ (15,132) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 15 | 15 | 15 | ||
12 Months or More Number of Securities | security | 12 | 12 | 35 | ||
Total Number of Securities | security | 27 | 27 | 50 | ||
Other than temporary impairment | $ 2,054 | 2,344 | $ 7,491 | 12,658 | |
Other securities | |||||
Fair Value | |||||
Fair value - Less than 12 months | 8,697 | 8,697 | $ 23,800 | ||
12 Months or More Fair Value | 0 | 0 | 0 | ||
Total Fair Value | 8,697 | 8,697 | 23,800 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (68) | (68) | (187) | ||
12 Months or More Unrealized Losses | 0 | 0 | 0 | ||
Total Unrealized Losses | $ (68) | $ (68) | $ (187) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | 1 | 1 | 3 | ||
12 Months or More Number of Securities | 0 | 0 | 0 | ||
Total Number of Securities | 1 | 1 | 3 | ||
Other than temporary impairment | $ 0 | $ 121 | $ 0 | $ 1,823 | |
Unpaid Securities [Member] | |||||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 2 | 2 | |||
Other than temporary impairment | $ 161 | ||||
Available-for-sale securities, unpaid principal balance | $ 4,100 | $ 4,100 |
Mortgage-Backed Securities an_7
Mortgage-Backed Securities and other securities- Financing receivables (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Mortgage-Backed Securities and other securities | ||||
Other loss on securities | $ 2,533 | $ 7,225 | $ 8,423 | $ 19,901 |
Components of interest income | ||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (2,884) | 2,658 | ||
Interest Income | 54,461 | 30,928 | 151,342 | 89,413 |
Total | ||||
Components of interest income | ||||
Coupon Interest | 29,555 | 26,930 | 95,812 | 79,378 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (2,163) | 90 | (4,015) | (958) |
Interest Income | 27,392 | 27,020 | 91,797 | 78,420 |
Agency RMBS (1) | ||||
Mortgage-Backed Securities and other securities | ||||
Other loss on securities | 320 | 4,760 | 663 | 5,420 |
Other than temporary impairment losses, investments, AFS securities | 0 | 0 | 4,700 | 4,700 |
Components of interest income | ||||
Coupon Interest | 4,551 | 8,886 | 17,471 | 30,513 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (1,138) | (2,995) | (4,112) | (10,662) |
Interest Income | 3,413 | 5,891 | 13,359 | 19,851 |
Agency CMBS | ||||
Components of interest income | ||||
Coupon Interest | 13,812 | 11,071 | 45,753 | 24,408 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (298) | 110 | (266) | 717 |
Interest Income | 13,514 | 11,181 | 45,487 | 25,125 |
Non-Agency RMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Other loss on securities | 159 | 0 | 269 | 0 |
Components of interest income | ||||
Coupon Interest | 2,139 | 571 | 5,616 | 4,482 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (536) | 372 | (685) | 303 |
Interest Income | 1,603 | 943 | 4,931 | 4,785 |
Non-Agency CMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Other loss on securities | 2,054 | 2,344 | 7,491 | 12,658 |
Components of interest income | ||||
Coupon Interest | 5,379 | 4,242 | 15,362 | 14,675 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 1,469 | 2,139 | 5,873 | 6,572 |
Interest Income | 6,848 | 6,381 | 21,235 | 21,247 |
Other securities | ||||
Mortgage-Backed Securities and other securities | ||||
Other loss on securities | 0 | 121 | 0 | 1,823 |
Components of interest income | ||||
Coupon Interest | 3,674 | 2,160 | 11,610 | 5,300 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (1,660) | 464 | (4,825) | 2,112 |
Interest Income | $ 2,014 | $ 2,624 | $ 6,785 | $ 7,412 |
Mortgage-Backed Securities an_8
Mortgage-Backed Securities and other securities- Gross gains and losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Total | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | $ 729,237 | $ 18,110 | $ 1,146,106 | $ 1,185,055 |
Gross Gains | 4,123 | 2,057 | 9,073 | 31,561 |
Gross Losses | 28,352 | 227 | 38,335 | 10,961 |
Net Gain (Loss) | (24,229) | 1,830 | (29,262) | 20,600 |
Agency RMBS (1) | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 0 | (2,906) | 209,581 | 862,245 |
Gross Gains | 0 | (3) | 18 | 4,376 |
Gross Losses | 0 | (51) | 4,531 | 7,314 |
Net Gain (Loss) | 0 | 48 | (4,513) | (2,938) |
Agency RMBS (1) | Agency interest only strips accounted for as derivatives | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 2,600 | |||
Gross Gains | 432 | |||
Agency CMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 641,677 | 0 | 768,544 | 0 |
Gross Gains | 0 | 0 | 0 | 0 |
Gross Losses | 25,640 | 0 | 30,656 | 0 |
Net Gain (Loss) | (25,640) | 0 | (30,656) | 0 |
Non-Agency RMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 51,958 | 243,811 | ||
Gross Gains | 3,114 | 24,389 | ||
Gross Losses | 0 | 2,242 | ||
Net Gain (Loss) | 3,114 | 22,147 | ||
Non-Agency RMBS | Agency interest only strips accounted for as derivatives | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 2,200 | |||
Gross Gains | 274 | |||
Gross Losses | 180 | |||
Non-Agency CMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 73,848 | 10,597 | 80,554 | 45,634 |
Gross Gains | 2,411 | 1,641 | 2,472 | 2,377 |
Gross Losses | 2,712 | 278 | 3,148 | 1,351 |
Net Gain (Loss) | (301) | 1,363 | (676) | 1,026 |
Other securities | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 13,712 | 10,419 | 35,469 | 33,365 |
Gross Gains | 1,712 | 419 | 3,469 | 419 |
Gross Losses | 0 | 0 | 0 | 54 |
Net Gain (Loss) | $ 1,712 | $ 419 | $ 3,469 | $ 365 |
Mortgage-Backed Securities an_9
Mortgage-Backed Securities and other securities Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) - USD ($) $ in Millions | Sep. 30, 2018 | Dec. 31, 2017 |
Variable interest entity, not primary beneficiary, aggregated disclosure | ||
Investment [Line Items] | ||
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ 116.1 | $ 62.1 |
Residential Whole-Loans and B_3
Residential Whole-Loans and Bridge Loans (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018USD ($)loan | Dec. 31, 2017USD ($)entityloan | |
Variable Interest Entity [Line Items] | ||
Repurchase agreements, net | $ | $ 3,469,319 | $ 3,251,686 |
Variable interest entity, not primary beneficiary, aggregated disclosure | ||
Variable Interest Entity [Line Items] | ||
Variable interest entity, nonconsolidated, number of entity | entity | 3 | |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1,949 | 616 |
Residential Whole-Loans | Variable interest entity, primary beneficiary, aggregated disclosure | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 13 | |
Residential Whole-Loans | VIE | ||
Variable Interest Entity [Line Items] | ||
Repurchase agreements, net | $ | $ 334,900 | |
Number of Loans | 1,936 | |
Mortgage loans on real estate, number of loans, nonperforming | 1 | |
Mortgage loans on real estate, principal amount of delinquent loans | $ | $ 806 | $ 579 |
Mortgage loans on real estate, fair value amount of delinquent loans | $ | $ 787 | $ 570 |
Mortgage loans on real estate, number of loans, nonperforming, percentage | 0.10% | 0.20% |
Residential Whole-Loans | RCR Trust | ||
Variable Interest Entity [Line Items] | ||
Repurchase agreements, net | $ | $ 258,100 | |
Residential Whole-Loans | RNR Trust | ||
Variable Interest Entity [Line Items] | ||
Repurchase agreements, net | $ | $ 15,300 | |
Commercial Loans | VIE | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1 | |
Residential Bridge Loans | Variable interest entity, primary beneficiary, aggregated disclosure | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 673 | |
Residential Bridge Loans | VIE | ||
Variable Interest Entity [Line Items] | ||
Repurchase agreements, net | $ | $ 219,700 | |
Number of Loans | 673 | 340 |
Mortgage loans on real estate, number of loans, nonperforming | 11 | 9 |
Mortgage loans on real estate, principal amount of delinquent loans | $ | $ 4,200 | $ 1,800 |
Mortgage loans on real estate, number of loans, nonperforming, percentage | 2.00% | 1.70% |
Mortgage loans on real estate weighted average loan to value, collateral dependent | 74.00% | 74.00% |
Estimated Fair Value | Residential Bridge Loans | VIE | ||
Variable Interest Entity [Line Items] | ||
Mortgage loans on real estate, number of loans, nonperforming | 4 | |
Mortgage loans on real estate, principal amount of delinquent loans | $ | $ 727 | |
Non-Qualifying Adjustable Rate Mortgage Loan | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1,034 | |
Conforming Fixed Rate Mortgage Loan | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 902 | |
Investor Fixed Rate Mortgage Loan | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 13 |
Residential Whole-Loans and B_4
Residential Whole-Loans and Bridge Loans - Summary of the assets and liabilities of the residential and commercial loan trusts (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Variable Interest Entity [Line Items] | |||
Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively) | $ 684,463 | $ 237,423 | |
Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) | 249,471 | 106,673 | |
Commercial Loans, at fair value | 123,677 | 0 | |
Investment related receivable | 113,341 | 7,665 | |
Interest receivable | 21,869 | 13,603 | |
Other assets | 2,903 | 2,161 | |
Total assets | [1] | 5,537,985 | 3,886,906 |
Accounts payable and accrued expenses | 3,513 | 3,118 | |
Other liabilities | 100,530 | 0 | |
Total liabilities | [2] | 5,002,340 | 3,420,868 |
Residential bridge loan, at fair value | 234,747 | 64,526 | |
VIE | |||
Variable Interest Entity [Line Items] | |||
Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively) | 684,463 | 237,423 | |
Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) | 249,471 | 106,673 | |
Commercial Loans, at fair value | 123,677 | 0 | |
Investment related receivable | 33,430 | 7,665 | |
Interest receivable | 12,418 | 3,358 | |
Other assets | 203 | 0 | |
Total assets | 2,394,848 | 379,995 | |
Accounts payable and accrued expenses | 737 | 189 | |
Other liabilities | 100,531 | 0 | |
Total liabilities | 1,222,844 | 11,204 | |
Residential bridge loan, at fair value | 234,747 | 64,526 | |
Residential Whole-Loan And Residential Bridge Loan | VIE | |||
Variable Interest Entity [Line Items] | |||
Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively) | 684,463 | 237,423 | |
Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) | 249,471 | 106,673 | |
Commercial Loans, at fair value | 29,831 | 0 | |
Investment related receivable | 33,430 | 7,665 | |
Interest receivable | 8,874 | 3,197 | |
Other assets | 203 | 0 | |
Total assets | 1,006,272 | 354,958 | |
Accounts payable and accrued expenses | 722 | 188 | |
Other liabilities | 393 | 0 | |
Total liabilities | 1,115 | 188 | |
Residential Whole-Loans | VIE | |||
Variable Interest Entity [Line Items] | |||
Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) | 684,463 | 237,423 | |
Residential Bridge Loans | VIE | |||
Variable Interest Entity [Line Items] | |||
Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively) | 249,471 | 106,673 | |
Residential bridge loan, at fair value | $ 234,747 | $ 64,526 | |
[1] | (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents——Restricted cash100,138—Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively)684,463237,423Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively)249,471106,673Securitized commercial loans, at fair value1,191,04824,876Commercial Loans, at fair value ($123,677 and $0 pledged as collateral, at fair value, respectively)123,677—Investment related receivable33,4307,665Interest receivable12,4183,358Other assets203—Total assets of consolidated VIEs2,394,848379,995Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively)234,74764,526 | ||
[2] | (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively)1,119,08910,945Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively)2,48770Accounts payable and accrued expenses737189Other liabilities100,531—Total liabilities of consolidated VIEs1,222,84411,204Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively)313,14310,945Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively)89170 |
Residential Whole-Loans and B_5
Residential Whole-Loans and Bridge Loans - Components of the fair value of Residential Whole-Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 674,763 | $ 232,270 |
Unamortized premium | 10,592 | 2,021 |
Unamortized discount | (2,499) | (1,190) |
Amortized cost | 682,856 | 233,101 |
Gross unrealized gains | 5,506 | 4,463 |
Gross unrealized losses | (3,899) | (141) |
Fair value | 684,463 | 237,423 |
Residential Bridge Loans, At Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | 234,445 | 63,802 |
Unamortized premium | 1,426 | 293 |
Unamortized discount | (434) | (128) |
Amortized cost | 235,437 | 63,967 |
Gross unrealized gains | 525 | 655 |
Gross unrealized losses | (1,215) | (96) |
Fair value | 234,747 | 64,526 |
Residential Bridge Loans, At Amortized Cost | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | 14,734 | 42,066 |
Unamortized premium | 28 | 122 |
Unamortized discount | (38) | (41) |
Amortized cost | $ 14,724 | $ 42,147 |
Residential Whole-Loans and B_6
Residential Whole-Loans and Bridge Loans - Investment Portfolio (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018USD ($)loan | Sep. 30, 2018USD ($)scoreloan | Dec. 31, 2017USD ($)scoreloan | |
3.01 – 4.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 69 | 142 | |
Principal Balance | $ | $ 22,732 | $ 22,732 | $ 55,593 |
Original LTV | 61.40% | 55.50% | |
Original FICO Score | score | 738 | 751 | |
Expected Life (years) | 7 years 6 months | 1 year 8 months 12 days | |
Contractual Maturity (years) | 29 years 3 months 18 days | 29 years 1 month 6 days | |
Coupon Rate | 3.90% | 3.90% | |
4.01– 5.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1,159 | 338 | |
Principal Balance | $ | 405,934 | $ 405,934 | $ 125,860 |
Original LTV | 62.20% | 56.90% | |
Original FICO Score | score | 734 | 725 | |
Expected Life (years) | 3 years 7 months 6 days | 1 year 4 months 24 days | |
Contractual Maturity (years) | 28 years 9 months 18 days | 26 years 6 months | |
Coupon Rate | 4.70% | 4.50% | |
5.01 – 6.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 708 | 132 | |
Principal Balance | $ | 238,961 | $ 238,961 | $ 48,553 |
Original LTV | 63.20% | 58.20% | |
Original FICO Score | score | 709 | 728 | |
Expected Life (years) | 2 years 9 months 18 days | 1 year 7 months 6 days | |
Contractual Maturity (years) | 28 years | 27 years | |
Coupon Rate | 5.40% | 5.20% | |
6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 11 | 4 | |
Principal Balance | $ | 6,685 | $ 6,685 | $ 2,264 |
Original LTV | 64.90% | 71.10% | |
Original FICO Score | score | 748 | 758 | |
Expected Life (years) | 1 year 4 months 24 days | 1 year 3 months 18 days | |
Contractual Maturity (years) | 25 years 4 months 24 days | 20 years 6 months | |
Coupon Rate | 6.30% | 6.30% | |
7.01 - 8.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1 | ||
Principal Balance | $ | 357 | $ 357 | |
Original LTV | 70.00% | ||
Original FICO Score | score | 777 | ||
Expected Life (years) | 1 year 10 months 24 days | ||
Contractual Maturity (years) | 29 years 3 months 18 days | ||
Coupon Rate | 7.20% | ||
8.01 - 9.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1 | ||
Principal Balance | $ | 94 | $ 94 | |
Original LTV | 70.00% | ||
Original FICO Score | score | 689 | ||
Expected Life (years) | 1 year 10 months 24 days | ||
Contractual Maturity (years) | 29 years 3 months 18 days | ||
Coupon Rate | 8.40% | ||
Residential Whole-Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1,949 | 616 | |
Principal Balance | $ | 674,763 | $ 674,763 | $ 232,270 |
Original LTV | 62.60% | 57.00% | |
Original FICO Score | score | 727 | 734 | |
Expected Life (years) | 3 years 4 months 24 days | 1 year 6 months | |
Contractual Maturity (years) | 28 years 6 months | 27 years 1 month 6 days | |
Coupon Rate | 4.90% | 4.50% | |
Residential portfolio segment with no FICO score | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 240 | 141 | |
Principal Balance | $ | 81,600 | $ 81,600 | $ 56,500 |
5.01 – 6.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 9 | ||
Principal Balance | $ | $ 4,016 | ||
Original LTV | 64.50% | ||
Expected Life (years) | 10 months 25 days | ||
Coupon Rate | 5.90% | ||
6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 14 | 64 | |
Principal Balance | $ | 5,264 | $ 5,264 | $ 18,420 |
Original LTV | 61.80% | 67.80% | |
Expected Life (years) | 2 months 17 days | 10 months 19 days | |
Coupon Rate | 6.70% | 6.70% | |
7.01 – 8.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 127 | 98 | |
Principal Balance | $ | 57,820 | $ 57,820 | $ 25,608 |
Original LTV | 72.90% | 66.40% | |
Expected Life (years) | 6 months 15 days | 9 months 16 days | |
Coupon Rate | 7.70% | 7.60% | |
8.01 – 9.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 213 | 56 | |
Principal Balance | $ | 94,873 | $ 94,873 | $ 19,728 |
Original LTV | 70.20% | 70.30% | |
Expected Life (years) | 5 months 13 days | 11 months 28 days | |
Coupon Rate | 8.70% | 8.90% | |
9.01 – 10.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 189 | 67 | |
Principal Balance | $ | 59,927 | $ 59,927 | $ 25,001 |
Original LTV | 72.30% | 73.30% | |
Expected Life (years) | 5 months 16 days | 6 months 25 days | |
Coupon Rate | 9.70% | 9.70% | |
10.01 – 11.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 71 | 36 | |
Principal Balance | $ | 16,651 | $ 16,651 | $ 10,656 |
Original LTV | 71.30% | 75.40% | |
Expected Life (years) | 5 months | 5 months | |
Coupon Rate | 10.60% | 10.80% | |
11.01 – 12.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 37 | 2 | |
Principal Balance | $ | 9,121 | $ 9,121 | $ 919 |
Original LTV | 63.50% | 89.80% | |
Expected Life (years) | 6 months 4 days | 8 months 7 days | |
Coupon Rate | 11.40% | 11.40% | |
12.01 – 13.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 9 | ||
Principal Balance | $ | $ 1,866 | $ 1,866 | |
Original LTV | 73.30% | ||
Expected Life (years) | 6 months 25 days | ||
Coupon Rate | 12.70% | ||
13.01 – 14.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1 | ||
Principal Balance | $ | $ 88 | $ 88 | |
Original LTV | 65.00% | ||
Expected Life (years) | 7 months | ||
Coupon Rate | 14.00% | ||
17.01 – 18.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 12 | 8 | |
Principal Balance | $ | $ 3,569 | $ 3,569 | $ 1,520 |
Original LTV | 74.00% | 73.80% | |
Expected Life (years) | 4 months 13 days | 5 months 28 days | |
Coupon Rate | 18.00% | 18.00% | |
Residential Bridge Loans | |||
Variable Interest Entity [Line Items] | |||
Expected Life (years) | 5 months 19 days | 9 months | |
Minimum | 3.01 – 4.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 3.01% | 3.01% | |
Minimum | 4.01– 5.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 4.01% | 4.01% | |
Minimum | 5.01 – 6.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 5.01% | 5.01% | |
Minimum | 6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 6.01% | 6.01% | |
Minimum | 7.01 - 8.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 7.01% | ||
Minimum | 8.01 - 9.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 8.01% | ||
Minimum | 5.01 – 6.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 5.01% | 5.01% | |
Minimum | 6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 6.01% | 6.01% | |
Minimum | 7.01 – 8.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 7.01% | 7.01% | |
Minimum | 8.01 – 9.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 8.01% | 8.01% | |
Minimum | 9.01 – 10.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 9.01% | 9.01% | |
Minimum | 10.01 – 11.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 10.01% | 10.01% | |
Minimum | 11.01 – 12.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 11.01% | 11.01% | |
Minimum | 12.01 – 13.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 12.01% | ||
Minimum | 13.01 – 14.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 13.01% | ||
Minimum | 17.01 – 18.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 17.01% | 17.01% | |
Maximum | 3.01 – 4.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 4.00% | 4.00% | |
Maximum | 4.01– 5.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 5.00% | 5.00% | |
Maximum | 5.01 – 6.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 6.00% | 6.00% | |
Maximum | 6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 7.00% | 7.00% | |
Maximum | 7.01 - 8.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 8.00% | ||
Maximum | 8.01 - 9.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 9.00% | ||
Maximum | 5.01 – 6.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 6.00% | 6.00% | |
Maximum | 6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 7.00% | 7.00% | |
Maximum | 7.01 – 8.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 8.00% | 8.00% | |
Maximum | 8.01 – 9.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 9.00% | 9.00% | |
Maximum | 9.01 – 10.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 10.00% | 10.00% | |
Maximum | 10.01 – 11.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 11.00% | 11.00% | |
Maximum | 11.01 – 12.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 12.00% | 12.00% | |
Maximum | 12.01 – 13.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 13.00% | ||
Maximum | 13.01 – 14.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 14.00% | ||
Maximum | 17.01 – 18.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 18.00% | 18.00% | |
VIE | Residential Whole-Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1,936 | ||
VIE | Residential Bridge Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 673 | 340 | |
Principal Balance | $ | $ 249,179 | $ 249,179 | $ 105,868 |
Original LTV | 71.10% | 70.10% | |
Coupon Rate | 9.10% | 8.60% |
Residential Whole-Loans and B_7
Residential Whole-Loans and Bridge Loans - Collateral Securing (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 674,763 | $ 232,270 |
Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 100.00% | 100.00% |
Principal Balance | $ 674,763 | $ 232,270 |
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 100.00% | 100.00% |
Principal Balance | $ 249,179 | $ 105,868 |
California | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 68.80% | 62.20% |
Principal Balance | $ 463,638 | $ 144,321 |
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 48.20% | 48.20% |
Principal Balance | $ 119,784 | $ 51,080 |
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 15.60% | 24.40% |
Principal Balance | $ 105,435 | $ 56,631 |
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 9.50% | 4.40% |
Principal Balance | $ 23,791 | $ 4,703 |
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 2.90% | 4.30% |
Principal Balance | $ 19,324 | $ 10,061 |
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 2.20% | 4.00% |
Principal Balance | $ 14,886 | $ 9,244 |
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 6.30% | |
Principal Balance | $ 6,645 | |
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 5.50% | |
Principal Balance | $ 13,723 | |
Massachusetts | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 1.30% | 3.90% |
Principal Balance | $ 8,504 | $ 9,114 |
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 9.20% | 1.20% |
Principal Balance | $ 62,976 | $ 2,899 |
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 25.40% | 23.30% |
Principal Balance | $ 63,563 | $ 24,581 |
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 6.60% | 13.40% |
Principal Balance | $ 16,354 | $ 14,199 |
Texas | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 4.80% | 4.40% |
Principal Balance | $ 11,964 | $ 4,660 |
Commercial Loans - Narrative (D
Commercial Loans - Narrative (Details) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||||
Jun. 30, 2018 | Mar. 31, 2018USD ($) | Nov. 30, 2015USD ($) | Mar. 31, 2018USD ($) | Sep. 30, 2018USD ($)entity | Jul. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
Variable Interest Entity [Line Items] | |||||||
Variable interest entity, number of entity | entity | 2 | ||||||
Securitized commercial loans, at fair value | $ 1,191,048 | $ 24,876 | |||||
Securitized debt, at fair value | 1,119,089 | 10,945 | |||||
Repurchased borrowings | $ 61,600 | ||||||
Number of commercial loans trusts | entity | 3 | ||||||
Securitized commercial loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | $ 20,000 | $ 20,000 | $ 30,000 | ||||
Commercial Loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Number of commercial loans trusts | entity | 4 | ||||||
RSBC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | $ 94,787 | 0 | |||||
RSBC Trust | Securitized commercial loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | 49,600 | ||||||
Securitized debt, at fair value | 20,600 | $ 20,600 | $ 45,200 | ||||
RETL Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Trust certificates issued | 1,100,000 | ||||||
Principal balance | 1,154,283 | 0 | |||||
RETL Trust | Securitized commercial loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Amount acquired, eliminated in consolidation | $ 67,800 | ||||||
Variable interest entity, carrying amount | 58,000 | ||||||
Variable interest entity, fair value | 58,200 | ||||||
CMSC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Trust certificates issued | 24,600 | ||||||
Principal balance | 24,556 | $ 24,846 | |||||
CMSC Trust | Securitized commercial loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Amount acquired, eliminated in consolidation | $ 14,000 | 13,800 | |||||
Variable interest entity, carrying amount | 13,800 | ||||||
Variable interest entity, fair value | 13,800 | ||||||
Securitized debt, at fair value | 10,800 | ||||||
RETL Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Trust certificates issued | 1,150,000 | ||||||
CMSC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Securitized commercial loans, at fair value | $ 24,600 | ||||||
London Interbank Offered Rate (LIBOR) | RSBC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans receivable, basis spread on variable rate | 4.25% | ||||||
London Interbank Offered Rate (LIBOR) | RSBC Trust | Securitized commercial loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans receivable, basis spread on variable rate | 5.30% | ||||||
Loans receivable, extension period | 1 year | ||||||
Debt instrument, basis spread on variable rate | 4.75% | ||||||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan | Securitized commercial loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans receivable, basis spread on variable rate | 4.50% | 6.50% | |||||
Loans receivable, extension period | 1 year | 1 year | |||||
London Interbank Offered Rate (LIBOR) | RETL Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Debt instrument, basis spread on variable rate | 3.15% | ||||||
London Interbank Offered Rate (LIBOR) Floor | RSBC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans receivable, basis spread on variable rate | 1.25% | ||||||
London Interbank Offered Rate (LIBOR) Floor | RSBC Trust | Securitized commercial loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans receivable, basis spread on variable rate | 1.90% | ||||||
London Interbank Offered Rate (LIBOR) Cap | RSBC Trust | Securitized commercial loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans receivable, basis spread on variable rate | 3.50% | ||||||
Trust Certificate | London Interbank Offered Rate (LIBOR) | RETL Trust | Securitized commercial loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans receivable, basis spread on variable rate | 9.50% |
Commercial Loans - Consolidated
Commercial Loans - Consolidated commercial loan trusts included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Noncontrolling Interest [Line Items] | |||
Restricted cash | $ 100,138 | $ 0 | |
Securitized commercial loans, at fair value | 1,191,048 | 24,876 | |
Commercial Loans, at fair value | 123,677 | 0 | |
Interest receivable | 21,869 | 13,603 | |
Total assets | [1] | 5,537,985 | 3,886,906 |
Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively) | 10,027 | 8,322 | |
Accounts payable and accrued expenses | 3,513 | 3,118 | |
Other liabilities | 100,530 | 0 | |
Total liabilities | [2] | 5,002,340 | 3,420,868 |
VIE | |||
Noncontrolling Interest [Line Items] | |||
Restricted cash | 100,138 | 0 | |
Securitized commercial loans, at fair value | 1,191,048 | 24,876 | |
Commercial Loans, at fair value | 123,677 | 0 | |
Interest receivable | 12,418 | 3,358 | |
Total assets | 2,394,848 | 379,995 | |
Securitized debt | 1,119,089 | 10,945 | |
Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively) | 2,487 | 70 | |
Accounts payable and accrued expenses | 737 | 189 | |
Other liabilities | 100,531 | 0 | |
Total liabilities | 1,222,844 | 11,204 | |
Securitized commercial loans | VIE | |||
Noncontrolling Interest [Line Items] | |||
Restricted cash | 100,138 | 0 | |
Securitized commercial loans, at fair value | 1,191,048 | 24,876 | |
Commercial Loans, at fair value | 93,846 | 0 | |
Interest receivable | 3,544 | 161 | |
Total assets | 1,388,576 | 25,037 | |
Securitized debt | 1,119,089 | 10,945 | |
Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively) | 2,487 | 70 | |
Accounts payable and accrued expenses | 15 | 1 | |
Other liabilities | 100,138 | 0 | |
Total liabilities | $ 1,221,729 | $ 11,016 | |
[1] | (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents——Restricted cash100,138—Residential Whole-Loans, at fair value ($684,463 and $237,423 pledged as collateral, at fair value, respectively)684,463237,423Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively)249,471106,673Securitized commercial loans, at fair value1,191,04824,876Commercial Loans, at fair value ($123,677 and $0 pledged as collateral, at fair value, respectively)123,677—Investment related receivable33,4307,665Interest receivable12,4183,358Other assets203—Total assets of consolidated VIEs2,394,848379,995Residential Bridge Loans ($234,747 and $64,526 at fair value and $249,471 and $106,673 pledged as collateral, respectively)234,74764,526 | ||
[2] | (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively)1,119,08910,945Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively)2,48770Accounts payable and accrued expenses737189Other liabilities100,531—Total liabilities of consolidated VIEs1,222,84411,204Securitized debt, at fair value (includes $313,143 and $10,945 held by affiliates, respectively)313,14310,945Interest payable (includes $891 and $70 on securitized debt held by affiliates, respectively)89170 |
Commercial Loans - Components o
Commercial Loans - Components of the carrying value of commercial real estate loans (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Commercial Mezzanine Loan | ||
Variable Interest Entity [Line Items] | ||
Principal balance | $ 50,000 | $ 0 |
Unamortized premium | 0 | 0 |
Unamortized discount | (232) | 0 |
Amortized cost | 49,768 | 0 |
Gross unrealized gains | 380 | 0 |
Gross unrealized losses | (43) | 0 |
Fair value | 50,105 | 0 |
CMSC Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 24,556 | 24,846 |
Unamortized premium | 0 | 0 |
Unamortized discount | 0 | 0 |
Amortized cost | 24,556 | 24,846 |
Gross unrealized gains | 86 | 30 |
Gross unrealized losses | 0 | 0 |
Fair value | 24,642 | 24,876 |
RETL Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 1,154,283 | 0 |
Unamortized premium | 1,027 | 0 |
Unamortized discount | 0 | 0 |
Amortized cost | 1,155,310 | 0 |
Gross unrealized gains | 11,096 | 0 |
Gross unrealized losses | 0 | 0 |
Fair value | 1,166,406 | 0 |
RSBC Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 94,787 | 0 |
Unamortized premium | 0 | 0 |
Unamortized discount | (445) | 0 |
Amortized cost | 94,342 | 0 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | (496) | 0 |
Fair value | $ 93,846 | $ 0 |
Financings Narrative (Details)
Financings Narrative (Details) $ in Thousands | 1 Months Ended | 9 Months Ended | ||
Mar. 31, 2018USD ($) | Nov. 30, 2015USD ($) | Sep. 30, 2018USD ($)Counterparty | Dec. 31, 2017USD ($) | |
Short-term Debt [Line Items] | ||||
Number of counterparties to master repurchase agreement | Counterparty | 28 | |||
Number of counterparties from whom entity borrowed under repurchase agreement | Counterparty | 16 | |||
MBS pledged for borrowings under repurchase agreements | $ 249,471 | $ 106,673 | ||
Securities loaned, collateral, right to reclaim cash | 18,600 | 23,600 | ||
Securities purchased under agreements to resell, collateral, obligation to return cash | 700 | 1,500 | ||
Securities purchased under agreements to resell, fair value of collateral | 168 | 306 | ||
Securitized debt, at fair value | 1,119,089 | 10,945 | ||
Repurchase agreements | ||||
Short-term Debt [Line Items] | ||||
MBS pledged for borrowings under repurchase agreements | 3,900,000 | $ 3,500,000 | ||
RETL Trust | ||||
Short-term Debt [Line Items] | ||||
Trust certificates issued | 1,100,000 | |||
RETL Trust | Affiliated entities | ||||
Short-term Debt [Line Items] | ||||
Trust certificates issued | 298,500 | |||
RETL Trust | Third parties | ||||
Short-term Debt [Line Items] | ||||
Trust certificates issued | 797,900 | |||
CMSC Trust | ||||
Short-term Debt [Line Items] | ||||
Commercial pass-through certificate, amount | 25,000 | |||
Trust certificates issued | $ 24,600 | |||
Debt instrument interest rate, effective percentage | 8.90% | |||
Securitized commercial loans | RETL Trust | ||||
Short-term Debt [Line Items] | ||||
Amount acquired, eliminated in consolidation | $ 67,800 | |||
Securitized commercial loans | CMSC Trust | ||||
Short-term Debt [Line Items] | ||||
Amount acquired, eliminated in consolidation | $ 14,000 | $ 13,800 | ||
Securitized debt, at fair value | 10,800 | |||
Securitized debt | Securitized commercial loans | CMSC Trust | ||||
Short-term Debt [Line Items] | ||||
Securitized debt, at fair value | $ 10,800 |
Financings - Borrowings under R
Financings - Borrowings under Repurchase Agreements (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 3,469,319 | $ 3,251,686 |
Borrowings under repurchase agreements, net | $ 3,469,319 | $ 3,251,686 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 2.90% | 1.86% |
Weighted Average Remaining Maturity (days) | 52 days | 51 days |
Repurchase agreements | Agency RMBS (1) | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 393,486 | $ 665,919 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 2.39% | 1.62% |
Weighted Average Remaining Maturity (days) | 60 days | 61 days |
Repurchase agreements | Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 1,833,352 | $ 2,035,222 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 2.36% | 1.53% |
Weighted Average Remaining Maturity (days) | 62 days | 53 days |
Securities loaned or sold under agreements to repurchase, fair value | $ 22,600 | |
Repurchase agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 71,117 | $ 46,530 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 3.70% | 2.76% |
Weighted Average Remaining Maturity (days) | 31 days | 41 days |
Repurchase agreements | Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 212,282 | $ 154,325 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 3.79% | 2.98% |
Weighted Average Remaining Maturity (days) | 48 days | 40 days |
Repurchase agreements | Whole-Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 585,178 | $ 189,270 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 3.65% | 3.66% |
Weighted Average Remaining Maturity (days) | 35 days | 8 days |
Repurchase agreements | Residential Bridge Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 216,917 | $ 100,183 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 4.37% | 4.05% |
Weighted Average Remaining Maturity (days) | 26 days | 59 days |
Repurchase agreements | Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 87,567 | |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 4.33% | |
Weighted Average Remaining Maturity (days) | 27 days | |
Repurchase agreements | Securitized commercial loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 7,599 | |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 3.99% | |
Weighted Average Remaining Maturity (days) | 12 days | |
Repurchase agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 61,821 | $ 60,237 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 3.86% | 2.94% |
Weighted Average Remaining Maturity (days) | 29 days | 23 days |
Carrying Value | ||
Certain characteristics of the Company's repurchase agreements | ||
Securities loaned or sold under agreements to repurchase, fair value | $ 3,469,319 | $ 3,251,686 |
Financings - Borrowings under_2
Financings - Borrowings under Repurchase Agreements-Maturity dates (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | $ 3,469,319 | $ 3,251,686 |
Overnight | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | 0 | 0 |
1 to 29 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | 1,494,121 | 1,387,599 |
30 to 59 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | 332,521 | 665,656 |
60 to 89 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | 1,531,084 | 871,819 |
90 to 119 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | 111,593 | 0 |
Greater than or equal to 120 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | $ 0 | $ 326,612 |
Financings - Borrowings under_3
Financings - Borrowings under Repurchase Agreements-Risk by Counterparty (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Credit Suisse AG, Cayman Islands Branch | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 88,584 |
Weighted Average Remaining Maturity (days) | 29 days |
Percentage of Stockholders’ Equity | 16.50% |
Nomura Securities International Inc. | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 72,697 |
Weighted Average Remaining Maturity (days) | 29 days |
Percentage of Stockholders’ Equity | 13.60% |
UBS AG, London Branch | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 65,095 |
Weighted Average Remaining Maturity (days) | 33 days |
Percentage of Stockholders’ Equity | 12.20% |
Citigroup Global Markets Inc. | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 56,038 |
Weighted Average Remaining Maturity (days) | 80 days |
Percentage of Stockholders’ Equity | 10.50% |
Financings - Collateral Positio
Financings - Collateral Positions (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | $ 249,471 | $ 106,673 |
Accrued Interest | 18,746 | 12,617 |
Assets Pledged and Accrued Interest | 3,912,623 | 3,569,911 |
Assets Pledged- Fair Value | 3,893,877 | 3,557,294 |
Investment related receivable | 113,341 | 7,665 |
Non-Agency CMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Investment related receivable | 35,000 | |
Repurchase agreements | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 3,900,000 | 3,500,000 |
Repurchase agreements | Agency RMBS (1) | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 403,339 | 690,255 |
Accrued Interest | 1,608 | 2,601 |
Assets Pledged and Accrued Interest | 404,947 | 692,856 |
Repurchase agreements | Non-Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 98,863 | 58,127 |
Accrued Interest | 718 | 160 |
Assets Pledged and Accrued Interest | 99,581 | 58,287 |
Repurchase agreements | Non-Agency CMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 286,728 | 208,062 |
Accrued Interest | 1,223 | 1,100 |
Assets Pledged and Accrued Interest | 287,951 | 209,162 |
Repurchase agreements | Whole-Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 684,463 | 237,423 |
Accrued Interest | 4,778 | 1,754 |
Assets Pledged and Accrued Interest | 689,241 | 239,177 |
Repurchase agreements | Residential Bridge Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 249,471 | 106,673 |
Accrued Interest | 3,975 | 1,443 |
Assets Pledged and Accrued Interest | 253,446 | 108,116 |
Repurchase agreements | Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 123,677 | 0 |
Accrued Interest | 789 | 0 |
Assets Pledged and Accrued Interest | 124,466 | 0 |
Repurchase agreements | Securitized commercial loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 13,800 | 0 |
Accrued Interest | 85 | 0 |
Assets Pledged and Accrued Interest | 13,885 | 0 |
Repurchase agreements | Other securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 92,391 | 89,823 |
Accrued Interest | 179 | 105 |
Assets Pledged and Accrued Interest | 92,570 | 89,928 |
Repurchase agreements | Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged and Accrued Interest | 18,625 | 23,591 |
Assets Pledged- Fair Value | 18,625 | 23,591 |
VIE | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 249,471 | 106,673 |
Investment related receivable | 33,430 | 7,665 |
VIE | Agency CMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 1,922,520 | 2,143,340 |
Accrued Interest | 5,391 | 5,454 |
Assets Pledged and Accrued Interest | $ 1,927,911 | $ 2,148,794 |
Financings - Convertible Senior
Financings - Convertible Senior Unsecured Notes (Details) - 6.75% Convertible Senior Unsecured Notes - Convertible Debt | 1 Months Ended |
Oct. 31, 2017USD ($)$ / shares | |
Debt Conversion [Line Items] | |
Aggregate principal amount of 6.75% convertible senior unsecured notes | $ 115,000,000 |
Interest rate stated percentage | 6.75% |
Convertible notes, carrying amount of equity component | $ 15,000,000 |
Proceeds from issuance of long-term debt | $ 111,100,000 |
Convertible senior unsecured notes, earliest redemption period by company | 3 months |
Redemption price, percentage | 100.00% |
Convertible senior unsecured notes, conversion ratio | 0.0831947 |
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares | $ 12.02 |
Financings - Commercial Mortgag
Financings - Commercial Mortgage Pass-Through Certificates (Details) - RETL Trust - Secured Debt $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Debt Instrument [Line Items] | |
Principal Balance | $ 1,154,284 |
Fair Value | 1,166,407 |
Class A | |
Debt Instrument [Line Items] | |
Principal Balance | $ 448,033 |
Coupon | 3.30% |
Fair Value | $ 449,570 |
Class B | |
Debt Instrument [Line Items] | |
Principal Balance | $ 136,120 |
Coupon | 3.90% |
Fair Value | $ 136,800 |
Class C | |
Debt Instrument [Line Items] | |
Principal Balance | $ 117,908 |
Coupon | 4.20% |
Fair Value | $ 118,718 |
Class D | |
Debt Instrument [Line Items] | |
Principal Balance | $ 104,228 |
Coupon | 4.90% |
Fair Value | $ 105,141 |
Class E | |
Debt Instrument [Line Items] | |
Principal Balance | $ 141,507 |
Coupon | 6.70% |
Fair Value | $ 143,456 |
Class F | |
Debt Instrument [Line Items] | |
Principal Balance | $ 137,060 |
Coupon | 8.20% |
Fair Value | $ 138,948 |
Class G | |
Debt Instrument [Line Items] | |
Principal Balance | $ 11,457 |
Coupon | 9.70% |
Fair Value | $ 11,592 |
Class HRR | |
Debt Instrument [Line Items] | |
Principal Balance | $ 57,971 |
Coupon | 11.70% |
Fair Value | $ 58,156 |
Class X-CP | |
Debt Instrument [Line Items] | |
Coupon | 2.60% |
Fair Value | $ 1,420 |
Notional amount | $ 104,200 |
Class X-EXT | |
Debt Instrument [Line Items] | |
Coupon | 0.00% |
Fair Value | $ 2,606 |
Notional amount | $ 104,200 |
Derivative Instruments (Details
Derivative Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Estimated Fair Value | |||
Fair value of derivative assets | $ 14,947 | $ 16,904 | |
Derivative liability, at fair value | (2,159) | (4,346) | |
Derivative instruments not accounted as hedges under GAAP | |||
Estimated Fair Value | |||
Fair value of derivative assets | 2,700 | 728 | |
Derivative liability, at fair value | (2,159) | (4,346) | |
Total derivative instruments | 541 | (3,618) | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | |||
Notional Amount | |||
Notional amount, assets | 572,400 | 0 | |
Notional amount, liabilities | 3,739,400 | 3,252,200 | |
Estimated Fair Value | |||
Fair value of derivative assets | 200 | 0 | |
Derivative liability, at fair value | (1,414) | (4,191) | |
U.S. Treasury option | Derivative instruments not accounted as hedges under GAAP | |||
Notional Amount | |||
Notional amount, assets | 320,000 | ||
Notional amount, liabilities | 320,000 | ||
Estimated Fair Value | |||
Fair value of derivative assets | 100 | ||
Derivative liability, at fair value | (50) | ||
Futures contracts | Derivative instruments not accounted as hedges under GAAP | |||
Notional Amount | |||
Notional amount, assets | 280,000 | 480,000 | |
Estimated Fair Value | |||
Fair value of derivative assets | 1,703 | 628 | |
TBAs | Derivative instruments not accounted as hedges under GAAP | |||
Notional Amount | |||
Notional amount, assets | 600,000 | 0 | |
Notional amount, liabilities | 200,000 | 125,000 | |
Estimated Fair Value | |||
Fair value of derivative assets | 688 | 0 | |
Derivative liability, at fair value | (383) | (10) | |
Total derivative instruments | 305 | (10) | |
Forward starting interest rate swap | |||
Estimated Fair Value | |||
Notional Amount | 599,300 | 1,500,000 | |
Credit default swaps | Derivative instruments not accounted as hedges under GAAP | |||
Notional Amount | |||
Notional amount, liabilities | 64,747 | 14,815 | |
Estimated Fair Value | |||
Derivative liability, at fair value | (362) | (95) | |
Notional Amount | 64,700 | 14,800 | |
Derivative assets, at fair value, net | (362) | ||
Long | Us Treasury Futures | |||
Estimated Fair Value | |||
Fair value of derivative assets | 628 | ||
Derivative liability, at fair value | (1,700) | ||
Notional Amount | 480,000 | ||
Long | U.S. Treasury option | |||
Notional Amount | |||
Notional amount, assets | 100,000 | 320,000 | |
Estimated Fair Value | |||
Fair value of derivative assets | 109 | 100 | |
Long | TBAs | Derivative instruments not accounted as hedges under GAAP | |||
Notional Amount | |||
Notional amount, assets | 400,000 | 0 | |
Estimated Fair Value | |||
Fair value of derivative assets | 641 | 0 | |
Derivative liability, at fair value | 0 | (10) | |
Notional Amount | 400,000 | 125,000 | $ 0 |
Short | Us Treasury Futures | |||
Estimated Fair Value | |||
Notional Amount | 280,000 | ||
Short | U.S. Treasury option | |||
Notional Amount | |||
Notional amount, liabilities | 0 | 320,000 | |
Estimated Fair Value | |||
Derivative liability, at fair value | 0 | (50) | |
Short | TBAs | Derivative instruments not accounted as hedges under GAAP | |||
Notional Amount | |||
Notional amount, assets | 200,000 | 0 | |
Estimated Fair Value | |||
Fair value of derivative assets | 47 | 0 | |
Derivative liability, at fair value | (383) | 0 | |
Notional Amount | $ 400,000 | $ 0 | $ 0 |
Derivative Instruments- Gain or
Derivative Instruments- Gain or loss (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | $ 12,905 | $ (156,655) | |||
Return (Recovery) of Basis | (1,460) | 156,098 | |||
Total | $ 24,625 | $ 7,217 | 132,697 | (16,035) | |
Collateral already posted, aggregate fair value | 62,900 | 62,900 | $ 63,300 | ||
Cash pledged as collateral | 368 | 368 | $ 0 | ||
Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 4,236 | (502) | 8,421 | (157,683) | |
Variation Margin Settlement | 25,250 | 9,564 | 123,114 | (7,966) | |
Return (Recovery) of Basis | (224) | (1,394) | (1,906) | (4,677) | |
Mark-to-Market | (7,036) | (598) | (1,460) | 160,255 | |
Contractual interest income (expense), net | 2,399 | 147 | 4,528 | (5,964) | |
Total | 24,625 | 7,217 | 132,697 | (16,035) | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 95 | (38) | 114 | (150,593) | |
Variation Margin Settlement | 25,250 | 9,564 | 123,114 | (7,966) | |
Return (Recovery) of Basis | 772 | 92 | 1,064 | 378 | |
Mark-to-Market | (3,742) | (2,028) | (1,497) | 156,102 | |
Contractual interest income (expense), net | 1,190 | (1,764) | 886 | (12,662) | |
Total | 23,565 | 5,826 | 123,681 | (14,741) | |
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | (115) | ||||
Return (Recovery) of Basis | 0 | ||||
Mark-to-Market | 0 | ||||
Contractual interest income (expense), net | 0 | ||||
Total | (115) | ||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 0 | 0 | 0 | 526 | |
Return (Recovery) of Basis | (996) | (1,486) | (2,970) | (5,055) | |
Mark-to-Market | (929) | 351 | (959) | (783) | |
Contractual interest income (expense), net | 1,209 | 1,816 | 3,642 | 6,229 | |
Total | (716) | 681 | (287) | 917 | |
Option | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 0 | (957) | (518) | (892) | |
Return (Recovery) of Basis | 0 | 0 | 0 | 0 | |
Mark-to-Market | (253) | 477 | 47 | (134) | |
Contractual interest income (expense), net | 0 | 0 | 0 | 0 | |
Total | (253) | (480) | (471) | (1,026) | |
Futures contracts | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 4,232 | (77) | 8,824 | (9,230) | |
Return (Recovery) of Basis | 0 | 0 | 0 | 0 | |
Mark-to-Market | (1,994) | 0 | 1,075 | 2,416 | |
Contractual interest income (expense), net | 0 | 0 | 0 | 0 | |
Total | 2,238 | (77) | 9,899 | (6,814) | |
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 45 | 25 | |||
Return (Recovery) of Basis | 0 | 0 | |||
Mark-to-Market | (15) | 43 | |||
Contractual interest income (expense), net | 0 | 0 | |||
Total | 30 | 68 | |||
Total return swaps | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | (52) | (552) | |||
Return (Recovery) of Basis | 0 | 0 | |||
Mark-to-Market | 329 | 1,673 | |||
Contractual interest income (expense), net | 95 | 469 | |||
Total | 372 | 1,590 | |||
Credit default swaps | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | (83) | (125) | |||
Return (Recovery) of Basis | 0 | 0 | |||
Mark-to-Market | (492) | (441) | |||
Contractual interest income (expense), net | 0 | 0 | |||
Total | (575) | (566) | |||
TBAs | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | (8) | 577 | 126 | 3,148 | |
Variation Margin Settlement | 0 | ||||
Return (Recovery) of Basis | 0 | 0 | 0 | 0 | |
Mark-to-Market | 374 | 288 | 315 | 938 | |
Contractual interest income (expense), net | 0 | 0 | 0 | 0 | |
Total | $ 366 | $ 865 | $ 441 | $ 4,086 |
Derivative Instruments- Swaptio
Derivative Instruments- Swaption terms (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Interest rate swaps and interest rate swaptions | ||
Derivative assets | $ 14,947 | $ 16,904 |
Derivative liability, at fair value | 2,159 | 4,346 |
Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Derivative assets | 2,700 | 728 |
Derivative liability, at fair value | 2,159 | 4,346 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Notional amount, assets | 572,400 | 0 |
Derivative assets | 200 | 0 |
Notional amount, liabilities | 3,739,400 | 3,252,200 |
Derivative liability, at fair value | 1,414 | 4,191 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 3,829,400 | $ 3,252,200 |
Average Fixed Pay Rate | 2.40% | 2.20% |
Average Floating Receive Rate | 2.30% | 1.40% |
Average Maturity (Years) | 6 years 10 months 24 days | 7 years 1 month 6 days |
Forward Starting | 15.60% | 46.90% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 482,400 | |
Average Fixed Pay Rate | 2.30% | |
Average Floating Receive Rate | 2.40% | |
Average Maturity (Years) | 8 years 7 months 6 days | |
Forward Starting | 0.00% | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 year or less | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 400,000 | |
Average Fixed Pay Rate | 1.50% | |
Average Floating Receive Rate | 2.30% | |
Average Maturity (Years) | 9 months 18 days | |
Forward Starting | 0.00% | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 year and less than 3 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 200,000 | $ 600,000 |
Average Fixed Pay Rate | 1.80% | 1.60% |
Average Floating Receive Rate | 2.30% | 1.50% |
Average Maturity (Years) | 1 year 8 months 12 days | 1 year 9 months 18 days |
Forward Starting | 0.00% | 0.00% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 1,164,700 | $ 960,000 |
Average Fixed Pay Rate | 2.40% | 2.00% |
Average Floating Receive Rate | 2.30% | 1.40% |
Average Maturity (Years) | 4 years 1 month 6 days | 4 years 3 months 18 days |
Forward Starting | 0.00% | 0.00% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 2,064,700 | $ 1,692,200 |
Average Fixed Pay Rate | 2.70% | 2.50% |
Average Floating Receive Rate | 2.30% | 1.40% |
Average Maturity (Years) | 10 years 2 months 12 days | 10 years 6 months |
Forward Starting | 29.00% | 90.20% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 482,400 | |
Average Fixed Pay Rate | 2.30% | |
Average Floating Receive Rate | 2.40% | |
Average Maturity (Years) | 8 years 7 months 6 days | |
Forward Starting | 0.00% | |
Forward starting interest rate swap | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 599,300 | $ 1,500,000 |
Derivative Instrument, Weighted Average Forward Starting Date | 2 months 17 days | 4 months |
U.S. Treasury option | Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Notional amount, assets | $ 320,000 | |
Derivative assets | 100 | |
Notional amount, liabilities | 320,000 | |
Derivative liability, at fair value | 50 | |
Long | U.S. Treasury option | ||
Interest rate swaps and interest rate swaptions | ||
Notional amount, assets | $ 100,000 | 320,000 |
Derivative assets | 109 | 100 |
Long | Us Treasury Futures | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 480,000 | |
Derivative assets | 628 | |
Derivative liability, at fair value | 1,700 | |
Short | U.S. Treasury option | ||
Interest rate swaps and interest rate swaptions | ||
Notional amount, liabilities | 0 | 320,000 |
Derivative liability, at fair value | 0 | $ 50 |
Short | Us Treasury Futures | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 280,000 |
Derivative Instruments- TBA sec
Derivative Instruments- TBA securities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Currency swaps and forwards | ||
Derivative assets | $ 14,947 | $ 16,904 |
Derivative liability, at fair value | (2,159) | (4,346) |
Derivative instruments not accounted as hedges under GAAP | ||
Currency swaps and forwards | ||
Derivative assets | 2,700 | 728 |
Derivative liability, at fair value | (2,159) | (4,346) |
Fair Value | 541 | (3,618) |
TBAs | Derivative instruments not accounted as hedges under GAAP | ||
Currency swaps and forwards | ||
Notional amount, assets | 600,000 | 0 |
Derivative assets | 688 | 0 |
Derivative Asset Notional Amount Net | 200,000 | 0 |
Notional amount, liabilities | 200,000 | 125,000 |
Derivative Liability Notional Amount Net | (200,000) | 125,000 |
Derivative liability, at fair value | (383) | (10) |
Notional Amount, net | 0 | 125,000 |
Fair Value | 305 | (10) |
TBAs | Derivative instruments not accounted as hedges under GAAP | Long | ||
Currency swaps and forwards | ||
Notional amount, assets | 400,000 | 0 |
Derivative assets | 641 | 0 |
Derivative Liability Notional Amount Net | 0 | 125,000 |
Derivative liability, at fair value | 0 | (10) |
Changes in notional amount | ||
Notional amount at the beginning of the period | 125,000 | 0 |
Additions | 5,525,000 | 5,843,200 |
Settlement, Termination, Expiration or Exercise | (5,250,000) | (5,718,200) |
Notional amount at the end of the period | 400,000 | 125,000 |
TBAs | Derivative instruments not accounted as hedges under GAAP | Short | ||
Currency swaps and forwards | ||
Notional amount, assets | 200,000 | 0 |
Derivative assets | 47 | 0 |
Derivative Liability Notional Amount Net | (200,000) | 0 |
Derivative liability, at fair value | (383) | 0 |
Changes in notional amount | ||
Notional amount at the beginning of the period | 0 | 0 |
Additions | 5,650,000 | 5,718,200 |
Settlement, Termination, Expiration or Exercise | (5,250,000) | (5,718,200) |
Notional amount at the end of the period | $ 400,000 | $ 0 |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities- Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Offsetting Assets [Line Items] | ||
Derivative asset, gross amount | $ 14,947 | $ 16,904 |
Derivative assets, at fair value | 2,700 | 728 |
Fair value of derivative assets | 14,947 | 16,904 |
Derivative asset, not offset | (10,944) | (11,683) |
Derivative, collateral, obligation to return cash | (368) | 0 |
Net Amount | 3,635 | 5,221 |
Gross Amounts of Recognized Liabilities | 2,159 | 4,346 |
Securities Sold under Agreements to Repurchase, Gross | 3,469,319 | 3,251,686 |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Gross | 3,471,478 | 3,256,032 |
Derivative liabilities | 2,159 | 4,346 |
Securities Sold Under Agreements To Repurchase Before Amortization of Debt Issuance Costs | 3,469,319 | 3,251,686 |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned | 3,471,478 | 3,256,032 |
Gross Amounts Not Offset in the Balance Sheets | ||
Financial Instruments | (575) | (50) |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities | (3,469,319) | (3,251,686) |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Collateral, Right to Reclaim Securities | (3,469,894) | (3,251,736) |
Cash Collateral Pledged | (1,576) | (4,270) |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 8 | 26 |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Amount Offset Against Collateral | 8 | 26 |
Cash collateral for derivatives | 62,900 | 63,300 |
Fair value of investments pledged against repurchase agreements | 3,900,000 | 3,500,000 |
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | ||
Offsetting Assets [Line Items] | ||
Derivative asset, gross amount | 12,247 | 16,176 |
Fair value of derivative assets | 12,247 | 16,176 |
Derivative asset, not offset | (10,369) | (11,633) |
Net Amount | 1,878 | 4,543 |
Derivative Instruments Excluding Interest Only Strips Accounted For As Derivatives And Linked Transactions | ||
Offsetting Assets [Line Items] | ||
Derivative asset, gross amount | 2,700 | 728 |
Derivative assets, at fair value | 2,700 | 728 |
Derivative asset, not offset | (575) | (50) |
Derivative, collateral, obligation to return cash | (368) | 0 |
Net Amount | $ 1,757 | $ 678 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Related Party Transactions | ||||||
Proceeds from issuance of common stock | $ 64,880 | $ 0 | ||||
Management fees | $ 2,284 | $ 1,853 | $ 6,723 | 6,159 | ||
Western Asset Management Company | ||||||
Related Party Transactions | ||||||
Management fees (as a percent) | 1.50% | |||||
Renewal term of management agreement | 1 year | |||||
Notice period to terminate the Management Agreement following initial term | 180 days | |||||
Multiple of average annual management fees used to calculate termination fee of management agreement | 300.00% | |||||
Prior period over which management fees were incurred used to calculate the termination fee under the Management Agreement | 24 months | |||||
Notice period to terminate the Management Agreement for cause | 30 days | |||||
Management fees | 2,300 | 1,900 | $ 6,700 | 6,200 | ||
Reimbursable employee costs | 205 | $ 202 | 1,300 | $ 1,100 | ||
Management fees incurred but not yet paid | $ 2,300 | 2,300 | 2,300 | $ 1,900 | ||
Reimbursable employee costs incurred but not yet paid | $ 205 | $ 205 | $ 205 | $ 99 | ||
Western Asset Management Company | Minimum | ||||||
Related Party Transactions | ||||||
Proportion of affirmative votes by the entity's independent directors to terminate the Management Agreement (as a percent) | 67.00% | |||||
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees (as a percent) | 67.00% | |||||
Secondary Offering | ||||||
Related Party Transactions | ||||||
Sale of stock, number of shares issued in transaction | 6,500,000 | 6,500,000 | ||||
Proceeds from issuance of common stock | $ 67,800 |
Share-Based Payments (Details)
Share-Based Payments (Details) $ / shares in Units, $ in Thousands | Jun. 07, 2018directorshares | Jun. 01, 2017shares | Sep. 30, 2018USD ($)$ / sharesshares | Sep. 30, 2017USD ($) | Sep. 30, 2018USD ($)$ / sharesshares | Sep. 30, 2017USD ($)shares | Jun. 30, 2016shares | Dec. 31, 2017USD ($)shares |
Share-Based Payments | ||||||||
Shares authorized (as a percent) | 3.00% | 3.00% | ||||||
Number of shares remained available for issuance (in shares) | 670,404 | 670,404 | ||||||
Stock-based compensation expense recognized | $ | $ 70 | $ 218 | $ 195 | $ 795 | ||||
Common Stock Outstanding | ||||||||
Share-Based Payments | ||||||||
Number of shares remained available for issuance (in shares) | 1,423,609 | 1,423,609 | ||||||
Restricted common stock | ||||||||
Share-Based Payments | ||||||||
Vested (in shares) | 84,203 | 152,630 | ||||||
Summary of restricted common stock vesting dates | ||||||||
Shares Vesting (in shares) | 26,708 | 26,708 | 83,155 | |||||
Shares of Restricted Stock | ||||||||
Outstanding, beginning of period (in shares) | 725,449 | |||||||
Granted (in shares) | 27,756 | |||||||
Cancelled/forfeited (in shares) | 0 | |||||||
Outstanding, end of period (in shares) | 753,205 | 753,205 | ||||||
Unvested at end of year (in shares) | 26,708 | 26,708 | 83,155 | |||||
Weighted Average Grant Date Fair Value | ||||||||
Outstanding at beginning of period (in dollars per share) | $ / shares | $ 17 | |||||||
Granted (in dollars per share) | $ / shares | 10.78 | |||||||
Cancelled/forfeited (in dollars per share) | $ / shares | 0 | |||||||
Outstanding at end of year (in dollars per share) | $ / shares | $ 16.77 | 16.77 | ||||||
Unvested at end of year (in dollars per share) | $ / shares | $ 10.81 | $ 10.81 | ||||||
Restricted common stock | March 2018 | ||||||||
Summary of restricted common stock vesting dates | ||||||||
Shares Vesting (in shares) | 0 | 0 | 66,667 | |||||
Shares of Restricted Stock | ||||||||
Unvested at end of year (in shares) | 0 | 0 | 66,667 | |||||
Restricted common stock | June 2018 | ||||||||
Summary of restricted common stock vesting dates | ||||||||
Shares Vesting (in shares) | 0 | 0 | 16,488 | |||||
Shares of Restricted Stock | ||||||||
Unvested at end of year (in shares) | 0 | 0 | 16,488 | |||||
Restricted common stock | June 2019 | ||||||||
Summary of restricted common stock vesting dates | ||||||||
Shares Vesting (in shares) | 26,708 | 26,708 | 0 | |||||
Shares of Restricted Stock | ||||||||
Unvested at end of year (in shares) | 26,708 | 26,708 | 0 | |||||
Restricted common stock | Director | ||||||||
Share-Based Payments | ||||||||
Awards granted to each of the entity's independent directors (in shares) | 6,476 | 3,884 | ||||||
Number of independent directors to whom awards were granted | director | 4 | |||||||
Shares of Restricted Stock | ||||||||
Granted (in shares) | 25,904 | 15,536 | ||||||
Restricted common stock | Director Deferred Fee Plan | ||||||||
Shares of Restricted Stock | ||||||||
Granted (in shares) | 1,852 | |||||||
Equity awards | ||||||||
Share-Based Payments | ||||||||
Unamortized compensation expense | $ | $ 187 | $ 187 | $ 66 | |||||
Shares of Restricted Stock | ||||||||
Granted (in shares) | 753,205 | |||||||
Liability awards | ||||||||
Share-Based Payments | ||||||||
Unamortized compensation expense | $ | $ 0 | $ 0 | $ 111 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands | Oct. 26, 2018 | Sep. 17, 2018 | Jul. 26, 2018 | Jun. 21, 2018 | Apr. 26, 2018 | Mar. 22, 2018 | Jan. 26, 2018 | Dec. 21, 2017 | Oct. 26, 2017 | Sep. 21, 2017 | Jul. 26, 2017 | Jun. 20, 2017 | Apr. 26, 2017 | Mar. 23, 2017 | Sep. 30, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Apr. 30, 2017 | Feb. 25, 2016 | May 09, 2012 |
Shareholders equity | ||||||||||||||||||||
Number of shares of common stock for each warrant unit | 1 | |||||||||||||||||||
Number of common shares that can be acquired upon exercise of each warrant unit | 0.5 | |||||||||||||||||||
Exercise price of outstanding warrants (in dollars per share) | $ 15.87 | $ 15.87 | ||||||||||||||||||
Number of warrant shares purchasable (in shares) | 1,232,916 | 1,232,916 | ||||||||||||||||||
Proceeds from issuance of common stock | $ 64,880 | $ 0 | ||||||||||||||||||
Payments of stock issuance costs | $ 65 | $ 0 | ||||||||||||||||||
Shares authorized to be repurchased (in shares) | 2,100,000 | 2,050,000 | ||||||||||||||||||
Dividends, declared per share of common stock (in dollars per share) | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | |||||||||||||
Dividends, cash paid per share of common stock (in dollars per share) | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | ||||||||||||||
Treasury Stock | ||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||
Treasury stock (in shares) | 303,422 | |||||||||||||||||||
Common Stock Outstanding | ||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||
Equity offering amount, maximum | $ 100,000 | |||||||||||||||||||
Treasury stock (in shares) | 125,722 | |||||||||||||||||||
Common Stock Outstanding | ||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||
Stock repurchased during period (in shares) | 303,422 | |||||||||||||||||||
Institutional investors | ||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||
Number of warrant units authorized to be sold | 2,231,787 | |||||||||||||||||||
Subsequent Event | ||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||
Dividends, cash paid per share of common stock (in dollars per share) | $ 0.31 | |||||||||||||||||||
Secondary Offering | ||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||
Sale of stock, number of shares issued in transaction | 6,500,000 | 6,500,000 | ||||||||||||||||||
Treasury stock (in shares) | 303,422 | |||||||||||||||||||
Sale of stock, price per share (in dollars per share) | $ 10.85 | $ 10.85 | ||||||||||||||||||
Proceeds from issuance of common stock | $ 67,800 | |||||||||||||||||||
Payments of stock issuance costs | $ 2,700 |
Net Income per Common Share (De
Net Income per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Numerator: | |||||
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share | $ 20,882 | $ 22,767 | $ 44,064 | $ 63,693 | $ 85,097 |
Less: Dividends and undistributed earnings allocated to participating securities | 54 | 75 | 112 | 238 | |
Net income allocable to common stockholders — basic and diluted | $ 20,828 | $ 22,692 | $ 43,952 | $ 63,455 | |
Denominator: | |||||
Weighted average common shares outstanding for basic earnings per share | 42,060,077 | 41,853,134 | 41,802,302 | 41,824,318 | |
Weighted average common shares outstanding for diluted earnings per share | 42,060,077 | 41,853,134 | 41,802,302 | 41,824,318 | |
Basic earnings per common share (in dollars per share) | $ 0.50 | $ 0.54 | $ 1.05 | $ 1.52 | |
Diluted earnings per common share (in dollars per share) | $ 0.50 | $ 0.54 | $ 1.05 | $ 1.52 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Valuation Allowance [Line Items] | |||||
Current federal, state and local, tax expense (benefit) | $ 206 | $ (1,200) | $ 555 | $ 1,300 | |
Deferred tax assets, gross | 3,100 | 3,100 | $ 6,100 | ||
Capital Loss Carryforward [Member] | |||||
Valuation Allowance [Line Items] | |||||
Valuation allowances balance | 3,100 | 3,100 | 6,100 | ||
Operating Loss Carryforwards [Member] | |||||
Valuation Allowance [Line Items] | |||||
Valuation allowances balance | 8,500 | 8,500 | 9,200 | ||
State Jurisdiction [Member] | |||||
Valuation Allowance [Line Items] | |||||
Deferred tax asset, net operating losses | 7,600 | 7,600 | 8,800 | ||
State Jurisdiction [Member] | Taxable REIT Subsidiary [Member] | |||||
Valuation Allowance [Line Items] | |||||
Deferred tax asset, net operating losses | 1,400 | 1,400 | 765 | ||
Domestic Tax Authority [Member] | |||||
Valuation Allowance [Line Items] | |||||
Deferred tax liabilities, net | $ 85 | $ 85 | $ 85 |