Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2018 | Mar. 05, 2019 | Jun. 30, 2018 | |
Document and Entity Information | |||
Entity Registrant Name | Western Asset Mortgage Capital Corp | ||
Entity Central Index Key | 1,465,885 | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2018 | ||
Amendment Flag | false | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Emerging Growth Company | false | ||
Entity Small Business | false | ||
Entity Shell Company | false | ||
Entity Filer Category | Accelerated Filer | ||
Entity Public Float | $ 417,274,538 | ||
Entity Common Stock, Shares Outstanding | 48,116,379 | ||
Document Fiscal Year Focus | 2,018 | ||
Document Fiscal Period Focus | FY |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Assets: | ||
Cash and cash equivalents | $ 21,987 | $ 48,024 |
Restricted cash | 55,808 | 0 |
Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively) | 1,041,885 | 237,423 |
Residential Bridge Loans ($211,999 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively) | 221,719 | 106,673 |
Securitized commercial loans, at fair value | 1,013,511 | 24,876 |
Commercial Loans, at fair value ($196,123 and $0 pledged as collateral, at fair value, respectively) | 216,123 | |
Commercial Loan, At Fair Value | 196,123 | 0 |
Investment related receivable | 42,945 | 7,665 |
Interest receivable | 21,959 | 13,603 |
Due from counterparties | 39,623 | 86,930 |
Derivative assets, at fair value | 2,606 | 728 |
Other assets | 2,488 | 2,161 |
Total assets | 4,497,395 | 3,886,906 |
Liabilities: | ||
Repurchase agreements, net | 2,818,837 | 3,251,686 |
Convertible senior unsecured notes, net | 110,060 | 108,743 |
Securitized debt, at fair value (includes $246,802 and $10,945 held by affiliates, respectively) | 949,626 | 10,945 |
Interest payable (includes $816 and $70 on securitized debt held by affiliates, respectively) | 8,532 | 8,322 |
Investment related payables | 0 | 17,217 |
Due to counterparties | 17,781 | 1,490 |
Derivative liability, at fair value | 10,130 | 4,346 |
Accounts payable and accrued expenses | 3,858 | 3,118 |
Payable to affiliate | 4,615 | 2,041 |
Dividend payable | 14,916 | 12,960 |
Other liabilities | 56,031 | 0 |
Total liabilities | 3,994,386 | 3,420,868 |
Commitments and contingencies | ||
Stockholders' Equity: | ||
Common stock, $0.01 par value, 500,000,000 shares authorized, and 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 | 833,810 | 768,763 |
Retained earnings (accumulated deficit) | (331,282) | (301,912) |
Total Stockholders' Equity | 503,009 | 466,038 |
Total Liabilities and Stockholders' Equity | 4,497,395 | 3,886,906 |
Agency MBS | ||
Assets: | ||
Estimated Fair Value | 1,505,979 | 2,858,600 |
Non-Agency MBS | ||
Assets: | ||
Estimated Fair Value | 250,856 | 378,158 |
Other securities | ||
Assets: | ||
Estimated Fair Value | $ 59,906 | $ 122,065 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Residential bridge loan. at fair value | $ 211,999 | $ 64,526 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 48,116,379 | 41,794,079 |
Common stock, shares outstanding | 48,116,379 | 41,794,079 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 100,000,000 | 100,000,000 |
Preferred stock, shares outstanding | 0 | 0 |
Treasury stock, shares held | 0 | 125,722 |
Cash and cash equivalents | $ 21,987 | $ 48,024 |
Restricted cash | 55,808 | 0 |
Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively) | 1,041,885 | 237,423 |
Amount of secured collateral | 221,486 | 106,673 |
Securitized commercial loans, at fair value | 1,013,511 | 24,876 |
Commercial Loan, At Fair Value | 196,123 | 0 |
Investment related receivable | 42,945 | 7,665 |
Interest receivable | 21,959 | 13,603 |
Other assets | 2,488 | 2,161 |
Total assets | 4,497,395 | 3,886,906 |
Securitized debt, at fair value (includes $246,802 and $10,945 held by affiliates, respectively) | 949,626 | 10,945 |
Interest payable (includes $816 and $70 on securitized debt held by affiliates, respectively) | 8,532 | 8,322 |
Accounts payable and accrued expenses | 3,858 | 3,118 |
Other liabilities | 56,031 | 0 |
Total liabilities | 3,994,386 | 3,420,868 |
VIE | ||
Fair value of residential whole-loans pledged as collateral | 1,041,885 | 237,423 |
Residential bridge loan. at fair value | 211,766 | 64,526 |
Cash and cash equivalents | 674 | 0 |
Restricted cash | 55,808 | 0 |
Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively) | 1,041,885 | 237,423 |
Amount of secured collateral | 221,486 | 106,673 |
Securitized commercial loans, at fair value | 1,013,511 | 24,876 |
Commercial Loan, At Fair Value | 196,123 | 0 |
Investment related receivable | 42,945 | 7,665 |
Interest receivable | 15,540 | 3,358 |
Other assets | 178 | 0 |
Total assets | 2,588,150 | 379,995 |
Securitized debt, at fair value (includes $246,802 and $10,945 held by affiliates, respectively) | 949,626 | 10,945 |
Interest payable (includes $816 and $70 on securitized debt held by affiliates, respectively) | 2,419 | 70 |
Accounts payable and accrued expenses | 708 | 189 |
Other liabilities | 56,033 | 0 |
Total liabilities | 1,008,786 | 11,204 |
Agency MBS | ||
Fair value of mortgage-backed securities pledged as collateral | 1,505,979 | 2,833,595 |
Non-Agency MBS | ||
Fair value of mortgage-backed securities pledged as collateral | 237,107 | 266,189 |
Other securities | ||
Fair value of mortgage-backed securities pledged as collateral | 59,780 | 89,823 |
Affiliated Entity | ||
Securitized debt, at fair value (includes $246,802 and $10,945 held by affiliates, respectively) | 246,802 | 10,945 |
Interest payable (includes $816 and $70 on securitized debt held by affiliates, respectively) | 816 | 70 |
Affiliated Entity | VIE | ||
Securitized debt, at fair value (includes $246,802 and $10,945 held by affiliates, respectively) | 246,802 | 10,945 |
Interest payable (includes $816 and $70 on securitized debt held by affiliates, respectively) | $ 816 | $ 70 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Net Interest Income | |||
Interest income | $ 209,362 | $ 124,291 | $ 123,756 |
Interest expense (includes $13,739, $981 and $998 on securitized debt held by affiliates, respectively) | 138,240 | 48,373 | 32,430 |
Net Interest Income | 71,122 | 75,918 | 91,326 |
Other Income (Loss) | |||
Realized gain (loss) on sale of investments, net | (63,257) | 20,598 | (21,991) |
Other than temporary impairment | (11,180) | (22,873) | (32,286) |
Unrealized gain (loss), net | (24,671) | 28,396 | (17,107) |
Gain (loss) on derivative instruments, net | 77,969 | 3,292 | (20,735) |
Other, net | (189) | 1,031 | 180 |
Other Income (Loss) | (21,328) | 30,444 | (91,939) |
Expenses | |||
Management fee to affiliate | 8,673 | 8,100 | 10,448 |
Other operating expenses | 6,076 | 2,419 | 1,045 |
General and administrative expenses: | |||
Compensation expense | 2,186 | 2,692 | 3,022 |
Professional fees | 4,299 | 3,242 | 4,814 |
Other general and administrative expenses | 1,442 | 1,325 | 1,917 |
Total general and administrative expenses | 7,927 | 7,259 | 9,753 |
Total Expenses | 22,676 | 17,778 | 21,246 |
Income (loss) before income taxes | 27,118 | 88,584 | (21,859) |
Income tax provision (benefit) | 709 | 3,487 | 3,156 |
Net income (loss) | $ 26,409 | $ 85,097 | $ (25,015) |
Net income (loss) per common share - basic (in dollars per share) | $ 0.61 | $ 2.03 | $ (0.61) |
Net income (loss) per common share - diluted (in dollars per share) | $ 0.61 | $ 2.03 | $ (0.61) |
Consolidated Statements of Op_2
Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Statement [Abstract] | |||
Securitized debt interest expense held by affiliate | $ 13,739 | $ 981 | $ 998 |
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, 2015 | $ 511,648 | $ 419 | $ 763,283 | $ (252,054) | |
Balance (in shares) at Dec. 31, 2015 | 41,919,801 | ||||
Increase (Decrease) in Stockholders' Equity | |||||
Vesting of restricted stock | 1,699 | 1,699 | |||
Net income (loss) | (25,015) | (25,015) | |||
Dividends on common stock | (57,850) | 60 | (57,910) | ||
Balance at Dec. 31, 2016 | 430,482 | $ 419 | 765,042 | (334,979) | |
Balance (in shares) at Dec. 31, 2016 | 41,919,801 | ||||
Increase (Decrease) in Stockholders' Equity | |||||
Vesting of restricted stock | 981 | 981 | |||
Net income (loss) | 85,097 | 85,097 | |||
Dividends on common stock | (51,946) | 84 | (52,030) | ||
Equity component of convertible senior unsecured notes | 2,656 | 2,656 | |||
Treasury stock (in shares) | (125,722) | ||||
Treasury Stock | (1,232) | $ (1,232) | |||
Balance at Dec. 31, 2017 | $ 466,038 | $ 419 | 768,763 | (301,912) | (1,232) |
Balance (in shares) at Dec. 31, 2017 | 41,794,079 | 41,794,079 | |||
Increase (Decrease) in Stockholders' Equity | |||||
Vesting of restricted stock | $ 265 | 265 | |||
Net income (loss) | 26,409 | 26,409 | |||
Dividends on common stock | (55,655) | 124 | (55,779) | ||
Treasury stock (in shares) | 125,722 | ||||
Treasury Stock | (1,445) | (213) | 1,232 | ||
Proceeds from public offerings of common stock | 64,880 | $ 62 | 64,818 | ||
Proceeds from public offerings of common stock (in shares) | 6,196,578 | ||||
Offering costs, public offerings of common stock | (373) | (373) | |||
Balance at Dec. 31, 2018 | $ 503,009 | $ 481 | $ 833,810 | $ (331,282) | $ 0 |
Balance (in shares) at Dec. 31, 2018 | 48,116,379 | 48,116,379 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows $ in Thousands | 12 Months Ended | ||
Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | |
Statement of Cash Flows [Abstract] | |||
Net income (loss) | $ 26,409 | $ 85,097 | $ (25,015) |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||
Premium amortization and (discount accretion) on investments, net | 5,374 | (2,070) | (548) |
Interest income earned added to principal of securities | 0 | (46) | (413) |
Amortization of deferred financing costs | 767 | 192 | 191 |
Amortization of discount on convertible senior unsecured notes | 550 | 137 | 0 |
Restricted stock amortization | 265 | 981 | 1,699 |
Premium amortization for MAC interest rate swaps | 0 | 0 | (658) |
Interest payments and basis recovered on MAC interest rate swaps | 2,465 | 525 | 658 |
Premium on purchase of Residential Whole-Loans | (15,850) | (1,239) | (574) |
Premium on purchase of Residential Bridge Loans | (3,889) | (753) | 0 |
Premium on purchase of securitized commercial loans | (3,019) | 0 | 0 |
Unrealized (gain) loss, net | 24,671 | (28,396) | 17,107 |
Unrealized loss on derivative instruments, net | 10,381 | (148,308) | 5,135 |
Other than temporary impairment | 11,180 | 22,873 | 32,286 |
Realized (gain) loss on sale of investments, net | 63,257 | (20,598) | 21,991 |
(Gain) loss on derivatives, net | (10,316) | 156,076 | (41,516) |
Loss (gain) on foreign currency transactions, net | 0 | 1 | 758 |
Changes in operating assets and liabilities: | |||
Decrease (increase) in accrued interest receivable | (8,356) | 5,209 | 3,809 |
Decrease (increase) in other assets | (184) | (1,763) | (16) |
Increase (decrease) in accrued interest payable | 210 | (7,719) | (4,390) |
Increase (decrease) in accounts payable and accrued expenses | 563 | (274) | 1,477 |
Increase (decrease) in payable to related party | 2,574 | (543) | (435) |
Net cash provided by operating activities | 107,052 | 59,382 | 11,546 |
Cash flows from investing activities: | |||
Purchase of securities | (1,128,399) | (2,881,276) | (2,172,623) |
Proceeds from sale of securities | 2,430,054 | 1,593,914 | 2,273,922 |
Principal repayments and basis recovered on securities | 123,837 | 240,785 | 344,937 |
Purchase of Residential Whole Loans | (873,911) | (87,640) | (28,825) |
Principal repayments on Residential Whole Loans | 76,942 | 42,176 | 52,473 |
Purchase of commercial loans | (235,857) | 0 | 0 |
Principal repayments on commercial loans | 20,638 | 0 | 0 |
Purchase of securitized commercial loan | (1,350,000) | 0 | 0 |
Principal repayments on securitized commercial loan | 361,781 | 154 | 0 |
Purchase of Residential Bridge Loans | (418,953) | (142,913) | 0 |
Purchase of Residential Bridge Loans | 274,964 | 31,794 | 0 |
Payment of premium for option derivatives | (1,757) | (16,355) | (17,951) |
Premium received from option derivatives | 1,236 | 14,553 | 22,707 |
Premium for credit default swaps, net | (297) | 74 | 0 |
Net settlements of TBAs | (800) | 4,035 | 6,140 |
Proceeds from (Payments on) termination of futures, net | 6,112 | (9,130) | 23,609 |
Proceeds from sale of interest rate swaptions | 0 | 0 | 2,075 |
Premium for MAC interest rate swaps, net | 0 | 0 | 465 |
Due from counterparties | 0 | 8,449 | (8,449) |
Proceeds from termination of foreign currency swaps | 0 | 0 | 6,771 |
Payments on total return swaps | 0 | (552) | 38 |
Interest payments and basis recovered on MAC interest rate swaps | (2,465) | (525) | (658) |
Premium for interest rate swaptions, net | 0 | (115) | 0 |
Net cash provided by (used in) investing activities | (716,875) | (1,202,572) | 504,631 |
Cash flows from financing activities: | |||
Proceeds from issuance of common stock | 64,880 | 0 | 0 |
Payment of offering costs | (195) | (94) | 0 |
Repurchase of common stock | (1,733) | (1,094) | 0 |
Proceeds from sale of treasury stock | 3,177 | 0 | 0 |
Proceeds from repurchase agreement borrowings | 21,472,963 | 18,438,166 | 15,977,505 |
Proceeds from convertible note offering | 0 | 115,000 | 0 |
Repayments of repurchase agreement borrowings | (21,905,812) | (17,342,124) | (16,407,929) |
Repayment of cash overdraft | 0 | 0 | (300) |
Proceeds from securitized debt | 1,285,219 | 0 | 0 |
Repayments of securitized debt | (344,612) | (68) | 0 |
Proceeds from forward contracts | 0 | 8,246 | 112,574 |
Repayments of forward contracts | 0 | (8,214) | (112,640) |
Payments made for deferred financing costs | 0 | (3,837) | (58) |
Due from counterparties, net | 47,307 | (9,707) | 14,427 |
Due to counterparties, net | 16,291 | 750 | (9,210) |
Increase in other liabilities | 55,808 | 0 | 0 |
Dividends paid on common stock | (53,699) | (51,981) | (69,168) |
Net cash provided by (used in) financing activities | 639,594 | 1,145,043 | (494,799) |
Effect of exchange rate changes on cash and cash equivalents | 0 | (1) | 83 |
Net increase in cash and cash equivalents | 29,771 | 1,852 | 21,461 |
Cash, cash equivalents and restricted cash beginning of period | 48,024 | 46,172 | 24,711 |
Cash, cash equivalents and restricted cash end of period | 77,795 | 48,024 | 46,172 |
Supplemental disclosure of operating cash flow information: | |||
Interest paid | 138,524 | 43,032 | 32,041 |
Income taxes paid | 1,635 | 4,966 | 2,093 |
Supplemental disclosure of non-cash financing/investing activities: | |||
Underwriting and offering costs payable | 177 | 0 | 0 |
Repurchase of common stock, not settled | 0 | (137) | 0 |
Securities purchased, not settled | 0 | (17,217) | (309,086) |
Net unsettled TBAs | 0 | 0 | (14) |
Derivative collateral offset against derivatives | 0 | (157,913) | 0 |
Dividends and distributions declared, not paid | 14,916 | 12,960 | 12,995 |
Principal payments of Residential Whole Loans, not settled | 9,230 | 2,286 | 1,241 |
Principal payments of Residential Bridge Loans, not settled | 33,717 | 5,381 | 0 |
Other assets | $ 143 | $ 0 | $ 0 |
Organization
Organization | 12 Months Ended |
Dec. 31, 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 | 12 Months Ended |
Dec. 31, 2018 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation The consolidated financial statements of the Company are prepared in accordance with generally accepted accounting principles in the United States ("GAAP"). The consolidated financial statements include accounts of the Company and its wholly -owned subsidiaries and variable interest entities ("VIEs") in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries 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. Earnings (Loss) Per Share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. Offering Costs Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete a equity offering. Cash and Cash Equivalents The Company considers all highly-liquid short term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. 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. Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I — Quoted prices in active markets for identical assets or liabilities. Level II — Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3 - "Fair Value of Financial Instruments". Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consists of Agency RMBS, Non-Agency RMBS, Agency CMBS, Non-Agency CMBS, ABS and other real estate related assets, these investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities” and ASC 325-40, “Beneficial Interests in Securitized Financial Assets.” The Company has chosen to make a fair value election pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net”. If the Company purchases securities with evidence of credit deterioration, it will analyze to determine if the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality” is applicable. The Company evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments, estimates and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” When a security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as OTTI and the cost basis of the security is adjusted to its fair value. Additionally, for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Other than temporary impairment” in the Consolidated Statements of Operations. Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the cash flow of such security subsequently improves. In addition, unrealized losses on the Company's Agency securities, with explicit guarantee of principal and interest by the governmental sponsored entity ("GSE"), are not credit losses but rather were due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided we did not intend to sell the security. Residential Whole Loans Investments in Residential Whole 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 our entire Residential Whole-Loan portfolio. Residential Whole Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring Residential Whole Loans or committing to purchase these loans are charged to expense as incurred. On a quarterly basis, the Company evaluate 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 we 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 we have 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 when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. Residential Bridge Loans For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount. Commencing with purchases on October 25, 2017, the Company decided to elect the fair value option pursuant to ASC 825 to be consistent with the accounting of its other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. 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. The Company evaluates each of its Residential Bridge Loans that it did not elect the fair value option on a quarterly basis. These loans are individually specific as they relate to the borrower, collateral type, interest rate, LTV and term as well as geographic location. The Company evaluates the collectability of both principal and interest of each loan. When a loan is impaired, the impairment is then measured based on fair value of the collateral, since these loans are collateral dependent. Upon measurement of impairment, the Company records an allowance to reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining impairment, including assumptions regarding the value of the loan, the value of the underlying collateral and other provisions such as guarantees. The Company will not record an allowance for loan loss for the Residential Bridge Loans that it has elected the fair value option. 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 when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. 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 Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest", using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. Based on the projected cash flow of such securities purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio are 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. Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. Sales of investments are driven by the Company’s portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company’s Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Foreign Currency Transactions The Company has and expects to continue to enter into transactions denominated in foreign currency from time to time. At the date the transaction is recognized, the asset and/or liability will be measured and recorded using the exchange rate in effect at the date of the transaction. At each balance sheet date, such foreign currency assets and liabilities are re-measured using the exchange rate in effect at the date of the balance sheet, resulting in unrealized foreign currency gains or losses, which are recorded in "Other, net" in the Consolidated Statements of Operations. Due From Counterparties / Due To Counterparties "Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. However, commencing in 2017, daily variation margin on only the Company's centrally cleared derivatives was treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets. Derivatives and Hedging Activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company as part of its hedging strategy, we may enter into interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and foreign current swaps and forwards to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company has also entered into a total return swap, which transfers the total return of the referenced security to the Company. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. In January 2017, the CME amended its rulebooks to legally characterize variation margin payments and receipts for over-the-counter derivatives they clear as settlements of the derivatives' exposure rather than collateral against exposure. As a result of the change in legal characterization, effective January 1, 2017, variation margin is no longer classified as collateral in the Consolidated Balance Sheets in either "Due from counterparties" or "Due to counterparties", but rather a component of the respective "Derivative asset, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. The variation margin is now considered partial settlements of the derivative contract and will result in realized gains or losses which prior to January 1, 2017 were classified as unrealized gains or losses on derivatives. Prior to the CME rulebook change variation margin was included in financing activities in the Company's Consolidated Statement of Cash Flows in either "Due from counterparties, net" or "Due to counterparties, net". Commencing in January 2017, cash postings for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, mortgage put options, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 12 Months Ended |
Dec. 31, 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 December 31, 2018 and December 31, 2017 , based upon the valuation hierarchy (dollars in thousands): December 31, 2018 Fair Value Assets Level I Level II Level III Total Agency RMBS Interest-Only Strips $ — $ — $ 12,135 $ 12,135 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 7,702 7,702 Agency CMBS — 1,481,984 — 1,481,984 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 4,158 — 4,158 Subtotal Agency MBS — 1,486,142 19,837 1,505,979 Non-Agency RMBS — — 39,026 39,026 Non-Agency RMBS Interest-Only Strips — — 11,529 11,529 Non-Agency CMBS — 200,301 — 200,301 Subtotal Non-Agency MBS — 200,301 50,555 250,856 Other securities — 50,955 8,951 59,906 Total mortgage-backed securities and other securities — 1,737,398 79,343 1,816,741 Residential Whole Loans — — 1,041,885 1,041,885 Residential Bridge Loans — — 211,999 211,999 Commercial Loans — — 216,123 216,123 Securitized commercial loans — — 1,013,511 1,013,511 Derivative assets — 2,606 — 2,606 Total Assets $ — $ 1,740,004 $ 2,562,861 $ 4,302,865 Liabilities Derivative liabilities $ 4,657 $ 5,473 $ — $ 10,130 Securitized debt — 947,340 2,286 949,626 Total Liabilities $ 4,657 $ 952,813 $ 2,286 $ 959,756 December 31, 2017 Fair Value Assets Level I Level II Level III Total Agency RMBS: 20-Year mortgage $ — $ 53,783 $ — $ 53,783 30-Year mortgage — 241,642 — 241,642 40-Year mortgage — 376,752 — 376,752 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 and Agency CMBS, 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 market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments, and are designed to produce a pricing process that is responsive to market conditions. 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, which include the inputs considered most significant to the determination of fair value of the Company's Residential Whole Loans and Residential Bridge loans. The key loan inputs include loan balance, interest rate, loan to value, FICO score, debt to income ratio and delinquencies. The assumption made by the independent third party pricing service includes the market discount rate, prepayment, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the company. 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. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Commercial Loans. The assumptions made by the independent third party pricing vendor include a market discount rate, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions. 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 Values for the Company's securitized debt are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. 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 years ended December 31, 2018 and December 31, 2017 . The Company performs quarterly reviews of the independent third party pricing data. These reviews may include a review of the valuation methodology used by third party valuation specialists and 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 a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of December 31, 2018 and December 31, 2017 . Fair Value at Range December 31, 2018 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans 1,041,885 Discounted Cash Flow Yield 3.5 % 7.9 % 5.5 % Weighted Average Life 0.8 10.3 2.8 Residential Bridge Loans 211,999 Discounted Cash Flow Yield 5.6 % 145.3 % 11.3 % Weighted Average Life 0.1 1.6 0.5 Commercial Loans 216,123 Discounted Cash Flow Yield 6.7 % 9.2 % 7.6 % Weighted Average Lie 0.9 2.7 2.1 Spread 4.1 % 6.5 % 5.1 % Fair Value at Range December 31, 2017 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans 237,423 Discounted Cash Flow Yield 3.6 % 6.6 % 5.8 % Weighted Average Life 0.6 6.8 1.5 Residential Bridge Loans 64,526 Discounted Cash Flow Yield 3.8 % 8.8 % 4.3 % Weighted Average Life 0.4 1.6 0.8 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: Year ended December 31, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Bridge Loans Commercial Loans Securitized Commercial Loan 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 22,795 39,084 9,708 — — — — — Transfers from Level III into Level II (16,805 ) — (8,697 ) — — — — (10,899 ) Purchases 2,093 8,602 — 860,576 207,705 215,322 1,353,020 — Sales and settlements — (4,180 ) — — — — — 12 Principal repayments (53 ) (307 ) (604 ) (55,186 ) (57,528 ) — (361,782 ) (44 ) Total net gains/losses included in net income Realized gains/(losses), net on assets — 258 — — — — — — Realized gains/(losses), net on liabilities — — — — — — — — Other than temporary impairment (735 ) (918 ) (161 ) — — — — — Unrealized gains/(losses), net on assets (1) (630 ) 1,183 (532 ) (415 ) (1,806 ) 631 (16 ) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 1,996 Premium and discount amortization, net (4,045 ) (1,902 ) (2 ) (513 ) (898 ) 170 (2,587 ) 276 Ending balance $ 19,837 $ 50,555 $ 8,951 $ 1,041,885 $ 211,999 $ 216,123 $ 1,013,511 $ 2,286 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (272 ) $ 1,184 $ (464 ) $ 351 $ (1,370 ) $ 631 $ (16 ) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (1,998 ) Year ended December 31, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Bridge Loans Securitized commercial loan 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 — — 9,470 — — — — — Transfers from Level III into Level II (73,714 ) (7,433 ) (33,080 ) — — — — — Purchases 17,217 8,937 — 86,921 63,969 — — — Sales and settlements — (60,132 ) — — — — — 552 Principal repayments — (378 ) (425 ) (41,312 ) — (154 ) (68 ) — Total net gains / (losses) included in net income Realized gains/(losses), net — 2,623 — — — — — (552 ) Other than temporary impairment — — (1,823 ) — — — — — Unrealized gains/(losses), net on assets (1) 635 (9,415 ) 1,522 724 571 805 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 354 (1,673 ) Premium and discount amortization, net 20 (1,043 ) 2,219 (1,046 ) (14 ) — — — Ending balance $ 17,217 $ 8,735 $ 9,239 $ 237,423 $ 64,526 $ 24,876 $ 10,945 $ — Unrealized gains/(losses), net on assets held at the end of the period (1) $ — $ (16 ) $ 43 $ 1,368 $ 571 $ 805 $ — $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ (354 ) $ — (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 years ended December 31, 2018 and December 31, 2017 were based on the availability of sufficient observable inputs. Movements from Level II to Level III was based on 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 years ended December 31, 2018 and December 31, 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 December 31, 2018 and December 31, 2017 , in the consolidated financial statements (dollars in thousands): Year ended December 31, 2018 December 31, 2017 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 9,720 $ 9,603 $ 42,147 $ 42,881 Total $ 9,720 $ 9,603 $ 42,147 $ 42,881 Liabilities Borrowings under repurchase agreements $ 2,818,837 $ 2,823,615 $ 3,251,686 $ 3,257,956 Convertible senior unsecured notes 110,060 108,531 108,743 114,819 Total $ 2,928,897 $ 2,932,146 $ 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 | 12 Months Ended |
Dec. 31, 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 Interest-Only Strips $ 3,577 $ 2,402 $ 6,156 $ — $ 12,135 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,089 4,053 2,560 — 7,702 Agency CMBS 1,101,820 380,164 — — 1,481,984 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 4,158 — 4,158 Subtotal Agency 1,106,486 386,619 8,716 4,158 1,505,979 Non-Agency RMBS — — 8,540 30,486 39,026 Non-Agency RMBS Interest-Only Strips — — 4,310 7,219 11,529 Non-Agency CMBS 28,754 53,653 72,921 44,973 200,301 Subtotal Non-Agency 28,754 53,653 85,771 82,678 250,856 Other securities 7,698 26,020 — 26,188 59,906 Total $ 1,142,938 $ 466,292 $ 94,487 $ 113,024 $ 1,816,741 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 Interest-Only Strips $ 3,277 $ (124 ) 7 $ 3,917 $ (283 ) 9 $ 7,194 $ (407 ) 16 Agency CMBS 29,413 (307 ) 3 879,549 (29,287 ) 72 908,962 (29,594 ) 75 Subtotal Agency 32,690 (431 ) 10 883,466 (29,570 ) 81 916,156 (30,001 ) 91 Non-Agency RMBS — — — 500 — 1 500 — 1 Non-Agency RMBS Interest-Only Strips 957 (7 ) 2 — — — 957 (7 ) 2 Non-Agency CMBS 65,339 (712 ) 7 19,323 (1,933 ) 3 84,662 (2,645 ) 10 Subtotal Non-Agency 66,296 (719 ) 9 19,823 (1,933 ) 4 86,119 (2,652 ) 13 Other securities 15,208 (390 ) 2 — — — 15,208 (390 ) 2 Total $ 114,194 $ (1,540 ) 21 $ 903,289 $ (31,503 ) 85 $ 1,017,483 $ (33,043 ) 106 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 At December 31, 2018 and December 31, 2017 , the Company did not intend to sell any of its MBS and other securities that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these MBS and other securities before recovery of their amortized cost basis, which may be at their maturity. Generally, the Company records 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): For the year ended December 31, 2018 For the year ended December 31, 2017 For the year ended December 31, 2016 Agency RMBS $ 807 $ 5,774 $ 6,090 Non-Agency RMBS 996 — 9,511 Non-Agency CMBS 8,660 15,117 13,025 Other securities 717 1,982 3,660 Total $ 11,180 $ 22,873 $ 32,286 (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 years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , $0 , $4.7 million and $4.4 million , respectively, of OTTI related to Agency RMBS securities the Company intended to sell. The following table presents components of interest income on the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively: For the year ended December 31, 2018 For the year ended December 31, 2017 For the year ended December 31, 2016 Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 19,507 $ (5,092 ) $ 14,415 $ 38,108 $ (13,058 ) $ 25,050 $ 70,467 $ (24,836 ) $ 45,631 Agency CMBS 60,148 (646 ) 59,502 40,064 507 40,571 2,619 (1,701 ) 918 Non-Agency RMBS 7,120 (1,073 ) 6,047 5,602 525 6,127 35,221 (5,243 ) 29,978 Non-Agency CMBS 20,058 6,366 26,424 19,179 8,276 27,455 24,893 7,431 32,324 Other securities 14,805 (6,371 ) 8,434 8,280 1,559 9,839 2,537 2,977 5,514 Total $ 121,638 $ (6,816 ) $ 114,822 $ 111,233 $ (2,191 ) $ 109,042 $ 135,737 $ (21,372 ) $ 114,365 The following tables present the sales and realized gains (losses) of the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively: For the year ended December 31, 2018 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS $ 589,854 $ 18 $ (23,997 ) $ (23,979 ) Agency CMBS 1,534,967 — (51,045 ) (51,045 ) Non-Agency RMBS 99,842 7,008 (478 ) 6,530 Non-Agency CMBS 140,292 3,086 (6,201 ) (3,115 ) Other securities 65,099 8,400 — 8,400 Total $ 2,430,054 $ 18,512 $ (81,721 ) $ (63,209 ) For the year ended December 31, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,251,985 $ 5,020 $ (7,936 ) $ (2,916 ) Non-Agency RMBS (2) 243,838 24,356 (2,241 ) 22,115 Non-Agency CMBS 54,875 2,543 (1,803 ) 740 Other securities 38,447 713 (54 ) 659 Total $ 1,589,145 $ 32,632 $ (12,034 ) $ 20,598 (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of approximately $432 thousand . (2) 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 . For the year ended December 31, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,239,350 $ 6,214 $ (25,818 ) $ (19,604 ) Agency CMBS 22,939 54 (66 ) (12 ) Non-Agency RMBS 177,996 6,470 (4,560 ) 1,910 Non-Agency CMBS 50,418 137 (5,810 ) (5,673 ) Other securities 764,711 3,496 (2,108 ) 1,388 Total $ 2,255,414 $ 16,371 $ (38,362 ) $ (21,991 ) (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million , gross realized gains of $1.9 million and gross realized losses of $595 thousand . 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 December 31, 2018 and December 31, 2017 , the Company had seven and three investments in CMBS VIEs, respectively, 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 December 31, 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 the $118.4 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 December 31, 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 December 31, 2018 and December 31, 2017 (dollars in thousands). December 31, 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 Interest-Only Strips (1) N/A N/A N/A 11,480 1,062 (407 ) 12,135 2.2 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A N/A 7,702 2.9 % Subtotal Agency RMBS — — — 11,480 1,062 (407 ) 19,837 2.5 % Agency CMBS 1,493,675 5,820 — 1,499,495 12,083 (29,594 ) 1,481,984 3.3 % Agency CMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A N/A 4,158 0.4 % Subtotal Agency CMBS 1,493,675 5,820 — 1,499,495 12,083 (29,594 ) 1,486,142 3.0 % Subtotal Agency MBS 1,493,675 5,820 — 1,510,975 13,145 (30,001 ) 1,505,979 2.9 % Non-Agency RMBS 54,887 6,909 (23,731 ) 38,065 961 — 39,026 4.8 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 11,154 382 (7 ) 11,529 0.6 % Subtotal Non-Agency RMBS 54,887 6,909 (23,731 ) 49,219 1,343 (7 ) 50,555 1.0 % Non-Agency CMBS 240,431 (20,317 ) (22,189 ) 197,925 5,021 (2,645 ) 200,301 5.9 % Subtotal Non-Agency MBS 295,318 (13,408 ) (45,920 ) 247,144 6,364 (2,652 ) 250,856 2.4 % Other securities (3) 47,042 (1,129 ) (7,603 ) 55,284 5,012 (390 ) 59,906 9.0 % Total $ 1,836,035 $ (8,717 ) $ (53,523 ) $ 1,813,403 $ 24,521 $ (33,043 ) $ 1,816,741 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 % 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 % 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 % 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 % Subtotal Agency CMBS 2,145,139 2,142 — 2,147,281 16,923 (9,394 ) 2,160,567 2.7 % Subtotal 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 % 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 % Subtotal 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 December 31, 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 $158.8 million , $519.9 million , $89.8 million and $172.2 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 $17.0 million and $22.9 million , as of December 31, 2018 and December 31, 2017 , respectively. As of December 31, 2018 and December 31, 2017 , the weighted average expected remaining term of the MBS and other securities investment portfolio was 8.5 years and 8.6 years , respectively. The following table presents 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 years ended December 31, 2018 , December 31, 2017 and December 31, 2016 (dollars in thousands): Year ended December 31, 2018 Year ended December 31, 2017 Year ended December 31, 2016 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Beginning balance $ (72,915 ) $ (68,438 ) $ 20,872 $ (130,484 ) $ (109,822 ) $ 44,527 $ (152,750 ) $ (145,532 ) $ 56,163 Accretion of discount — 7,137 — — 10,715 — — 17,431 — Amortization of premium — — (675 ) — — (843 ) — — (5,470 ) Realized credit losses 5,863 — — 2,391 — — 7,697 — — Purchases (7,182 ) (6,473 ) 435 (19,385 ) (1,205 ) 7,259 (15,792 ) (2,945 ) 5,266 Sales 32,301 40,338 (9,590 ) 89,628 33,166 (31,118 ) 39,117 35,605 (12,156 ) Net impairment losses recognized in earnings (9,733 ) — — (15,310 ) — — (22,413 ) — — Transfers/release of credit reserve (2) (1,857 ) (2,029 ) 3,886 245 (1,292 ) 1,047 13,657 (14,381 ) 724 Ending balance $ (53,523 ) $ (29,465 ) $ 14,928 $ (72,915 ) $ (68,438 ) $ 20,872 $ (130,484 ) $ (109,822 ) $ 44,527 (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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 Interest-Only Strips $ 3,577 $ 2,402 $ 6,156 $ — $ 12,135 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,089 4,053 2,560 — 7,702 Agency CMBS 1,101,820 380,164 — — 1,481,984 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 4,158 — 4,158 Subtotal Agency 1,106,486 386,619 8,716 4,158 1,505,979 Non-Agency RMBS — — 8,540 30,486 39,026 Non-Agency RMBS Interest-Only Strips — — 4,310 7,219 11,529 Non-Agency CMBS 28,754 53,653 72,921 44,973 200,301 Subtotal Non-Agency 28,754 53,653 85,771 82,678 250,856 Other securities 7,698 26,020 — 26,188 59,906 Total $ 1,142,938 $ 466,292 $ 94,487 $ 113,024 $ 1,816,741 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 Interest-Only Strips $ 3,277 $ (124 ) 7 $ 3,917 $ (283 ) 9 $ 7,194 $ (407 ) 16 Agency CMBS 29,413 (307 ) 3 879,549 (29,287 ) 72 908,962 (29,594 ) 75 Subtotal Agency 32,690 (431 ) 10 883,466 (29,570 ) 81 916,156 (30,001 ) 91 Non-Agency RMBS — — — 500 — 1 500 — 1 Non-Agency RMBS Interest-Only Strips 957 (7 ) 2 — — — 957 (7 ) 2 Non-Agency CMBS 65,339 (712 ) 7 19,323 (1,933 ) 3 84,662 (2,645 ) 10 Subtotal Non-Agency 66,296 (719 ) 9 19,823 (1,933 ) 4 86,119 (2,652 ) 13 Other securities 15,208 (390 ) 2 — — — 15,208 (390 ) 2 Total $ 114,194 $ (1,540 ) 21 $ 903,289 $ (31,503 ) 85 $ 1,017,483 $ (33,043 ) 106 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 At December 31, 2018 and December 31, 2017 , the Company did not intend to sell any of its MBS and other securities that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these MBS and other securities before recovery of their amortized cost basis, which may be at their maturity. Generally, the Company records 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): For the year ended December 31, 2018 For the year ended December 31, 2017 For the year ended December 31, 2016 Agency RMBS $ 807 $ 5,774 $ 6,090 Non-Agency RMBS 996 — 9,511 Non-Agency CMBS 8,660 15,117 13,025 Other securities 717 1,982 3,660 Total $ 11,180 $ 22,873 $ 32,286 (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 years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , $0 , $4.7 million and $4.4 million , respectively, of OTTI related to Agency RMBS securities the Company intended to sell. The following table presents components of interest income on the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively: For the year ended December 31, 2018 For the year ended December 31, 2017 For the year ended December 31, 2016 Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 19,507 $ (5,092 ) $ 14,415 $ 38,108 $ (13,058 ) $ 25,050 $ 70,467 $ (24,836 ) $ 45,631 Agency CMBS 60,148 (646 ) 59,502 40,064 507 40,571 2,619 (1,701 ) 918 Non-Agency RMBS 7,120 (1,073 ) 6,047 5,602 525 6,127 35,221 (5,243 ) 29,978 Non-Agency CMBS 20,058 6,366 26,424 19,179 8,276 27,455 24,893 7,431 32,324 Other securities 14,805 (6,371 ) 8,434 8,280 1,559 9,839 2,537 2,977 5,514 Total $ 121,638 $ (6,816 ) $ 114,822 $ 111,233 $ (2,191 ) $ 109,042 $ 135,737 $ (21,372 ) $ 114,365 The following tables present the sales and realized gains (losses) of the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively: For the year ended December 31, 2018 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS $ 589,854 $ 18 $ (23,997 ) $ (23,979 ) Agency CMBS 1,534,967 — (51,045 ) (51,045 ) Non-Agency RMBS 99,842 7,008 (478 ) 6,530 Non-Agency CMBS 140,292 3,086 (6,201 ) (3,115 ) Other securities 65,099 8,400 — 8,400 Total $ 2,430,054 $ 18,512 $ (81,721 ) $ (63,209 ) For the year ended December 31, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,251,985 $ 5,020 $ (7,936 ) $ (2,916 ) Non-Agency RMBS (2) 243,838 24,356 (2,241 ) 22,115 Non-Agency CMBS 54,875 2,543 (1,803 ) 740 Other securities 38,447 713 (54 ) 659 Total $ 1,589,145 $ 32,632 $ (12,034 ) $ 20,598 (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of approximately $432 thousand . (2) 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 . For the year ended December 31, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,239,350 $ 6,214 $ (25,818 ) $ (19,604 ) Agency CMBS 22,939 54 (66 ) (12 ) Non-Agency RMBS 177,996 6,470 (4,560 ) 1,910 Non-Agency CMBS 50,418 137 (5,810 ) (5,673 ) Other securities 764,711 3,496 (2,108 ) 1,388 Total $ 2,255,414 $ 16,371 $ (38,362 ) $ (21,991 ) (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million , gross realized gains of $1.9 million and gross realized losses of $595 thousand . 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 December 31, 2018 and December 31, 2017 , the Company had seven and three investments in CMBS VIEs, respectively, 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 December 31, 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 the $118.4 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 December 31, 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 | 12 Months Ended |
Dec. 31, 2018 | |
Variable Interest Entities | |
Residential Whole Loans and Bridge Loans | Residential Whole Loans and Bridge Loans Residential Whole-Loan Trusts 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 December 31, 2018 and 2017 , the Company financed the trust certificate with $618.7 million and $189.3 million , respectively, 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 Real Estate Investments" 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 December 31, 2018 , the Company financed the trust certificate with $250.4 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, at fair value" 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 December 31, 2018 , the Company financed the trust certificate with $15.1 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, at fair value" 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 Trust") and acquired the trust certificate, which represents the entire 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 December 31, 2018 and December 31, 2017 , the Company financed the trust certificate with $207.5 million and $100.2 million , respectively, 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, at fair value" 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 2,769 Residential Whole Loans and one commercial loan and the consolidated Bridge Loan Trust holds 518 Residential Bridge Loans and 13 Residential Whole Loans as of December 31, 2018 . The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 2018 December 31, 2017 Cash and cash equivalents $ 674 $ — Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively) 1,041,885 237,423 Residential Bridge Loans ($211,766 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively) 221,486 106,673 Commercial Loan, at fair value 30,000 — Investment related receivable 42,945 7,665 Accrued interest receivable 11,807 3,197 Other assets 178 — Total assets $ 1,348,975 $ 354,958 Accounts payable and accrued expenses 677 188 Other liabilities 225 — Total liabilities $ 902 $ 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 years ended December 31, 2018 and December 31, 2017 . The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 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) December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 Principal balance $ 1,023,524 $ 232,270 $ 212,491 $ 63,802 $ 9,766 $ 42,066 Unamortized premium 17,629 2,021 1,164 293 16 122 Unamortized discount (3,145 ) (1,190 ) (316 ) (128 ) (62 ) (41 ) Amortized cost 1,038,008 233,101 213,339 63,967 9,720 42,147 Gross unrealized gains 7,573 4,463 212 655 N/A N/A Gross unrealized losses (3,696 ) (141 ) (1,552 ) (96 ) N/A N/A Fair value $ 1,041,885 $ 237,423 $ 211,999 $ 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 1,888 non-qualifying adjustable rate mortgages, 881 conforming fixed rate mortgages and 13 investor fixed rate mortgages. The following tables present certain information about the Company's Residential Whole Loans investment portfolio at December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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% 66 $ 22,046 61.6 % 738 6.5 29.0 3.9 % 4.01 - 5.00% 1,395 490,073 62.3 % 739 3.0 29.0 4.8 % 5.01 - 6.00% 1,283 496,722 62.7 % 727 2.5 28.5 5.4 % 6.01 - 7.00% 37 14,589 59.5 % 731 1.5 24.8 6.2 % 7.01 - 8.00% 1 94 70.0 % 689 1.8 29.1 8.0 % Total 2,782 $ 1,023,524 62.4 % 733 2.8 28.7 5.1 % (1) The original FICO score is not available for 274 loans with a principal balance of approximately $93.2 million at December 31, 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 December 31, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): December 31, 2018 December 31, 2017 State Concentration Principal Balance State Principal California 67.1 % $ 686,275 California 62.2 % $ 144,321 New York 17.1 % 175,390 New York 24.4 % 56,631 Georgia 2.6 % 26,918 Georgia 4.3 % 10,061 Massachusetts 2.1 % 21,197 Washington 4.0 % 9,244 Florida 1.9 % 19,942 Massachusetts 3.9 % 9,114 Other 9.2 % 93,802 Other 1.2 % 2,899 Total 100.0 % $ 1,023,524 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 December 31, 2018 and December 31, 2017 (dollars i`n thousands): December 31, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Coupon 6.01 - 7.00% 8 3,169 60.4 % 1.1 6.7 % 7.01 – 8.00% 95 53,911 73.1 % 6.3 7.8 % 8.01 – 9.00% 180 86,764 72.3 % 5.6 8.7 % 9.01 – 10.00% 143 53,804 74.0 % 4.5 9.7 % 10.01 – 11.00% 43 10,150 72.7 % 4.0 10.7 % 11.01 - 12.00% 28 8,274 69.8 % 4.5 11.4 % 12.01 - 13.00% 11 2,743 75.8 % 5.2 12.8 % 13.01 - 14.00% 1 88 65.0 % 4.0 14.0 % 17.01 – 18.00% 11 3,354 73.7 % 2.3 18.0 % Total 520 $ 222,257 72.7 % 5.3 9.1 % December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Coupon 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 various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): December 31, 2018 December 31, 2017 State Concentration Principal Balance State Concentration Principal Balance California 53.9 % $ 119,761 California 48.2 % $ 51,080 New York 9.5 % 21,160 Florida 13.4 % 14,199 Washington 6.6 % 14,711 Washington 6.3 % 6,645 Florida 5.7 % 12,672 New York 4.4 % 4,703 New Jersey 4.7 % 10,419 Texas 4.4 % 4,660 Other 19.6 % 43,534 Other 23.3 % 24,581 Total 100.0 % $ 222,257 Total 100.0 % $ 105,868 Non-performing Loans Residential Whole Loans As of December 31, 2018 , there were no Residential Whole Loans in non-accrual status. 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 represented approximately 0.2% of the total outstanding principal balance. No allowance allowance and provision for credit losses as of and for the years ended December 31, 2018 and December 31, 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 December 31, 2018 , there were 3 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $1.1 million and 9 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $4.0 million . These nonperforming loans represent approximately 2.3% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 70% . 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 represented approximately 1.7% 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 for loans carried at amortized costs was recorded as of and for the years ended December 31, 2018 and December 31, 2017 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 years ended December 31, 2018 and December 31, 2017 since the Company elected the fair value option. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Commercial Real Estate Investments Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 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 VIEs 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 $13.7 million and a fair value of $13.7 million at December 31, 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 $13.7 million investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.5 million mezzanine loan, which bears an interest rate of 9% , collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.5 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 $50.9 million and $50.2 million , respectively, at December 31, 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 Trust and accordingly its investment in RETL Trust 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 $988.6 million as of December 31, 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 $988.6 million 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 transferred into the 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 loan, which represents the initial advance for the $115.5 million interest-only commercial real estate mortgage loan ("SBC-Loan 3") secured by assisted care living facilities. In October 2018, RSBC funded the remaining $65.9 million of the SBC-Loan-3. 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% . In November 2018, RSBC Trust acquired a $5.7 million interest-only commercial real estate mortgage loan ("SBC-Loan 4") secured by skilled nursing facilities. SBC-Loan 4 matures on December 1, 2020 with one extension option of one year and bears an interest rate of one month LIBOR plus 5.25% . 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 December 31, 2018 , the Company financed the trust certificate with $108.2 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 five commercial loans as of December 31, 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 2018 December 31, 2017 Restricted cash $ 55,808 $ — Securitized commercial loans, at fair value 1,013,511 24,876 Commercial Loans, at fair value 166,123 — Interest receivable 3,733 161 Total assets $ 1,239,175 $ 25,037 Securitized debt, at fair value $ 949,626 $ 10,945 Interest payable 2,419 70 Accounts payable and accrued expenses 31 1 Other liabilities 55,808 — Total liabilities $ 1,007,884 $ 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 years ended December 31, 2018 and December 31, 2017 . The following table presents the components of the carrying value of the commercial real estate loans as of December 31, 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 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 Principal balance $ 24,456 $ 24,846 $ 988,609 $ — $ 166,432 $ — $ 50,000 $ — Unamortized premium — — 431 — — — — — Unamortized discount — — — — (736 ) — (205 ) — Amortized cost 24,456 24,846 989,040 — 165,696 — 49,795 — Gross unrealized gains — 30 29 — 427 — 205 — Gross unrealized losses (14 ) — — — — — — — Fair value $ 24,442 $ 24,876 $ 989,069 $ — $ 166,123 $ — $ 50,000 $ — |
Commercial Real Estate Investme
Commercial Real Estate Investments (Notes) | 12 Months Ended |
Dec. 31, 2018 | |
Noncontrolling Interest [Abstract] | |
Commercial Real Estate Investments | Residential Whole Loans and Bridge Loans Residential Whole-Loan Trusts 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 December 31, 2018 and 2017 , the Company financed the trust certificate with $618.7 million and $189.3 million , respectively, 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 Real Estate Investments" 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 December 31, 2018 , the Company financed the trust certificate with $250.4 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, at fair value" 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 December 31, 2018 , the Company financed the trust certificate with $15.1 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, at fair value" 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 Trust") and acquired the trust certificate, which represents the entire 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 December 31, 2018 and December 31, 2017 , the Company financed the trust certificate with $207.5 million and $100.2 million , respectively, 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, at fair value" 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 2,769 Residential Whole Loans and one commercial loan and the consolidated Bridge Loan Trust holds 518 Residential Bridge Loans and 13 Residential Whole Loans as of December 31, 2018 . The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 2018 December 31, 2017 Cash and cash equivalents $ 674 $ — Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively) 1,041,885 237,423 Residential Bridge Loans ($211,766 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively) 221,486 106,673 Commercial Loan, at fair value 30,000 — Investment related receivable 42,945 7,665 Accrued interest receivable 11,807 3,197 Other assets 178 — Total assets $ 1,348,975 $ 354,958 Accounts payable and accrued expenses 677 188 Other liabilities 225 — Total liabilities $ 902 $ 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 years ended December 31, 2018 and December 31, 2017 . The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 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) December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 Principal balance $ 1,023,524 $ 232,270 $ 212,491 $ 63,802 $ 9,766 $ 42,066 Unamortized premium 17,629 2,021 1,164 293 16 122 Unamortized discount (3,145 ) (1,190 ) (316 ) (128 ) (62 ) (41 ) Amortized cost 1,038,008 233,101 213,339 63,967 9,720 42,147 Gross unrealized gains 7,573 4,463 212 655 N/A N/A Gross unrealized losses (3,696 ) (141 ) (1,552 ) (96 ) N/A N/A Fair value $ 1,041,885 $ 237,423 $ 211,999 $ 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 1,888 non-qualifying adjustable rate mortgages, 881 conforming fixed rate mortgages and 13 investor fixed rate mortgages. The following tables present certain information about the Company's Residential Whole Loans investment portfolio at December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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% 66 $ 22,046 61.6 % 738 6.5 29.0 3.9 % 4.01 - 5.00% 1,395 490,073 62.3 % 739 3.0 29.0 4.8 % 5.01 - 6.00% 1,283 496,722 62.7 % 727 2.5 28.5 5.4 % 6.01 - 7.00% 37 14,589 59.5 % 731 1.5 24.8 6.2 % 7.01 - 8.00% 1 94 70.0 % 689 1.8 29.1 8.0 % Total 2,782 $ 1,023,524 62.4 % 733 2.8 28.7 5.1 % (1) The original FICO score is not available for 274 loans with a principal balance of approximately $93.2 million at December 31, 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 December 31, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): December 31, 2018 December 31, 2017 State Concentration Principal Balance State Principal California 67.1 % $ 686,275 California 62.2 % $ 144,321 New York 17.1 % 175,390 New York 24.4 % 56,631 Georgia 2.6 % 26,918 Georgia 4.3 % 10,061 Massachusetts 2.1 % 21,197 Washington 4.0 % 9,244 Florida 1.9 % 19,942 Massachusetts 3.9 % 9,114 Other 9.2 % 93,802 Other 1.2 % 2,899 Total 100.0 % $ 1,023,524 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 December 31, 2018 and December 31, 2017 (dollars i`n thousands): December 31, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Coupon 6.01 - 7.00% 8 3,169 60.4 % 1.1 6.7 % 7.01 – 8.00% 95 53,911 73.1 % 6.3 7.8 % 8.01 – 9.00% 180 86,764 72.3 % 5.6 8.7 % 9.01 – 10.00% 143 53,804 74.0 % 4.5 9.7 % 10.01 – 11.00% 43 10,150 72.7 % 4.0 10.7 % 11.01 - 12.00% 28 8,274 69.8 % 4.5 11.4 % 12.01 - 13.00% 11 2,743 75.8 % 5.2 12.8 % 13.01 - 14.00% 1 88 65.0 % 4.0 14.0 % 17.01 – 18.00% 11 3,354 73.7 % 2.3 18.0 % Total 520 $ 222,257 72.7 % 5.3 9.1 % December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Coupon 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 various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): December 31, 2018 December 31, 2017 State Concentration Principal Balance State Concentration Principal Balance California 53.9 % $ 119,761 California 48.2 % $ 51,080 New York 9.5 % 21,160 Florida 13.4 % 14,199 Washington 6.6 % 14,711 Washington 6.3 % 6,645 Florida 5.7 % 12,672 New York 4.4 % 4,703 New Jersey 4.7 % 10,419 Texas 4.4 % 4,660 Other 19.6 % 43,534 Other 23.3 % 24,581 Total 100.0 % $ 222,257 Total 100.0 % $ 105,868 Non-performing Loans Residential Whole Loans As of December 31, 2018 , there were no Residential Whole Loans in non-accrual status. 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 represented approximately 0.2% of the total outstanding principal balance. No allowance allowance and provision for credit losses as of and for the years ended December 31, 2018 and December 31, 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 December 31, 2018 , there were 3 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $1.1 million and 9 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $4.0 million . These nonperforming loans represent approximately 2.3% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 70% . 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 represented approximately 1.7% 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 for loans carried at amortized costs was recorded as of and for the years ended December 31, 2018 and December 31, 2017 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 years ended December 31, 2018 and December 31, 2017 since the Company elected the fair value option. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Commercial Real Estate Investments Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 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 VIEs 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 $13.7 million and a fair value of $13.7 million at December 31, 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 $13.7 million investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.5 million mezzanine loan, which bears an interest rate of 9% , collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.5 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 $50.9 million and $50.2 million , respectively, at December 31, 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 Trust and accordingly its investment in RETL Trust 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 $988.6 million as of December 31, 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 $988.6 million 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 transferred into the 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 loan, which represents the initial advance for the $115.5 million interest-only commercial real estate mortgage loan ("SBC-Loan 3") secured by assisted care living facilities. In October 2018, RSBC funded the remaining $65.9 million of the SBC-Loan-3. 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% . In November 2018, RSBC Trust acquired a $5.7 million interest-only commercial real estate mortgage loan ("SBC-Loan 4") secured by skilled nursing facilities. SBC-Loan 4 matures on December 1, 2020 with one extension option of one year and bears an interest rate of one month LIBOR plus 5.25% . 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 December 31, 2018 , the Company financed the trust certificate with $108.2 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 five commercial loans as of December 31, 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 2018 December 31, 2017 Restricted cash $ 55,808 $ — Securitized commercial loans, at fair value 1,013,511 24,876 Commercial Loans, at fair value 166,123 — Interest receivable 3,733 161 Total assets $ 1,239,175 $ 25,037 Securitized debt, at fair value $ 949,626 $ 10,945 Interest payable 2,419 70 Accounts payable and accrued expenses 31 1 Other liabilities 55,808 — Total liabilities $ 1,007,884 $ 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 years ended December 31, 2018 and December 31, 2017 . The following table presents the components of the carrying value of the commercial real estate loans as of December 31, 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 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 Principal balance $ 24,456 $ 24,846 $ 988,609 $ — $ 166,432 $ — $ 50,000 $ — Unamortized premium — — 431 — — — — — Unamortized discount — — — — (736 ) — (205 ) — Amortized cost 24,456 24,846 989,040 — 165,696 — 49,795 — Gross unrealized gains — 30 29 — 427 — 205 — Gross unrealized losses (14 ) — — — — — — — Fair value $ 24,442 $ 24,876 $ 989,069 $ — $ 166,123 $ — $ 50,000 $ — |
Financings
Financings | 12 Months Ended |
Dec. 31, 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 three 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 time frame 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. Under the terms of the repurchase agreements the Company may rehypothecate pledged U.S. Treasury securities it receives from its repurchase agreement as incremental collateral in order to increase the Company’s cash position. At December 31, 2018 and December 31, 2017 , the Company did not have any rehypothecated U.S. Treasury securities. 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 December 31, 2018 . As of December 31, 2018 , the Company had master repurchase agreements with 29 counterparties. As of December 31, 2018 , the Company had borrowings under repurchase agreements with 15 counterparties. The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 $ 14,650 3.09 % 21 $ 665,919 1.62 % 61 Agency CMBS 1,392,649 2.71 % 40 2,035,222 1.53 % 53 Non-Agency RMBS 30,922 4.06 % 18 46,530 2.76 % 41 Non-Agency CMBS 134,814 4.05 % 48 154,325 2.98 % 40 Residential Whole Loans (1) 863,356 4.08 % 93 189,270 3.66 % 8 Residential Bridge Loans (1) 204,754 4.50 % 25 100,183 4.05 % 59 Commercial Loans (1) 131,788 4.55 % 26 — — % — Securitized commercial loans (1) 7,543 4.30 % 15 — — % — Other securities 38,361 4.18 % 26 60,237 2.94 % 23 Repurchase agreements borrowings $ 2,818,837 3.45 % 54 $ 3,251,686 1.86 % 51 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. At December 31, 2018 and December 31, 2017 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2018 December 31, 2017 Overnight $ — $ — 1 to 29 days 1,867,957 1,387,599 30 to 59 days 144,778 665,656 60 to 89 days 555,695 871,819 90 to 119 days — — Greater than or equal to 120 days 250,407 326,612 Total $ 2,818,837 $ 3,251,686 At December 31, 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): December 31, 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 $ 172,786 28 34.4 % Nomura Securities International, Inc. 81,882 28 16.3 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 $ 19,837 $ 453 $ 20,290 $ 690,255 $ 2,601 $ 692,856 Agency CMBS, at fair value 1,486,142 4,262 1,490,404 2,143,340 5,454 2,148,794 Non-Agency RMBS, at fair value 50,555 479 51,034 58,127 160 58,287 Non-Agency CMBS, at fair value 186,552 915 187,467 208,062 1,100 209,162 Residential Whole Loans, at fair value (1)(2) 1,041,885 8,145 1,050,030 237,423 1,754 239,177 Residential Bridge Loans (1) 221,486 3,528 225,014 106,673 1,443 108,116 Commercial Loans, at fair value (1) 196,123 1,067 197,190 — — — Securitized commercial loans, at fair value (1) 13,688 88 13,776 — — — Other securities, at fair value 59,780 147 59,927 89,823 105 89,928 Cash (2) 1,226 — 1,226 23,591 — 23,591 Total $ 3,277,274 $ 19,084 $ 3,296,358 $ 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. A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At December 31, 2018 and December 31, 2017 , investments held by counterparties as security for repurchase agreements totaled approximately $3.3 billion and approximately $3.5 billion , respectively. Cash collateral held by repurchase agreement counterparties at December 31, 2018 and December 31, 2017 was approximately $1.2 million and $23.6 million , respectively. Cash posted by repurchase agreement counterparties at December 31, 2018 and December 31, 2017 , was approximately $17.8 million and $1.5 million , respectively. In addition, at December 31, 2018 and December 31, 2017 , the Company held securities with a fair value of $5.2 million 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 $24.5 million at December 31, 2018 , with a fair value of $24.4 million . The trust certificates bear a fixed interest rate of 8.9% and mature on July 6, 2020. The Company owns $13.7 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 December 31, 2018 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A $ 369,109 3.6% $ 368,366 2/15/2021 Class B 119,400 4.2% 119,196 2/15/2021 Class C 103,425 4.5% 103,281 2/15/2021 Class D 91,425 5.2% 91,297 2/15/2021 Class E 124,125 7.0% 123,900 2/15/2021 Class F 120,225 8.5% 120,093 2/15/2021 Class G 10,050 10.0% 9,985 2/15/2021 Class HRR 50,850 12.0% 50,198 2/15/2021 Class X-CP (1) N/A 2.6% 468 3/11/2019 Class X-EXT (1) N/A —% 2,286 2/15/2021 $ 988,609 $ 989,070 (1) Class X-CP and Class X-EXT are interest-only classes with a notional balance of $91.4 million each. The Company owns the HRR certificates which are eliminated in consolidation. Of the remaining outstanding principal balance of $937.8 million , excluding the interest-only securities, of trust certificates, $236.0 million is owned by related parties and $701.7 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 | 12 Months Ended |
Dec. 31, 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 $ 1,128,400 $ 2,057 $ — $ — Options, asset Non-Hedge Derivative assets, at fair value — — 320,000 100 Futures contracts, asset Non-Hedge Derivative assets, at fair value — — 480,000 628 Credit default swaps, asset Non-Hedge Derivative assets, at fair value 50,000 549 — — Total derivative instruments, assets 2,606 728 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 2,727,800 (5,473 ) 3,252,200 (4,191 ) Options, liability Non-Hedge Derivative liability, at fair value — — 320,000 (50 ) Futures contracts, liability Non-Hedge Derivative liability, at fair value 300,400 (4,657 ) — — Credit default swaps, liability Non-Hedge Derivative liability, at fair value — — 14,815 (95 ) TBA securities, liability Non-Hedge Derivative liability, at fair value — — 125,000 (10 ) Total derivative instruments, liabilities (10,130 ) (4,346 ) Total derivative instruments, net $ (7,524 ) $ (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 years ended December 31, 2018 , December 31, 2017 and December 31, 2016 (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 Total Year ended December 31, 2018 Interest rate swaps $ 163 $ 76,979 $ 2,465 $ (5,147 ) $ 3,693 $ 78,153 Interest-Only Strips—accounted for as derivatives — — (3,661 ) (655 ) 4,511 195 Options (871 ) — — 300 — (571 ) Futures contracts 6,112 — — (5,285 ) — 827 Credit default swaps (241 ) — — 396 — 155 TBAs (800 ) — — 10 — (790 ) Total $ 4,363 $ 76,979 $ (1,196 ) $ (10,381 ) $ 8,204 $ 77,969 Year ended December 31, 2017 Interest rate swaps $ (150,607 ) $ 20,258 $ 524 $ 148,947 $ (14,606 ) $ 4,516 Interest rate swaptions (115 ) — — — — (115 ) Interest-Only Strips—accounted for as derivatives 526 — (5,995 ) (902 ) 7,438 1,067 Options (1,453 ) — — (300 ) — (1,753 ) Futures contracts (9,130 ) — — 3,044 — (6,086 ) Foreign currency forwards 32 — — 35 — 67 Total return swap (552 ) — — 1,673 469 1,590 Credit default swaps (11 ) — — (22 ) — (33 ) TBAs 4,049 — — (10 ) — 4,039 Total $ (157,261 ) $ 20,258 $ (5,471 ) $ 152,465 $ (6,699 ) $ 3,292 Year ended December 31, 2016 Interest rate swaps $ (33,999 ) $ — $ 672 $ 11,013 $ (27,903 ) $ (50,217 ) Interest rate swaptions (1,035 ) — — 1,631 — 596 Interest-Only Strips—accounted for as derivatives 1,317 — (11,438 ) (4,726 ) 14,148 (699 ) Options 4,756 — — — — 4,756 Futures contracts 23,609 — — (1,781 ) — 21,828 Foreign currency forwards (66 ) — — (56 ) — (122 ) Foreign currency swaps 6,771 — — (7,168 ) 283 (114 ) Total return swap 38 — — (1,673 ) 1,121 (514 ) TBAs 6,126 — — (2,375 ) — 3,751 Total $ 7,517 $ — $ (10,766 ) $ (5,135 ) $ (12,351 ) $ (20,735 ) At December 31, 2018 and December 31, 2017 , the Company had cash pledged as collateral for its 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 $38.0 million and approximately $63.3 million respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. Effective in January 2017, variation margin of CME cleared derivatives are treated as settlements of the derivative contract as opposed to cash collateral. 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 2018 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) 1 year or less $ 400,000 1.5 % 2.8 % 0.5 Greater than 1 year and less than 3 years $ 200,000 1.8 % 2.6 % 1.4 Greater than 3 years and less than 5 years 1,104,700 2.3 % 2.5 % 3.8 Greater than 5 years 1,423,100 2.5 % 2.5 % 9.9 Total $ 3,127,800 2.3 % 2.6 % 6.0 December 31, 2018 Variable Pay Interest Rate Swap Remaining Term Notional Amount Average Variable Pay Rate Average Fixed Receive Rate Average Maturity (Years) Greater than 5 years 728,400 2.5 % 2.4 % 8.3 Total $ 728,400 2.5 % 2.4 % 8.3 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 swaps as of December 31, 2017 . As of December 31, 2018 , the Company had no fixed pay forward starting swaps. As of December 31, 2017 , the Company has entered into fixed pay forward starting swaps of approximately $1.5 billion , which have weighted average forward starting dates of 4.0 months. Options The Company may enter into options on U.S. Treasuries and Eurodollar instruments. As of December 31, 2018 , the Company had no option contracts. 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 December 31, 2018 , the Company had entered into contracts to sell or short positions for U.S. Treasuries with a notional amount of $300.4 million , a fair value in a liability position of $4.7 million and an expiration date of March 2019 . As of December 31, 2017 , the Company had sale contracts or short positions for U.S. Treasuries with a notional amount of $480 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 years ended December 31, 2018 and December 31, 2017 . There were no TBA positions as of December 31, 2018 . The following is a summary of the Company's TBA positions as of December 31, 2017 , reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): December 31, 2017 Notional Amount Fair Value Purchase contracts, liability $ 125,000 $ (10 ) The following tables present additional information about the Company's contracts to purchase and sell TBAs for the years ended December 31, 2018 and December 31, 2017 (dollars in thousands): Notional Amount Settlement, Termination, Notional Amount December 31, 2017 Additions Expiration or Exercise December 31, 2018 Purchase of TBAs $ 125,000 $ 7,725,000 $ (7,850,000 ) $ — Sale of TBAs $ — $ 7,850,000 $ (7,850,000 ) $ — Notional Amount Settlement, Termination, Notional Amount December 31, 2016 Additions Expiration or Exercise 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 December 31, 2018 , the Company had entered into credit default swaps with a notional amount of $50.0 million and a fair value in an asset position of $549 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 | 12 Months Ended |
Dec. 31, 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 Description Financial Instruments (1) Cash Collateral (1) Net Amount Derivative Assets Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 11,860 $ — $ 11,860 $ (11,860 ) $ — $ — Derivative asset, at fair value (2) 2,606 — 2,606 (2,057 ) — 549 Total derivative assets $ 14,466 $ — $ 14,466 $ (13,917 ) $ — $ 549 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 10,130 $ — $ 10,130 $ (2,057 ) $ (8,073 ) $ — Repurchase Agreements (4) 2,818,837 — 2,818,837 (2,818,837 ) — — Total derivative liability $ 2,828,967 $ — $ 2,828,967 $ (2,820,894 ) $ (8,073 ) $ — (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, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $38.0 million as of December 31, 2018 . (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $3.3 billion as of December 31, 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 Description Financial Instruments (1) Cash Collateral (1) Net Amount Derivative Assets 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 column of the tables above represents amounts pledged or received as collateral against derivative transactions. (1) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, mortgage put options, currency forwards, credit default swaps, futures contracts and TBAs. (2) Cash collateral pledged against the Company's derivative counterparties was approximately $63.3 million as of December 31, 2017 . (3) The fair 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 | 12 Months Ended |
Dec. 31, 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. On August 3, 2016, the Company and the Manager entered into an amendment to the Management Agreement that amended the definition of "Equity" in the Management Agreement. Under the new definition, for all periods beginning on January 1, 2016, OTTI will reduce the Company's "Equity" for any completed fiscal quarter that OTTI was recognized, which in turn will reduce the Company's management fee from what would have been payable before the amendment. 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, 2020 . 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 $67.7 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 years ended December 31, 2018 , December 31, 2017 and December 31, 2016 the Company incurred $8.7 million , $8.1 million and $10.4 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 years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , the Company recorded expenses included in general and administrative expenses totaling approximately $1.5 million , $1.4 million and $740 thousand , 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 expense in the Consolidated Statements of Operations. At December 31, 2018 and December 31, 2017 , approximately $4.2 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 December 31, 2018 and December 31, 2017 , approximately $379 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 | 12 Months Ended |
Dec. 31, 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 753,973 of shares have been issued under the Equity Plans with 669,636 shares available for issuance as of December 31, 2018 . Under the Equity Plan, the Company made the following grants during the years ended December 31, 2018 and December 31, 2017 : 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. On June 1, 2017, the Company granted a total of 15,536 ( 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. During the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , 84,203 , 152,630 and 200,983 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 $265 thousand , approximately $981 thousand and approximately $1.7 million for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively. In addition, the Company had unamortized compensation expense of $117 thousand for equity awards and $0 for liability awards and $66 thousand for equity awards and approximately $111 thousand for liability awards at December 31, 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 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 December 31, 2018 and December 31, 2017 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2018 December 31, 2017 Vesting Date Shares Vesting Shares Vesting March 2018 — 66,667 June 2018 — 16,488 June 2019 27,476 — 27,476 83,155 The following table presents information with respect to the Company's restricted stock for the years ended December 31, 2018 and December 31, 2017 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2018 December 31, 2017 Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 725,449 $ 17.00 707,861 $ 17.17 Granted (2) 28,524 10.75 17,588 10.30 Outstanding at end of period 753,973 $ 16.77 725,449 $ 17.00 Unvested at end of period 27,476 $ 10.78 83,155 $ 14.07 (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 2,620 shares and 2,052 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the years ended December 31, 2018 and December 31, 2017 , respectively. |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 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 December 31, 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 $67.7 million after subtracting underwriting commissions and offering expenses of approximately $2.8 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. For the years ended December 31, 2018 and December 31, 2017 , the Company repurchased 177,700 and 125,722 shares, respectively, 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 December 19, 2018 December 31, 2018 January 25, 2019 $ 0.31 Ordinary income September 17, 2018 September 27, 2018 October 26, 2018 $ 0.31 Ordinary income June 21, 2018 July 2, 2018 July 26, 2018 $ 0.31 Ordinary income March 22, 2018 April 2, 2018 April 26, 2018 $ 0.31 Ordinary income 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 2016 December 22, 2016 January 3, 2017 January 26, 2017 $ 0.31 Ordinary income September 22, 2016 October 4, 2016 October 25, 2016 $ 0.31 Ordinary income June 23, 2016 July 5, 2016 July 26, 2016 $ 0.31 Ordinary income March 24, 2016 April 4, 2016 April 26, 2016 $ 0.45 Ordinary income |
Net Income (Loss) per Common Sh
Net Income (Loss) per Common Share | 12 Months Ended |
Dec. 31, 2018 | |
Earnings Per Share [Abstract] | |
Net Income (Loss) per Common Share | Net Income (Loss) per Common Share The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2018 For the year ended December 31, 2017 For the year ended December 31, 2016 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ 26,409 $ 85,097 $ (25,015 ) Less: Dividends and undistributed earnings allocated to participating securities 138 312 377 Net income (loss) allocable to common stockholders—basic and diluted $ 26,271 $ 84,785 $ (25,392 ) Denominator : Weighted average common shares outstanding for basic earnings per share 43,388,810 41,817,455 41,688,950 Weighted average common shares outstanding for diluted earnings per share 43,388,810 41,817,455 41,688,950 Basic earnings (loss) per common share $ 0.61 $ 2.03 $ (0.61 ) Diluted earnings (loss) per common share $ 0.61 $ 2.03 $ (0.61 ) For the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , 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 | 12 Months Ended |
Dec. 31, 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 December 31, 2018 . The Company files U.S. federal and state income tax returns. As of December 31, 2018 , U.S. federal tax returns filed by the Company for 2017, 2016 and 2015 and state tax returns filed for 2017, 2016, 2015 and 2014 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 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. For the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , the Company recorded a federal and state tax provision of approximately $709 thousand , $3.5 million and $3.2 million , respectively. In addition, on completion and filing of its 2015 federal and state tax returns in September 2016 for the TRS, the Company incurred an additional tax liability of approximately $2.0 million due to changes in the estimated taxable income from certain investments, which is recorded in "Income tax provision (benefit)" in the Consolidated Statements of Operations for the year ended December 31, 2016. The following table summarizes the Company's income tax provision for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 (dollars in thousands): For the year ended December 31, 2018 For the year ended December 31, 2017 For the year ended December 31, 2016 Current Tax Provision (Benefit) Federal $ 709 $ 4,076 $ 2,365 State — (267 ) 672 Interest and Penalties — — 119 Total Current Provision for Income Taxes, net 709 3,809 3,156 Deferred Provision (Benefit) for Income Taxes Federal — 85 — State — (407 ) — Total Deferred Benefit for Income Taxes, net — (322 ) — Total Income Tax Provision, net $ 709 $ 3,487 $ 3,156 Deferred Tax Asset and Deferred Tax Liability As of December 31, 2018 and December 31, 2017 , the Company recorded a deferred tax asset of approximately $6.0 million and $6.1 million , respectively, 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 full valuation allowance. In addition, the REIT generated net operating losses ("NOL's") for the year ended December 31, 2017 related to its swap terminations and for the California return a portion of the NOL's is apportioned to the TRS. The Company recorded a deferred state tax asset of $5.5 million and $8.8 million in the REIT and $993 thousand and $765 thousand in the TRS as of December 31, 2018 and December 31, 2017 , respectively. The TRS can carryback the NOL's to each of the two preceding years and receive a refund for taxes paid. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized with the exception of the TRS carryback to 2015 and has recorded a combined valuation allowance of $6.1 million and $9.2 million as of December 31, 2018 and December 31, 2017 , respectively. The Company also recorded a deferred federal tax liability of $85 thousand , as of December 31, 2018 and December 31, 2017 , in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL. The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2018 and 2017 (dollars in thousands): Deferred Tax Asset December 31, 2018 December 31, 2017 Net operating loss available for carry-back and carry-forward $ 6,503 $ 9,604 Net capital loss carry-forward 4,271 4,158 Investments 1,720 1,948 Deferred tax asset 12,494 15,710 Allowance (12,087 ) (15,303 ) Net deferred tax asset $ 407 $ 407 Deferred Tax Liability December 31, 2018 December 31, 2017 Net operating loss available for carry-back and carry-forward $ 85 $ 85 Net deferred tax liability $ 85 $ 85 Reconciliation of Tax Rate to Effective Tax Rate T he Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows: For the year ended December 31, 2018 For the year ended December 31, 2017 Federal statutory rate 21.0 % 34.3 % State statutory rate, net of federal benefit 1.5 % (1.3 )% Other (0.8 )% (1.0 )% Change in valuation allowance (1.3 )% 0.8 % Effect of statutory rate changes — % 2.9 % REIT earnings not subject to corporate taxes (17.8 )% (31.8 )% Effective Tax Rate 2.6 % 3.9 % Excise Tax For the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , the Company recorded excise tax expense of $0 , $0 and $339 thousand , respectively. Excise tax represents a four percent tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The expense is calculated in accordance with applicable tax regulations. 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. During the fourth quarter of 2018, the Company finalized its accounting for the income tax effects of the Tax Act. No material adjustments were required to the provisional amounts initially recorded. |
Contingencies
Contingencies | 12 Months Ended |
Dec. 31, 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 December 31, 2018 . |
Summarized Quarterly Results (u
Summarized Quarterly Results (unaudited) | 12 Months Ended |
Dec. 31, 2018 | |
Quarterly Financial Information Disclosure [Abstract] | |
Summarized Quarterly Results (unaudited) | Summarized Quarterly Results (unaudited) The following is a presentation of selected unaudited results of operations: Quarter Ended March 31, 2018 June 30, 2018 September 30, 2018 December 31, 2018 Net Interest Income Interest income $ 39,727 $ 57,154 $ 54,461 $ 58,020 Interest expense 20,697 38,134 38,517 40,892 Net Interest Income 19,030 19,020 15,944 17,128 Other Income (Loss) Realized gain (loss) on sale of investments, net 575 (5,608 ) (24,229 ) (33,995 ) Other than temporary impairment (2,916 ) (2,974 ) (2,533 ) (2,757 ) Unrealized gain (loss), net (68,961 ) (31,693 ) 13,128 62,855 Gain (loss) on derivative instruments, net 79,582 28,490 24,625 (54,728 ) Other, net 47 (145 ) (2 ) (89 ) Other Income (Loss) 8,327 (11,930 ) 10,989 (28,714 ) Expenses Management fee to affiliate 2,180 2,259 2,284 1,950 Other operating expenses 969 1,555 1,609 1,943 General and administrative expenses: Compensation expense 510 572 552 552 Professional fees 1,295 818 1,065 1,121 Other general and administrative expenses 361 397 335 349 Total general and administrative expenses 2,166 1,787 1,952 2,022 Total Expenses 5,315 5,601 5,845 5,915 Income (loss) before income taxes 22,042 1,489 21,088 (17,501 ) Income tax provision (benefit) 313 36 206 154 Net income (loss) $ 21,729 $ 1,453 $ 20,882 $ (17,655 ) Net income (loss) per Common Share—Basic $ 0.52 $ 0.03 $ 0.50 $ (0.37 ) Net income (loss) per Common Share—Diluted $ 0.52 $ 0.03 $ 0.50 $ (0.37 ) Quarter Ended March 31, 2017 June 30, 2017 September 30, 2017 December 31, 2017 Net Interest Income: Interest income $ 28,430 $ 30,055 $ 30,928 $ 34,878 Interest expense 8,737 10,407 12,363 16,866 Net Interest Income 19,693 19,648 18,565 18,012 Other Income (Loss): Realized gain (loss) on sale of investments, net 21,258 (2,488 ) 1,830 (2 ) Other than temporary impairment (6,097 ) (6,579 ) (7,225 ) (2,972 ) Unrealized gain (loss), net (5,140 ) 35,017 5,249 (6,730 ) Gain (loss) on derivative instruments, net (4,697 ) (18,555 ) 7,217 19,327 Other, net 403 222 216 190 Other Income (Loss) 5,727 7,617 7,287 9,813 Expenses: Management fee to affiliate 2,476 1,830 1,853 1,941 Other operating expenses 417 736 702 564 General and administrative expenses: Compensation expense 740 664 660 628 Professional fees 888 832 781 741 Other general and administrative expenses 345 404 244 332 Total general and administrative expenses 1,973 1,900 1,685 1,701 Total Expenses 4,866 4,466 4,240 4,206 Income (loss) before income taxes 20,554 22,799 21,612 23,619 Income tax provision (benefit) 312 2,115 (1,155 ) 2,215 Net income (loss) $ 20,242 $ 20,684 $ 22,767 $ 21,404 Net income (loss) per Common Share—Basic $ 0.48 $ 0.49 $ 0.54 $ 0.51 Net income (loss) per Common Share—Diluted $ 0.48 $ 0.49 $ 0.54 $ 0.51 |
Schedule IV - Mortgage Loans on
Schedule IV - Mortgage Loans on Real Estate | 12 Months Ended |
Dec. 31, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule IV - Mortgage Loans on Real Estate | $ in thousands Asset Type Description Number of Loans Interest Rate Maturity Date Periodic Payment Terms (1) Prior Liens Face Amount of Mortgages Carrying Amount of Mortgages Principal Amount of Loans Subject to Delinquent Principal or Interest Residential Whole-Loans and Bridge Loans Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 394 Hybrid ARM 4.5% to 6.0% 11/01/2041 to 11/01/2048 P&I $ — $ 66,916 $ 68,261 $ — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 765 Hybrid ARM 4.5% to 6.5% 01/01/2042 to 11/01/2048 P&I — 263,675 268,907 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 236 Hybrid ARM 4.5% to 6.5% 02/01/2042 to 11/01/2048 P&I — 135,510 138,123 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 105 Hybrid ARM 4.5% to 6.0% 05/01/2043 to 11/01/2048 P&I — 86,322 88,042 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 26 Hybrid ARM 4.0% to 5.9% 05/01/2043 to 11/01/2048 P&I — 28,689 29,343 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 6 Hybrid ARM 4.8% to 5.8% 12/01/2041 to 10/01/2048 P&I — 7,836 8,028 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 21 Hybrid ARM 4.8% to 5.9% 02/01/2042 to 11/01/2048 P&I — 41,428 42,512 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 6 Variable 5.4% to 5.8% 02/01/2044 to 06/01/2044 P&I — 941 965 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 6 Variable 4.0% to 6.3% 04/01/2044 to 11/01/2047 P&I — 2,163 2,230 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 2 Variable 5.5% to 6.1% 04/01/2044 to 05/01/2046 P&I — 1,086 1,120 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 1 Variable 6.5% to 6.5% 5/1/2046 P&I — 467 485 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 2 Variable 5.4% to 5.7% 02/01/2044 to 05/01/2044 P&I — 1,369 1,406 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 460 Fixed 3.8% to 8.4% 06/01/2025 to 11/01/2048 P&I — 74,360 75,382 — $ in thousands Asset Type Description Number of Loans Interest Rate Maturity Date Periodic Payment Terms (1) Prior Liens Face Amount of Mortgages Carrying Amount of Mortgages Principal Amount of Loans Subject to Delinquent Principal or Interest Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 623 Fixed 3.8% to 7.2% 09/01/2026 to 11/01/2048 P&I — 216,989 219,521 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 97 Fixed 3.9% to 6.1% 10/01/2033 to 11/01/2048 P&I — 55,582 56,374 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 12 Fixed 5.1% to 6.4% 04/01/2048 to 11/01/2048 P&I — 10,829 11,039 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 6 Fixed 5.0% to 6.3% 04/01/2040 to 11/01/2048 P&I — 6,193 6,357 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 6 Fixed 5.6% to 6.3% 02/01/2036 to 11/01/2048 P&I — 7,684 7,882 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 8 Fixed 5.6% to 5.7% 09/01/2048 to 11/01/2048 P&I — 15,487 15,896 — Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $0 - $249,999 256 Fixed 0.0% to 18.0% 01/01/2019 to 03/01/2021 Interest Only (3) — 41,658 41,373 967 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 122 Fixed 6.3% to 18.0% 01/01/2019 to 02/01/2021 Interest Only (3) — 41,359 41,269 1,362 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 57 Fixed 6.3% to 13.0% 01/01/2019 to 02/01/2021 Interest Only (3) — 34,361 34,385 700 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 43 Fixed 7.3% to 18.0% 01/01/2019 to 12/01/2020 Interest Only (3) — 35,760 35,886 803 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 18 Fixed 7.3% to 10.0% 01/01/2019 to 09/01/2020 Interest Only (3) — 18,045 18,103 — Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 4 Fixed 9.0% to 10.8% 01/01/2019 to 06/01/2019 Interest Only (3) — 5,420 5,321 1,295 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $1,500,000 and above 20 Fixed 7.5% to 10.0% 01/01/2019 to 08/01/2020 Interest Only (3) — 45,652 45,394 — Total Residential Whole-Loans and Bridge Loans $ — $ 1,245,781 $ 1,263,604 $ 5,127 Western Asset Mortgage Capital Corporation and Subsidiaries Schedule IV Commercial Real Estate Loans As of December 31, 2018 $ in thousands Description Number of Interest Maturity Periodic Payment Terms(1) Prior Face Carrying Principal Commercial Loans Commercial Loan Held in Securitization Trust Original Loan Balance $45,187,500 1 LIBOR + 4.25% 7/6/2020 Interest Only (4) $ — $ 45,187 $ 45,187 $ — Commercial Loan Held in Securitization Trust Original Loan Balance $115,500,000 1 LIBOR + 5.30% 9/6/2021 Interest Only (4) — 115,500 115,191 — Commercial Loan Held in Securitization Trust Original Loan Balance $5,744,800 1 LIBOR + 5.25% 12/1/2020 Interest Only (4) $ — $ 5,745 $ 5,745 $ — Commercial Mezzanine Loan Original Loan Balance $20,000,000 1 LIBOR + 6.50% 12/9/2019 Interest Only (4) — 20,000 20,000 — Commercial Loan Held in Securitization Trusts Original Loan Balance $30,000,000 1 LIBOR + 4.50% 6/9/2020 Interest Only (4) — 30,000 30,000 — Total Commercial Loans $ — $ 216,432 $ 216,123 $ — Securitized Commercial Loans Commercial Loan Held in Securitization Trust Original Loan Balance $1,350,000,000 1 LIBOR + 9.50% 2/9/2021 Interest Only (4) — 988,609 989,069 — Commercial Mezzanine Loan Held in Securitization Trust Original Loan Balance $25,000,000 1 Fixed 9.0% 7/6/2020 P&I (2) — 24,456 24,442 — Total Securitized Commercial Loans $ — $ 1,013,065 $ 1,013,511 $ — Total Residential and Commercial Loans $ — $ 2,475,278 $ 2,493,238 $ 5,127 (1) Principal and interest ("P&I") (2) Interest only payments for initial 2 years . After 2 years , monthly P&I payments are based on a 2 amortization schedule and a balloon payment is due on the maturity date. (3) Residential Bridge Loans are mainly interest only loans with a balloon payment at maturity. (4) The borrower may prepay the commercial loan in whole or in part at any time in accordance with the terms of the loan agreement. Reconciliation of Carrying Value of Mortgage Loans on Real Estate: 2018 2017 2016 Beginning balance $ 368,972 $ 216,361 $ 243,538 Additions during period: New mortgage loans 2,901,479 232,545 29,399 Unrealized gains 631 3,167 1,187 Deductions during period: Collections of principal 769,748 80,550 53,714 Amortization of premium and (discounts) 5,692 1,470 2,044 Unrealized losses 2,356 1,081 2,005 Realized losses 48 — — Balance at end of period $ 2,493,238 $ 368,972 $ 216,361 |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2018 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The consolidated financial statements of the Company are prepared in accordance with generally accepted accounting principles in the United States ("GAAP"). The consolidated financial statements include accounts of the Company and its wholly -owned subsidiaries and variable interest entities ("VIEs") in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation. |
Variable Interest Entity | 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. |
Earnings (Loss) per share | Earnings (Loss) Per Share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. |
Offering Costs | Offering Costs Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete a equity offering. |
Cash and Cash Equivalents | Cash and Cash Equivalents The Company considers all highly-liquid short term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. |
Valuation of financial instruments | Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I — Quoted prices in active markets for identical assets or liabilities. Level II — Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3 - "Fair Value of Financial Instruments". |
Mortgage-Backed Securities and Other Securities | Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consists of Agency RMBS, Non-Agency RMBS, Agency CMBS, Non-Agency CMBS, ABS and other real estate related assets, these investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities” and ASC 325-40, “Beneficial Interests in Securitized Financial Assets.” The Company has chosen to make a fair value election pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net”. If the Company purchases securities with evidence of credit deterioration, it will analyze to determine if the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality” is applicable. The Company evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments, estimates and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” When a security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as OTTI and the cost basis of the security is adjusted to its fair value. Additionally, for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Other than temporary impairment” in the Consolidated Statements of Operations. Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the cash flow of such security subsequently improves. In addition, unrealized losses on the Company's Agency securities, with explicit guarantee of principal and interest by the governmental sponsored entity ("GSE"), are not credit losses but rather were due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided we did not intend to sell the security. |
Residential Whole-Loans / Residential Bridge Loans | Residential Whole Loans Investments in Residential Whole 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 our entire Residential Whole-Loan portfolio. Residential Whole Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring Residential Whole Loans or committing to purchase these loans are charged to expense as incurred. On a quarterly basis, the Company evaluate 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 we 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 we have 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 when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. Residential Bridge Loans For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount. Commencing with purchases on October 25, 2017, the Company decided to elect the fair value option pursuant to ASC 825 to be consistent with the accounting of its other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. 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. The Company evaluates each of its Residential Bridge Loans that it did not elect the fair value option on a quarterly basis. These loans are individually specific as they relate to the borrower, collateral type, interest rate, LTV and term as well as geographic location. The Company evaluates the collectability of both principal and interest of each loan. When a loan is impaired, the impairment is then measured based on fair value of the collateral, since these loans are collateral dependent. Upon measurement of impairment, the Company records an allowance to reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining impairment, including assumptions regarding the value of the loan, the value of the underlying collateral and other provisions such as guarantees. The Company will not record an allowance for loan loss for the Residential Bridge Loans that it has elected the fair value option. 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 when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. |
Interest income recognition | Interest Income Recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest", using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. Based on the projected cash flow of such securities purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio are 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. |
Purchases and Sales of Investments | Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. Sales of investments are driven by the Company’s portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company’s Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. |
Foreign Currency Transactions | Foreign Currency Transactions The Company has and expects to continue to enter into transactions denominated in foreign currency from time to time. At the date the transaction is recognized, the asset and/or liability will be measured and recorded using the exchange rate in effect at the date of the transaction. At each balance sheet date, such foreign currency assets and liabilities are re-measured using the exchange rate in effect at the date of the balance sheet, resulting in unrealized foreign currency gains or losses, which are recorded in "Other, net" in the Consolidated Statements of Operations. |
Due From Counterparties/Due To Counterparties | Due From Counterparties / Due To Counterparties "Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. However, commencing in 2017, daily variation margin on only the Company's centrally cleared derivatives was treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets. |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company as part of its hedging strategy, we may enter into interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and foreign current swaps and forwards to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company has also entered into a total return swap, which transfers the total return of the referenced security to the Company. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. In January 2017, the CME amended its rulebooks to legally characterize variation margin payments and receipts for over-the-counter derivatives they clear as settlements of the derivatives' exposure rather than collateral against exposure. As a result of the change in legal characterization, effective January 1, 2017, variation margin is no longer classified as collateral in the Consolidated Balance Sheets in either "Due from counterparties" or "Due to counterparties", but rather a component of the respective "Derivative asset, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. The variation margin is now considered partial settlements of the derivative contract and will result in realized gains or losses which prior to January 1, 2017 were classified as unrealized gains or losses on derivatives. Prior to the CME rulebook change variation margin was included in financing activities in the Company's Consolidated Statement of Cash Flows in either "Due from counterparties, net" or "Due to counterparties, net". Commencing in January 2017, cash postings for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, mortgage put options, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. 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 have been altered from that of the underlying mortgage collateral. 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. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. |
Repurchase Agreements and Reverse Repurchase Agreements | Repurchase Agreements and Reverse Repurchase Agreements Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet all the criteria for sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements is recorded as interest expense. The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager’s view terminating the outstanding repurchase agreement is not in the Company’s best interest. Cash paid to the borrower is recorded in the Company’s Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties". The Company establishes haircuts to ensure the market value of the underlying asset remains sufficient to protect the Company in the event of default by the counterparty. Realized gains and losses associated with the sale of the security are recognized in "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Cash Flows. |
Securitized Debt | Convertible Senior Unsecured Notes Convertible senior unsecured notes include unsecured convertible debt that is carried at its unpaid principal balance, net of any unamortized deferred issuance costs, in the Company’s Consolidated Balance Sheets. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. ASC 470-20 "Debt-Debt with Conversion and Other Options" requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component will reflect the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the life of the notes. Securitized Debt Securitized debt was issued by consolidating securitization trusts. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt. The debt is recorded at fair value in the Consolidated Balance Sheets with the periodic change in fair value recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net". |
Share-based compensation | Share-based Compensation The Company accounts for share-based compensation to its independent directors, its Manager and to employees of its Manager and its affiliates using the fair value based methodology prescribed by GAAP. Compensation cost related to restricted common stock issued to the Company’s independent directors and any employee of the Company including any such restricted stock which is subject to a deferred compensation program is measured at its fair value at the grant date and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager, including officers and certain directors, of the Company who are employees of the Manager and its affiliates, is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis and re-measured on subsequent dates to the extent the awards are unvested. |
Warrants | Warrants For the Company’s warrants, the Company uses a variation of the adjusted Black-Scholes option valuation model to record the financial instruments at their relative fair values at issuance. The warrants issued with the Company’s common stock in the private placement to certain accredited institutional investors on May 15, 2012, were evaluated by the Company and were recorded at their relative fair value as a component of equity at the date of issuance. |
Income taxes | Income Taxes The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact in the Company’s results of operations and amounts available for distribution to stockholders. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company’s taxable income as opposed to net income reported in the Consolidated Statements of Operations. Taxable income, generally, will differ from net income reported in the Consolidated Statements of Operations because the determination of taxable income is based on tax regulations and not GAAP. From time time to time the Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS is subject to U.S. federal, state and local corporate income taxes, and its value, along with all other TRS's, may not exceed 20% of the value of the Company. If the TRS generates net income it may declare dividends to the Company, which will be included in the Company’s taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2018 , the Company has a single wholly-owned subsidiary which it has elected to treat as a domestic TRS. Current and deferred taxes are recorded on earnings (losses) recognized by the Company's TRS. Deferred income tax assets and liabilities are calculated based upon temporary differences between the Company's U.S. GAAP consolidated financial statements and the federal and state basis of assets and liabilities as of the Consolidated Balance Sheet date. The Company evaluates the realizability of its deferred tax assets and recognizes a valuation allowance if, based on available evidence, it is more likely than not that some or all of its deferred tax assets will not be realized. In evaluating the realizability of the deferred tax asset, the Company will consider the expected future taxable income, existing and projected book to tax differences as well as tax planning strategies. This analysis is inherently subjective, as it is based on forecasted earning and business and economic activity. Changes in estimates of deferred tax asset realizability, if any, are included in "Income tax provision (benefit)" in the Consolidated Statements of Operations. |
Comprehensive Income (Loss) | Comprehensive Income (Loss) The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented. |
Recently adopted 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 the Company's consolidated financial statements. 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 does not believe the adoption of this standard will have a material impact 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 does not believe the adoption of this standard will have a material impact 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 does not believe the adoption of this standard will have a material impact 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. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." This update was issued related to ASU 2016-13 to increase the stakeholders' awareness of the amendments to scope and transition and effective date requirements and to expedite the improvements. 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) | 12 Months Ended |
Dec. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of the entity's financial instruments carried at fair value based upon the balance sheet by the valuation hierarchy | The following tables present the Company's financial instruments carried at fair value as of December 31, 2018 and December 31, 2017 , based upon the valuation hierarchy (dollars in thousands): December 31, 2018 Fair Value Assets Level I Level II Level III Total Agency RMBS Interest-Only Strips $ — $ — $ 12,135 $ 12,135 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 7,702 7,702 Agency CMBS — 1,481,984 — 1,481,984 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 4,158 — 4,158 Subtotal Agency MBS — 1,486,142 19,837 1,505,979 Non-Agency RMBS — — 39,026 39,026 Non-Agency RMBS Interest-Only Strips — — 11,529 11,529 Non-Agency CMBS — 200,301 — 200,301 Subtotal Non-Agency MBS — 200,301 50,555 250,856 Other securities — 50,955 8,951 59,906 Total mortgage-backed securities and other securities — 1,737,398 79,343 1,816,741 Residential Whole Loans — — 1,041,885 1,041,885 Residential Bridge Loans — — 211,999 211,999 Commercial Loans — — 216,123 216,123 Securitized commercial loans — — 1,013,511 1,013,511 Derivative assets — 2,606 — 2,606 Total Assets $ — $ 1,740,004 $ 2,562,861 $ 4,302,865 Liabilities Derivative liabilities $ 4,657 $ 5,473 $ — $ 10,130 Securitized debt — 947,340 2,286 949,626 Total Liabilities $ 4,657 $ 952,813 $ 2,286 $ 959,756 December 31, 2017 Fair Value Assets Level I Level II Level III Total Agency RMBS: 20-Year mortgage $ — $ 53,783 $ — $ 53,783 30-Year mortgage — 241,642 — 241,642 40-Year mortgage — 376,752 — 376,752 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 |
Summary of quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments | The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of December 31, 2018 and December 31, 2017 . Fair Value at Range December 31, 2018 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans 1,041,885 Discounted Cash Flow Yield 3.5 % 7.9 % 5.5 % Weighted Average Life 0.8 10.3 2.8 Residential Bridge Loans 211,999 Discounted Cash Flow Yield 5.6 % 145.3 % 11.3 % Weighted Average Life 0.1 1.6 0.5 Commercial Loans 216,123 Discounted Cash Flow Yield 6.7 % 9.2 % 7.6 % Weighted Average Lie 0.9 2.7 2.1 Spread 4.1 % 6.5 % 5.1 % Fair Value at Range December 31, 2017 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans 237,423 Discounted Cash Flow Yield 3.6 % 6.6 % 5.8 % Weighted Average Life 0.6 6.8 1.5 Residential Bridge Loans 64,526 Discounted Cash Flow Yield 3.8 % 8.8 % 4.3 % Weighted Average Life 0.4 1.6 0.8 |
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: Year ended December 31, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Bridge Loans Commercial Loans Securitized Commercial Loan 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 22,795 39,084 9,708 — — — — — Transfers from Level III into Level II (16,805 ) — (8,697 ) — — — — (10,899 ) Purchases 2,093 8,602 — 860,576 207,705 215,322 1,353,020 — Sales and settlements — (4,180 ) — — — — — 12 Principal repayments (53 ) (307 ) (604 ) (55,186 ) (57,528 ) — (361,782 ) (44 ) Total net gains/losses included in net income Realized gains/(losses), net on assets — 258 — — — — — — Realized gains/(losses), net on liabilities — — — — — — — — Other than temporary impairment (735 ) (918 ) (161 ) — — — — — Unrealized gains/(losses), net on assets (1) (630 ) 1,183 (532 ) (415 ) (1,806 ) 631 (16 ) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 1,996 Premium and discount amortization, net (4,045 ) (1,902 ) (2 ) (513 ) (898 ) 170 (2,587 ) 276 Ending balance $ 19,837 $ 50,555 $ 8,951 $ 1,041,885 $ 211,999 $ 216,123 $ 1,013,511 $ 2,286 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (272 ) $ 1,184 $ (464 ) $ 351 $ (1,370 ) $ 631 $ (16 ) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (1,998 ) Year ended December 31, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Bridge Loans Securitized commercial loan 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 — — 9,470 — — — — — Transfers from Level III into Level II (73,714 ) (7,433 ) (33,080 ) — — — — — Purchases 17,217 8,937 — 86,921 63,969 — — — Sales and settlements — (60,132 ) — — — — — 552 Principal repayments — (378 ) (425 ) (41,312 ) — (154 ) (68 ) — Total net gains / (losses) included in net income Realized gains/(losses), net — 2,623 — — — — — (552 ) Other than temporary impairment — — (1,823 ) — — — — — Unrealized gains/(losses), net on assets (1) 635 (9,415 ) 1,522 724 571 805 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 354 (1,673 ) Premium and discount amortization, net 20 (1,043 ) 2,219 (1,046 ) (14 ) — — — Ending balance $ 17,217 $ 8,735 $ 9,239 $ 237,423 $ 64,526 $ 24,876 $ 10,945 $ — Unrealized gains/(losses), net on assets held at the end of the period (1) $ — $ (16 ) $ 43 $ 1,368 $ 571 $ 805 $ — $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ (354 ) $ — (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 Other Fair Value Disclosures | 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 December 31, 2018 and December 31, 2017 , in the consolidated financial statements (dollars in thousands): Year ended December 31, 2018 December 31, 2017 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 9,720 $ 9,603 $ 42,147 $ 42,881 Total $ 9,720 $ 9,603 $ 42,147 $ 42,881 Liabilities Borrowings under repurchase agreements $ 2,818,837 $ 2,823,615 $ 3,251,686 $ 3,257,956 Convertible senior unsecured notes 110,060 108,531 108,743 114,819 Total $ 2,928,897 $ 2,932,146 $ 3,360,429 $ 3,372,775 |
Mortgage-Backed Securities an_2
Mortgage-Backed Securities and other securities (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2018 and December 31, 2017 (dollars in thousands). December 31, 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 Interest-Only Strips (1) N/A N/A N/A 11,480 1,062 (407 ) 12,135 2.2 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A N/A 7,702 2.9 % Subtotal Agency RMBS — — — 11,480 1,062 (407 ) 19,837 2.5 % Agency CMBS 1,493,675 5,820 — 1,499,495 12,083 (29,594 ) 1,481,984 3.3 % Agency CMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A N/A 4,158 0.4 % Subtotal Agency CMBS 1,493,675 5,820 — 1,499,495 12,083 (29,594 ) 1,486,142 3.0 % Subtotal Agency MBS 1,493,675 5,820 — 1,510,975 13,145 (30,001 ) 1,505,979 2.9 % Non-Agency RMBS 54,887 6,909 (23,731 ) 38,065 961 — 39,026 4.8 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 11,154 382 (7 ) 11,529 0.6 % Subtotal Non-Agency RMBS 54,887 6,909 (23,731 ) 49,219 1,343 (7 ) 50,555 1.0 % Non-Agency CMBS 240,431 (20,317 ) (22,189 ) 197,925 5,021 (2,645 ) 200,301 5.9 % Subtotal Non-Agency MBS 295,318 (13,408 ) (45,920 ) 247,144 6,364 (2,652 ) 250,856 2.4 % Other securities (3) 47,042 (1,129 ) (7,603 ) 55,284 5,012 (390 ) 59,906 9.0 % Total $ 1,836,035 $ (8,717 ) $ (53,523 ) $ 1,813,403 $ 24,521 $ (33,043 ) $ 1,816,741 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 % 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 % 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 % 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 % Subtotal Agency CMBS 2,145,139 2,142 — 2,147,281 16,923 (9,394 ) 2,160,567 2.7 % Subtotal 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 % 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 % Subtotal 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 December 31, 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 $158.8 million , $519.9 million , $89.8 million and $172.2 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 $17.0 million and $22.9 million , as of December 31, 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 table presents 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 years ended December 31, 2018 , December 31, 2017 and December 31, 2016 (dollars in thousands): Year ended December 31, 2018 Year ended December 31, 2017 Year ended December 31, 2016 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Beginning balance $ (72,915 ) $ (68,438 ) $ 20,872 $ (130,484 ) $ (109,822 ) $ 44,527 $ (152,750 ) $ (145,532 ) $ 56,163 Accretion of discount — 7,137 — — 10,715 — — 17,431 — Amortization of premium — — (675 ) — — (843 ) — — (5,470 ) Realized credit losses 5,863 — — 2,391 — — 7,697 — — Purchases (7,182 ) (6,473 ) 435 (19,385 ) (1,205 ) 7,259 (15,792 ) (2,945 ) 5,266 Sales 32,301 40,338 (9,590 ) 89,628 33,166 (31,118 ) 39,117 35,605 (12,156 ) Net impairment losses recognized in earnings (9,733 ) — — (15,310 ) — — (22,413 ) — — Transfers/release of credit reserve (2) (1,857 ) (2,029 ) 3,886 245 (1,292 ) 1,047 13,657 (14,381 ) 724 Ending balance $ (53,523 ) $ (29,465 ) $ 14,928 $ (72,915 ) $ (68,438 ) $ 20,872 $ (130,484 ) $ (109,822 ) $ 44,527 (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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 Interest-Only Strips $ 3,577 $ 2,402 $ 6,156 $ — $ 12,135 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,089 4,053 2,560 — 7,702 Agency CMBS 1,101,820 380,164 — — 1,481,984 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 4,158 — 4,158 Subtotal Agency 1,106,486 386,619 8,716 4,158 1,505,979 Non-Agency RMBS — — 8,540 30,486 39,026 Non-Agency RMBS Interest-Only Strips — — 4,310 7,219 11,529 Non-Agency CMBS 28,754 53,653 72,921 44,973 200,301 Subtotal Non-Agency 28,754 53,653 85,771 82,678 250,856 Other securities 7,698 26,020 — 26,188 59,906 Total $ 1,142,938 $ 466,292 $ 94,487 $ 113,024 $ 1,816,741 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 Interest-Only Strips $ 3,277 $ (124 ) 7 $ 3,917 $ (283 ) 9 $ 7,194 $ (407 ) 16 Agency CMBS 29,413 (307 ) 3 879,549 (29,287 ) 72 908,962 (29,594 ) 75 Subtotal Agency 32,690 (431 ) 10 883,466 (29,570 ) 81 916,156 (30,001 ) 91 Non-Agency RMBS — — — 500 — 1 500 — 1 Non-Agency RMBS Interest-Only Strips 957 (7 ) 2 — — — 957 (7 ) 2 Non-Agency CMBS 65,339 (712 ) 7 19,323 (1,933 ) 3 84,662 (2,645 ) 10 Subtotal Non-Agency 66,296 (719 ) 9 19,823 (1,933 ) 4 86,119 (2,652 ) 13 Other securities 15,208 (390 ) 2 — — — 15,208 (390 ) 2 Total $ 114,194 $ (1,540 ) 21 $ 903,289 $ (31,503 ) 85 $ 1,017,483 $ (33,043 ) 106 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): For the year ended December 31, 2018 For the year ended December 31, 2017 For the year ended December 31, 2016 Agency RMBS $ 807 $ 5,774 $ 6,090 Non-Agency RMBS 996 — 9,511 Non-Agency CMBS 8,660 15,117 13,025 Other securities 717 1,982 3,660 Total $ 11,180 $ 22,873 $ 32,286 |
Summary of the components of interest income on the Company's MBS and other securities | The following table presents components of interest income on the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively: For the year ended December 31, 2018 For the year ended December 31, 2017 For the year ended December 31, 2016 Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 19,507 $ (5,092 ) $ 14,415 $ 38,108 $ (13,058 ) $ 25,050 $ 70,467 $ (24,836 ) $ 45,631 Agency CMBS 60,148 (646 ) 59,502 40,064 507 40,571 2,619 (1,701 ) 918 Non-Agency RMBS 7,120 (1,073 ) 6,047 5,602 525 6,127 35,221 (5,243 ) 29,978 Non-Agency CMBS 20,058 6,366 26,424 19,179 8,276 27,455 24,893 7,431 32,324 Other securities 14,805 (6,371 ) 8,434 8,280 1,559 9,839 2,537 2,977 5,514 Total $ 121,638 $ (6,816 ) $ 114,822 $ 111,233 $ (2,191 ) $ 109,042 $ 135,737 $ (21,372 ) $ 114,365 |
Schedule of sales and realized gains (loss) of the Company's MBS and other securities | The following tables present the sales and realized gains (losses) of the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2018 , December 31, 2017 and December 31, 2016 , respectively: For the year ended December 31, 2018 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS $ 589,854 $ 18 $ (23,997 ) $ (23,979 ) Agency CMBS 1,534,967 — (51,045 ) (51,045 ) Non-Agency RMBS 99,842 7,008 (478 ) 6,530 Non-Agency CMBS 140,292 3,086 (6,201 ) (3,115 ) Other securities 65,099 8,400 — 8,400 Total $ 2,430,054 $ 18,512 $ (81,721 ) $ (63,209 ) For the year ended December 31, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,251,985 $ 5,020 $ (7,936 ) $ (2,916 ) Non-Agency RMBS (2) 243,838 24,356 (2,241 ) 22,115 Non-Agency CMBS 54,875 2,543 (1,803 ) 740 Other securities 38,447 713 (54 ) 659 Total $ 1,589,145 $ 32,632 $ (12,034 ) $ 20,598 (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of approximately $432 thousand . (2) 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 . For the year ended December 31, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,239,350 $ 6,214 $ (25,818 ) $ (19,604 ) Agency CMBS 22,939 54 (66 ) (12 ) Non-Agency RMBS 177,996 6,470 (4,560 ) 1,910 Non-Agency CMBS 50,418 137 (5,810 ) (5,673 ) Other securities 764,711 3,496 (2,108 ) 1,388 Total $ 2,255,414 $ 16,371 $ (38,362 ) $ (21,991 ) (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million , gross realized gains of $1.9 million and gross realized losses of $595 thousand . 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 December 31, 2018 and December 31, 2017 , the Company had seven and three investments in CMBS VIEs, respectively, 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 December 31, 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 the $118.4 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 December 31, 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. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 12 Months Ended |
Dec. 31, 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 and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 2018 December 31, 2017 Cash and cash equivalents $ 674 $ — Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively) 1,041,885 237,423 Residential Bridge Loans ($211,766 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively) 221,486 106,673 Commercial Loan, at fair value 30,000 — Investment related receivable 42,945 7,665 Accrued interest receivable 11,807 3,197 Other assets 178 — Total assets $ 1,348,975 $ 354,958 Accounts payable and accrued expenses 677 188 Other liabilities 225 — Total liabilities $ 902 $ 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 2018 December 31, 2017 Restricted cash $ 55,808 $ — Securitized commercial loans, at fair value 1,013,511 24,876 Commercial Loans, at fair value 166,123 — Interest receivable 3,733 161 Total assets $ 1,239,175 $ 25,037 Securitized debt, at fair value $ 949,626 $ 10,945 Interest payable 2,419 70 Accounts payable and accrued expenses 31 1 Other liabilities 55,808 — Total liabilities $ 1,007,884 $ 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 December 31, 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) December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 Principal balance $ 1,023,524 $ 232,270 $ 212,491 $ 63,802 $ 9,766 $ 42,066 Unamortized premium 17,629 2,021 1,164 293 16 122 Unamortized discount (3,145 ) (1,190 ) (316 ) (128 ) (62 ) (41 ) Amortized cost 1,038,008 233,101 213,339 63,967 9,720 42,147 Gross unrealized gains 7,573 4,463 212 655 N/A N/A Gross unrealized losses (3,696 ) (141 ) (1,552 ) (96 ) N/A N/A Fair value $ 1,041,885 $ 237,423 $ 211,999 $ 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 following tables present certain information about the Company's Residential Whole Loans investment portfolio at December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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% 66 $ 22,046 61.6 % 738 6.5 29.0 3.9 % 4.01 - 5.00% 1,395 490,073 62.3 % 739 3.0 29.0 4.8 % 5.01 - 6.00% 1,283 496,722 62.7 % 727 2.5 28.5 5.4 % 6.01 - 7.00% 37 14,589 59.5 % 731 1.5 24.8 6.2 % 7.01 - 8.00% 1 94 70.0 % 689 1.8 29.1 8.0 % Total 2,782 $ 1,023,524 62.4 % 733 2.8 28.7 5.1 % (1) The original FICO score is not available for 274 loans with a principal balance of approximately $93.2 million at December 31, 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 US states represented in Residential Whole-Loans based on principal balance | The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): December 31, 2018 December 31, 2017 State Concentration Principal Balance State Principal California 67.1 % $ 686,275 California 62.2 % $ 144,321 New York 17.1 % 175,390 New York 24.4 % 56,631 Georgia 2.6 % 26,918 Georgia 4.3 % 10,061 Massachusetts 2.1 % 21,197 Washington 4.0 % 9,244 Florida 1.9 % 19,942 Massachusetts 3.9 % 9,114 Other 9.2 % 93,802 Other 1.2 % 2,899 Total 100.0 % $ 1,023,524 Total 100.0 % $ 232,270 |
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge loans | The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at December 31, 2018 and December 31, 2017 (dollars i`n thousands): December 31, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Coupon 6.01 - 7.00% 8 3,169 60.4 % 1.1 6.7 % 7.01 – 8.00% 95 53,911 73.1 % 6.3 7.8 % 8.01 – 9.00% 180 86,764 72.3 % 5.6 8.7 % 9.01 – 10.00% 143 53,804 74.0 % 4.5 9.7 % 10.01 – 11.00% 43 10,150 72.7 % 4.0 10.7 % 11.01 - 12.00% 28 8,274 69.8 % 4.5 11.4 % 12.01 - 13.00% 11 2,743 75.8 % 5.2 12.8 % 13.01 - 14.00% 1 88 65.0 % 4.0 14.0 % 17.01 – 18.00% 11 3,354 73.7 % 2.3 18.0 % Total 520 $ 222,257 72.7 % 5.3 9.1 % December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Coupon 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 various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): December 31, 2018 December 31, 2017 State Concentration Principal Balance State Concentration Principal Balance California 53.9 % $ 119,761 California 48.2 % $ 51,080 New York 9.5 % 21,160 Florida 13.4 % 14,199 Washington 6.6 % 14,711 Washington 6.3 % 6,645 Florida 5.7 % 12,672 New York 4.4 % 4,703 New Jersey 4.7 % 10,419 Texas 4.4 % 4,660 Other 19.6 % 43,534 Other 23.3 % 24,581 Total 100.0 % $ 222,257 Total 100.0 % $ 105,868 |
Commercial Real Estate Invest_2
Commercial Real Estate Investments (Tables) | 12 Months Ended |
Dec. 31, 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 and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 2018 December 31, 2017 Cash and cash equivalents $ 674 $ — Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively) 1,041,885 237,423 Residential Bridge Loans ($211,766 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively) 221,486 106,673 Commercial Loan, at fair value 30,000 — Investment related receivable 42,945 7,665 Accrued interest receivable 11,807 3,197 Other assets 178 — Total assets $ 1,348,975 $ 354,958 Accounts payable and accrued expenses 677 188 Other liabilities 225 — Total liabilities $ 902 $ 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 2018 December 31, 2017 Restricted cash $ 55,808 $ — Securitized commercial loans, at fair value 1,013,511 24,876 Commercial Loans, at fair value 166,123 — Interest receivable 3,733 161 Total assets $ 1,239,175 $ 25,037 Securitized debt, at fair value $ 949,626 $ 10,945 Interest payable 2,419 70 Accounts payable and accrued expenses 31 1 Other liabilities 55,808 — Total liabilities $ 1,007,884 $ 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 December 31, 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 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 December 31, 2018 December 31, 2017 Principal balance $ 24,456 $ 24,846 $ 988,609 $ — $ 166,432 $ — $ 50,000 $ — Unamortized premium — — 431 — — — — — Unamortized discount — — — — (736 ) — (205 ) — Amortized cost 24,456 24,846 989,040 — 165,696 — 49,795 — Gross unrealized gains — 30 29 — 427 — 205 — Gross unrealized losses (14 ) — — — — — — — Fair value $ 24,442 $ 24,876 $ 989,069 $ — $ 166,123 $ — $ 50,000 $ — |
Financings (Tables)
Financings (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 $ 14,650 3.09 % 21 $ 665,919 1.62 % 61 Agency CMBS 1,392,649 2.71 % 40 2,035,222 1.53 % 53 Non-Agency RMBS 30,922 4.06 % 18 46,530 2.76 % 41 Non-Agency CMBS 134,814 4.05 % 48 154,325 2.98 % 40 Residential Whole Loans (1) 863,356 4.08 % 93 189,270 3.66 % 8 Residential Bridge Loans (1) 204,754 4.50 % 25 100,183 4.05 % 59 Commercial Loans (1) 131,788 4.55 % 26 — — % — Securitized commercial loans (1) 7,543 4.30 % 15 — — % — Other securities 38,361 4.18 % 26 60,237 2.94 % 23 Repurchase agreements borrowings $ 2,818,837 3.45 % 54 $ 3,251,686 1.86 % 51 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. |
Schedule of repurchase agreements collateralized by investments | At December 31, 2018 and December 31, 2017 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2018 December 31, 2017 Overnight $ — $ — 1 to 29 days 1,867,957 1,387,599 30 to 59 days 144,778 665,656 60 to 89 days 555,695 871,819 90 to 119 days — — Greater than or equal to 120 days 250,407 326,612 Total $ 2,818,837 $ 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 December 31, 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): December 31, 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 $ 172,786 28 34.4 % Nomura Securities International, Inc. 81,882 28 16.3 % |
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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 $ 19,837 $ 453 $ 20,290 $ 690,255 $ 2,601 $ 692,856 Agency CMBS, at fair value 1,486,142 4,262 1,490,404 2,143,340 5,454 2,148,794 Non-Agency RMBS, at fair value 50,555 479 51,034 58,127 160 58,287 Non-Agency CMBS, at fair value 186,552 915 187,467 208,062 1,100 209,162 Residential Whole Loans, at fair value (1)(2) 1,041,885 8,145 1,050,030 237,423 1,754 239,177 Residential Bridge Loans (1) 221,486 3,528 225,014 106,673 1,443 108,116 Commercial Loans, at fair value (1) 196,123 1,067 197,190 — — — Securitized commercial loans, at fair value (1) 13,688 88 13,776 — — — Other securities, at fair value 59,780 147 59,927 89,823 105 89,928 Cash (2) 1,226 — 1,226 23,591 — 23,591 Total $ 3,277,274 $ 19,084 $ 3,296,358 $ 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. |
Schedule Of Commercial Mortgage Pass-Through Certificates | The following table summarizes RETL Trust's commercial mortgage pass-through certificates at December 31, 2018 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A $ 369,109 3.6% $ 368,366 2/15/2021 Class B 119,400 4.2% 119,196 2/15/2021 Class C 103,425 4.5% 103,281 2/15/2021 Class D 91,425 5.2% 91,297 2/15/2021 Class E 124,125 7.0% 123,900 2/15/2021 Class F 120,225 8.5% 120,093 2/15/2021 Class G 10,050 10.0% 9,985 2/15/2021 Class HRR 50,850 12.0% 50,198 2/15/2021 Class X-CP (1) N/A 2.6% 468 3/11/2019 Class X-EXT (1) N/A —% 2,286 2/15/2021 $ 988,609 $ 989,070 (1) Class X-CP and Class X-EXT are interest-only classes with a notional balance of $91.4 million each. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Derivative instruments | |
Schedule of interest rate swaps, interest rate swaptions, currency swaps and forwards, futures contracts and TBA derivative instruments, options and linked transactions | The following table summarizes the Company's derivative instruments at December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 $ 1,128,400 $ 2,057 $ — $ — Options, asset Non-Hedge Derivative assets, at fair value — — 320,000 100 Futures contracts, asset Non-Hedge Derivative assets, at fair value — — 480,000 628 Credit default swaps, asset Non-Hedge Derivative assets, at fair value 50,000 549 — — Total derivative instruments, assets 2,606 728 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 2,727,800 (5,473 ) 3,252,200 (4,191 ) Options, liability Non-Hedge Derivative liability, at fair value — — 320,000 (50 ) Futures contracts, liability Non-Hedge Derivative liability, at fair value 300,400 (4,657 ) — — Credit default swaps, liability Non-Hedge Derivative liability, at fair value — — 14,815 (95 ) TBA securities, liability Non-Hedge Derivative liability, at fair value — — 125,000 (10 ) Total derivative instruments, liabilities (10,130 ) (4,346 ) Total derivative instruments, net $ (7,524 ) $ (3,618 ) |
Summary of the effect of interest rate swaps, swaptions, foreign currency swaps, foreign currency forwards, options, futures contracts, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs 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 years ended December 31, 2018 , December 31, 2017 and December 31, 2016 (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 Total Year ended December 31, 2018 Interest rate swaps $ 163 $ 76,979 $ 2,465 $ (5,147 ) $ 3,693 $ 78,153 Interest-Only Strips—accounted for as derivatives — — (3,661 ) (655 ) 4,511 195 Options (871 ) — — 300 — (571 ) Futures contracts 6,112 — — (5,285 ) — 827 Credit default swaps (241 ) — — 396 — 155 TBAs (800 ) — — 10 — (790 ) Total $ 4,363 $ 76,979 $ (1,196 ) $ (10,381 ) $ 8,204 $ 77,969 Year ended December 31, 2017 Interest rate swaps $ (150,607 ) $ 20,258 $ 524 $ 148,947 $ (14,606 ) $ 4,516 Interest rate swaptions (115 ) — — — — (115 ) Interest-Only Strips—accounted for as derivatives 526 — (5,995 ) (902 ) 7,438 1,067 Options (1,453 ) — — (300 ) — (1,753 ) Futures contracts (9,130 ) — — 3,044 — (6,086 ) Foreign currency forwards 32 — — 35 — 67 Total return swap (552 ) — — 1,673 469 1,590 Credit default swaps (11 ) — — (22 ) — (33 ) TBAs 4,049 — — (10 ) — 4,039 Total $ (157,261 ) $ 20,258 $ (5,471 ) $ 152,465 $ (6,699 ) $ 3,292 Year ended December 31, 2016 Interest rate swaps $ (33,999 ) $ — $ 672 $ 11,013 $ (27,903 ) $ (50,217 ) Interest rate swaptions (1,035 ) — — 1,631 — 596 Interest-Only Strips—accounted for as derivatives 1,317 — (11,438 ) (4,726 ) 14,148 (699 ) Options 4,756 — — — — 4,756 Futures contracts 23,609 — — (1,781 ) — 21,828 Foreign currency forwards (66 ) — — (56 ) — (122 ) Foreign currency swaps 6,771 — — (7,168 ) 283 (114 ) Total return swap 38 — — (1,673 ) 1,121 (514 ) TBAs 6,126 — — (2,375 ) — 3,751 Total $ 7,517 $ — $ (10,766 ) $ (5,135 ) $ (12,351 ) $ (20,735 ) |
Summary of long and short TBA positions reported in Derivative assets, at fair value on the Balance Sheets | The following is a summary of the Company's TBA positions as of December 31, 2017 , reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): December 31, 2017 Notional Amount Fair Value Purchase contracts, liability $ 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 years ended December 31, 2018 and December 31, 2017 (dollars in thousands): Notional Amount Settlement, Termination, Notional Amount December 31, 2017 Additions Expiration or Exercise December 31, 2018 Purchase of TBAs $ 125,000 $ 7,725,000 $ (7,850,000 ) $ — Sale of TBAs $ — $ 7,850,000 $ (7,850,000 ) $ — Notional Amount Settlement, Termination, Notional Amount December 31, 2016 Additions Expiration or Exercise 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 | The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 2018 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) 1 year or less $ 400,000 1.5 % 2.8 % 0.5 Greater than 1 year and less than 3 years $ 200,000 1.8 % 2.6 % 1.4 Greater than 3 years and less than 5 years 1,104,700 2.3 % 2.5 % 3.8 Greater than 5 years 1,423,100 2.5 % 2.5 % 9.9 Total $ 3,127,800 2.3 % 2.6 % 6.0 December 31, 2018 Variable Pay Interest Rate Swap Remaining Term Notional Amount Average Variable Pay Rate Average Fixed Receive Rate Average Maturity (Years) Greater than 5 years 728,400 2.5 % 2.4 % 8.3 Total $ 728,400 2.5 % 2.4 % 8.3 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 swaps as of December 31, 2017 . |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Offsetting [Abstract] | |
Schedule of gross and net information about the Company's assets and 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 December 31, 2018 and December 31, 2017 (dollars in thousands): December 31, 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 Description Financial Instruments (1) Cash Collateral (1) Net Amount Derivative Assets Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 11,860 $ — $ 11,860 $ (11,860 ) $ — $ — Derivative asset, at fair value (2) 2,606 — 2,606 (2,057 ) — 549 Total derivative assets $ 14,466 $ — $ 14,466 $ (13,917 ) $ — $ 549 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 10,130 $ — $ 10,130 $ (2,057 ) $ (8,073 ) $ — Repurchase Agreements (4) 2,818,837 — 2,818,837 (2,818,837 ) — — Total derivative liability $ 2,828,967 $ — $ 2,828,967 $ (2,820,894 ) $ (8,073 ) $ — (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, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $38.0 million as of December 31, 2018 . (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $3.3 billion as of December 31, 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 Description Financial Instruments (1) Cash Collateral (1) Net Amount Derivative Assets 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 column of the tables above represents amounts pledged or received as collateral against derivative transactions. (1) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, mortgage put options, currency forwards, credit default swaps, futures contracts and TBAs. (2) Cash collateral pledged against the Company's derivative counterparties was approximately $63.3 million as of December 31, 2017 . (3) The fair 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) | 12 Months Ended |
Dec. 31, 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 December 31, 2018 and December 31, 2017 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2018 December 31, 2017 Vesting Date Shares Vesting Shares Vesting March 2018 — 66,667 June 2018 — 16,488 June 2019 27,476 — 27,476 83,155 |
Schedule of restricted stock activity | The following table presents information with respect to the Company's restricted stock for the years ended December 31, 2018 and December 31, 2017 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2018 December 31, 2017 Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 725,449 $ 17.00 707,861 $ 17.17 Granted (2) 28,524 10.75 17,588 10.30 Outstanding at end of period 753,973 $ 16.77 725,449 $ 17.00 Unvested at end of period 27,476 $ 10.78 83,155 $ 14.07 (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 2,620 shares and 2,052 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the years ended December 31, 2018 and December 31, 2017 , respectively. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 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 December 19, 2018 December 31, 2018 January 25, 2019 $ 0.31 Ordinary income September 17, 2018 September 27, 2018 October 26, 2018 $ 0.31 Ordinary income June 21, 2018 July 2, 2018 July 26, 2018 $ 0.31 Ordinary income March 22, 2018 April 2, 2018 April 26, 2018 $ 0.31 Ordinary income 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 2016 December 22, 2016 January 3, 2017 January 26, 2017 $ 0.31 Ordinary income September 22, 2016 October 4, 2016 October 25, 2016 $ 0.31 Ordinary income June 23, 2016 July 5, 2016 July 26, 2016 $ 0.31 Ordinary income March 24, 2016 April 4, 2016 April 26, 2016 $ 0.45 Ordinary income |
Net Income (Loss) per Common _2
Net Income (Loss) per Common Share (Tables) | 12 Months Ended |
Dec. 31, 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 (loss) per share of common stock using the two-class method for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2018 For the year ended December 31, 2017 For the year ended December 31, 2016 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ 26,409 $ 85,097 $ (25,015 ) Less: Dividends and undistributed earnings allocated to participating securities 138 312 377 Net income (loss) allocable to common stockholders—basic and diluted $ 26,271 $ 84,785 $ (25,392 ) Denominator : Weighted average common shares outstanding for basic earnings per share 43,388,810 41,817,455 41,688,950 Weighted average common shares outstanding for diluted earnings per share 43,388,810 41,817,455 41,688,950 Basic earnings (loss) per common share $ 0.61 $ 2.03 $ (0.61 ) Diluted earnings (loss) per common share $ 0.61 $ 2.03 $ (0.61 ) |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |
Schedule of Components of Income Tax Expense (Benefit) | The following table summarizes the Company's income tax provision for the years ended December 31, 2018 , December 31, 2017 and December 31, 2016 (dollars in thousands): For the year ended December 31, 2018 For the year ended December 31, 2017 For the year ended December 31, 2016 Current Tax Provision (Benefit) Federal $ 709 $ 4,076 $ 2,365 State — (267 ) 672 Interest and Penalties — — 119 Total Current Provision for Income Taxes, net 709 3,809 3,156 Deferred Provision (Benefit) for Income Taxes Federal — 85 — State — (407 ) — Total Deferred Benefit for Income Taxes, net — (322 ) — Total Income Tax Provision, net $ 709 $ 3,487 $ 3,156 |
Schedule of Deferred Tax Assets and Liabilities | The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2018 and 2017 (dollars in thousands): Deferred Tax Asset December 31, 2018 December 31, 2017 Net operating loss available for carry-back and carry-forward $ 6,503 $ 9,604 Net capital loss carry-forward 4,271 4,158 Investments 1,720 1,948 Deferred tax asset 12,494 15,710 Allowance (12,087 ) (15,303 ) Net deferred tax asset $ 407 $ 407 |
Summary of Operating Loss Carryforwards | Deferred Tax Liability December 31, 2018 December 31, 2017 Net operating loss available for carry-back and carry-forward $ 85 $ 85 Net deferred tax liability $ 85 $ 85 |
Schedule of Effective Income Tax Rate Reconciliation | T he Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows: For the year ended December 31, 2018 For the year ended December 31, 2017 Federal statutory rate 21.0 % 34.3 % State statutory rate, net of federal benefit 1.5 % (1.3 )% Other (0.8 )% (1.0 )% Change in valuation allowance (1.3 )% 0.8 % Effect of statutory rate changes — % 2.9 % REIT earnings not subject to corporate taxes (17.8 )% (31.8 )% Effective Tax Rate 2.6 % 3.9 % |
Summarized Quarterly Results _2
Summarized Quarterly Results (unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2018 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of presentation of selected unaudited results of operations | The following is a presentation of selected unaudited results of operations: Quarter Ended March 31, 2018 June 30, 2018 September 30, 2018 December 31, 2018 Net Interest Income Interest income $ 39,727 $ 57,154 $ 54,461 $ 58,020 Interest expense 20,697 38,134 38,517 40,892 Net Interest Income 19,030 19,020 15,944 17,128 Other Income (Loss) Realized gain (loss) on sale of investments, net 575 (5,608 ) (24,229 ) (33,995 ) Other than temporary impairment (2,916 ) (2,974 ) (2,533 ) (2,757 ) Unrealized gain (loss), net (68,961 ) (31,693 ) 13,128 62,855 Gain (loss) on derivative instruments, net 79,582 28,490 24,625 (54,728 ) Other, net 47 (145 ) (2 ) (89 ) Other Income (Loss) 8,327 (11,930 ) 10,989 (28,714 ) Expenses Management fee to affiliate 2,180 2,259 2,284 1,950 Other operating expenses 969 1,555 1,609 1,943 General and administrative expenses: Compensation expense 510 572 552 552 Professional fees 1,295 818 1,065 1,121 Other general and administrative expenses 361 397 335 349 Total general and administrative expenses 2,166 1,787 1,952 2,022 Total Expenses 5,315 5,601 5,845 5,915 Income (loss) before income taxes 22,042 1,489 21,088 (17,501 ) Income tax provision (benefit) 313 36 206 154 Net income (loss) $ 21,729 $ 1,453 $ 20,882 $ (17,655 ) Net income (loss) per Common Share—Basic $ 0.52 $ 0.03 $ 0.50 $ (0.37 ) Net income (loss) per Common Share—Diluted $ 0.52 $ 0.03 $ 0.50 $ (0.37 ) Quarter Ended March 31, 2017 June 30, 2017 September 30, 2017 December 31, 2017 Net Interest Income: Interest income $ 28,430 $ 30,055 $ 30,928 $ 34,878 Interest expense 8,737 10,407 12,363 16,866 Net Interest Income 19,693 19,648 18,565 18,012 Other Income (Loss): Realized gain (loss) on sale of investments, net 21,258 (2,488 ) 1,830 (2 ) Other than temporary impairment (6,097 ) (6,579 ) (7,225 ) (2,972 ) Unrealized gain (loss), net (5,140 ) 35,017 5,249 (6,730 ) Gain (loss) on derivative instruments, net (4,697 ) (18,555 ) 7,217 19,327 Other, net 403 222 216 190 Other Income (Loss) 5,727 7,617 7,287 9,813 Expenses: Management fee to affiliate 2,476 1,830 1,853 1,941 Other operating expenses 417 736 702 564 General and administrative expenses: Compensation expense 740 664 660 628 Professional fees 888 832 781 741 Other general and administrative expenses 345 404 244 332 Total general and administrative expenses 1,973 1,900 1,685 1,701 Total Expenses 4,866 4,466 4,240 4,206 Income (loss) before income taxes 20,554 22,799 21,612 23,619 Income tax provision (benefit) 312 2,115 (1,155 ) 2,215 Net income (loss) $ 20,242 $ 20,684 $ 22,767 $ 21,404 Net income (loss) per Common Share—Basic $ 0.48 $ 0.49 $ 0.54 $ 0.51 Net income (loss) per Common Share—Diluted $ 0.48 $ 0.49 $ 0.54 $ 0.51 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Fair Value of Financial Instruments | |||||||||||
Derivative credit risk valuation adjustment, derivative assets | $ 0 | $ 0 | |||||||||
Assets | |||||||||||
Derivative assets | $ 2,606 | 728 | $ 2,606 | 728 | |||||||
Liabilities | |||||||||||
Derivative liabilities | 10,130 | 4,346 | 10,130 | 4,346 | |||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Other than temporary impairment | 2,757 | $ 2,533 | $ 2,974 | $ 2,916 | 2,972 | $ 7,225 | $ 6,579 | $ 6,097 | 11,180 | 22,873 | $ 32,286 |
Other than temporary impairment | (22,873) | (32,286) | |||||||||
Premium and discount amortization, net | (5,374) | 2,070 | 548 | ||||||||
Unrealized gains/(losses), net on assets held at the end of the period | 62,855 | $ 13,128 | $ (31,693) | (68,961) | |||||||
Unrealized gains/(losses), net on assets held at the end of the period | (6,730) | $ 5,249 | $ 35,017 | (5,140) | |||||||
Residential Whole-Loans | |||||||||||
Assets | |||||||||||
Fair value | 1,041,885 | 237,423 | 1,041,885 | 237,423 | |||||||
Agency RMBS Interest Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 12,135 | 15,437 | 12,135 | 15,437 | |||||||
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 7,702 | 10,419 | 7,702 | 10,419 | |||||||
Agency CMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 1,481,984 | 2,154,800 | 1,481,984 | 2,154,800 | |||||||
Investments 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 | (646) | 507 | (1,701) | ||||||||
Agency CMBS Interest-Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 10 | 10 | |||||||||
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 4,158 | 5,757 | 4,158 | 5,757 | |||||||
Agency MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 1,505,979 | 2,858,600 | 1,505,979 | 2,858,600 | |||||||
Non-Agency MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 250,856 | 378,158 | 250,856 | 378,158 | |||||||
Non-Agency RMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 39,026 | 90,832 | 39,026 | 90,832 | |||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Other than temporary impairment | 996 | ||||||||||
Other than temporary impairment | 0 | (9,511) | |||||||||
Premium and discount amortization, net | (1,073) | 525 | (5,243) | ||||||||
Non-Agency RMBS Interest-Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 11,529 | 8,722 | 11,529 | 8,722 | |||||||
Non-Agency CMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 200,301 | 278,604 | 200,301 | 278,604 | |||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Other than temporary impairment | 8,660 | ||||||||||
Other than temporary impairment | (15,117) | (13,025) | |||||||||
Premium and discount amortization, net | 6,366 | 8,276 | 7,431 | ||||||||
Subtotal Non-Agency MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 250,856 | 378,158 | 250,856 | 378,158 | |||||||
Other securities | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 59,906 | 122,065 | 59,906 | 122,065 | |||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Other than temporary impairment | 717 | ||||||||||
Other than temporary impairment | (1,982) | (3,660) | |||||||||
Premium and discount amortization, net | (6,371) | 1,559 | 2,977 | ||||||||
Mortgage-backed securities and other securities | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 1,816,741 | 3,358,823 | 1,816,741 | 3,358,823 | |||||||
Investments 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 | (6,816) | (2,191) | (21,372) | ||||||||
Level I | |||||||||||
Assets | |||||||||||
Derivative assets | 0 | 728 | 0 | 728 | |||||||
Total | 0 | 728 | 0 | 728 | |||||||
Liabilities | |||||||||||
Derivative liabilities | 4,657 | 50 | 4,657 | 50 | |||||||
Securitized debt | 0 | 0 | |||||||||
Total Liabilities | 4,657 | 50 | 4,657 | 50 | |||||||
Level II | |||||||||||
Assets | |||||||||||
Derivative assets | 2,606 | 0 | 2,606 | 0 | |||||||
Total | 1,740,004 | 3,323,632 | 1,740,004 | 3,323,632 | |||||||
Liabilities | |||||||||||
Derivative liabilities | 5,473 | 4,296 | 5,473 | 4,296 | |||||||
Securitized debt | 947,340 | 947,340 | |||||||||
Total Liabilities | 952,813 | 4,296 | 952,813 | 4,296 | |||||||
Level II | 20 Year Mortgage | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 53,783 | 53,783 | |||||||||
Level II | 30 Year Mortgage | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 241,642 | 241,642 | |||||||||
Level II | 40 Years Mortgage | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 376,752 | 376,752 | |||||||||
Level II | Agency RMBS Interest Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 0 | 15,437 | 0 | 15,437 | |||||||
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 0 | 10,419 | 0 | 10,419 | |||||||
Level II | Agency CMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 1,481,984 | 2,137,583 | 1,481,984 | 2,137,583 | |||||||
Level II | Agency CMBS Interest-Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 10 | 10 | |||||||||
Level II | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 4,158 | 5,757 | 4,158 | 5,757 | |||||||
Level II | Agency MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 1,486,142 | 2,841,383 | 1,486,142 | 2,841,383 | |||||||
Level II | Non-Agency RMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 0 | 90,819 | 0 | 90,819 | |||||||
Level II | Non-Agency RMBS Interest-Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 0 | 0 | |||||||||
Level II | Non-Agency CMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 200,301 | 278,604 | 200,301 | 278,604 | |||||||
Level II | Subtotal Non-Agency MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 200,301 | 369,423 | 200,301 | 369,423 | |||||||
Level II | Other securities | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 50,955 | 112,826 | 50,955 | 112,826 | |||||||
Level II | Mortgage-backed securities and other securities | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 1,737,398 | 3,323,632 | 1,737,398 | 3,323,632 | |||||||
Level III | |||||||||||
Assets | |||||||||||
Derivative assets | 0 | 0 | 0 | 0 | |||||||
Total | 2,562,861 | 362,016 | 2,562,861 | 362,016 | |||||||
Liabilities | |||||||||||
Derivative liabilities | 0 | 0 | 0 | 0 | |||||||
Securitized debt | 2,286 | 10,945 | 2,286 | 10,945 | |||||||
Total Liabilities | 2,286 | 10,945 | 2,286 | 10,945 | |||||||
Level III | Residential Whole-Loans | |||||||||||
Assets | |||||||||||
Fair value | 1,041,885 | 237,423 | 1,041,885 | 237,423 | |||||||
Level III | Residential Bridge Loans | |||||||||||
Assets | |||||||||||
Fair value | 211,999 | 64,526 | 211,999 | 64,526 | |||||||
Level III | Commercial Loans | |||||||||||
Assets | |||||||||||
Fair value | 216,123 | 216,123 | |||||||||
Level III | Securitized commercial loan | |||||||||||
Assets | |||||||||||
Fair value | 1,013,511 | 24,876 | 1,013,511 | 24,876 | |||||||
Level III | Agency RMBS Interest Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 12,135 | 12,135 | |||||||||
Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 7,702 | 7,702 | |||||||||
Level III | Agency CMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 0 | 17,217 | 0 | 17,217 | |||||||
Level III | Agency MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 19,837 | 17,217 | 19,837 | 17,217 | |||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Beginning balance | 17,217 | 17,217 | |||||||||
Ending balance | 19,837 | 17,217 | 19,837 | 17,217 | |||||||
Level III | Non-Agency MBS | |||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Beginning balance | 8,735 | 75,576 | 8,735 | 75,576 | |||||||
Ending balance | 50,555 | 8,735 | 50,555 | 8,735 | 75,576 | ||||||
Level III | Non-Agency RMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 39,026 | 13 | 39,026 | 13 | |||||||
Level III | Non-Agency RMBS Interest-Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 11,529 | 8,722 | 11,529 | 8,722 | |||||||
Level III | Non-Agency CMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 0 | 0 | 0 | 0 | |||||||
Level III | Subtotal Non-Agency MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 50,555 | 8,735 | 50,555 | 8,735 | |||||||
Level III | Other securities | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 8,951 | 9,239 | 8,951 | 9,239 | |||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Beginning balance | 9,239 | 31,356 | 9,239 | 31,356 | |||||||
Ending balance | 8,951 | 9,239 | 8,951 | 9,239 | 31,356 | ||||||
Level III | Mortgage-backed securities and other securities | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 79,343 | 35,191 | 79,343 | 35,191 | |||||||
Level III | Recurring basis | Securitized debt | |||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Beginning balance | 10,945 | 10,659 | 10,945 | 10,659 | |||||||
Principal repayments | (44) | (68) | |||||||||
Unrealized gains (losses), net | 1,996 | 354 | |||||||||
Premium and discount amortization, net | 276 | ||||||||||
Ending balance | 2,286 | 10,945 | 2,286 | 10,945 | 10,659 | ||||||
Unrealized gains/(losses), net on assets held at the end of the period | (1,998) | ||||||||||
Unrealized gains/(losses), net on assets held at the end of the period | (354) | ||||||||||
Level III | Recurring basis | Derivative Liability | |||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Beginning balance | 0 | 1,673 | 0 | 1,673 | |||||||
Sales and settlements | 552 | ||||||||||
Realized gains/(losses), net | (552) | ||||||||||
Unrealized gains (losses), net | (1,673) | ||||||||||
Ending balance | 0 | 0 | 1,673 | ||||||||
Level III | Recurring basis | Residential Whole-Loans | |||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Beginning balance | 237,423 | 192,136 | 237,423 | 192,136 | |||||||
Purchases | 860,576 | 86,921 | |||||||||
Principal repayments | (55,186) | (41,312) | |||||||||
Unrealized gains/(losses), net | (415) | 724 | |||||||||
Premium and discount amortization, net | (513) | (1,046) | |||||||||
Ending balance | 1,041,885 | 237,423 | 1,041,885 | 237,423 | 192,136 | ||||||
Unrealized gains/(losses), net on assets held at the end of the period | 351 | ||||||||||
Level III | Recurring basis | Residential Bridge Loans | |||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Beginning balance | 64,526 | 0 | 64,526 | 0 | |||||||
Purchases | 207,705 | 63,969 | |||||||||
Principal repayments | (57,528) | ||||||||||
Unrealized gains/(losses), net | (1,806) | 571 | |||||||||
Premium and discount amortization, net | (898) | (14) | |||||||||
Ending balance | 211,999 | 64,526 | 211,999 | 64,526 | 0 | ||||||
Unrealized gains/(losses), net on assets held at the end of the period | (1,370) | ||||||||||
Level III | Recurring basis | Commercial Loans | |||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Purchases | 215,322 | ||||||||||
Unrealized gains/(losses), net | 631 | ||||||||||
Premium and discount amortization, net | 170 | ||||||||||
Ending balance | 216,123 | 216,123 | |||||||||
Unrealized gains/(losses), net on assets held at the end of the period | 631 | ||||||||||
Level III | Recurring basis | Securitized commercial loan | |||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Beginning balance | 24,876 | 24,225 | 24,876 | 24,225 | |||||||
Purchases | 1,353,020 | ||||||||||
Principal repayments | (361,782) | (154) | |||||||||
Unrealized gains/(losses), net | (16) | 805 | |||||||||
Premium and discount amortization, net | (2,587) | ||||||||||
Ending balance | 1,013,511 | 24,876 | 1,013,511 | 24,876 | 24,225 | ||||||
Level III | Recurring basis | Agency MBS | |||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Beginning balance | $ 17,217 | $ 73,059 | 17,217 | 73,059 | |||||||
Transfers into Level III from Level II | 22,795 | ||||||||||
Transfers out level III into Level II | (16,805) | (73,714) | |||||||||
Purchases | 2,093 | 17,217 | |||||||||
Sales and settlements | 0 | ||||||||||
Principal repayments | (53) | 0 | |||||||||
Realized gains/(losses), net | 0 | ||||||||||
Other than temporary impairment | 735 | ||||||||||
Unrealized gains/(losses), net | (630) | 635 | |||||||||
Premium and discount amortization, net | (4,045) | 20 | |||||||||
Ending balance | 17,217 | 17,217 | $ 73,059 | ||||||||
Unrealized gains/(losses), net on assets held at the end of the period | (272) | ||||||||||
Level III | Recurring basis | Non-Agency MBS | |||||||||||
Investments 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 | 39,084 | ||||||||||
Transfers out level III into Level II | 0 | (7,433) | |||||||||
Purchases | 8,602 | 8,937 | |||||||||
Sales and settlements | (4,180) | (60,132) | |||||||||
Principal repayments | (307) | (378) | |||||||||
Realized gains/(losses), net | 258 | 2,623 | |||||||||
Other than temporary impairment | 918 | ||||||||||
Other than temporary impairment | 0 | ||||||||||
Unrealized gains/(losses), net | 1,183 | (9,415) | |||||||||
Premium and discount amortization, net | (1,902) | (1,043) | |||||||||
Unrealized gains/(losses), net on assets held at the end of the period | 1,184 | ||||||||||
Level III | Recurring basis | Other securities | |||||||||||
Investments 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 | |||||||||
Transfers out level III into Level II | (8,697) | (33,080) | |||||||||
Sales and settlements | 0 | ||||||||||
Principal repayments | (604) | (425) | |||||||||
Realized gains/(losses), net | 0 | ||||||||||
Other than temporary impairment | 161 | ||||||||||
Other than temporary impairment | 1,823 | ||||||||||
Unrealized gains/(losses), net | (532) | 1,522 | |||||||||
Premium and discount amortization, net | (2) | 2,219 | |||||||||
Unrealized gains/(losses), net on assets held at the end of the period | (464) | ||||||||||
Level III | Recurring basis | Securitized debt | |||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||||||||
Transfers out level III into Level II | (10,899) | ||||||||||
Sales and settlements | 12 | ||||||||||
Level III | Recurring basis | Assets | Residential Whole-Loans | |||||||||||
Investments 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 assets held at the end of the period | 1,368 | ||||||||||
Level III | Recurring basis | Assets | Residential Bridge Loans | |||||||||||
Investments 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 assets held at the end of the period | 571 | ||||||||||
Level III | Recurring basis | Assets | Securitized commercial loan | |||||||||||
Investments 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 assets held at the end of the period | (16) | ||||||||||
Unrealized gains/(losses), net on assets held at the end of the period | 805 | ||||||||||
Level III | Recurring basis | Assets | Non-Agency MBS | |||||||||||
Investments 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 assets held at the end of the period | (16) | ||||||||||
Level III | Recurring basis | Assets | Other securities | |||||||||||
Investments 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 assets held at the end of the period | 43 | ||||||||||
Estimated Fair Value | |||||||||||
Assets | |||||||||||
Derivative assets | 2,606 | 728 | 2,606 | 728 | |||||||
Total | 4,302,865 | 3,686,376 | 4,302,865 | 3,686,376 | |||||||
Liabilities | |||||||||||
Derivative liabilities | 10,130 | 4,346 | 10,130 | 4,346 | |||||||
Securitized debt | 949,626 | 10,945 | 949,626 | 10,945 | |||||||
Total Liabilities | 959,756 | 15,291 | 959,756 | 15,291 | |||||||
Estimated Fair Value | Residential Whole-Loans | |||||||||||
Assets | |||||||||||
Fair value | 1,041,885 | 237,423 | 1,041,885 | 237,423 | |||||||
Estimated Fair Value | Residential Bridge Loans | |||||||||||
Assets | |||||||||||
Fair value | 211,999 | 64,526 | 211,999 | 64,526 | |||||||
Estimated Fair Value | Commercial Loans | |||||||||||
Assets | |||||||||||
Fair value | 216,123 | 216,123 | |||||||||
Estimated Fair Value | Securitized commercial loan | |||||||||||
Assets | |||||||||||
Fair value | 1,013,511 | 24,876 | 1,013,511 | 24,876 | |||||||
Estimated Fair Value | 20 Year Mortgage | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 53,783 | 53,783 | |||||||||
Estimated Fair Value | 30 Year Mortgage | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 241,642 | 241,642 | |||||||||
Estimated Fair Value | 40 Years Mortgage | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 376,752 | 376,752 | |||||||||
Estimated Fair Value | Agency RMBS Interest Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 12,135 | 15,437 | 12,135 | 15,437 | |||||||
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 7,702 | 10,419 | 7,702 | 10,419 | |||||||
Estimated Fair Value | Agency CMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 1,481,984 | 2,154,800 | 1,481,984 | 2,154,800 | |||||||
Estimated Fair Value | Agency CMBS Interest-Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 10 | 10 | |||||||||
Estimated Fair Value | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 4,158 | 5,757 | 4,158 | 5,757 | |||||||
Estimated Fair Value | Agency MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 1,505,979 | 2,858,600 | 1,505,979 | 2,858,600 | |||||||
Estimated Fair Value | Non-Agency RMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 39,026 | 90,832 | 39,026 | 90,832 | |||||||
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 11,529 | 8,722 | 11,529 | 8,722 | |||||||
Estimated Fair Value | Non-Agency CMBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 200,301 | 278,604 | 200,301 | 278,604 | |||||||
Estimated Fair Value | Subtotal Non-Agency MBS | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 250,856 | 378,158 | 250,856 | 378,158 | |||||||
Estimated Fair Value | Other securities | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 59,906 | 122,065 | 59,906 | 122,065 | |||||||
Estimated Fair Value | Mortgage-backed securities and other securities | |||||||||||
Assets | |||||||||||
Estimated Fair Value | 1,816,741 | 3,358,823 | 1,816,741 | 3,358,823 | |||||||
Estimated Fair Value | Recurring basis | |||||||||||
Liabilities | |||||||||||
Total Liabilities | $ 2,932,146 | $ 3,372,775 | $ 2,932,146 | $ 3,372,775 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total | $ 959,756 | $ 15,291 |
Recurring basis | Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage Loans on Real Estate, Carrying Amount of Mortgages | 9,720 | 42,147 |
Borrowings under repurchase agreements | 2,818,837 | 3,251,686 |
Convertible senior unsecured notes | 110,060 | 108,743 |
Total | 2,928,897 | 3,360,429 |
Recurring basis | Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage Loans on Real Estate, Carrying Amount of Mortgages | 9,603 | 42,881 |
Borrowings under repurchase agreements | 2,823,615 | 3,257,956 |
Convertible senior unsecured notes | 108,531 | 114,819 |
Total | 2,932,146 | 3,372,775 |
Recurring basis | Residential Bridge Loans | Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage Loans on Real Estate, Carrying Amount of Mortgages | 9,720 | 42,147 |
Recurring basis | Residential Bridge Loans | Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage Loans on Real Estate, Carrying Amount of Mortgages | $ 9,603 | $ 42,881 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Summary of quantitative information (Details) $ in Thousands | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) |
Residential Whole-Loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 1,041,885 | $ 237,423 |
Residential Whole-Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 1,041,885 | $ 237,423 |
Residential Whole-Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.035 | 0.036 |
Residential Whole-Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.079 | 0.066 |
Residential Whole-Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.055 | 0.058 |
Residential Whole-Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 9 months 1 day | 7 months 1 day |
Residential Whole-Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 10 years 3 months 1 day | 6 years 9 months 1 day |
Residential Whole-Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 9 months 18 days | 1 year 6 months 1 day |
Residential Bridge Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 211,999 | $ 64,526 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.056 | 0.038 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.453 | 0.088 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.113 | 0.043 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 month 1 day | 5 months 1 day |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 7 months 1 day | 1 year 7 months 1 day |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 6 months 1 day | 9 months 1 day |
Commercial Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 216,123 | |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.067 | |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.092 | |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.076 | |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 11 months 1 day | |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 8 months 1 day | |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 1 month 1 day | |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Basis Spread | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0414 | |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Basis Spread | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0650 | |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Basis Spread | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0505 |
Mortgage-Backed Securities an_3
Mortgage-Backed Securities and other securities - Company's investment portfolio (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 641,044 | |
Unamortized Premium (Discount), net | 28,876 | |
Amortized Cost | 669,920 | |
Unrealized Gain | 4,571 | |
Unrealized Loss | $ (2,314) | |
Net Weighted Average Coupon (as a percent) | 3.90% | |
Mortgage-backed securities and other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 1,836,035 | $ 3,371,419 |
Unamortized Premium (Discount), net | (8,717) | (16,548) |
Discount Designated as Credit Reserve and OTTI | (53,523) | (72,915) |
Amortized Cost | 3,328,334 | |
Amortized Cost | 1,813,403 | |
Unrealized Gain | 24,521 | |
Unrealized Gain | 41,708 | |
Unrealized Loss | 33,043 | |
Unrealized Loss | (27,395) | |
Estimated Fair Value | $ 1,816,741 | $ 3,358,823 |
Net Weighted Average Coupon (as a percent) | 2.90% | 3.10% |
Weighted average expected remaining term to the expected maturity of investment portfolio | 8 years 6 months | 8 years 7 months 6 days |
Agency RMBS Interest Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 14,750 | |
Amortized Cost | $ 11,480 | |
Unrealized Gain | 1,062 | |
Unrealized Gain | 878 | |
Unrealized Loss | 407 | |
Unrealized Loss | (191) | |
Estimated Fair Value | $ 12,135 | $ 15,437 |
Net Weighted Average Coupon (as a percent) | 2.20% | 2.90% |
Notional balance | $ 158,800 | $ 165,500 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 7,702 | $ 10,419 |
Net Weighted Average Coupon (as a percent) | 2.90% | 2.90% |
Notional balance | $ 89,800 | $ 122,000 |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 641,044 | |
Unamortized Premium (Discount), net | 28,876 | |
Amortized Cost | 684,670 | |
Amortized Cost | 11,480 | |
Unrealized Gain | 1,062 | |
Unrealized Gain | 5,449 | |
Unrealized Loss | 407 | |
Unrealized Loss | (2,505) | |
Estimated Fair Value | $ 19,837 | $ 672,177 |
Net Weighted Average Coupon (as a percent) | 2.50% | 3.60% |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 1,493,675 | $ 2,145,139 |
Unamortized Premium (Discount), net | 5,820 | 2,142 |
Amortized Cost | 2,147,281 | |
Amortized Cost | 1,499,495 | |
Unrealized Gain | 12,083 | |
Unrealized Gain | 16,913 | |
Unrealized Loss | 29,594 | |
Unrealized Loss | (9,394) | |
Estimated Fair Value | $ 1,481,984 | $ 2,154,800 |
Net Weighted Average Coupon (as a percent) | 3.30% | 2.90% |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 4,158 | $ 5,757 |
Net Weighted Average Coupon (as a percent) | 0.40% | 0.50% |
Notional balance | $ 172,200 | $ 192,500 |
Subtotal Commercial Mortgage Backed Securities Issued By US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 1,493,675 | 2,145,139 |
Unamortized Premium (Discount), net | 5,820 | 2,142 |
Amortized Cost | 2,147,281 | |
Amortized Cost | 1,499,495 | |
Unrealized Gain | 12,083 | |
Unrealized Gain | 16,923 | |
Unrealized Loss | 29,594 | |
Unrealized Loss | $ (9,394) | |
Estimated Fair Value | $ 1,486,142 | |
Net Weighted Average Coupon (as a percent) | 3.00% | 2.70% |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 1,493,675 | $ 2,786,183 |
Unamortized Premium (Discount), net | 5,820 | 31,018 |
Amortized Cost | 2,831,951 | |
Amortized Cost | 1,510,975 | |
Unrealized Gain | 13,145 | |
Unrealized Gain | 22,372 | |
Unrealized Loss | 30,001 | |
Unrealized Loss | (11,899) | |
Estimated Fair Value | $ 1,505,979 | $ 2,858,600 |
Net Weighted Average Coupon (as a percent) | 2.90% | 3.00% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 54,887 | $ 119,748 |
Unamortized Premium (Discount), net | 6,909 | 5,263 |
Discount Designated as Credit Reserve and OTTI | (23,731) | (39,491) |
Amortized Cost | 85,520 | |
Amortized Cost | 38,065 | |
Unrealized Gain | 961 | |
Unrealized Gain | 5,473 | |
Unrealized Loss | 0 | |
Unrealized Loss | (161) | |
Estimated Fair Value | $ 39,026 | $ 90,832 |
Net Weighted Average Coupon (as a percent) | 4.80% | 3.80% |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 8,738 | |
Amortized Cost | $ 11,154 | |
Unrealized Gain | 382 | |
Unrealized Gain | 0 | |
Unrealized Loss | 7 | |
Unrealized Loss | (16) | |
Estimated Fair Value | $ 11,529 | $ 8,722 |
Net Weighted Average Coupon (as a percent) | 0.60% | 0.90% |
Notional balance | $ 519,900 | $ 278,400 |
Subtotal Non-Agency Residential Mortgage Backed Securities Issued By Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 54,887 | 119,748 |
Unamortized Premium (Discount), net | 6,909 | 5,263 |
Discount Designated as Credit Reserve and OTTI | (23,731) | (39,491) |
Amortized Cost | 94,258 | |
Amortized Cost | 49,219 | |
Unrealized Gain | 1,343 | |
Unrealized Gain | 5,473 | |
Unrealized Loss | 7 | |
Unrealized Loss | $ (177) | |
Estimated Fair Value | $ 50,555 | |
Net Weighted Average Coupon (as a percent) | 1.00% | 1.80% |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 240,431 | $ 379,183 |
Unamortized Premium (Discount), net | (20,317) | (59,129) |
Discount Designated as Credit Reserve and OTTI | (22,189) | (28,020) |
Amortized Cost | 292,034 | |
Amortized Cost | 197,925 | |
Unrealized Gain | 5,021 | |
Unrealized Gain | 1,702 | |
Unrealized Loss | 2,645 | |
Unrealized Loss | (15,132) | |
Estimated Fair Value | $ 200,301 | $ 278,604 |
Net Weighted Average Coupon (as a percent) | 5.90% | 4.80% |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 295,318 | $ 498,931 |
Unamortized Premium (Discount), net | (13,408) | (53,866) |
Discount Designated as Credit Reserve and OTTI | (45,920) | (67,511) |
Amortized Cost | 386,292 | |
Amortized Cost | 247,144 | |
Unrealized Gain | 6,364 | |
Unrealized Gain | 7,175 | |
Unrealized Loss | 2,652 | |
Unrealized Loss | (15,309) | |
Estimated Fair Value | $ 250,856 | $ 378,158 |
Net Weighted Average Coupon (as a percent) | 2.40% | 3.30% |
Agency CMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 0 | |
Unrealized Gain | 10 | |
Estimated Fair Value | $ 10 | |
Net Weighted Average Coupon (as a percent) | 3.20% | |
Notional balance | $ 3,300 | |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 47,042 | 86,305 |
Unamortized Premium (Discount), net | (1,129) | 6,300 |
Discount Designated as Credit Reserve and OTTI | (7,603) | (5,404) |
Amortized Cost | 110,091 | |
Amortized Cost | 55,284 | |
Unrealized Gain | 5,012 | |
Unrealized Gain | 12,161 | |
Unrealized Loss | 390 | |
Unrealized Loss | (187) | |
Estimated Fair Value | $ 59,906 | $ 122,065 |
Net Weighted Average Coupon (as a percent) | 9.00% | 7.80% |
Residual interests in asset-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 0 | |
Amortized Cost | 22,900 | |
Amortized Cost | $ 17,000 | |
Estimated Fair Value | Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 672,177 | |
Estimated Fair Value | Mortgage-backed securities and other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,816,741 | 3,358,823 |
Estimated Fair Value | Agency RMBS Interest Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 12,135 | 15,437 |
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 7,702 | 10,419 |
Estimated Fair Value | Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 698,033 | |
Estimated Fair Value | Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,481,984 | 2,154,800 |
Estimated Fair Value | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 4,158 | 5,757 |
Estimated Fair Value | Subtotal Commercial Mortgage Backed Securities Issued By US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 2,160,567 | |
Estimated Fair Value | Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,505,979 | 2,858,600 |
Estimated Fair Value | Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 39,026 | 90,832 |
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 11,529 | 8,722 |
Estimated Fair Value | Subtotal Non-Agency Residential Mortgage Backed Securities Issued By Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 99,554 | |
Estimated Fair Value | Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 200,301 | 278,604 |
Estimated Fair Value | Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 250,856 | 378,158 |
Estimated Fair Value | Agency CMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 10 | |
Estimated Fair Value | Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 59,906 | $ 122,065 |
Mortgage-Backed Securities an_4
Mortgage-Backed Securities and other securities - Changes in the components of purchase discount and amortizable premium (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Discount Designated as Credit Reserve and OTTI | |||||||||||
Other than temporary impairment | $ (2,757) | $ (2,533) | $ (2,974) | $ (2,916) | $ (2,972) | $ (7,225) | $ (6,579) | $ (6,097) | $ (11,180) | $ (22,873) | $ (32,286) |
Other than temporary impairment | (22,873) | (32,286) | |||||||||
Non-Agency RMBS and Non-Agency CMBS and other securities | |||||||||||
Discount Designated as Credit Reserve and OTTI | |||||||||||
Balance at beginning of period | (72,915) | (130,484) | (72,915) | (130,484) | (152,750) | ||||||
Realized credit losses | 5,863 | 2,391 | 7,697 | ||||||||
Purchases | (7,182) | (19,385) | (15,792) | ||||||||
Sales | 32,301 | 89,628 | 39,117 | ||||||||
Other than temporary impairment | (9,733) | ||||||||||
Other than temporary impairment | (15,310) | (22,413) | |||||||||
Transfers/release of credit reserve | (1,857) | 245 | 13,657 | ||||||||
Balance at end of period | (53,523) | (72,915) | (53,523) | (72,915) | (130,484) | ||||||
Accretable Discount | |||||||||||
Balance at beginning of period | (68,438) | (109,822) | (68,438) | (109,822) | (145,532) | ||||||
Accretion of discount | 7,137 | 10,715 | 17,431 | ||||||||
Purchases | (6,473) | (1,205) | (2,945) | ||||||||
Sales | 40,338 | 33,166 | 35,605 | ||||||||
Transfers/release of credit reserve | (2,029) | (1,292) | (14,381) | ||||||||
Balance at end of period | (29,465) | (68,438) | (29,465) | (68,438) | (109,822) | ||||||
Amortizable Premium | |||||||||||
Beginning balance | $ 20,872 | $ 44,527 | 20,872 | 44,527 | 56,163 | ||||||
Amortization of premium | (675) | (843) | (5,470) | ||||||||
Purchases | 435 | 7,259 | 5,266 | ||||||||
Sales | (9,590) | (31,118) | (12,156) | ||||||||
Transfers/release of credit reserve | 3,886 | 1,047 | 724 | ||||||||
Ending balance | $ 14,928 | $ 20,872 | $ 14,928 | $ 20,872 | $ 44,527 |
- Fair value and contractual ma
- Fair value and contractual maturities of the Company's investment securities (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Mortgage-backed securities and other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 1,816,741 | $ 3,358,823 |
Mortgage-backed securities and other securities | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,142,938 | 1,605,249 |
Mortgage-backed securities and other securities | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 466,292 | 831,875 |
Mortgage-backed securities and other securities | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 94,487 | 393,110 |
Mortgage-backed securities and other securities | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 113,024 | 528,589 |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 19,837 | 672,177 |
Agency RMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | |
Agency RMBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 56,228 | |
Agency RMBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 239,197 | |
Agency RMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 376,752 | |
Agency RMBS Interest Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 12,135 | 15,437 |
Agency RMBS Interest Only Strips | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 3,577 | 3,920 |
Agency RMBS Interest Only Strips | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 2,402 | 4,591 |
Agency RMBS Interest Only Strips | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 6,156 | 6,926 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 7,702 | 10,419 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,089 | 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 | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 4,053 | 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 | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 2,560 | 3,594 |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,481,984 | 2,154,800 |
Agency CMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,101,820 | 1,599,620 |
Agency CMBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 380,164 | 555,180 |
Agency CMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 10 | |
Agency CMBS Interest-Only Strips | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 10 | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 4,158 | 5,757 |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 4,158 | 5,757 |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,505,979 | 2,858,600 |
Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,106,486 | 1,605,236 |
Agency MBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 386,619 | 621,138 |
Agency MBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 8,716 | 249,717 |
Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 4,158 | 382,509 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 39,026 | 90,832 |
Non-Agency RMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 13 |
Non-Agency RMBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 51,092 |
Non-Agency RMBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 8,540 | 4,184 |
Non-Agency RMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 30,486 | 35,543 |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 11,529 | 8,722 |
Non-Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 4,310 | 0 |
Non-Agency RMBS Interest-Only Strips | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 7,219 | 8,722 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 200,301 | 278,604 |
Non-Agency CMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 28,754 | 0 |
Non-Agency CMBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 53,653 | 60,583 |
Non-Agency CMBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 72,921 | 139,209 |
Non-Agency CMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 44,973 | 78,812 |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 250,856 | 378,158 |
Subtotal Non-Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 28,754 | 13 |
Subtotal Non-Agency MBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 53,653 | 111,675 |
Subtotal Non-Agency MBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 85,771 | 143,393 |
Subtotal Non-Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 82,678 | 123,077 |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 59,906 | 122,065 |
Other securities | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 7,698 | 0 |
Other securities | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 26,020 | 99,062 |
Other securities | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Other securities | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 26,188 | $ 23,003 |
Mortgage-Backed Securities an_5
Mortgage-Backed Securities and other securities - Gross unrealized losses and estimated fair value (Details) $ in Thousands | Dec. 31, 2018USD ($)item | Dec. 31, 2017USD ($)item |
Fair Value | ||
Fair value, less than 12 months | $ 1,419,604 | |
Fair value, 12 months or longer | 123,064 | |
Fair value | 1,542,668 | |
Fair value, less than 12 Months | $ 114,194 | |
Fair value, 12 months or longer | 903,289 | |
Fair Value | 1,017,483 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 13,832 | |
Unrealized loss position, 12 months or longer, accumulated loss | 13,563 | |
Unrealized Losses | $ 27,395 | |
Unrealized loss position, less than 12 Months, accumulated loss | 1,540 | |
12 Months or Longer, Accumulated Loss | 31,503 | |
Unrealized Losses | $ 33,043 | |
Number of Securities | ||
Number of positions, less than one year | item | 98 | |
Number of positions, greater than or equal to one year | item | 43 | |
Number of Securities | item | 141 | |
Number of positions, less than 12 Months | item | 21 | |
Number of positions, 12 months or longer | item | 85 | |
Number of Securities | item | 106 | |
20 Year Mortgage | ||
Fair Value | ||
Fair value, less than 12 months | $ 330,259 | |
Fair value, 12 months or longer | 1,632 | |
Fair value | 331,891 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 2,179 | |
Unrealized loss position, 12 months or longer, accumulated loss | 135 | |
Unrealized Losses | $ 2,314 | |
Number of Securities | ||
Number of positions, less than one year | item | 11 | |
Number of positions, greater than or equal to one year | item | 5 | |
Number of Securities | item | 16 | |
Agency RMBS Interest Only Strips | ||
Fair Value | ||
Fair value, less than 12 months | $ 3,095 | |
Fair value, 12 months or longer | 1,703 | |
Fair value | 4,798 | |
Fair value, less than 12 Months | $ 3,277 | |
Fair value, 12 months or longer | 3,917 | |
Fair Value | 7,194 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 142 | |
Unrealized loss position, 12 months or longer, accumulated loss | 49 | |
Unrealized Losses | $ 191 | |
Unrealized loss position, less than 12 Months, accumulated loss | 124 | |
12 Months or Longer, Accumulated Loss | 283 | |
Unrealized Losses | $ 407 | |
Number of Securities | ||
Number of positions, less than one year | item | 6 | |
Number of positions, greater than or equal to one year | item | 3 | |
Number of Securities | item | 9 | |
Number of positions, less than 12 Months | item | 7 | |
Number of positions, 12 months or longer | item | 9 | |
Number of Securities | item | 16 | |
Agency CMBS | ||
Fair Value | ||
Fair value, less than 12 months | $ 955,559 | |
Fair value | 955,559 | |
Fair value, less than 12 Months | $ 29,413 | |
Fair value, 12 months or longer | 879,549 | |
Fair Value | 908,962 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 9,394 | |
Unrealized Losses | $ 9,394 | |
Unrealized loss position, less than 12 Months, accumulated loss | 307 | |
12 Months or Longer, Accumulated Loss | 29,287 | |
Unrealized Losses | $ 29,594 | |
Number of Securities | ||
Number of positions, less than one year | item | 57 | |
Number of Securities | item | 57 | |
Number of positions, less than 12 Months | item | 3 | |
Number of positions, 12 months or longer | item | 72 | |
Number of Securities | item | 75 | |
Agency MBS | ||
Fair Value | ||
Fair value, less than 12 months | $ 1,288,913 | |
Fair value, 12 months or longer | 3,335 | |
Fair value | 1,292,248 | |
Fair value, less than 12 Months | $ 32,690 | |
Fair value, 12 months or longer | 883,466 | |
Fair Value | 916,156 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 11,715 | |
Unrealized loss position, 12 months or longer, accumulated loss | 184 | |
Unrealized Losses | $ 11,899 | |
Unrealized loss position, less than 12 Months, accumulated loss | 431 | |
12 Months or Longer, Accumulated Loss | 29,570 | |
Unrealized Losses | $ 30,001 | |
Number of Securities | ||
Number of positions, less than one year | item | 74 | |
Number of positions, greater than or equal to one year | item | 8 | |
Number of Securities | item | 82 | |
Number of positions, less than 12 Months | item | 10 | |
Number of positions, 12 months or longer | item | 81 | |
Number of Securities | item | 91 | |
Non-Agency RMBS | ||
Fair Value | ||
Fair value, less than 12 months | $ 28,508 | |
Fair value, 12 months or longer | 0 | |
Fair value | 28,508 | |
Fair value, less than 12 Months | $ 0 | |
Fair value, 12 months or longer | 500 | |
Fair Value | 500 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 161 | |
Unrealized loss position, 12 months or longer, accumulated loss | 0 | |
Unrealized Losses | $ 161 | |
Unrealized loss position, less than 12 Months, accumulated loss | 0 | |
12 Months or Longer, Accumulated Loss | 0 | |
Unrealized Losses | $ 0 | |
Number of Securities | ||
Number of positions, less than one year | item | 3 | |
Number of positions, greater than or equal to one year | item | 0 | |
Number of Securities | item | 3 | |
Number of positions, less than 12 Months | item | 0 | |
Number of positions, 12 months or longer | item | 1 | |
Number of Securities | item | 1 | |
Non-Agency RMBS Interest-Only Strips | ||
Fair Value | ||
Fair value, less than 12 months | $ 8,722 | |
Fair value, 12 months or longer | 0 | |
Fair value | 8,722 | |
Fair value, less than 12 Months | $ 957 | |
Fair value, 12 months or longer | 0 | |
Fair Value | 957 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 16 | |
Unrealized loss position, 12 months or longer, accumulated loss | 0 | |
Unrealized Losses | $ 16 | |
Unrealized loss position, less than 12 Months, accumulated loss | 7 | |
12 Months or Longer, Accumulated Loss | 0 | |
Unrealized Losses | $ 7 | |
Number of Securities | ||
Number of positions, less than one year | item | 3 | |
Number of positions, greater than or equal to one year | item | 0 | |
Number of Securities | item | 3 | |
Number of positions, less than 12 Months | item | 2 | |
Number of positions, 12 months or longer | item | 0 | |
Number of Securities | item | 2 | |
Non-Agency CMBS | ||
Fair Value | ||
Fair value, less than 12 months | $ 69,661 | |
Fair value, 12 months or longer | 119,729 | |
Fair value | 189,390 | |
Fair value, less than 12 Months | $ 65,339 | |
Fair value, 12 months or longer | 19,323 | |
Fair Value | 84,662 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 1,753 | |
Unrealized loss position, 12 months or longer, accumulated loss | 13,379 | |
Unrealized Losses | $ 15,132 | |
Unrealized loss position, less than 12 Months, accumulated loss | 712 | |
12 Months or Longer, Accumulated Loss | 1,933 | |
Unrealized Losses | $ 2,645 | |
Number of Securities | ||
Number of positions, less than one year | item | 15 | |
Number of positions, greater than or equal to one year | item | 35 | |
Number of Securities | item | 50 | |
Number of positions, less than 12 Months | item | 7 | |
Number of positions, 12 months or longer | item | 3 | |
Number of Securities | item | 10 | |
Subtotal Non-Agency MBS | ||
Fair Value | ||
Fair value, less than 12 months | $ 106,891 | |
Fair value, 12 months or longer | 119,729 | |
Fair value | 226,620 | |
Fair value, less than 12 Months | $ 66,296 | |
Fair value, 12 months or longer | 19,823 | |
Fair Value | 86,119 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 1,930 | |
Unrealized loss position, 12 months or longer, accumulated loss | 13,379 | |
Unrealized Losses | $ 15,309 | |
Unrealized loss position, less than 12 Months, accumulated loss | 719 | |
12 Months or Longer, Accumulated Loss | 1,933 | |
Unrealized Losses | $ 2,652 | |
Number of Securities | ||
Number of positions, less than one year | item | 21 | |
Number of positions, greater than or equal to one year | item | 35 | |
Number of Securities | item | 56 | |
Number of positions, less than 12 Months | item | 9 | |
Number of positions, 12 months or longer | item | 4 | |
Number of Securities | item | 13 | |
Other securities | ||
Fair Value | ||
Fair value, less than 12 months | $ 23,800 | |
Fair value, 12 months or longer | 0 | |
Fair value | 23,800 | |
Fair value, less than 12 Months | $ 15,208 | |
Fair value, 12 months or longer | 0 | |
Fair Value | 15,208 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 187 | |
Unrealized loss position, 12 months or longer, accumulated loss | 0 | |
Unrealized Losses | $ 187 | |
Unrealized loss position, less than 12 Months, accumulated loss | 390 | |
12 Months or Longer, Accumulated Loss | 0 | |
Unrealized Losses | $ 390 | |
Number of Securities | ||
Number of positions, less than one year | item | 3 | |
Number of positions, greater than or equal to one year | item | 0 | |
Number of Securities | item | 3 | |
Number of positions, less than 12 Months | item | 2 | |
Number of positions, 12 months or longer | item | 0 | |
Number of Securities | item | 2 |
Mortgage-Backed Securities an_6
Mortgage-Backed Securities and other securities - OTTI and Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Debt Securities, Available-for-sale [Line Items] | |||||||||||
Other than temporary impairment | $ 2,757 | $ 2,533 | $ 2,974 | $ 2,916 | $ 2,972 | $ 7,225 | $ 6,579 | $ 6,097 | $ 11,180 | $ 22,873 | $ 32,286 |
Other than temporary impairment | 22,873 | 32,286 | |||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (5,374) | 2,070 | 548 | ||||||||
Interest income | $ 58,020 | $ 54,461 | $ 57,154 | $ 39,727 | $ 34,878 | $ 30,928 | $ 30,055 | $ 28,430 | 209,362 | 124,291 | 123,756 |
Mortgage-backed securities and other securities | |||||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 121,638 | 111,233 | 135,737 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (6,816) | (2,191) | (21,372) | ||||||||
Interest income | 114,822 | 109,042 | 114,365 | ||||||||
Agency RMBS | |||||||||||
Debt Securities, Available-for-sale [Line Items] | |||||||||||
Other than temporary impairment | 807 | ||||||||||
Other than temporary impairment | 5,774 | 6,090 | |||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 19,507 | 38,108 | 70,467 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (5,092) | (13,058) | (24,836) | ||||||||
Interest income | 14,415 | 25,050 | 45,631 | ||||||||
Agency CMBS | |||||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 60,148 | 40,064 | 2,619 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (646) | 507 | (1,701) | ||||||||
Interest income | 59,502 | 40,571 | 918 | ||||||||
Non-Agency RMBS | |||||||||||
Debt Securities, Available-for-sale [Line Items] | |||||||||||
Other than temporary impairment | 996 | ||||||||||
Other than temporary impairment | 0 | 9,511 | |||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 7,120 | 5,602 | 35,221 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (1,073) | 525 | (5,243) | ||||||||
Interest income | 6,047 | 6,127 | 29,978 | ||||||||
Non-Agency CMBS | |||||||||||
Debt Securities, Available-for-sale [Line Items] | |||||||||||
Other than temporary impairment | 8,660 | ||||||||||
Other than temporary impairment | 15,117 | 13,025 | |||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 20,058 | 19,179 | 24,893 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | 6,366 | 8,276 | 7,431 | ||||||||
Interest income | 26,424 | 27,455 | 32,324 | ||||||||
Other securities | |||||||||||
Debt Securities, Available-for-sale [Line Items] | |||||||||||
Other than temporary impairment | 717 | ||||||||||
Other than temporary impairment | 1,982 | 3,660 | |||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 14,805 | 8,280 | 2,537 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (6,371) | 1,559 | 2,977 | ||||||||
Interest income | $ 8,434 | $ 9,839 | $ 5,514 |
Mortgage-Backed Securities an_7
Mortgage-Backed Securities and other securities - Sales and realized gains (losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
ASU 2016-01 Transition [Abstract] | |||||||||||
Net Gain (Loss) | $ (33,995) | $ (24,229) | $ (5,608) | $ 575 | $ (2) | $ 1,830 | $ (2,488) | $ 21,258 | $ (63,257) | $ 20,598 | $ (21,991) |
Mortgage-backed securities and other securities | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 2,430,054 | 2,255,414 | |||||||||
Gross Gains | 18,512 | ||||||||||
Gross Losses | (81,721) | ||||||||||
Net Gain (Loss) | (63,209) | ||||||||||
ASU 2016-01 Transition [Abstract] | |||||||||||
Proceeds | 1,589,145 | ||||||||||
Gross Gains | 32,632 | 16,371 | |||||||||
Gross Losses | (12,034) | (38,362) | |||||||||
Net Gain (Loss) | 20,598 | (21,991) | |||||||||
Agency RMBS | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 589,854 | 1,239,350 | |||||||||
Gross Gains | 18 | ||||||||||
Gross Losses | (23,997) | ||||||||||
Net Gain (Loss) | (23,979) | ||||||||||
ASU 2016-01 Transition [Abstract] | |||||||||||
Proceeds | 1,251,985 | ||||||||||
Gross Gains | 5,020 | 6,214 | |||||||||
Gross Losses | (7,936) | (25,818) | |||||||||
Net Gain (Loss) | (2,916) | (19,604) | |||||||||
Agency RMBS | Agency interest only strips accounted for as derivatives | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 2,600 | 18,500 | |||||||||
ASU 2016-01 Transition [Abstract] | |||||||||||
Gross Gains | 432 | 1,900 | |||||||||
Gross Losses | (595) | ||||||||||
Agency RMBS | Non Agency RMBS Interest Only Strips Accounted For As Derivatives | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 2,200 | ||||||||||
ASU 2016-01 Transition [Abstract] | |||||||||||
Gross Gains | 274 | ||||||||||
Gross Losses | (180) | ||||||||||
Agency CMBS | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 1,534,967 | 22,939 | |||||||||
Gross Gains | 0 | ||||||||||
Gross Losses | (51,045) | ||||||||||
Net Gain (Loss) | (51,045) | ||||||||||
ASU 2016-01 Transition [Abstract] | |||||||||||
Gross Gains | 54 | ||||||||||
Gross Losses | (66) | ||||||||||
Net Gain (Loss) | (12) | ||||||||||
Non-Agency RMBS | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 99,842 | 177,996 | |||||||||
Gross Gains | 7,008 | ||||||||||
Gross Losses | (478) | ||||||||||
Net Gain (Loss) | 6,530 | ||||||||||
ASU 2016-01 Transition [Abstract] | |||||||||||
Proceeds | 243,838 | ||||||||||
Gross Gains | 24,356 | 6,470 | |||||||||
Gross Losses | (2,241) | (4,560) | |||||||||
Net Gain (Loss) | 22,115 | 1,910 | |||||||||
Non-Agency CMBS | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 140,292 | 50,418 | |||||||||
Gross Gains | 3,086 | ||||||||||
Gross Losses | (6,201) | ||||||||||
Net Gain (Loss) | (3,115) | ||||||||||
ASU 2016-01 Transition [Abstract] | |||||||||||
Proceeds | 54,875 | ||||||||||
Gross Gains | 2,543 | 137 | |||||||||
Gross Losses | (1,803) | (5,810) | |||||||||
Net Gain (Loss) | 740 | (5,673) | |||||||||
Other securities | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 65,099 | 764,711 | |||||||||
Gross Gains | 8,400 | ||||||||||
Gross Losses | 0 | ||||||||||
Net Gain (Loss) | $ 8,400 | ||||||||||
ASU 2016-01 Transition [Abstract] | |||||||||||
Proceeds | 38,447 | ||||||||||
Gross Gains | 713 | 3,496 | |||||||||
Gross Losses | (54) | (2,108) | |||||||||
Net Gain (Loss) | $ 659 | $ 1,388 |
Mortgage-Backed Securities an_8
Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) - USD ($) $ in Millions | Dec. 31, 2018 | Dec. 31, 2017 |
Investments, Debt and Equity Securities [Abstract] | ||
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ 118.4 | $ 62.1 |
Variable Interest Entities (Det
Variable Interest Entities (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018USD ($)loan | Dec. 31, 2017USD ($)loan | |
Variable Interest Entity [Line Items] | ||
Repurchase agreements | $ 2,818,837 | $ 3,251,686 |
Principal amount of delinquent loans | $ 5,127 | |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 2,782 | 616 |
RCR Trust | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Repurchase agreements | $ 250,400 | |
VIE | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Repurchase agreements | $ 618,700 | $ 189,300 |
Mortgage loans on real estate, number of loans | loan | 0 | 1 |
Principal amount of delinquent loans | $ 579 | |
Mortgage loans on real estate, fair value amount of delinquent loans | 570 | |
Mortgage loans on real estate, number of loans, nonperforming, percentage | 0.20% | |
VIE | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Repurchase agreements | $ 207,500 | $ 100,200 |
Mortgage loans on real estate, number of loans | loan | 3 | 9 |
Number of Loans | loan | 520 | 340 |
Principal amount of delinquent loans | $ 1,100 | $ 1,800 |
Principal amount at fair value of delinquent loans | $ 4,000 | |
Mortgage loans on real estate, number of loans, nonperforming, percentage | 2.30% | 1.70% |
Original LTV, collateral dependent | 70.00% | 74.00% |
RNR Trust [Member] | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Repurchase agreements | $ 15,100 | |
Estimated Fair Value | VIE | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Mortgage loans on real estate, number of loans | loan | 9 | |
Consolidated Residential Whole-Loan Trusts | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 2,769 | |
Consolidated Residential Whole-Loan Trusts | Commercial Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 1 | |
Consolidated Bridge Loan Trust | VIE | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 13 | |
Consolidated Bridge Loan Trust | VIE | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 518 |
Residential Whole Loans and B_2
Residential Whole Loans and Bridge Loans Summary of the Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Variable Interest Entity [Line Items] | ||
Cash and cash equivalents | $ 21,987 | $ 48,024 |
Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively) | 1,041,885 | 237,423 |
Residential Bridge Loans ($211,766 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively) | 221,486 | 106,673 |
Commercial Loan, at fair value | 216,123 | |
Investment related receivable | 42,945 | 7,665 |
Interest receivable | 21,959 | 13,603 |
Other assets | 2,488 | 2,161 |
Total assets | 4,497,395 | 3,886,906 |
Interest payable | 8,532 | 8,322 |
Accounts payable and accrued expenses | 3,858 | 3,118 |
Other liabilities | 56,031 | 0 |
Total liabilities | 3,994,386 | 3,420,868 |
Residential bridge loan. at fair value | 211,999 | 64,526 |
VIE | ||
Variable Interest Entity [Line Items] | ||
Cash and cash equivalents | 674 | 0 |
Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively) | 1,041,885 | 237,423 |
Residential Bridge Loans ($211,766 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively) | 221,486 | 106,673 |
Investment related receivable | 42,945 | 7,665 |
Interest receivable | 15,540 | 3,358 |
Other assets | 178 | 0 |
Total assets | 2,588,150 | 379,995 |
Interest payable | 2,419 | 70 |
Accounts payable and accrued expenses | 708 | 189 |
Other liabilities | 56,033 | 0 |
Total liabilities | 1,008,786 | 11,204 |
Fair value of residential whole-loans pledged as collateral | 1,041,885 | 237,423 |
Residential bridge loan. at fair value | 211,766 | 64,526 |
Residential Whole-Loan And Residential Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
Commercial Loan, at fair value | 30,000 | 0 |
Residential Whole-Loan And Residential Bridge Loan | VIE | ||
Variable Interest Entity [Line Items] | ||
Cash and cash equivalents | 674 | 0 |
Residential Whole-Loans, at fair value ($1,041,885 and $237,423 pledged as collateral, at fair value, respectively) | 1,041,885 | 237,423 |
Residential Bridge Loans ($211,766 and $64,526 at fair value and $221,486 and $106,673 pledged as collateral, respectively) | 221,486 | 106,673 |
Investment related receivable | 42,945 | 7,665 |
Interest receivable | 11,807 | 3,197 |
Other assets | 178 | 0 |
Total assets | 1,348,975 | 354,958 |
Interest payable | 0 | 0 |
Accounts payable and accrued expenses | 677 | 188 |
Other liabilities | 225 | 0 |
Total liabilities | 902 | 188 |
Fair value of residential whole-loans pledged as collateral | 1,041,885 | 237,423 |
Residential bridge loan. at fair value | $ 211,766 | $ 64,526 |
Residential Whole Loans and B_3
Residential Whole Loans and Bridge Loans Carrying Value Components (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Variable Interest Entity [Line Items] | ||
Principal balance | $ 2,475,278 | |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 1,023,524 | $ 232,270 |
Unamortized premium | 17,629 | 2,021 |
Unamortized discount | (3,145) | (1,190) |
Amortized cost | 1,038,008 | 233,101 |
Gross unrealized gains | 7,573 | 4,463 |
Gross unrealized losses | (3,696) | (141) |
Fair value | 1,041,885 | 237,423 |
Residential Bridge Loans, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 212,491 | 63,802 |
Unamortized premium | 1,164 | 293 |
Unamortized discount | (316) | (128) |
Amortized cost | 213,339 | 63,967 |
Gross unrealized gains | 212 | 655 |
Gross unrealized losses | (1,552) | (96) |
Fair value | 211,999 | 64,526 |
Residential Bridge Loans, at Amortized Cost | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 9,766 | 42,066 |
Unamortized premium | 16 | 122 |
Unamortized discount | (62) | (41) |
Amortized cost | $ 9,720 | $ 42,147 |
Residential Whole Loans and B_4
Residential Whole Loans and Bridge Loans Investment Portfolio (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018USD ($)scoreloanitem | Dec. 31, 2017USD ($)loanitem | |
Variable Interest Entity [Line Items] | ||
Principal balance | $ | $ 2,475,278 | |
Residential Portfolio Segment Current Coupon Rate One | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 66 | 142 |
Principal balance | $ | $ 22,046 | $ 55,593 |
Original LTV | 61.60% | 55.50% |
Original FICO Score | item | 738 | 751 |
Expected Life (in years) | 6 years 6 months | 1 year 8 months 12 days |
Contractual maturity (in years) | 29 years | 29 years 1 month 6 days |
Interest Rate | 3.90% | 3.90% |
Residential Portfolio Segment Current Coupon Rate Two | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1,395 | 338 |
Principal balance | $ | $ 490,073 | $ 125,860 |
Original LTV | 62.30% | 56.90% |
Original FICO Score | item | 739 | 725 |
Expected Life (in years) | 3 years | 1 year 4 months 24 days |
Contractual maturity (in years) | 29 years | 26 years 6 months |
Interest Rate | 4.80% | 4.50% |
Residential Portfolio Segment Current Coupon Rate Three | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1,283 | 132 |
Principal balance | $ | $ 496,722 | $ 48,553 |
Original LTV | 62.70% | 58.20% |
Original FICO Score | item | 727 | 728 |
Expected Life (in years) | 2 years 6 months | 1 year 7 months 6 days |
Contractual maturity (in years) | 28 years 6 months | 27 years |
Interest Rate | 5.40% | 5.20% |
Residential Portfolio Segment Current Coupon Rate Four | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 37 | 4 |
Principal balance | $ | $ 14,589 | $ 2,264 |
Original LTV | 59.50% | 71.10% |
Original FICO Score | item | 731 | 758 |
Expected Life (in years) | 1 year 6 months | 1 year 3 months 18 days |
Contractual maturity (in years) | 24 years 9 months 18 days | 20 years 6 months |
Interest Rate | 6.20% | 6.30% |
Residential Portfolio Segment Current Coupon Rate Five [Member] | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1 | |
Principal balance | $ | $ 94 | |
Original LTV | 70.00% | |
Original FICO Score | score | 689 | |
Expected Life (in years) | 1 year 9 months 18 days | |
Contractual maturity (in years) | 29 years 1 month 6 days | |
Interest Rate | 8.00% | |
Residential Bridge Loan Current Coupon Rate One | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 9 | |
Principal balance | $ | $ 4,016 | |
Original LTV | 64.50% | |
Contractual maturity (in years) | 10 months 24 days | |
Interest Rate | 5.90% | |
Residential Bridge Loan Current Coupon Rate Two | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 8 | 64 |
Principal balance | $ | $ 3,169 | $ 18,420 |
Original LTV | 60.40% | 67.80% |
Contractual maturity (in years) | 1 month 4 days | 10 months 17 days |
Interest Rate | 6.70% | 6.70% |
Residential Bridge Loan Current Coupon Rate Three | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 95 | 98 |
Principal balance | $ | $ 53,911 | $ 25,608 |
Original LTV | 73.10% | 66.40% |
Contractual maturity (in years) | 6 months 10 days | 9 months 15 days |
Interest Rate | 7.80% | 7.60% |
Residential Bridge Loan Current Coupon Rate Four | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 180 | 56 |
Principal balance | $ | $ 86,764 | $ 19,728 |
Original LTV | 72.30% | 70.30% |
Contractual maturity (in years) | 5 months 16 days | 11 months 27 days |
Interest Rate | 8.70% | 8.90% |
Residential Bridge Loan Current Coupon Rate Five | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 143 | 67 |
Principal balance | $ | $ 53,804 | $ 25,001 |
Original LTV | 74.00% | 73.30% |
Contractual maturity (in years) | 4 months 16 days | 6 months 24 days |
Interest Rate | 9.70% | 9.70% |
Residential Bridge Loan Current Coupon Rate Six | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 43 | 36 |
Principal balance | $ | $ 10,150 | $ 10,656 |
Original LTV | 72.70% | 75.40% |
Contractual maturity (in years) | 4 months | 5 months |
Interest Rate | 10.70% | 10.80% |
Residential Bridge Loan Current Coupon Rate Seven | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 28 | 2 |
Principal balance | $ | $ 8,274 | $ 919 |
Original LTV | 69.80% | 89.80% |
Contractual maturity (in years) | 4 months 16 days | 8 months 6 days |
Interest Rate | 11.40% | 11.40% |
Residential Bridge Loan Current Coupon Rate Nine [Member] | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 11 | |
Principal balance | $ | $ 2,743 | |
Original LTV | 75.80% | |
Contractual maturity (in years) | 5 months 7 days | |
Interest Rate | 12.80% | |
Residential Bridge Loan Current Coupon Rate Ten [Member] | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1 | |
Principal balance | $ | $ 88 | |
Original LTV | 65.00% | |
Contractual maturity (in years) | 4 months | |
Interest Rate | 14.00% | |
Residential Bridge Loan Current Coupon Rate Eight | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 11 | 8 |
Principal balance | $ | $ 3,354 | $ 1,520 |
Original LTV | 73.70% | 73.80% |
Contractual maturity (in years) | 2 months 10 days | 5 months 27 days |
Interest Rate | 18.00% | 18.00% |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 2,782 | 616 |
Principal balance | $ | $ 1,023,524 | $ 232,270 |
Original LTV | 62.40% | 57.00% |
Original FICO Score | item | 733 | 734 |
Expected Life (in years) | 2 years 9 months 18 days | 1 year 6 months |
Contractual maturity (in years) | 28 years 8 months 12 days | 27 years 1 month 6 days |
Interest Rate | 5.10% | 4.50% |
Residential Portfolio Segment With No Fico Score | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 274 | 141 |
Principal balance | $ | $ 93,200 | $ 56,500 |
VIE | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 520 | 340 |
Principal balance | $ | $ 222,257 | $ 105,868 |
Original LTV | 72.70% | 70.10% |
Contractual maturity (in years) | 5 months 10 days | 9 months |
Interest Rate | 9.10% | 8.60% |
Maximum | Residential Portfolio Segment Current Coupon Rate One | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 4.00% | 4.00% |
Maximum | Residential Portfolio Segment Current Coupon Rate Two | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 5.00% | 5.00% |
Maximum | Residential Portfolio Segment Current Coupon Rate Three | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 6.00% | 6.00% |
Maximum | Residential Portfolio Segment Current Coupon Rate Four | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 7.00% | 7.00% |
Maximum | Residential Portfolio Segment Current Coupon Rate Five [Member] | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 8.00% | |
Maximum | Residential Bridge Loan Current Coupon Rate One | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 6.00% | |
Maximum | Residential Bridge Loan Current Coupon Rate Two | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 7.00% | 7.00% |
Maximum | Residential Bridge Loan Current Coupon Rate Three | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 8.00% | 8.00% |
Maximum | Residential Bridge Loan Current Coupon Rate Four | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 9.00% | 9.00% |
Maximum | Residential Bridge Loan Current Coupon Rate Five | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 10.00% | 10.00% |
Maximum | Residential Bridge Loan Current Coupon Rate Six | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 11.00% | 11.00% |
Maximum | Residential Bridge Loan Current Coupon Rate Seven | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 12.00% | 12.00% |
Maximum | Residential Bridge Loan Current Coupon Rate Nine [Member] | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 13.00% | |
Maximum | Residential Bridge Loan Current Coupon Rate Ten [Member] | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 14.00% | |
Maximum | Residential Bridge Loan Current Coupon Rate Eight | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 18.00% | 18.00% |
Minimum | Residential Portfolio Segment Current Coupon Rate One | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 3.01% | 3.01% |
Minimum | Residential Portfolio Segment Current Coupon Rate Two | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 4.01% | 4.01% |
Minimum | Residential Portfolio Segment Current Coupon Rate Three | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 5.01% | 5.01% |
Minimum | Residential Portfolio Segment Current Coupon Rate Four | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 6.01% | 6.01% |
Minimum | Residential Portfolio Segment Current Coupon Rate Five [Member] | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 7.01% | |
Minimum | Residential Bridge Loan Current Coupon Rate One | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 5.01% | |
Minimum | Residential Bridge Loan Current Coupon Rate Two | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 6.01% | 6.01% |
Minimum | Residential Bridge Loan Current Coupon Rate Three | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 7.01% | 7.01% |
Minimum | Residential Bridge Loan Current Coupon Rate Four | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 8.01% | 8.01% |
Minimum | Residential Bridge Loan Current Coupon Rate Five | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 9.01% | 9.01% |
Minimum | Residential Bridge Loan Current Coupon Rate Six | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 10.01% | 10.01% |
Minimum | Residential Bridge Loan Current Coupon Rate Seven | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 11.01% | 11.01% |
Minimum | Residential Bridge Loan Current Coupon Rate Nine [Member] | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 12.01% | |
Minimum | Residential Bridge Loan Current Coupon Rate Ten [Member] | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 13.01% | |
Minimum | Residential Bridge Loan Current Coupon Rate Eight | ||
Variable Interest Entity [Line Items] | ||
Interest Rate | 17.01% | 17.01% |
Non-Qualifying Adjustable Rate Mortgage [Member] | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1,888 | |
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 881 | |
Investor Fixed Rate Mortgage [Member] | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 13 |
Residential Whole Loans and B_5
Residential Whole Loans and Bridge Loans Geographic Concentration (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Variable Interest Entity [Line Items] | ||
Principal balance | $ 2,475,278 | |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Principal balance | $ 1,023,524 | $ 232,270 |
Geographic Concentration Risk | Residential Whole-Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 100.00% | 100.00% |
Principal balance | $ 1,023,524 | $ 232,270 |
Geographic Concentration Risk | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 100.00% | 100.00% |
Principal balance | $ 222,257 | $ 105,868 |
Geographic Concentration Risk | California | Residential Whole-Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 67.10% | 62.20% |
Principal balance | $ 686,275 | $ 144,321 |
Geographic Concentration Risk | California | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 53.90% | 48.20% |
Principal balance | $ 119,761 | $ 51,080 |
Geographic Concentration Risk | New York | Residential Whole-Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 17.10% | 24.40% |
Principal balance | $ 175,390 | $ 56,631 |
Geographic Concentration Risk | New York | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 9.50% | 4.40% |
Principal balance | $ 21,160 | $ 4,703 |
Geographic Concentration Risk | Georgia | Residential Whole-Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 2.60% | 4.30% |
Principal balance | $ 26,918 | $ 10,061 |
Geographic Concentration Risk | Massachusetts | Residential Whole-Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 2.10% | 3.90% |
Principal balance | $ 21,197 | $ 9,114 |
Geographic Concentration Risk | Florida | Residential Whole-Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 1.90% | |
Principal balance | $ 19,942 | |
Geographic Concentration Risk | Florida | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 5.70% | 13.40% |
Principal balance | $ 12,672 | $ 14,199 |
Geographic Concentration Risk | Other | Residential Whole-Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 9.20% | 1.20% |
Principal balance | $ 93,802 | $ 2,899 |
Geographic Concentration Risk | Other | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 19.60% | 23.30% |
Principal balance | $ 43,534 | $ 24,581 |
Geographic Concentration Risk | Washington | Residential Whole-Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 4.00% | |
Principal balance | $ 9,244 | |
Geographic Concentration Risk | Washington | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 6.60% | 6.30% |
Principal balance | $ 14,711 | $ 6,645 |
Geographic Concentration Risk | Texas | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 4.40% | |
Principal balance | $ 4,660 | |
Geographic Concentration Risk | New Jersey | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 4.70% | |
Principal balance | $ 10,419 |
Commercial Real Estate Invest_3
Commercial Real Estate Investments (Details) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||
Jun. 30, 2018USD ($) | Mar. 31, 2018USD ($) | Nov. 30, 2015USD ($) | Mar. 31, 2018USD ($) | Sep. 30, 2018USD ($) | Dec. 31, 2018USD ($)entity | Nov. 30, 2018USD ($) | Jul. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
Variable Interest Entity [Line Items] | |||||||||
Number of VIEs, as primary beneficiary | entity | 2 | ||||||||
Securitized commercial loans, at fair value | $ 1,013,511 | $ 24,876 | |||||||
Securitized debt, at fair value | 949,626 | 10,945 | |||||||
Debt instrument, repurchase amount | $ 108,200 | ||||||||
VIE, consolidated, number of commercial loan trusts | entity | 3 | ||||||||
Securitized commercial loan | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans receivable, gross, commercial, mortgage | $ 30,000 | $ 20,000 | $ 20,000 | ||||||
Commercial Loans | |||||||||
Variable Interest Entity [Line Items] | |||||||||
VIE, consolidated, number of commercial loan trusts | entity | 5 | ||||||||
RETL Trust | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Trust certificates issued | $ 937,800 | ||||||||
Loans receivable, gross, commercial, mortgage | 988,609 | 0 | |||||||
RETL Trust | Securitized commercial loan | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Amount acquired, eliminated in consolidation | 67,800 | ||||||||
VIE, consolidated, carrying amount, assets | 50,900 | ||||||||
Variable interest entity, fair value | 50,200 | ||||||||
CMSC Trust | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Trust certificates issued | 24,500 | ||||||||
Loans receivable, gross, commercial, mortgage | 24,456 | 24,846 | |||||||
CMSC Trust | Securitized commercial loan | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Amount acquired, eliminated in consolidation | $ 14,000 | 13,700 | |||||||
VIE, consolidated, carrying amount, assets | 13,700 | ||||||||
Variable interest entity, fair value | 13,700 | ||||||||
Securitized debt, at fair value | 10,800 | ||||||||
RSBC Trust | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans receivable, gross, commercial, mortgage | $ 166,432 | $ 0 | |||||||
RSBC Trust | Securitized commercial loan | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans receivable, basis spread on variable rate | 5.25% | ||||||||
Loans receivable, gross, commercial, mortgage | $ 49,600 | $ 5,700 | |||||||
Securitized debt, at fair value | $ 20,600 | $ 20,600 | $ 45,200 | ||||||
Securitized debt | $ 65,900 | ||||||||
SBC Loan 3 [Member] | Securitized commercial loan | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Securitized debt, at fair value | 115,500 | ||||||||
RETL Trust | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Trust certificates issued | 988,600 | ||||||||
CMSC Trust | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Securitized commercial loans, at fair value | $ 24,500 | ||||||||
Loans receivable, basis spread on variable rate | 9.00% | ||||||||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan | Securitized commercial loan | |||||||||
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) | 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 loan | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans receivable, basis spread on variable rate | 5.30% | ||||||||
Debt instrument, basis spread on variable rate | 4.75% | ||||||||
Loans receivable, extension period | 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) | Trust Certificate | RETL Trust | Securitized commercial loan | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans receivable, basis spread on variable rate | 9.50% | ||||||||
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 loan | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans receivable, basis spread on variable rate | 1.90% | ||||||||
London Interbank Offered Rate (LIBOR) Cap | RSBC Trust | Securitized commercial loan | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans receivable, basis spread on variable rate | 3.50% |
Commercial Real Estate Invest_4
Commercial Real Estate Investments - Consolidated trusts included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Noncontrolling Interest [Line Items] | ||
Restricted cash | $ 55,808 | $ 0 |
Securitized commercial loans, at fair value | 1,013,511 | 24,876 |
Commercial Loan, At Fair Value | 196,123 | 0 |
Interest receivable | 21,959 | 13,603 |
Total assets | 4,497,395 | 3,886,906 |
Interest payable (includes $816 and $70 on securitized debt held by affiliates, respectively) | 8,532 | 8,322 |
Accounts payable and accrued expenses | 3,858 | 3,118 |
Other liabilities | 56,031 | 0 |
Total liabilities | 3,994,386 | 3,420,868 |
VIE | ||
Noncontrolling Interest [Line Items] | ||
Restricted cash | 55,808 | 0 |
Securitized commercial loans, at fair value | 1,013,511 | 24,876 |
Commercial Loan, At Fair Value | 196,123 | 0 |
Interest receivable | 15,540 | 3,358 |
Total assets | 2,588,150 | 379,995 |
Interest payable (includes $816 and $70 on securitized debt held by affiliates, respectively) | 2,419 | 70 |
Accounts payable and accrued expenses | 708 | 189 |
Other liabilities | 56,033 | 0 |
Total liabilities | 1,008,786 | 11,204 |
VIE | Securitized commercial loan | ||
Noncontrolling Interest [Line Items] | ||
Restricted cash | 55,808 | 0 |
Commercial Loan, At Fair Value | 166,123 | 0 |
Interest receivable | 3,733 | 161 |
Total assets | 1,239,175 | 25,037 |
Securitized debt | 949,626 | 10,945 |
Interest payable (includes $816 and $70 on securitized debt held by affiliates, respectively) | 2,419 | 70 |
Accounts payable and accrued expenses | 31 | 1 |
Other liabilities | 55,808 | 0 |
Total liabilities | $ 1,007,884 | $ 11,016 |
Commercial Real Estate Invest_5
Commercial Real Estate Investments - Components of the carrying value of the commercial real estate loans (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Commercial Mezzanine Loan | ||
Variable Interest Entity [Line Items] | ||
Loans receivable, gross, commercial, mortgage | $ 50,000 | $ 0 |
Unamortized premium | 0 | 0 |
Financing Receivables Unamortized Discount | (205) | 0 |
Amortized cost | 49,795 | 0 |
Gross unrealized gains | 205 | 0 |
Gross unrealized losses | 0 | 0 |
Fair value | 50,000 | 0 |
CMSC Trust | ||
Variable Interest Entity [Line Items] | ||
Loans receivable, gross, commercial, mortgage | 24,456 | 24,846 |
Unamortized premium | 0 | 0 |
Financing Receivables Unamortized Discount | 0 | 0 |
Amortized cost | 24,456 | 24,846 |
Gross unrealized gains | 0 | 30 |
Gross unrealized losses | (14) | 0 |
Fair value | 24,442 | 24,876 |
RETL Trust | ||
Variable Interest Entity [Line Items] | ||
Loans receivable, gross, commercial, mortgage | 988,609 | 0 |
Unamortized premium | 431 | 0 |
Financing Receivables Unamortized Discount | 0 | 0 |
Amortized cost | 989,040 | 0 |
Gross unrealized gains | 29 | 0 |
Gross unrealized losses | 0 | 0 |
Fair value | 989,069 | 0 |
RSBC Trust | ||
Variable Interest Entity [Line Items] | ||
Loans receivable, gross, commercial, mortgage | 166,432 | 0 |
Unamortized premium | 0 | 0 |
Financing Receivables Unamortized Discount | (736) | 0 |
Amortized cost | 165,696 | 0 |
Gross unrealized gains | 427 | 0 |
Gross unrealized losses | 0 | 0 |
Fair value | $ 166,123 | $ 0 |
Financings - Repurchase Agreeme
Financings - Repurchase Agreements (Details) $ in Thousands | 1 Months Ended | 9 Months Ended | 12 Months Ended | ||
Mar. 31, 2018USD ($) | Nov. 30, 2015USD ($) | Sep. 30, 2018USD ($) | Dec. 31, 2018USD ($)item | Dec. 31, 2017USD ($) | |
Borrowings Under Repurchase Agreements | |||||
Number of counterparties to master repurchase agreement | item | 29 | ||||
Number of counterparties from whom the Company had borrowings | item | 15 | ||||
Certain characteristics of the Company's repurchase agreements | |||||
Borrowings under repurchase agreements | $ 2,818,837 | $ 3,251,686 | |||
Repurchase agreements borrowings | $ 2,818,837 | $ 3,251,686 | |||
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 3.45% | 1.86% | |||
Weighted Average Remaining Maturity (days) | 54 days | 51 days | |||
Securitized debt, at fair value | $ 949,626 | $ 10,945 | |||
CMSC Trust | |||||
Borrowings Under Repurchase Agreements | |||||
Commercial Pass-Through Certificates, Amount | $ 25,000 | ||||
Trust certificates issued | 24,500 | ||||
Trust certificates, at fair value | $ 24,400 | ||||
Certain characteristics of the Company's repurchase agreements | |||||
Debt Instrument, Interest Rate, Effective Percentage | 8.90% | ||||
VIE | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Securitized debt, at fair value | $ 949,626 | 10,945 | |||
RETL Trust | |||||
Borrowings Under Repurchase Agreements | |||||
Trust certificates issued | 937,800 | ||||
Repurchase agreements | Agency RMBS | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Borrowings under repurchase agreements | $ 14,650 | $ 665,919 | |||
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 3.09% | 1.62% | |||
Weighted Average Remaining Maturity (days) | 21 days | 61 days | |||
Repurchase agreements | Agency CMBS | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Borrowings under repurchase agreements | $ 1,392,649 | $ 2,035,222 | |||
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 2.71% | 1.53% | |||
Weighted Average Remaining Maturity (days) | 40 days | 53 days | |||
Repurchase agreements | Non-Agency RMBS | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Borrowings under repurchase agreements | $ 30,922 | $ 46,530 | |||
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 4.06% | 2.76% | |||
Weighted Average Remaining Maturity (days) | 18 days | 41 days | |||
Repurchase agreements | Agency and Non-Agency CMBS | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Borrowings under repurchase agreements | $ 134,814 | $ 154,325 | |||
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 4.05% | 2.98% | |||
Weighted Average Remaining Maturity (days) | 48 days | 40 days | |||
Repurchase agreements | Whole-Loans and securitized commercial loan | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Borrowings under repurchase agreements | $ 863,356 | $ 189,270 | |||
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 4.08% | 3.66% | |||
Weighted Average Remaining Maturity (days) | 93 days | 8 days | |||
Repurchase agreements | Residential Bridge Loans | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Repurchase agreements borrowings | $ 204,754 | $ 100,183 | |||
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 4.50% | 4.05% | |||
Weighted Average Remaining Maturity (days) | 25 days | 59 days | |||
Repurchase agreements | Commercial Loans | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Repurchase agreements borrowings | $ 131,788 | ||||
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 4.55% | ||||
Weighted Average Remaining Maturity (days) | 26 days | ||||
Repurchase agreements | Securitized commercial loan | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Repurchase agreements borrowings | $ 7,543 | ||||
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 4.30% | ||||
Weighted Average Remaining Maturity (days) | 15 days | ||||
Repurchase agreements | Other securities | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Borrowings under repurchase agreements | $ 38,361 | $ 60,237 | |||
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 4.18% | 2.94% | |||
Weighted Average Remaining Maturity (days) | 26 days | 23 days | |||
Securitized commercial loan | CMSC Trust | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Amount acquired, eliminated in consolidation | $ 14,000 | $ 13,700 | |||
Securitized debt, at fair value | 10,800 | ||||
Securitized commercial loan | RETL Trust | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Amount acquired, eliminated in consolidation | $ 67,800 | ||||
Securitized debt | Securitized commercial loan | CMSC Trust | |||||
Certain characteristics of the Company's repurchase agreements | |||||
Securitized debt, at fair value | 10,800 | ||||
Affiliated Entity | RETL Trust | |||||
Borrowings Under Repurchase Agreements | |||||
Trust certificates issued | 236,000 | ||||
Third Party | RETL Trust | |||||
Borrowings Under Repurchase Agreements | |||||
Trust certificates issued | $ 701,700 |
Financings - Repurchase Agree_2
Financings - Repurchase Agreements Remaining Maturities (Details 2) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | $ 2,818,837 | $ 3,251,686 |
Repurchase agreements borrowings | 2,818,837 | 3,251,686 |
Overnight | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | 0 | 0 |
1 to 29 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | 1,867,957 | 1,387,599 |
30 to 59 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | 144,778 | 665,656 |
60 to 89 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | 555,695 | 871,819 |
90 to 119 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | 0 | 0 |
Greater than or equal to 120 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | $ 250,407 | $ 326,612 |
Financings - Collateral at Risk
Financings - Collateral at Risk Under its Repurchase Agreements Greater than 10% (Details 3) $ in Thousands | 12 Months Ended |
Dec. 31, 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 Collateral at Risk, at fair value | $ 172,786 |
Weighted Average Remaining Maturity | 28 days |
Percentage of Stockholders' Equity (as a percent) | 34.40% |
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 Collateral at Risk, at fair value | $ 81,882 |
Weighted Average Remaining Maturity | 28 days |
Percentage of Stockholders' Equity (as a percent) | 16.30% |
Financings - Collateral Positio
Financings - Collateral Positions (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Collateral Positions | ||
Amount of secured collateral | $ 221,486 | $ 106,673 |
Accrued interest | 19,084 | 12,617 |
Pledged Assets Including Accrued Interest | 3,296,358 | 3,569,911 |
Assets Pledged- Fair Value | 3,277,274 | 3,557,294 |
Due from counterparties | 1,200 | 23,600 |
Due to counterparties | 17,800 | 1,500 |
Securities received as collateral | 5,200 | 306 |
VIE | ||
Collateral Positions | ||
Amount of secured collateral | 221,486 | 106,673 |
VIE | Agency CMBS | ||
Collateral Positions | ||
Amount of secured collateral | 1,486,142 | 2,143,340 |
Accrued interest | 4,262 | 5,454 |
Pledged Assets Including Accrued Interest | 1,490,404 | 2,148,794 |
Repurchase agreements | ||
Collateral Positions | ||
Amount of secured collateral | 3,300,000 | 3,500,000 |
Repurchase agreements | Agency RMBS | ||
Collateral Positions | ||
Amount of secured collateral | 19,837 | 690,255 |
Accrued interest | 453 | 2,601 |
Pledged Assets Including Accrued Interest | 20,290 | 692,856 |
Repurchase agreements | Non-Agency RMBS | ||
Collateral Positions | ||
Amount of secured collateral | 50,555 | 58,127 |
Accrued interest | 479 | 160 |
Pledged Assets Including Accrued Interest | 51,034 | 58,287 |
Repurchase agreements | Non-Agency CMBS | ||
Collateral Positions | ||
Amount of secured collateral | 186,552 | 208,062 |
Accrued interest | 915 | 1,100 |
Pledged Assets Including Accrued Interest | 187,467 | 209,162 |
Repurchase agreements | Whole-Loans and securitized commercial loan | ||
Collateral Positions | ||
Amount of secured collateral | 1,041,885 | 237,423 |
Accrued interest | 8,145 | 1,754 |
Pledged Assets Including Accrued Interest | 1,050,030 | 239,177 |
Repurchase agreements | Residential Bridge Loans | ||
Collateral Positions | ||
Amount of secured collateral | 221,486 | 106,673 |
Accrued interest | 3,528 | 1,443 |
Pledged Assets Including Accrued Interest | 225,014 | 108,116 |
Repurchase agreements | Commercial Loans | ||
Collateral Positions | ||
Amount of secured collateral | 196,123 | |
Accrued interest | 1,067 | |
Pledged Assets Including Accrued Interest | 197,190 | |
Repurchase agreements | Securitized commercial loan | ||
Collateral Positions | ||
Amount of secured collateral | 13,688 | |
Accrued interest | 88 | |
Pledged Assets Including Accrued Interest | 13,776 | |
Repurchase agreements | Other securities | ||
Collateral Positions | ||
Amount of secured collateral | 59,780 | 89,823 |
Accrued interest | 147 | 105 |
Pledged Assets Including Accrued Interest | 59,927 | 89,928 |
Repurchase agreements | Cash | ||
Collateral Positions | ||
Pledged Assets Including Accrued Interest | 1,226 | 23,591 |
Assets Pledged- Fair Value | $ 1,226 | $ 23,591 |
Financings - Convertible Senior
Financings - Convertible Senior Unsecured Notes (Details) - Convertible Debt - 6.75% Convertible Senior Unsecured Notes | 1 Months Ended |
Oct. 31, 2017USD ($)$ / shares | |
Debt Instrument [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 [Member] $ in Thousands | 12 Months Ended |
Dec. 31, 2018USD ($) | |
Debt Instrument [Line Items] | |
Principal Balance | $ 988,609 |
Fair Value | 989,070 |
Class A | |
Debt Instrument [Line Items] | |
Principal Balance | $ 369,109 |
Coupon | 3.60% |
Fair Value | $ 368,366 |
Class B | |
Debt Instrument [Line Items] | |
Principal Balance | $ 119,400 |
Coupon | 4.20% |
Fair Value | $ 119,196 |
Class C | |
Debt Instrument [Line Items] | |
Principal Balance | $ 103,425 |
Coupon | 4.50% |
Fair Value | $ 103,281 |
Class D | |
Debt Instrument [Line Items] | |
Principal Balance | $ 91,425 |
Coupon | 5.20% |
Fair Value | $ 91,297 |
Class E | |
Debt Instrument [Line Items] | |
Principal Balance | $ 124,125 |
Coupon | 7.00% |
Fair Value | $ 123,900 |
Class F | |
Debt Instrument [Line Items] | |
Principal Balance | $ 120,225 |
Coupon | 8.50% |
Fair Value | $ 120,093 |
Class G | |
Debt Instrument [Line Items] | |
Principal Balance | $ 10,050 |
Coupon | 10.00% |
Fair Value | $ 9,985 |
Class HRR | |
Debt Instrument [Line Items] | |
Principal Balance | $ 50,850 |
Coupon | 12.00% |
Fair Value | $ 50,198 |
Class X-CP | |
Debt Instrument [Line Items] | |
Coupon | 2.60% |
Fair Value | $ 468 |
Notional amount of nonderivative instruments | $ 91,400 |
Class X-EXT | |
Debt Instrument [Line Items] | |
Coupon | 0.00% |
Fair Value | $ 2,286 |
Notional amount of nonderivative instruments | $ 91,400 |
Derivative Instruments- Summary
Derivative Instruments- Summary (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Estimated Fair Value | ||
Estimated Fair value, assets | $ 2,606 | $ 728 |
Derivative liabilities | (10,130) | (4,346) |
Derivative instruments not accounted as hedges under GAAP | ||
Estimated Fair Value | ||
Estimated Fair value, assets | 2,606 | 728 |
Derivative liabilities | (10,130) | (4,346) |
Total derivative instruments | (7,524) | (3,618) |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional amount, assets | 1,128,400 | |
Notional amount, liabilities | 2,727,800 | 3,252,200 |
Estimated Fair Value | ||
Estimated Fair value, assets | 2,057 | |
Derivative liabilities | (5,473) | (4,191) |
Equity Option | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional amount, assets | 320,000 | |
Notional amount, liabilities | 320,000 | |
Estimated Fair Value | ||
Estimated Fair value, assets | 100 | |
Derivative liabilities | (50) | |
Futures contracts | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional amount, assets | 480,000 | |
Notional amount, liabilities | 300,400 | |
Estimated Fair Value | ||
Estimated Fair value, assets | 628 | |
Derivative liabilities | (4,657) | |
Credit Default Swap | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional amount, assets | 50,000 | 14,800 |
Notional amount, liabilities | 14,815 | |
Estimated Fair Value | ||
Estimated Fair value, assets | 549 | |
Derivative liabilities | $ 549 | (95) |
TBAs | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional amount, liabilities | 125,000 | |
Estimated Fair Value | ||
Derivative liabilities | $ (10) |
Derivative Instruments - Gains
Derivative Instruments - Gains and Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | $ 7,517 | ||||||||||
Variation Margin Settlement | 0 | ||||||||||
Return (Recovery) of Basis | (10,766) | ||||||||||
Mark-to-Market | $ (10,381) | $ 148,308 | (5,135) | ||||||||
Contractual interest income (expense), net | (12,351) | ||||||||||
Total | $ (54,728) | $ 24,625 | $ 28,490 | $ 79,582 | $ 19,327 | $ 7,217 | $ (18,555) | $ (4,697) | 77,969 | 3,292 | (20,735) |
Collateral already posted, aggregate fair value | $ 38,000 | $ 63,300 | 38,000 | 63,300 | |||||||
Derivative instruments not accounted as hedges under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | 4,363 | (157,261) | |||||||||
Variation Margin Settlement | 76,979 | 20,258 | |||||||||
Return (Recovery) of Basis | (1,196) | (5,471) | |||||||||
Mark-to-Market | (10,381) | 152,465 | |||||||||
Contractual interest income (expense), net | 8,204 | (6,699) | |||||||||
Total | 77,969 | 3,292 | |||||||||
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 | 163 | (150,607) | (33,999) | ||||||||
Variation Margin Settlement | 76,979 | 20,258 | 0 | ||||||||
Return (Recovery) of Basis | 2,465 | 524 | 672 | ||||||||
Mark-to-Market | (5,147) | 148,947 | 11,013 | ||||||||
Contractual interest income (expense), net | 3,693 | (14,606) | (27,903) | ||||||||
Total | 78,153 | 4,516 | (50,217) | ||||||||
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) | (1,035) | |||||||||
Variation Margin Settlement | 0 | 0 | |||||||||
Return (Recovery) of Basis | 0 | 0 | |||||||||
Mark-to-Market | 0 | 1,631 | |||||||||
Contractual interest income (expense), net | 0 | 0 | |||||||||
Total | (115) | 596 | |||||||||
Agency RMBS 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 | 526 | 1,317 | ||||||||
Variation Margin Settlement | 0 | 0 | 0 | ||||||||
Return (Recovery) of Basis | (3,661) | (5,995) | (11,438) | ||||||||
Mark-to-Market | (655) | (902) | (4,726) | ||||||||
Contractual interest income (expense), net | 4,511 | 7,438 | 14,148 | ||||||||
Total | 195 | 1,067 | (699) | ||||||||
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 | (871) | (1,453) | 4,756 | ||||||||
Variation Margin Settlement | 0 | 0 | 0 | ||||||||
Return (Recovery) of Basis | 0 | 0 | 0 | ||||||||
Mark-to-Market | 300 | (300) | 0 | ||||||||
Contractual interest income (expense), net | 0 | 0 | 0 | ||||||||
Total | (571) | (1,753) | 4,756 | ||||||||
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 | 6,112 | (9,130) | 23,609 | ||||||||
Variation Margin Settlement | 0 | 0 | 0 | ||||||||
Return (Recovery) of Basis | 0 | 0 | 0 | ||||||||
Mark-to-Market | (5,285) | 3,044 | (1,781) | ||||||||
Contractual interest income (expense), net | 0 | 0 | 0 | ||||||||
Total | 827 | (6,086) | 21,828 | ||||||||
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 | 32 | (66) | |||||||||
Variation Margin Settlement | 0 | 0 | |||||||||
Return (Recovery) of Basis | 0 | 0 | |||||||||
Mark-to-Market | 35 | (56) | |||||||||
Contractual interest income (expense), net | 0 | 0 | |||||||||
Total | 67 | (122) | |||||||||
Foreign currency 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 | 6,771 | ||||||||||
Variation Margin Settlement | 0 | ||||||||||
Return (Recovery) of Basis | 0 | ||||||||||
Mark-to-Market | (7,168) | ||||||||||
Contractual interest income (expense), net | 283 | ||||||||||
Total | (114) | ||||||||||
Total Return Swap | Derivative instruments not accounted as hedges under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | (552) | 38 | |||||||||
Variation Margin Settlement | 0 | 0 | |||||||||
Return (Recovery) of Basis | 0 | (1,673) | |||||||||
Mark-to-Market | 1,673 | 0 | |||||||||
Contractual interest income (expense), net | 469 | 1,121 | |||||||||
Total | 1,590 | (514) | |||||||||
Credit Default Swap | Derivative instruments not accounted as hedges under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | (241) | (11) | |||||||||
Variation Margin Settlement | 0 | 0 | |||||||||
Return (Recovery) of Basis | 0 | (22) | |||||||||
Mark-to-Market | 396 | 0 | |||||||||
Contractual interest income (expense), net | 0 | 0 | |||||||||
Total | 155 | (33) | |||||||||
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 | (800) | 4,049 | 6,126 | ||||||||
Variation Margin Settlement | 0 | 0 | 0 | ||||||||
Return (Recovery) of Basis | 0 | 0 | 0 | ||||||||
Mark-to-Market | 10 | (10) | (2,375) | ||||||||
Contractual interest income (expense), net | 0 | 0 | 0 | ||||||||
Total | $ (790) | $ 4,039 | $ 3,751 |
Derivative Instruments - Intere
Derivative Instruments - Interest Rate Swaps (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative instruments not accounted as hedges under GAAP | ||
Currency swaps and forwards | ||
Fair Value—Asset (Liability), net | $ (7,524) | $ (3,618) |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Currency swaps and forwards | ||
Notional Amount | $ 3,127,800 | $ 3,252,200 |
Average Fixed Pay Rate | 2.30% | 2.20% |
Average Floating Receive Rate | 2.60% | 1.40% |
Average Maturity (Years) | 6 years | 7 years 1 month |
Forward starting (as a percent) | 46.90% | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate | ||
Currency swaps and forwards | ||
Notional Amount | $ 728,400 | |
Average Fixed Pay Rate | 2.50% | |
Average Floating Receive Rate | 2.40% | |
Average Maturity (Years) | 8 years 3 months 18 days | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 Year or Less | Fixed Pay Rate | ||
Currency swaps and forwards | ||
Notional Amount | $ 400,000 | |
Average Fixed Pay Rate | 1.50% | |
Average Floating Receive Rate | 2.80% | |
Average Maturity (Years) | 6 months | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 Year and less than 3 years | Fixed Pay Rate | ||
Currency swaps and forwards | ||
Notional Amount | $ 200,000 | $ 600,000 |
Average Fixed Pay Rate | 1.80% | 1.60% |
Average Floating Receive Rate | 2.60% | 1.50% |
Average Maturity (Years) | 1 year 4 months 24 days | 1 year 9 months 18 days |
Forward starting (as a percent) | 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 | ||
Currency swaps and forwards | ||
Notional Amount | $ 1,104,700 | $ 960,000 |
Average Fixed Pay Rate | 2.30% | 2.00% |
Average Floating Receive Rate | 2.50% | 1.40% |
Average Maturity (Years) | 3 years 9 months 18 days | 4 years 3 months 18 days |
Forward starting (as a percent) | 0.00% | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Fixed Pay Rate | ||
Currency swaps and forwards | ||
Notional Amount | $ 1,423,100 | $ 1,692,200 |
Average Fixed Pay Rate | 2.50% | 2.50% |
Average Floating Receive Rate | 2.50% | 1.40% |
Average Maturity (Years) | 9 years 10 months 24 days | 10 years 6 months |
Forward starting (as a percent) | 90.20% | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Variable Pay Rate | ||
Currency swaps and forwards | ||
Notional Amount | $ 728,400 | |
Average Fixed Pay Rate | 2.50% | |
Average Floating Receive Rate | 2.40% | |
Average Maturity (Years) | 8 years 3 months 18 days | |
Forward starting interest rate swap | ||
Currency swaps and forwards | ||
Notional Amount | $ 1,500,000 | |
Derivative instrument, weighted average forward starting date | 4 months 16 days |
Derivative Instruments- Currenc
Derivative Instruments- Currency Swaps and Forwards (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Derivative assets | $ 2,606 | $ 728 |
Derivative liability, at fair value | (10,130) | (4,346) |
Derivative instruments not accounted as hedges under GAAP | ||
Derivative [Line Items] | ||
Derivative assets | 2,606 | 728 |
Derivative liability, at fair value | (10,130) | (4,346) |
Total derivative instruments | (7,524) | (3,618) |
Equity Option | Derivative instruments not accounted as hedges under GAAP | ||
Derivative [Line Items] | ||
Notional amount, assets | 320,000 | |
Notional amount, liabilities | (320,000) | |
Derivative assets | 100 | |
Derivative liability, at fair value | (50) | |
Long | Equity Option | ||
Derivative [Line Items] | ||
Notional amount, assets | 320,000 | |
Derivative assets | 100 | |
Long | Us Treasury Futures | ||
Derivative [Line Items] | ||
Derivative assets | (4,700) | |
Derivative liability, at fair value | (628) | |
Notional Amount | 300,400 | |
Short | Equity Option | ||
Derivative [Line Items] | ||
Notional amount, liabilities | (320,000) | |
Derivative liability, at fair value | $ (50) | |
Short | Us Treasury Futures | ||
Derivative [Line Items] | ||
Notional Amount | $ 480,000 |
Derivative Instruments - TBAs (
Derivative Instruments - TBAs (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Currency swaps and forwards | ||
Derivative assets | $ 2,606 | $ 728 |
Derivative liability, at fair value | (10,130) | (4,346) |
Derivative instruments not accounted as hedges under GAAP | ||
Currency swaps and forwards | ||
Derivative assets | 2,606 | 728 |
Derivative liability, at fair value | (10,130) | (4,346) |
Derivative, fair value, net | (7,524) | (3,618) |
TBAs | Derivative instruments not accounted as hedges under GAAP | ||
Currency swaps and forwards | ||
Notional amount, liabilities | 125,000 | |
Derivative liability, at fair value | (10) | |
TBAs | Derivative instruments not accounted as hedges under GAAP | Long | ||
Changes in notional amount | ||
Notional Amount at the beginning of the period | 125,000 | 0 |
Additions | 7,725,000 | 5,843,200 |
Settlement, Termination, Expiration or Exercise | (7,850,000) | (5,718,200) |
Notional Amount at the end of the period | 0 | 125,000 |
TBAs | Derivative instruments not accounted as hedges under GAAP | Short | ||
Changes in notional amount | ||
Notional Amount at the beginning of the period | 0 | 0 |
Additions | 7,850,000 | 5,718,200 |
Settlement, Termination, Expiration or Exercise | (7,850,000) | (5,718,200) |
Notional Amount at the end of the period | $ 0 | 0 |
To Be Announced Purchase Contracts | Derivative instruments not accounted as hedges under GAAP | ||
Currency swaps and forwards | ||
Derivative liability, notional amount, net | 125,000 | |
Derivative liability, at fair value | $ (10) |
Derivative Instruments Derivati
Derivative Instruments Derivative Instruments - Credit Default Swaps (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Derivative liabilities | $ (10,130) | $ (4,346) |
Derivative instruments not accounted as hedges under GAAP | ||
Derivative [Line Items] | ||
Derivative liabilities | (10,130) | (4,346) |
Derivative instruments not accounted as hedges under GAAP | Credit Default Swap | ||
Derivative [Line Items] | ||
Notional amount, assets | 50,000 | 14,800 |
Derivative liabilities | $ 549 | $ (95) |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Offsetting of Derivative Assets | ||
Gross Amounts | $ 14,466 | $ 16,904 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 14,466 | 16,904 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Financial Instruments | (13,917) | (11,683) |
Cash Collateral | 0 | 0 |
Net Amount | 549 | 5,221 |
Gross amounts of derivative liability, fair value, gross liability | 10,130 | 4,346 |
Derivative liabilities, net amounts of assets presented in consolidated balance sheets | 10,130 | 4,346 |
Financial instruments, derivative liability, at fair value | (2,057) | (50) |
Cash collateral, derivative liability, at fair value | (8,073) | (4,270) |
Net Amount | 0 | 26 |
Gross amounts of repurchase agreements | 2,818,837 | 3,251,686 |
Repurchase agreement, net amounts of assets presented in consolidated balance sheets | 2,818,837 | 3,251,686 |
Financial instruments, repurchase agreements | (2,818,837) | (3,251,686) |
Gross amounts of derivative liability | 2,828,967 | 3,256,032 |
Derivative liability, net amounts of assets presented in consolidated balance sheets | 2,828,967 | 3,256,032 |
Derivative liability, financial instruments | (2,820,894) | (3,251,736) |
Derivative liability, net amount | 0 | 26 |
Derivative liability, cash collateral pledged | 38,000 | 63,300 |
Fair value of investments pledged against repurchase agreements | 3,300,000 | 3,500,000 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Offsetting of Derivative Assets | ||
Gross Amounts | 11,860 | 16,176 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 11,860 | 16,176 |
Financial Instruments | (11,860) | (11,633) |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Net Amount | 0 | 4,543 |
Derivative asset | ||
Offsetting of Derivative Assets | ||
Gross Amounts | 2,606 | 728 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 2,606 | 728 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Financial Instruments | (2,057) | (50) |
Cash Collateral | 0 | 0 |
Net Amount | $ 549 | $ 678 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||
Sep. 30, 2018 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Sep. 30, 2018 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Related Party Transactions | |||||||||||||
Proceeds from issuance of common stock | $ 64,880 | $ 0 | $ 0 | ||||||||||
Management fees | $ 1,950 | $ 2,284 | $ 2,259 | $ 2,180 | $ 1,941 | $ 1,853 | $ 1,830 | $ 2,476 | |||||
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 | ||||||||||||
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 | $ 8,700 | 8,100 | 10,400 | ||||||||||
Reimbursable employee costs | 1,500 | 1,400 | $ 740 | ||||||||||
Management fees incurred but not yet paid | 4,200 | 1,900 | 4,200 | 1,900 | |||||||||
Accounts payable, related parties | $ 379 | $ 99 | $ 379 | $ 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 [Member] | |||||||||||||
Related Party Transactions | |||||||||||||
Sale of stock, number of shares issued in transaction | 6,500,000 | 6,500,000 | |||||||||||
Proceeds from issuance of common stock | $ 67,700 |
Share-Based Payments (Details)
Share-Based Payments (Details) $ / shares in Units, $ in Thousands | Jun. 07, 2018directorshares | Jun. 01, 2017shares | Jun. 04, 2015director | Dec. 31, 2018USD ($)$ / sharesshares | Dec. 31, 2017USD ($)$ / sharesshares | Dec. 31, 2016USD ($)$ / sharesshares | Jun. 30, 2016shares |
Share-Based Payments | |||||||
Shares authorized (as a percent) | 3.00% | ||||||
Shares reserved for issuance under the Equity plan (in shares) | 1,423,609 | ||||||
Number of shares remained available for issuance (in shares) | 669,636 | ||||||
Stock-based compensation expense recognized | $ | $ 265 | $ 981 | $ 1,700 | ||||
Restricted common stock | |||||||
Share-Based Payments | |||||||
Vested (in shares) | 84,203 | 152,630 | 200,983 | ||||
Shares of Restricted Stock | |||||||
Restricted Stock Shares Outstanding, beginning of period | 725,449 | 707,861 | |||||
Granted (in shares) | 28,524 | 17,588 | 753,973 | ||||
Restricted Stock Shares Outstanding, end of period | 753,973 | 725,449 | 707,861 | ||||
Unvested at end of year (in shares) | 27,476 | 83,155 | |||||
Weighted Average Grant Date Fair Value | |||||||
Outstanding at beginning of period (in dollars per share) | $ / shares | $ 17 | $ 17.17 | |||||
Granted (in dollars per share) | $ / shares | 10.75 | 10.30 | |||||
Outstanding at end of year (in dollars per share) | $ / shares | 16.77 | 17 | $ 17.17 | ||||
Unvested at end of year (in dollars per share) | $ / shares | $ 10.78 | $ 14.07 | |||||
Restricted common stock | Director Deferred Fee Plan | |||||||
Shares of Restricted Stock | |||||||
Granted (in shares) | 2,620 | 2,052 | |||||
Restricted common stock | March 2018 | |||||||
Shares of Restricted Stock | |||||||
Unvested at end of year (in shares) | 0 | 66,667 | |||||
Restricted common stock | June 2018 | |||||||
Shares of Restricted Stock | |||||||
Unvested at end of year (in shares) | 0 | 16,488 | |||||
Restricted common stock | June 2019 | |||||||
Shares of Restricted Stock | |||||||
Unvested at end of year (in shares) | 27,476 | 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 | 4 | |||||
Shares of Restricted Stock | |||||||
Granted (in shares) | 25,904 | 15,536 | |||||
Equity awards | |||||||
Share-Based Payments | |||||||
Unamortized compensation expense | $ | $ 117 | $ 66 | |||||
Liability awards | |||||||
Share-Based Payments | |||||||
Unamortized compensation expense | $ | $ 0 | $ 111 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands | Jan. 25, 2019 | Dec. 19, 2018 | 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. 30, 2017 | Apr. 26, 2017 | Mar. 23, 2017 | Jan. 26, 2017 | Dec. 22, 2016 | Oct. 25, 2016 | Sep. 22, 2016 | Jul. 26, 2016 | Jun. 23, 2016 | Apr. 26, 2016 | Mar. 24, 2016 | Sep. 30, 2018 | Sep. 30, 2018 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | 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 | |||||||||||||||||||||||||||||||
Number of warrant shares purchasable (in shares) | 1,232,916 | |||||||||||||||||||||||||||||||
Shares authorized to be repurchased | 2,100,000 | 2,050,000 | ||||||||||||||||||||||||||||||
Proceeds from issuance of common stock | $ 64,880 | $ 0 | $ 0 | |||||||||||||||||||||||||||||
Payments of stock issuance costs | $ 195 | $ 94 | $ 0 | |||||||||||||||||||||||||||||
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 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.45 | ||||||||||||||||||||
Dividends paid per Share of Common Stock (in dollars per share) | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.45 | |||||||||||||||||||||
Institutional investors | ||||||||||||||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||||||||||||||
Number of warrant units authorized to be sold | 2,231,787 | |||||||||||||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||||||||||||||
Treasury stock (in shares) | 177,700 | 125,722 | ||||||||||||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||||||||||||||
Equity distribution agreement, maximum value | $ 100,000 | |||||||||||||||||||||||||||||||
Treasury stock (in shares) | (125,722) | 125,722 | ||||||||||||||||||||||||||||||
Secondary Offering [Member] | ||||||||||||||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||||||||||||||
Sale of stock, number of shares issued in transaction | 6,500,000 | 6,500,000 | ||||||||||||||||||||||||||||||
Treasury stock reissued | 303,422 | |||||||||||||||||||||||||||||||
Sale of stock, price per share (in dollars per share) | $ 10.85 | $ 10.85 | ||||||||||||||||||||||||||||||
Proceeds from issuance of common stock | $ 67,700 | |||||||||||||||||||||||||||||||
Payments of stock issuance costs | $ 2,800 | |||||||||||||||||||||||||||||||
Subsequent Event | ||||||||||||||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||||||||||||||
Dividends paid per Share of Common Stock (in dollars per share) | $ 0.31 |
Net Income (Loss) per Common _3
Net Income (Loss) per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Numerator: | |||||||||||
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share | $ (17,655) | $ 20,882 | $ 1,453 | $ 21,729 | $ 21,404 | $ 22,767 | $ 20,684 | $ 20,242 | $ 26,409 | $ 85,097 | $ (25,015) |
Less: Dividends and undistributed earnings allocated to participating securities | 138 | 312 | 377 | ||||||||
Net income (loss) allocable to common stockholders - basic and diluted | $ 26,271 | $ 84,785 | $ (25,392) | ||||||||
Denominator: | |||||||||||
Weighted average common shares outstanding for basic earnings per share | 43,388,810 | 41,817,455 | 41,688,950 | ||||||||
Weighted average common shares outstanding for diluted earnings per share | 43,388,810 | 41,817,455 | 41,688,950 | ||||||||
Net income (loss) per common share - basic (in dollars per share) | $ (0.37) | $ 0.50 | $ 0.03 | $ 0.52 | $ 0.51 | $ 0.54 | $ 0.49 | $ 0.48 | $ 0.61 | $ 2.03 | $ (0.61) |
Net income (loss) per common share - diluted (in dollars per share) | $ (0.37) | $ 0.50 | $ 0.03 | $ 0.52 | $ 0.51 | $ 0.54 | $ 0.49 | $ 0.48 | $ 0.61 | $ 2.03 | $ (0.61) |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |||||||||||
Current income tax expense (benefit) | $ 709 | $ 3,809 | $ 3,156 | ||||||||
Excise tax expense | 0 | 0 | 339 | ||||||||
Income Tax Contingency [Line Items] | |||||||||||
Income tax provision (benefit) | $ 154 | $ 206 | $ 36 | $ 313 | $ 2,215 | $ (1,155) | $ 2,115 | $ 312 | 709 | 3,487 | $ 3,156 |
Net capital loss carry-forward | 4,271 | 4,158 | 4,271 | 4,158 | |||||||
Net operating loss available for carry-back and carry-forward | 6,503 | 9,604 | 6,503 | 9,604 | |||||||
Deferred Tax Assets, Valuation Allowance | 12,087 | 15,303 | 12,087 | 15,303 | |||||||
Net deferred tax liability | 85 | 85 | 85 | 85 | |||||||
Tax Year 2015 [Member] | |||||||||||
Income Tax Contingency [Line Items] | |||||||||||
Income tax provision (benefit) | 2,000 | ||||||||||
State and Local Jurisdiction [Member] | |||||||||||
Income Tax Contingency [Line Items] | |||||||||||
Net operating loss available for carry-back and carry-forward | 8,800 | 8,800 | |||||||||
Domestic Tax Authority [Member] | |||||||||||
Income Tax Contingency [Line Items] | |||||||||||
Net deferred tax liability | 85 | 85 | |||||||||
Taxable REIT Subsidiary [Member] | |||||||||||
Income Tax Contingency [Line Items] | |||||||||||
Net capital loss carry-forward | 6,000 | 6,000 | |||||||||
Taxable REIT Subsidiary [Member] | State and Local Jurisdiction [Member] | |||||||||||
Income Tax Contingency [Line Items] | |||||||||||
Net operating loss available for carry-back and carry-forward | 993 | 765 | 993 | 765 | |||||||
Operating Loss Carryforwards [Member] | |||||||||||
Income Tax Contingency [Line Items] | |||||||||||
Deferred Tax Assets, Valuation Allowance | $ 6,100 | $ 9,200 | $ 6,100 | $ 9,200 |
Income Taxes Components of Inco
Income Taxes Components of Income Tax Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Current Tax Provision (Benefit) | |||||||||||
Federal | $ 709 | $ 4,076 | $ 2,365 | ||||||||
State | 0 | (267) | 672 | ||||||||
Interest and Penalties | 0 | 0 | 119 | ||||||||
Total Current Provision for Income Taxes, net | 709 | 3,809 | 3,156 | ||||||||
Deferred Provision (Benefit) for Income Taxes | |||||||||||
Federal | 0 | 85 | 0 | ||||||||
State | 0 | (407) | 0 | ||||||||
Total Deferred Benefit for Income Taxes, net | 0 | (322) | 0 | ||||||||
Income Tax Expense (Benefit) | $ 154 | $ 206 | $ 36 | $ 313 | $ 2,215 | $ (1,155) | $ 2,115 | $ 312 | $ 709 | $ 3,487 | $ 3,156 |
Income Taxes Deferred Tax Asset
Income Taxes Deferred Tax Asset/Liability (Details) - USD ($) $ in Thousands | Dec. 31, 2018 | Dec. 31, 2017 |
Deferred Tax Assets, Net [Abstract] | ||
Net operating loss available for carry-back and carry-forward | $ 6,503 | $ 9,604 |
Net capital loss carry-forward | 4,271 | 4,158 |
Investments | 1,720 | 1,948 |
Deferred tax asset | 12,494 | 15,710 |
Allowance | (12,087) | (15,303) |
Net deferred tax asset | 407 | 407 |
Deferred Tax Liabilities, Net [Abstract] | ||
Net operating loss available for carry-back and carry-forward | 85 | 85 |
Net deferred tax liability | $ 85 | $ 85 |
Income Taxes Effective Income T
Income Taxes Effective Income Tax Rate Reconciliation (Details) | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2017 | |
Effective Income Tax Rate Reconciliation, Percent [Abstract] | ||
Federal statutory rate | 21.00% | 34.30% |
State statutory rate, net of federal benefit | 1.50% | (1.30%) |
Other | (0.80%) | (1.00%) |
Change in valuation allowance | (1.30%) | 0.80% |
Effect of statutory rate changes | 0.00% | 2.90% |
REIT earnings not subject to corporate taxes | (17.80%) | (31.80%) |
Effective Tax Rate | 2.60% | 3.90% |
Summarized Quarterly Results _3
Summarized Quarterly Results (unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Net Interest Income | |||||||||||
Interest income | $ 58,020 | $ 54,461 | $ 57,154 | $ 39,727 | $ 34,878 | $ 30,928 | $ 30,055 | $ 28,430 | $ 209,362 | $ 124,291 | $ 123,756 |
Interest expense (includes $13,739, $981 and $998 on securitized debt held by affiliates, respectively) | 40,892 | 38,517 | 38,134 | 20,697 | 16,866 | 12,363 | 10,407 | 8,737 | 138,240 | 48,373 | 32,430 |
Net Interest Income | 17,128 | 15,944 | 19,020 | 19,030 | 18,012 | 18,565 | 19,648 | 19,693 | 71,122 | 75,918 | 91,326 |
Other Income (Loss) | |||||||||||
Realized gain (loss) on sale of investments, net | (33,995) | (24,229) | (5,608) | 575 | (2) | 1,830 | (2,488) | 21,258 | (63,257) | 20,598 | (21,991) |
Other than temporary impairment | (2,757) | (2,533) | (2,974) | (2,916) | (2,972) | (7,225) | (6,579) | (6,097) | (11,180) | (22,873) | (32,286) |
Unrealized gain (loss), net | (6,730) | 5,249 | 35,017 | (5,140) | |||||||
Unrealized gain (loss), net | 62,855 | 13,128 | (31,693) | (68,961) | |||||||
Gain (loss) on derivative instruments, net | (54,728) | 24,625 | 28,490 | 79,582 | 19,327 | 7,217 | (18,555) | (4,697) | 77,969 | 3,292 | (20,735) |
Other, net | (89) | (2) | (145) | 47 | 190 | 216 | 222 | 403 | |||
Other Income (Loss) | (28,714) | 10,989 | (11,930) | 8,327 | 9,813 | 7,287 | 7,617 | 5,727 | (189) | 1,031 | 180 |
Expenses | |||||||||||
Management fee to affiliate | 1,950 | 2,284 | 2,259 | 2,180 | 1,941 | 1,853 | 1,830 | 2,476 | |||
Other operating expenses | 1,943 | 1,609 | 1,555 | 969 | 564 | 702 | 736 | 417 | 6,076 | 2,419 | 1,045 |
Compensation expense | 552 | 552 | 572 | 510 | 628 | 660 | 664 | 740 | 2,186 | 2,692 | 3,022 |
Professional fees | 1,121 | 1,065 | 818 | 1,295 | 741 | 781 | 832 | 888 | 4,299 | 3,242 | 4,814 |
Other general and administrative expenses | 349 | 335 | 397 | 361 | 332 | 244 | 404 | 345 | 1,442 | 1,325 | 1,917 |
Total general and administrative expenses | 2,022 | 1,952 | 1,787 | 2,166 | 1,701 | 1,685 | 1,900 | 1,973 | 7,927 | 7,259 | 9,753 |
Total Expenses | 5,915 | 5,845 | 5,601 | 5,315 | 4,206 | 4,240 | 4,466 | 4,866 | 22,676 | 17,778 | 21,246 |
Income (loss) before income taxes | (17,501) | 21,088 | 1,489 | 22,042 | 23,619 | 21,612 | 22,799 | 20,554 | 27,118 | 88,584 | (21,859) |
Income tax provision (benefit) | 154 | 206 | 36 | 313 | 2,215 | (1,155) | 2,115 | 312 | 709 | 3,487 | 3,156 |
Net income (loss) | $ (17,655) | $ 20,882 | $ 1,453 | $ 21,729 | $ 21,404 | $ 22,767 | $ 20,684 | $ 20,242 | $ 26,409 | $ 85,097 | $ (25,015) |
Net income (loss) per common share - basic (in dollars per share) | $ (0.37) | $ 0.50 | $ 0.03 | $ 0.52 | $ 0.51 | $ 0.54 | $ 0.49 | $ 0.48 | $ 0.61 | $ 2.03 | $ (0.61) |
Net income (loss) per common share - diluted (in dollars per share) | $ (0.37) | $ 0.50 | $ 0.03 | $ 0.52 | $ 0.51 | $ 0.54 | $ 0.49 | $ 0.48 | $ 0.61 | $ 2.03 | $ (0.61) |
Schedule IV Mortgage Loans on R
Schedule IV Mortgage Loans on Real Estate (Details) | 12 Months Ended | |||
Dec. 31, 2018USD ($)loan | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2018USD ($) | |
Mortgage Loans on Real Estate | ||||
Principal balance | $ 2,475,278,000 | |||
Carrying Amount of Mortgages | $ 368,972,000 | $ 216,361,000 | $ 243,538,000 | 2,493,238,000 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | 5,127,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Beginning balance | 368,972,000 | 216,361,000 | 243,538,000 | |
New mortgage loans | 2,901,479,000 | 232,545,000 | 29,399,000 | |
Unrealized gains | 631,000 | 3,167,000 | 1,187,000 | |
Collections of principal | 769,748,000 | 80,550,000 | 53,714,000 | |
Amortization of premium and (discounts) | 5,692,000 | 1,470,000 | 2,044,000 | |
Unrealized losses | 2,356,000 | 1,081,000 | 2,005,000 | |
Realized losses | 48,000 | 0 | 0 | |
Balance at end of period | $ 2,493,238,000 | $ 368,972,000 | $ 216,361,000 | |
Original Loan Amount 25,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 9.00% | |||
Principal balance | 25,000,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 4.50% | |||
Principal balance | 0 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.00% | |||
Principal balance | 249,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 4.50% | |||
Principal balance | 250,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.50% | |||
Principal balance | 499,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 4.50% | |||
Principal balance | 500,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.00% | |||
Principal balance | 749,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 4.50% | |||
Principal balance | 750,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.00% | |||
Principal balance | 999,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 4.00% | |||
Principal balance | 1,000,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.90% | |||
Principal balance | 1,249,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 4.80% | |||
Principal balance | 1,250,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.80% | |||
Principal balance | 1,499,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 4.80% | |||
Principal balance | 1,500,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.90% | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.40% | |||
Principal balance | 0 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.80% | |||
Principal balance | 249,999 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 4.00% | |||
Principal balance | 250,000 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.30% | |||
Principal balance | 499,999 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.50% | |||
Principal balance | 500,000 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.10% | |||
Principal balance | 749,999 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.50% | |||
Principal balance | 1,000,000 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.50% | |||
Principal balance | 1,249,999 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.40% | |||
Principal balance | 1,250,000 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.70% | |||
Principal balance | 1,499,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 3.80% | |||
Principal balance | 0 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 8.40% | |||
Principal balance | 249,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 3.80% | |||
Principal balance | 250,000 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 7.20% | |||
Principal balance | 499,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 3.90% | |||
Principal balance | 500,000 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.10% | |||
Principal balance | 749,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.00% | |||
Principal balance | 1,000,000 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.30% | |||
Principal balance | 1,249,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.60% | |||
Principal balance | 1,250,000 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.30% | |||
Principal balance | 1,499,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 1,500,000 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 8.00% | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 10.00% | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Balance $25,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Period for interest only payments | 2 years | |||
Amortization schedule | 2 years | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Balance 45,185,500 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 45,187,500 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 115,500,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 115,500,000 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 5,744,800 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 5,744,800 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 20,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 20,000,000 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 30,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 30,000,000 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 1,350,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 1,350,000,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 1,245,781,000 | |||
Carrying Amount of Mortgages | $ 1,263,604,000 | 1,263,604,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,263,604,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 394 | |||
Principal balance | 66,916,000 | |||
Carrying Amount of Mortgages | $ 68,261,000 | 68,261,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 68,261,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 765 | |||
Principal balance | 263,675,000 | |||
Carrying Amount of Mortgages | $ 268,907,000 | 268,907,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 268,907,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 236 | |||
Principal balance | 135,510,000 | |||
Carrying Amount of Mortgages | $ 138,123,000 | 138,123,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 138,123,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 105 | |||
Principal balance | 86,322,000 | |||
Carrying Amount of Mortgages | $ 88,042,000 | 88,042,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 88,042,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 26 | |||
Principal balance | 28,689,000 | |||
Carrying Amount of Mortgages | $ 29,343,000 | 29,343,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 29,343,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 6 | |||
Principal balance | 7,836,000 | |||
Carrying Amount of Mortgages | $ 8,028,000 | 8,028,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 8,028,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 21 | |||
Principal balance | 41,428,000 | |||
Carrying Amount of Mortgages | $ 42,512,000 | 42,512,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 42,512,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 6 | |||
Principal balance | 941,000 | |||
Carrying Amount of Mortgages | $ 965,000 | 965,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 965,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 6 | |||
Principal balance | 2,163,000 | |||
Carrying Amount of Mortgages | $ 2,230,000 | 2,230,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 2,230,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 2 | |||
Principal balance | 1,086,000 | |||
Carrying Amount of Mortgages | $ 1,120,000 | 1,120,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,120,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 467,000 | |||
Carrying Amount of Mortgages | $ 485,000 | 485,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 485,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 2 | |||
Principal balance | 1,369,000 | |||
Carrying Amount of Mortgages | $ 1,406,000 | 1,406,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,406,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | ||||
Mortgage Loans on Real Estate | ||||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 5,127,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 460 | |||
Principal balance | 74,360,000 | |||
Carrying Amount of Mortgages | $ 75,382,000 | 75,382,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 75,382,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 623 | |||
Principal balance | 216,989,000 | |||
Carrying Amount of Mortgages | $ 219,521,000 | 219,521,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 219,521,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 97 | |||
Principal balance | 55,582,000 | |||
Carrying Amount of Mortgages | $ 56,374,000 | 56,374,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 56,374,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 12 | |||
Principal balance | 10,829,000 | |||
Carrying Amount of Mortgages | $ 11,039,000 | 11,039,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 11,039,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 6 | |||
Principal balance | 6,193,000 | |||
Carrying Amount of Mortgages | $ 6,357,000 | 6,357,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 6,357,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 6 | |||
Principal balance | 7,684,000 | |||
Carrying Amount of Mortgages | $ 7,882,000 | 7,882,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 7,882,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 8 | |||
Principal balance | 15,487,000 | |||
Carrying Amount of Mortgages | $ 15,896,000 | 15,896,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 15,896,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 256 | |||
Principal balance | 41,658,000 | |||
Carrying Amount of Mortgages | $ 41,373,000 | 41,373,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 967,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 41,373,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 0.00% | |||
Principal balance | 0 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 18.00% | |||
Principal balance | 249,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 122 | |||
Principal balance | 41,359,000 | |||
Carrying Amount of Mortgages | $ 41,269,000 | 41,269,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,362,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 41,269,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.30% | |||
Principal balance | 250,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 18.00% | |||
Principal balance | 499,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 57 | |||
Principal balance | 34,361,000 | |||
Carrying Amount of Mortgages | $ 34,385,000 | 34,385,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 700,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 34,385,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.30% | |||
Principal balance | 500,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 13.00% | |||
Principal balance | 749,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 43 | |||
Principal balance | 35,760,000 | |||
Carrying Amount of Mortgages | $ 35,886,000 | 35,886,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 803,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 35,886,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 7.30% | |||
Principal balance | 750,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 18.00% | |||
Principal balance | 999,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 18 | |||
Principal balance | 18,045,000 | |||
Carrying Amount of Mortgages | $ 18,103,000 | 18,103,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 18,103,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 7.30% | |||
Principal balance | 1,000,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 10.00% | |||
Principal balance | 1,249,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 4 | |||
Principal balance | 5,420,000 | |||
Carrying Amount of Mortgages | $ 5,321,000 | 5,321,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,295,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 5,321,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 9.00% | |||
Principal balance | 1,250,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 10.80% | |||
Principal balance | 1,499,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 20 | |||
Principal balance | 45,652,000 | |||
Carrying Amount of Mortgages | $ 45,394,000 | 45,394,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 45,394,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Minimum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 7.50% | |||
Principal balance | 1,500,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Maximum | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 10.00% | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 216,432,000 | |||
Carrying Amount of Mortgages | $ 216,123,000 | 216,123,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 216,123,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Balance 45,185,500 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 45,187,000 | |||
Carrying Amount of Mortgages | $ 45,187,000 | 45,187,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 45,187,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 115,500,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 115,500,000 | |||
Carrying Amount of Mortgages | $ 115,191,000 | 115,191,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 115,191,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 5,744,800 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 5,745,000 | |||
Carrying Amount of Mortgages | $ 5,745,000 | 5,745,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 5,745,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 20,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 20,000,000 | |||
Carrying Amount of Mortgages | $ 20,000,000 | 20,000,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 20,000,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 30,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 30,000,000 | |||
Carrying Amount of Mortgages | $ 30,000,000 | 30,000,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | 30,000,000 | |||
Securitized commercial loan | Commercial Mezzanine Loan Held in Securitization Trust | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 1,013,065,000 | |||
Carrying Amount of Mortgages | 1,013,511,000 | 1,013,511,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,013,511,000 | |||
Securitized commercial loan | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 1,350,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 988,609,000 | |||
Carrying Amount of Mortgages | $ 989,069,000 | 989,069,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 989,069,000 | |||
Securitized commercial loan | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 25,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 24,456,000 | |||
Carrying Amount of Mortgages | $ 24,442,000 | $ 24,442,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 24,442,000 | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Balance 45,185,500 | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 4.25% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 115,500,000 | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.30% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 5,744,800 | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 5.25% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 20,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 6.50% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 30,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 4.50% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 1,350,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Interest Rate | 9.50% |