Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2019 | Nov. 05, 2019 | |
Document and Entity Information | ||
Entity Registrant Name | Western Asset Mortgage Capital Corp | |
Entity Central Index Key | 0001465885 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2019 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 53,224,379 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q3 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 | |
Assets: | |||
Cash and cash equivalents | $ 50,157 | $ 21,987 | |
Restricted cash | 36,456 | 55,808 | |
Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively) | 1,209,237 | 1,041,885 | |
Residential Bridge Loans ($48,054 and $211,999 at fair value and $50,675 and $221,486 pledged as collateral, respectively) | 53,373 | 221,719 | |
Securitized commercial loans, at fair value | 701,835 | 1,013,511 | |
Commercial Loans, at fair value ($422,032 and $196,123 pledged as collateral, at fair value, respectively) | 442,032 | 216,123 | |
Investment related receivable | 32,033 | 42,945 | |
Interest receivable | 18,801 | 21,959 | |
Due from counterparties | 90,156 | 39,623 | |
Derivative assets, at fair value | 4,037 | 2,606 | |
Other assets | 5,505 | 2,488 | |
Total assets | [1] | 5,254,481 | 4,497,395 |
Liabilities: | |||
Repurchase agreements, net | 2,925,108 | 2,818,837 | |
Convertible senior unsecured notes, net | 148,542 | 110,060 | |
Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively) | 1,466,841 | 949,626 | |
Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively) | 9,734 | 8,532 | |
Investment related payables | 71,146 | 0 | |
Due to counterparties | 2,096 | 17,781 | |
Derivative liability, at fair value | 8,088 | 10,130 | |
Accounts payable and accrued expenses | 3,585 | 3,858 | |
Payable to affiliate | 2,026 | 4,615 | |
Dividend payable | 16,499 | 14,916 | |
Other liabilities | 36,456 | 56,031 | |
Total liabilities | [2] | 4,690,121 | 3,994,386 |
Commitments and contingencies | |||
Stockholders’ Equity: | |||
Common stock: $0.01 par value, 500,000,000 shares authorized, 53,224,379 and 48,116,379 outstanding, respectively | 532 | 481 | |
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding | 0 | 0 | |
Additional paid-in capital | 884,978 | 833,810 | |
Retained earnings (accumulated deficit) | (321,150) | (331,282) | |
Total Stockholders’ Equity | 564,360 | 503,009 | |
Total Liabilities and Stockholders’ Equity | 5,254,481 | 4,497,395 | |
Agency MBS | |||
Assets: | |||
Securities, at fair value | 2,188,844 | 1,505,979 | |
Non-Agency MBS | |||
Assets: | |||
Securities, at fair value | 339,003 | 250,856 | |
Other securities | |||
Assets: | |||
Securities, at fair value | $ 83,012 | $ 59,906 | |
[1] | (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents1,959674Restricted cash36,45655,808Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively)1,209,2371,041,885Residential Bridge Loans ($48,054 and $211,999 at fair value and $50,675 and $221,486 pledged as collateral, respectively)50,675221,486Securitized commercial loans, at fair value701,8351,013,511Commercial Loans, at fair value ($422,032 and $196,123 pledged as collateral, at fair value, respectively)212,032196,123Investment related receivable32,03342,945Interest receivable9,71215,540Other assets253178Total assets of consolidated VIEs2,254,1922,588,150Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively)1,209,2371,041,885Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively)46,159211,766Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively)50,675221,486Commercial Loans, at fair value ($422,032 and $196,123 pledged as collateral, at fair value, respectively)212,032196,123 | ||
[2] | (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively)1,466,841949,626Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively)3,7142,419Accounts payable and accrued expenses288708Other liabilities36,45656,033Total liabilities of consolidated VIEs1,507,2991,008,786Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively)612,282949,626Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively)75,095246,802Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively)386816 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Fair value of residential whole-loans pledged as collateral | $ 1,209,237 | $ 1,041,885 |
Residential bridge loan, at fair value | $ 48,054 | $ 211,999 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 |
Common stock, shares outstanding (in shares) | 53,224,379 | 48,116,379 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
Preferred stock, shares outstanding (in shares) | 0 | 0 |
Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively) | $ 50,675 | $ 221,486 |
Commercial Loans, at fair value ($422,032 and $196,123 pledged as collateral, at fair value, respectively) | 442,032 | 216,123 |
Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively) | 1,466,841 | 949,626 |
Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively) | 9,734 | 8,532 |
VIE | ||
Fair value of residential whole-loans pledged as collateral | 1,209,237 | 1,041,885 |
Residential bridge loan, at fair value | 46,159 | 211,766 |
Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively) | 50,675 | 221,486 |
Commercial Loans, at fair value ($422,032 and $196,123 pledged as collateral, at fair value, respectively) | 212,032 | 196,123 |
Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively) | 1,466,841 | 949,626 |
Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively) | 3,714 | 2,419 |
Non-Agency MBS | ||
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars) | 317,690 | 237,107 |
Other securities | ||
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars) | 82,875 | 59,780 |
Agency MBS | ||
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars) | 2,119,013 | 1,505,979 |
Affiliated Entity | ||
Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively) | 75,095 | 246,802 |
Securitized debt | 612,282 | 949,626 |
Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively) | 386 | 816 |
Affiliated Entity | VIE | ||
Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively) | 75,095 | 246,802 |
Securitized debt | 612,282 | 949,626 |
Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively) | $ 386 | $ 816 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Net Interest Income | ||||
Interest income | $ 55,652 | $ 54,461 | $ 161,503 | $ 151,342 |
Interest expense (includes $964, $4,465, $4,408 and $9,672 on securitized debt held by affiliates, respectively) | 39,082 | 38,517 | 113,440 | 97,348 |
Net Interest Income | 16,570 | 15,944 | 48,063 | 53,994 |
Other Income (Loss) | ||||
Realized gain (loss) on investments, net | 21,399 | (24,229) | 16,286 | (29,262) |
Other than temporary impairment | (1,819) | (2,533) | (6,346) | (8,423) |
Unrealized gain (loss), net | 35,030 | 13,128 | 160,425 | (87,526) |
Gain (loss) on derivative instruments, net | (47,056) | 24,625 | (145,734) | 132,697 |
Other, net | 918 | (2) | 1,686 | (100) |
Other Income (Loss) | 8,472 | 10,989 | 26,317 | 7,386 |
Expenses | ||||
Management fee to affiliate | 1,800 | 2,284 | 5,367 | 6,723 |
Other operating expenses | 1,589 | 1,609 | 4,440 | 4,133 |
General and administrative expenses: | ||||
Compensation expense | 671 | 552 | 1,920 | 1,634 |
Professional fees | 973 | 1,065 | 2,949 | 3,178 |
Other general and administrative expenses | 344 | 335 | 1,059 | 1,093 |
Total general and administrative expenses | 1,988 | 1,952 | 5,928 | 5,905 |
Total Expenses | 5,377 | 5,845 | 15,735 | 16,761 |
Income before income taxes | 19,665 | 21,088 | 58,645 | 44,619 |
Income tax (benefit) provision | (55) | 206 | 435 | 555 |
Net income | $ 19,720 | $ 20,882 | $ 58,210 | $ 44,064 |
Net income (loss) per Common Share — Basic (in dollars per share) | $ 0.37 | $ 0.50 | $ 1.15 | $ 1.05 |
Net income (loss) per Common Share — Diluted (in dollars per share) | $ 0.37 | $ 0.50 | $ 1.15 | $ 1.05 |
Consolidated Statements of Op_2
Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Interest expense (includes $964, $4,465, $4,408 and $9,672 on securitized debt held by affiliates, respectively) | $ 39,082 | $ 38,517 | $ 113,440 | $ 97,348 |
Affiliated Entity | ||||
Interest expense (includes $964, $4,465, $4,408 and $9,672 on securitized debt held by affiliates, respectively) | $ 964 | $ 4,465 | $ 4,408 | $ 9,672 |
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 |
Beginning balance at Dec. 31, 2017 | $ 466,038 | $ 419 | $ 768,763 | $ (301,912) | $ (1,232) |
Beginning balance (in shares) at Dec. 31, 2017 | 41,794,079 | ||||
Increase (Decrease) in Stockholders' Equity | |||||
Proceeds from public offerings of common stock (in shares) | 6,196,578 | ||||
Proceeds from public offerings of common stock | 64,880 | $ 62 | 64,818 | ||
Offering costs | (239) | (239) | |||
Vesting of restricted stock | 195 | 195 | |||
Net income (loss) | 44,064 | 44,064 | |||
Dividends declared on common stock | (40,738) | 90 | (40,828) | ||
Treasury stock (shares) | 125,722 | ||||
Treasury stock | 1,445 | 213 | 1,232 | ||
Ending balance at Sep. 30, 2018 | 535,645 | $ 481 | 833,840 | (298,676) | 0 |
Ending balance (in shares) at Sep. 30, 2018 | 48,116,379 | ||||
Beginning balance at Jun. 30, 2018 | 461,791 | $ 419 | 768,945 | (304,608) | (2,965) |
Beginning balance (in shares) at Jun. 30, 2018 | 41,616,379 | ||||
Increase (Decrease) in Stockholders' Equity | |||||
Proceeds from public offerings of common stock (in shares) | 6,196,578 | ||||
Proceeds from public offerings of common stock | 64,880 | $ 62 | 64,818 | ||
Offering costs | (239) | (239) | |||
Vesting of restricted stock | 70 | 70 | |||
Net income (loss) | 20,882 | 20,882 | |||
Dividends declared on common stock | (14,917) | 33 | (14,950) | ||
Treasury stock (shares) | 303,422 | ||||
Treasury stock | 3,178 | 213 | 2,965 | ||
Ending balance at Sep. 30, 2018 | 535,645 | $ 481 | 833,840 | (298,676) | 0 |
Ending balance (in shares) at Sep. 30, 2018 | 48,116,379 | ||||
Beginning balance at Dec. 31, 2018 | 503,009 | $ 481 | 833,810 | (331,282) | 0 |
Beginning balance (in shares) at Dec. 31, 2018 | 48,116,379 | ||||
Increase (Decrease) in Stockholders' Equity | |||||
Proceeds from public offerings of common stock (in shares) | 5,000,000 | ||||
Proceeds from public offerings of common stock | 49,650 | $ 50 | 49,600 | ||
Offering costs | (350) | (350) | |||
Equity component of convertible senior unsecured notes | 1,390 | 1,390 | |||
Grants of restricted stock (shares) | 108,000 | ||||
Grants of restricted stock | 0 | $ 1 | (1) | ||
Vesting of restricted stock | 399 | 399 | |||
Net income (loss) | 58,210 | 58,210 | |||
Dividends declared on common stock | (47,948) | 130 | (48,078) | ||
Ending balance at Sep. 30, 2019 | 564,360 | $ 532 | 884,978 | (321,150) | 0 |
Ending balance (in shares) at Sep. 30, 2019 | 53,224,379 | ||||
Beginning balance at Jun. 30, 2019 | 559,626 | $ 532 | 883,417 | (324,323) | 0 |
Beginning balance (in shares) at Jun. 30, 2019 | 53,224,379 | ||||
Increase (Decrease) in Stockholders' Equity | |||||
Offering costs | (41) | (41) | |||
Equity component of convertible senior unsecured notes | 1,390 | 1,390 | |||
Vesting of restricted stock | 164 | 164 | |||
Net income (loss) | 19,720 | 19,720 | |||
Dividends declared on common stock | (16,499) | 48 | (16,547) | ||
Ending balance at Sep. 30, 2019 | $ 564,360 | $ 532 | $ 884,978 | $ (321,150) | $ 0 |
Ending balance (in shares) at Sep. 30, 2019 | 53,224,379 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2019 | Sep. 30, 2018 | |
Cash flows from operating activities: | ||
Net income (loss) | $ 58,210 | $ 44,064 |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ||
Premium amortization and (discount accretion), net | 5,165 | 2,884 |
Amortization of deferred financing costs | 942 | 576 |
Amortization of discount on convertible senior notes | 461 | 412 |
Restricted stock amortization | 399 | 195 |
Interest payments and basis recovered on MAC interest rate swaps | 4,870 | 1,064 |
Premium on purchase of Residential Whole Loans | (6,940) | (8,863) |
Premium on purchase of Residential Bridge Loans | 0 | (3,191) |
Premium on purchase of securitized commercial loans | (3,769) | (3,019) |
Unrealized (gain) loss, net | (160,425) | 87,526 |
Realized loss on sale of real estate owned (REO) | 33 | 0 |
Unrealized (gain) loss on derivative instruments, net | (3,293) | 1,460 |
Other than temporary impairment | 6,346 | 8,423 |
Realized (gain) loss on investments, net | (16,319) | 29,262 |
(Gain) loss on derivatives, net | 2,068 | (12,905) |
Changes in operating assets and liabilities: | ||
Decrease (increase) in interest receivable | 3,158 | (8,266) |
Decrease (increase) in other assets | 267 | (599) |
Increase in interest payable | 1,202 | 1,705 |
(Decrease) increase in accounts payable and accrued expenses | (134) | 221 |
(Decrease) increase in payable to affiliate | (2,589) | 448 |
Net cash (used in) provided by operating activities | (110,348) | 141,397 |
Cash flows from investing activities: | ||
Purchase of securities | (1,468,473) | (846,680) |
Proceeds from sale of securities | 808,440 | 1,111,547 |
Proceeds from sale of REO | 219 | 0 |
Principal repayments and basis recovered on securities | 85,980 | 109,938 |
Purchase of Residential Whole Loans | (323,003) | (493,365) |
Principal repayments on Residential Whole Loans | 165,224 | 42,867 |
Purchase of commercial loans | (300,919) | (164,570) |
Principal repayments on commercial loans | 76,000 | 20,638 |
Purchase of securitized commercial loans | (900,000) | (1,350,000) |
Principal repayments on securitized commercial loans | 1,214,583 | 196,007 |
Purchase of Residential Bridge Loans | 0 | (356,584) |
Principal repayments on Residential Bridge Loans | 186,989 | 197,099 |
Payment of premium for option derivatives | (780) | (829) |
Premium received from option derivatives | 2,157 | 298 |
Premium for credit default swaps, net | 3,884 | (174) |
Net settlements of TBAs | 0 | 136 |
(Payments on) Proceeds from termination of futures, net | (6,718) | 8,823 |
Interest payments and basis recovered on MAC interest rate swaps | (4,870) | (1,064) |
Due from counterparties | (3,720) | 0 |
Premium for interest rate swaptions, net | (332) | 0 |
Net cash used in investing activities | (465,339) | (1,525,913) |
Cash flows from financing activities: | ||
Proceeds from issuance of common stock | 49,650 | 64,880 |
Payment of offering costs | (490) | (65) |
Repurchase of common stock | 0 | (1,733) |
Proceeds from sale of treasury stock | 0 | 3,177 |
Proceeds from issuance of convertible senior notes | 40,000 | 0 |
Proceeds from repurchase agreement borrowings | 16,401,124 | 15,469,118 |
Repayments of repurchase agreement borrowings | (16,294,853) | (15,251,485) |
Proceeds from securitized debt | 1,757,464 | 1,285,219 |
Repayments of securitized debt | (1,233,153) | (186,015) |
Payments made for deferred financing costs | (7,023) | 0 |
Due from counterparties, net | (46,813) | 5,417 |
Due to counterparties, net | (15,685) | (422) |
Increase in other liabilities | (19,351) | 100,138 |
Dividends paid on common stock | (46,365) | (38,782) |
Net cash provided by financing activities | 584,505 | 1,449,447 |
Net increase in cash, cash equivalents and restricted cash | 8,818 | 64,931 |
Cash, cash equivalents and restricted cash, beginning of period | 77,795 | 48,024 |
Cash, cash equivalents and restricted cash, end of period | 86,613 | 112,955 |
Supplemental disclosure of operating cash flow information: | ||
Interest paid | 113,746 | 96,030 |
Income taxes paid | 454 | 1,635 |
Supplemental disclosure of non-cash financing/investing activities: | ||
Underwriting and offering costs payable | 38 | 174 |
Principal payments of securities, not settled | 0 | 42 |
Securities sold, not settled | 0 | 34,559 |
Securities purchased, not settled | (71,146) | (124,036) |
Net unsettled TBAs | 0 | (10) |
Dividends and distributions declared, not paid | 16,499 | 14,916 |
Principal payments of Residential Whole Loans, not settled | 21,621 | 11,061 |
Principal payments of Residential Bridge Loans, not settled | 10,412 | 22,227 |
Other assets - Transfer of Bridge Loans to REO | $ 3,536 | $ 143 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2019 | |
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, Non-Agency RMBS, Non-Agency CMBS, Non-Qualified Residential Whole Loans ("Non-QM"), Conforming 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. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2019 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | Basis of Presentation and Summary of Significant Accounting Policies Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended September 30, 2019 , are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2018 , filed with the SEC on March 6, 2019. The consolidated financial statements include the accounts of the Company, 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. Significant Accounting Policies There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2018 . Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements 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 adoption of this standard did not have a material impact on its consolidated financial statements. In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees. First quarter 2019. The adoption of this standard did not have a material impact on its consolidated financial statements. In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting. First quarter 2019. The adoption of this standard did not have a material impact on its 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. However, since the Company elects the fair value option for its financial assets, it does not foresee the adoption of this guidance having a material impact on its 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 April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification. First quarter 2020. The Company is currently evaluating the impact the standard may have on its consolidated financial statements when adopted. However, the Company does not foresee the Codification Improvements having a material impact on its financial statements In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326). The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10. First quarter 2020. The Company is currently evaluating the impact the standard may have on its consolidated financial statements. However, since the Company already elects the fair value option for its financial assets, it does not foresee the adoption of this guidance having a material impact on its financial statements |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 9 Months Ended |
Sep. 30, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments The following tables present the Company’s financial instruments carried at fair value as of September 30, 2019 and December 31, 2018 , based upon the valuation hierarchy (dollars in thousands): September 30, 2019 Fair Value Level I Level II Level III Total Assets Agency CMBS $ — $ 1,735,324 $ 67,734 $ 1,803,058 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 3,691 — 3,691 Agency RMBS — 365,286 — 365,286 Agency RMBS Interest-Only Strips — — 10,940 10,940 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 5,869 5,869 Subtotal Agency MBS — 2,104,301 84,543 2,188,844 Non-Agency RMBS — — 38,673 38,673 Non-Agency RMBS Interest-Only Strips — — 8,582 8,582 Non-Agency CMBS — 291,748 — 291,748 Subtotal Non-Agency MBS — 291,748 47,255 339,003 Other securities — 65,237 17,775 83,012 Total mortgage-backed securities and other securities — 2,461,286 149,573 2,610,859 Residential Whole Loans — — 1,209,237 1,209,237 Residential Bridge Loans — — 48,054 48,054 Securitized commercial loans — — 701,835 701,835 Commercial Loans — — 442,032 442,032 Derivative assets 808 3,229 — 4,037 Total Assets $ 808 $ 2,464,515 $ 2,550,731 $ 5,016,054 Liabilities Derivative liabilities $ 1,518 $ 6,570 $ — $ 8,088 Securitized debt — 610,306 1,976 612,282 Total Liabilities $ 1,518 $ 616,876 $ 1,976 $ 620,370 December 31, 2018 Fair Value Level I Level II Level III Total Assets Agency CMBS $ — $ 1,481,984 $ — $ 1,481,984 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 4,158 — 4,158 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 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 Securitized commercial loan — — 1,013,511 1,013,511 Commercial Loans — — 216,123 216,123 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 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 services 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 and the Company has elected the fair value option for the securitized debt, 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 CMBS, given the amount of available observable market data, generally are classified in Level II. For newly issued Agency CMBS securities that have not settled at period end and do not have a cusip yet, the Company utilizes a broker quote due to lack of observable market data. Accordingly these securities are classified in Level III. For Agency IOs, 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; otherwise, the security is classified as a Level III. 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 Non-QM 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 and delinquencies. The assumption made by the independent third party pricing service includes the market discount rate, prepayment, default assumption and loss severity. Values for the Conforming Residential Whole Loan Portfolio, the third party pricing service valuation model assigns a loan value using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. In addition to pricing the underlying mortgages, the third party pricing service uses a service release premium valuation representing the sale of the right to service the mortgages. Together, the TBA price and service release premium price form the "All-In" price for these mortgages. 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 . 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 periods ended September 30, 2019 and December 31, 2018 . Third Party Pricing Data Review 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 the available 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 September 30, 2019 and December 31, 2018 (dollars in thousands): Fair Value at Range September 30, 2019 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans (2) 1,015,712 Discounted Cash Flow Yield 3.3 % 7.5 % 3.7 % Weighted Average Life 1.3 14.9 2.6 Residential Bridge Loans 48,054 Discounted Cash Flow Yield 7.0 % 144.0 % (1) 9.8 % Weighted Average Life 0.1 2.7 0.8 Commercial Loans 442,032 Discounted Cash Flow Yield 4.5 % 8.6 % 6.4 % Weighted Average Life 0.2 2.9 1.8 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 % (1) 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 Life 0.9 2.7 2.1 (1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge Loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity, some of which are greater than 100%. (2) Excludes the Conforming Residential Whole Loans, which are valued using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended September 30, 2019 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Whole Loans Residential Bridge Loans Commercial Loans Securitized commercial loans Securitized debt Beginning balance $ 58,917 $ 47,187 $ 17,797 $ 1,206,220 $ 87,402 $ 312,032 $ 804,134 $ 2,876 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II (43,686 ) — — — — — — — Purchases 68,633 — — 80,725 — 129,730 — — Sales and settlements (401 ) — — — — — — — Transfers to REO — — — — (2,677 ) — — — Principal repayments — (311 ) (253 ) (78,672 ) (36,978 ) — (100,700 ) — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — — (195 ) — — — Other than temporary impairment (193 ) (27 ) — — — — — — Unrealized gains/(losses), net on assets (1) 2,256 970 305 1,875 569 204 (845 ) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (71 ) Premium and discount amortization, net (983 ) (564 ) (74 ) (911 ) (67 ) 66 (754 ) (829 ) Ending balance $ 84,543 $ 47,255 $ 17,775 $ 1,209,237 $ 48,054 $ 442,032 $ 701,835 $ 1,976 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 844 $ 970 $ 305 $ 3,239 $ (41 ) $ 204 $ (845 ) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 71 Three months ended September 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 75,043 $ 16,307 $ 8,955 $ 335,149 $ 236,359 $ 70,717 $ 1,309,195 $ 2,870 Transfers into Level III from Level II — 57,275 9,708 — — — — — Transfers from Level III into Level II (51,976 ) — (8,697 ) — — — — — Purchases 107,034 — — 372,348 70,465 94,313 — — Principal repayments (42 ) (14 ) (285 ) (21,258 ) (70,341 ) (20,638 ) (117,100 ) — Total net gains / losses included in net income 0 Other than temporary impairment (384 ) (142 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,007 ) (95 ) (15 ) (1,469 ) (1,103 ) (575 ) 282 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (330 ) Premium and discount amortization, net (1,335 ) (544 ) 42 (307 ) (633 ) 134 (1,329 ) 66 Ending balance $ 127,333 $ 72,787 $ 9,708 $ 684,463 $ 234,747 $ 143,951 $ 1,191,048 $ 2,606 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (668 ) $ (94 ) $ — $ (1,231 ) $ (844 ) $ (618 ) $ 282 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 330 Nine months ended September 30, 2019 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 19,837 $ 50,555 $ 8,951 $ 1,041,885 $ 211,999 $ 216,123 $ 1,013,511 $ 2,286 Transfers into Level III from Level II — — 8,386 — — — — — Transfers from Level III into Level II — — — — — — — — Purchases 66,641 — — 318,130 — 225,109 903,770 — Sales and settlements (401 ) — — — — — — 3,769 Transfers to REO — — — — (2,677 ) — — — Principal repayments — (837 ) (439 ) (166,015 ) (160,240 ) — (1,214,584 ) — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — — (444 ) — — — Other than temporary impairment (222 ) (1,204 ) — — — — — — Unrealized gains/(losses), net on assets (1) 1,776 494 1,123 17,281 80 368 1,076 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (2,088 ) Premium and discount amortization, net (3,088 ) (1,753 ) (246 ) (2,044 ) (664 ) 432 (1,938 ) (1,991 ) Ending balance $ 84,543 $ 47,255 $ 17,775 $ 1,209,237 $ 48,054 $ 442,032 $ 701,835 $ 1,976 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 1,771 $ 494 $ 1,123 $ 18,247 $ (678 ) $ 368 $ 1,104 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 90 Nine months ended September 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 17,217 $ 8,735 $ 9,239 $ 237,423 $ 64,526 $ — $ 24,876 $ 10,945 Transfers into Level III from Level II 22,794 57,275 9,708 — — — — — Transfers from Level III into Level II (16,805 ) — (8,697 ) — — — — (10,899 ) Purchases 109,002 8,602 — 486,354 221,619 144,035 1,353,019 — Sales and settlements — — — — — — — 12 Principal repayments (53 ) (14 ) (604 ) (36,092 ) (49,503 ) — (196,007 ) (44 ) Total net gains / losses included in net income Other than temporary impairment (590 ) (191 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,447 ) (149 ) (68 ) (2,644 ) (1,217 ) (159 ) 11,152 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 2,502 Premium and discount amortization, net (2,785 ) (1,471 ) 130 (578 ) (678 ) 75 (1,992 ) 90 Ending balance $ 127,333 $ 72,787 $ 9,708 $ 684,463 $ 234,747 $ 143,951 $ 1,191,048 $ 2,606 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (1,089 ) $ (148 ) $ — $ (2,101 ) $ (832 ) $ (159 ) $ 11,152 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (2,504 ) (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" or "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively. Transfers between hierarchy levels for the three and nine months ended September 30, 2019 and September 30, 2018 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 from Level III to Level II was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager, which provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the three and nine months ended September 30, 2019 and September 30, 2018 . Other Fair Value Disclosures Certain Residential Bridge Loans, repurchase agreement borrowings, convertible senior unsecured notes and securitized debt are not carried at fair value in the consolidated financial statements. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of September 30, 2019 and December 31, 2018 in the consolidated financial statements (dollars in thousands): September 30, 2019 December 31, 2018 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 5,319 $ 5,159 $ 9,720 $ 9,603 Total $ 5,319 $ 5,159 $ 9,720 $ 9,603 Liabilities Borrowings under repurchase agreements $ 2,925,108 $ 2,936,441 $ 2,818,837 $ 2,823,615 Convertible senior unsecured notes 148,542 156,986 110,060 108,531 Securitized debt (1) 860,050 868,843 — — Total $ 3,933,700 $ 3,962,270 $ 2,928,897 $ 2,932,146 (1) Carrying value excludes $5.5 million of deferred financing costs "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 Values for the Company's 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 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. 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. Securitized debt Values for the Company's securitized debt, related to the securitization of a portion of its Residential Whole Loans, 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. For the three months ended September 30, 2019 , there was not sufficient observable market data for the debt to be classified as a Level II, accordingly it was classified as a Level III. |
Mortgage-Backed Securities and
Mortgage-Backed Securities and other securities | 9 Months Ended |
Sep. 30, 2019 | |
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 $ — $ — $ 365,286 $ — $ 365,286 Agency RMBS Interest-Only Strips 2,651 2,110 6,179 — 10,940 Agency RMBS Interest-Only Strips, accounted for as derivatives 734 4,150 985 — 5,869 Agency CMBS 1,326,225 476,833 — — 1,803,058 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 3,691 3,691 Subtotal Agency 1,329,610 483,093 372,450 3,691 2,188,844 Non-Agency RMBS — — 9,250 29,423 38,673 Non-Agency RMBS Interest- Only Strips — — 2,542 6,040 8,582 Non-Agency CMBS 77,838 101,425 86,059 26,426 291,748 Subtotal Non-Agency 77,838 101,425 97,851 61,889 339,003 Other securities 25,515 32,977 2,750 21,770 83,012 Total $ 1,432,963 $ 617,495 $ 473,051 $ 87,350 $ 2,610,859 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 The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 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 $ 320 $ (44 ) 2 $ 2,202 $ (105 ) 7 $ 2,522 $ (149 ) 9 Agency CMBS 85,558 (707 ) 4 — — — 85,558 (707 ) 4 Subtotal Agency 85,878 (751 ) 6 2,202 (105 ) 7 88,080 (856 ) 13 Non-Agency RMBS 13,282 (133 ) 1 — — — 13,282 (133 ) 1 Non-Agency RMBS Interest-Only Strips 2,542 (90 ) 1 — — — 2,542 (90 ) 1 Non-Agency CMBS 103,681 (630 ) 13 20,490 (753 ) 3 124,171 (1,383 ) 16 Subtotal Non-Agency 119,505 (853 ) 15 20,490 (753 ) 3 139,995 (1,606 ) 18 Other securities 9,592 (3 ) 1 — — — 9,592 (3 ) 1 Total $ 214,975 $ (1,607 ) 22 $ 22,692 $ (858 ) 10 $ 237,667 $ (2,465 ) 32 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 At September 30, 2019 , 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 that 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 date. Generally, the Company records Other Than Temporary Impairment ("OTTI") when the credit quality of the underlying collateral deteriorates and or the scheduled payments are faster than previously projected. The credit deterioration could be as a result of, but not limited to, increased projected realized losses, foreclosures, delinquencies and the likelihood of the borrower being able to make payments in the future. Generally, a prepayment occurs when a loan has a higher interest rate relative to current interest rates and lenders are willing to extend credit at the lower current interest rate or the underlying collateral for the loan is sold or transferred. The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended September 30, 2019 Three months ended September 30, 2018 Nine months ended September 30, 2019 Nine months ended September 30, 2018 Agency RMBS (1) $ 49 $ 320 $ 74 $ 663 Non-Agency RMBS 27 159 1,204 269 Non-Agency CMBS 1,588 2,054 4,506 7,491 Other securities 155 — 562 — Total $ 1,819 $ 2,533 $ 6,346 $ 8,423 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that we had the intent to sell at the end of the period, if applicable. The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2019 and September 30, 2018 , respectively (dollars in thousands): For the three months ended September 30, 2019 For the three months ended September 30, 2018 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 4,723 $ (981 ) $ 3,742 $ 4,551 $ (1,138 ) $ 3,413 Agency CMBS 14,544 (764 ) 13,780 13,812 (298 ) 13,514 Non-Agency RMBS 1,120 (564 ) 556 2,139 (536 ) 1,603 Non-Agency CMBS 3,696 1,048 4,744 5,379 1,469 6,848 Other securities 2,924 (1,636 ) 1,288 3,674 (1,660 ) 2,014 Total $ 27,007 $ (2,897 ) $ 24,110 $ 29,555 $ (2,163 ) $ 27,392 Nine months ended September 30, 2019 Nine months ended September 30, 2018 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 8,389 $ (2,256 ) $ 6,133 $ 17,471 $ (4,112 ) $ 13,359 Agency CMBS 38,100 (1,553 ) 36,547 45,753 (266 ) 45,487 Non-Agency RMBS 3,712 (1,752 ) 1,960 5,616 (685 ) 4,931 Non-Agency CMBS 9,975 3,294 13,269 15,362 5,873 21,235 Other securities 8,883 (4,985 ) 3,898 11,610 (4,825 ) 6,785 Total $ 69,059 $ (7,252 ) $ 61,807 $ 95,812 $ (4,015 ) $ 91,797 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and nine months ended September 30, 2019 and September 30, 2018 , respectively (dollars in thousands): For the three months ended September 30, 2019 For the three months ended September 30, 2018 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS $ 205,310 $ 1,560 $ — $ 1,560 $ — $ — $ — $ — Agency CMBS 356,967 20,268 — 20,268 641,677 — (25,640 ) (25,640 ) Non-Agency CMBS 24,288 134 (210 ) (76 ) 73,848 2,411 (2,712 ) (301 ) Other securities — — — — 13,712 1,712 — 1,712 Total $ 586,565 $ 21,962 $ (210 ) $ 21,752 $ 729,237 $ 4,123 $ (28,352 ) $ (24,229 ) Nine months ended September 30, 2019 Nine months ended September 30, 2018 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS $ 205,310 $ 1,560 $ — $ 1,560 $ 209,581 $ 18 $ (4,531 ) $ (4,513 ) Agency CMBS 563,677 20,268 (4,189 ) 16,079 768,544 — (30,656 ) (30,656 ) Non-Agency RMBS — — — — 51,958 3,114 — 3,114 Non-Agency CMBS 39,453 317 (1,064 ) (747 ) 80,554 2,472 (3,148 ) (676 ) Other securities — — — — 35,469 3,469 — 3,469 Total $ 808,440 $ 22,145 $ (5,253 ) $ 16,892 $ 1,146,106 $ 9,073 $ (38,335 ) $ (29,262 ) Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of September 30, 2019 and December 31, 2018 , the Company held ten and seven variable interests in unconsolidated 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 September 30, 2019 and December 31, 2018 , the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $129.1 million and $118.4 million . These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of September 30, 2019 and December 31, 2018 , the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities." id="sjs-B4">Mortgage-Backed Securities and other securities The following tables present certain information about the Company’s investment portfolio at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 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 CMBS $ 1,659,501 $ 31,397 $ — $ 1,690,898 $ 112,867 $ (707 ) $ 1,803,058 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 3,691 0.4 % Subtotal Agency CMBS 1,659,501 31,397 — 1,690,898 112,867 (707 ) 1,806,749 3.0 % Agency RMBS 352,717 5,722 — 358,439 6,847 — 365,286 3.5 % Agency RMBS Interest-Only Strips (1)(2) N/A N/A N/A 9,209 1,880 (149 ) 10,940 2.6 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 5,869 3.0 % Subtotal Agency RMBS 352,717 5,722 N/A 367,648 8,727 (149 ) 382,095 3.2 % Total Agency MBS 2,012,218 37,119 — 2,058,546 121,594 (856 ) 2,188,844 3.1 % Non-Agency RMBS 53,022 4,745 (20,738 ) 37,029 1,777 (133 ) 38,673 4.8 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 8,396 276 (90 ) 8,582 0.6 % Subtotal Non-Agency RMBS 53,022 4,745 (20,738 ) 45,425 2,053 (223 ) 47,255 1.0 % Non-Agency CMBS 327,339 (17,254 ) (23,683 ) 286,402 6,729 (1,383 ) 291,748 5.2 % Total Non-Agency MBS 380,361 (12,509 ) (44,421 ) 331,827 8,782 (1,606 ) 339,003 2.6 % Other securities (3) 73,220 (2,178 ) (6,338 ) 76,758 6,257 (3 ) 83,012 7.0 % Total $ 2,465,799 $ 22,432 $ (50,759 ) $ 2,467,131 $ 136,633 $ (2,465 ) $ 2,610,859 3.0 % 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 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 % 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 % Total 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 % Total 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 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At September 30, 2019 , 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 $129.8 million , $471.7 million , $70.5 million and $168.1 million , respectively. 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. (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 $12.1 million and $17.0 million , as of September 30, 2019 and December 31, 2018 , respectively. As of September 30, 2019 and December 31, 2018 the weighted average expected remaining term of the MBS and other securities investment portfolio was 8.1 years and 8.5 years , respectively. The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and nine months ended September 30, 2019 and September 30, 2018 (dollars in thousands): Three months ended September 30, 2019 Three months ended September 30, 2018 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (48,824 ) $ (28,582 ) $ 14,441 $ (78,837 ) $ (68,677 ) $ 21,723 Accretion of discount — 1,032 — — 1,314 — Amortization of premium — — (220 ) — — (97 ) Realized credit losses 831 — — 3,305 — — Purchases — (3,493 ) 473 — — — Sales 18,388 — (17,905 ) 2,334 25,624 (400 ) Net impairment losses recognized in earnings (1,587 ) — — (2,071 ) — — Transfers/release of credit reserve (2) (19,567 ) 1,130 18,437 817 8 (825 ) Balance at end of period $ (50,759 ) $ (29,913 ) $ 15,226 $ (74,452 ) $ (41,731 ) $ 20,401 Nine months ended September 30, 2019 Nine months ended September 30, 2018 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (53,523 ) $ (29,465 ) $ 14,928 $ (72,915 ) $ (68,438 ) $ 20,872 Accretion of discount — 3,352 — — 6,483 — Amortization of premium — — (836 ) — — (461 ) Realized credit losses 5,584 — — 5,526 — — Purchases — (6,599 ) 760 (7,182 ) (6,473 ) 435 Sales 24,422 — (19,516 ) 5,673 29,352 (1,084 ) Net impairment losses recognized in earnings (4,553 ) — — (7,570 ) — — Transfers/release of credit reserve (2) (22,689 ) 2,799 19,890 2,016 (2,655 ) 639 Balance at end of period $ (50,759 ) $ (29,913 ) $ 15,226 $ (74,452 ) $ (41,731 ) $ 20,401 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium. The following tables present the fair value and contractual maturities of the Company’s investment securities at September 30, 2019 and December 31, 2018 (dollars in thousands) : September 30, 2019 < 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 $ — $ — $ 365,286 $ — $ 365,286 Agency RMBS Interest-Only Strips 2,651 2,110 6,179 — 10,940 Agency RMBS Interest-Only Strips, accounted for as derivatives 734 4,150 985 — 5,869 Agency CMBS 1,326,225 476,833 — — 1,803,058 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 3,691 3,691 Subtotal Agency 1,329,610 483,093 372,450 3,691 2,188,844 Non-Agency RMBS — — 9,250 29,423 38,673 Non-Agency RMBS Interest- Only Strips — — 2,542 6,040 8,582 Non-Agency CMBS 77,838 101,425 86,059 26,426 291,748 Subtotal Non-Agency 77,838 101,425 97,851 61,889 339,003 Other securities 25,515 32,977 2,750 21,770 83,012 Total $ 1,432,963 $ 617,495 $ 473,051 $ 87,350 $ 2,610,859 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 The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 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 $ 320 $ (44 ) 2 $ 2,202 $ (105 ) 7 $ 2,522 $ (149 ) 9 Agency CMBS 85,558 (707 ) 4 — — — 85,558 (707 ) 4 Subtotal Agency 85,878 (751 ) 6 2,202 (105 ) 7 88,080 (856 ) 13 Non-Agency RMBS 13,282 (133 ) 1 — — — 13,282 (133 ) 1 Non-Agency RMBS Interest-Only Strips 2,542 (90 ) 1 — — — 2,542 (90 ) 1 Non-Agency CMBS 103,681 (630 ) 13 20,490 (753 ) 3 124,171 (1,383 ) 16 Subtotal Non-Agency 119,505 (853 ) 15 20,490 (753 ) 3 139,995 (1,606 ) 18 Other securities 9,592 (3 ) 1 — — — 9,592 (3 ) 1 Total $ 214,975 $ (1,607 ) 22 $ 22,692 $ (858 ) 10 $ 237,667 $ (2,465 ) 32 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 At September 30, 2019 , 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 that 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 date. Generally, the Company records Other Than Temporary Impairment ("OTTI") when the credit quality of the underlying collateral deteriorates and or the scheduled payments are faster than previously projected. The credit deterioration could be as a result of, but not limited to, increased projected realized losses, foreclosures, delinquencies and the likelihood of the borrower being able to make payments in the future. Generally, a prepayment occurs when a loan has a higher interest rate relative to current interest rates and lenders are willing to extend credit at the lower current interest rate or the underlying collateral for the loan is sold or transferred. The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended September 30, 2019 Three months ended September 30, 2018 Nine months ended September 30, 2019 Nine months ended September 30, 2018 Agency RMBS (1) $ 49 $ 320 $ 74 $ 663 Non-Agency RMBS 27 159 1,204 269 Non-Agency CMBS 1,588 2,054 4,506 7,491 Other securities 155 — 562 — Total $ 1,819 $ 2,533 $ 6,346 $ 8,423 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that we had the intent to sell at the end of the period, if applicable. The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2019 and September 30, 2018 , respectively (dollars in thousands): For the three months ended September 30, 2019 For the three months ended September 30, 2018 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 4,723 $ (981 ) $ 3,742 $ 4,551 $ (1,138 ) $ 3,413 Agency CMBS 14,544 (764 ) 13,780 13,812 (298 ) 13,514 Non-Agency RMBS 1,120 (564 ) 556 2,139 (536 ) 1,603 Non-Agency CMBS 3,696 1,048 4,744 5,379 1,469 6,848 Other securities 2,924 (1,636 ) 1,288 3,674 (1,660 ) 2,014 Total $ 27,007 $ (2,897 ) $ 24,110 $ 29,555 $ (2,163 ) $ 27,392 Nine months ended September 30, 2019 Nine months ended September 30, 2018 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 8,389 $ (2,256 ) $ 6,133 $ 17,471 $ (4,112 ) $ 13,359 Agency CMBS 38,100 (1,553 ) 36,547 45,753 (266 ) 45,487 Non-Agency RMBS 3,712 (1,752 ) 1,960 5,616 (685 ) 4,931 Non-Agency CMBS 9,975 3,294 13,269 15,362 5,873 21,235 Other securities 8,883 (4,985 ) 3,898 11,610 (4,825 ) 6,785 Total $ 69,059 $ (7,252 ) $ 61,807 $ 95,812 $ (4,015 ) $ 91,797 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and nine months ended September 30, 2019 and September 30, 2018 , respectively (dollars in thousands): For the three months ended September 30, 2019 For the three months ended September 30, 2018 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS $ 205,310 $ 1,560 $ — $ 1,560 $ — $ — $ — $ — Agency CMBS 356,967 20,268 — 20,268 641,677 — (25,640 ) (25,640 ) Non-Agency CMBS 24,288 134 (210 ) (76 ) 73,848 2,411 (2,712 ) (301 ) Other securities — — — — 13,712 1,712 — 1,712 Total $ 586,565 $ 21,962 $ (210 ) $ 21,752 $ 729,237 $ 4,123 $ (28,352 ) $ (24,229 ) Nine months ended September 30, 2019 Nine months ended September 30, 2018 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS $ 205,310 $ 1,560 $ — $ 1,560 $ 209,581 $ 18 $ (4,531 ) $ (4,513 ) Agency CMBS 563,677 20,268 (4,189 ) 16,079 768,544 — (30,656 ) (30,656 ) Non-Agency RMBS — — — — 51,958 3,114 — 3,114 Non-Agency CMBS 39,453 317 (1,064 ) (747 ) 80,554 2,472 (3,148 ) (676 ) Other securities — — — — 35,469 3,469 — 3,469 Total $ 808,440 $ 22,145 $ (5,253 ) $ 16,892 $ 1,146,106 $ 9,073 $ (38,335 ) $ (29,262 ) Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of September 30, 2019 and December 31, 2018 , the Company held ten and seven variable interests in unconsolidated 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 September 30, 2019 and December 31, 2018 , the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $129.1 million and $118.4 million . These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of September 30, 2019 and December 31, 2018 , the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities. |
Residential Whole-Loans and Bri
Residential Whole-Loans and Bridge Loans | 9 Months Ended |
Sep. 30, 2019 | |
Variable Interest Entities | |
Residential Whole-Loans and Bridge Loans | Residential Whole Loans and Bridge Loans Residential Whole-Loan Trust The consolidated financial statements include the consolidation of Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. RMI 2015 Trust has issued a trust certificate that is wholly owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole Loans held by the trust. As of September 30, 2019 and December 31, 2018 , the Company financed the trust certificate with $82.0 million and $618.7 million , respectively, on long term financing facilities which automatically roll until such time as they are terminated or until certain conditions of default. The financing liability is held outside the trust. The Company classifies the underlying Residential Whole Loans owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation. 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, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2019 and December 31, 2018 , the Company financed the trust certificate with $189.8 million and $250.4 million , respectively, of repurchase agreements, 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 September 30, 2019 and December 31, 2018 , the Company's trust certificate was financed with $8.1 million and $15.1 million , respectively, of repurchase agreements, 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. In May 2019, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. During the securitization, RMI 2015 Trust and RNR Trust collectively transferred $945.5 million of Non-QM Residential Whole Loans, to a wholly owned subsidiary of the Company, Arroyo Mortgage Trust 2019-2 ("Arroyo Trust"). The Company issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required the 5% eligible risk retention. Refer to Note 7 - "Financings" for details on the associated securitized . The Company determined that Arroyo Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has 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 Arroyo Trust that could potentially be significant to 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 Owner Certificates in consolidation. Residential Bridge Loan Trust In February 2017, The Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the 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 September 30, 2019 and December 31, 2018 , the Company financed the trust certificate with $52.8 million and $207.5 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 four consolidated Residential Whole-Loan trusts collectively hold 3,073 Residential Whole Loans and the consolidated Bridge Loan Trust holds 96 Residential Bridge Loans and 11 Residential Whole Loans as of September 30, 2019 . 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 September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 Cash and cash equivalents $ 1,512 $ 674 Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively) 1,209,237 1,041,885 Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively) 50,675 221,486 Commercial loan, at fair value — 30,000 Investment related receivable 32,033 42,945 Interest receivable 6,974 11,807 Other assets 253 178 Total assets $ 1,300,684 $ 1,348,975 Securitized debt, net $ 854,559 $ — Interest payable 2,457 — Accounts payable and accrued expenses 255 677 Other liabilities — 225 Total liabilities $ 857,271 $ 902 The Company’s risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole Loans, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and nine months ended September 30, 2019 and September 30, 2018 . The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of September 30, 2019 and December 31, 2018 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 Principal balance $ 1,169,131 $ 1,023,524 $ 49,131 $ 212,491 $ 5,335 $ 9,766 Unamortized premium 21,925 17,629 108 1,164 7 16 Unamortized discount (2,957 ) (3,145 ) (29 ) (316 ) (23 ) (62 ) Amortized cost 1,188,099 1,038,008 49,210 213,339 5,319 9,720 Gross unrealized gains 22,763 7,573 38 212 N/A N/A Gross unrealized losses (1,625 ) (3,696 ) (1,194 ) (1,552 ) N/A N/A Fair value $ 1,209,237 $ 1,041,885 $ 48,054 $ 211,999 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 2,404 Non-QM adjustable rate mortgages, 669 conforming fixed rate mortgages and 11 investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) (2) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 59 $ 19,327 61.3 % 736 2.1 28.3 3.9 % 4.01– 5.00% 1,336 447,474 61.9 % 741 2.4 28.4 4.8 % 5.01 – 6.00% 1,581 663,426 63.3 % 735 2.6 28.3 5.4 % 6.01 – 7.00% 106 38,458 56.5 % 724 3.8 25.3 6.2 % 7.01 - 8.00% 1 353 70.0 % 777 2.8 28.3 7.2 % 8.01 - 9.00% 1 93 70.0 % 689 3.9 28.3 8.4 % Total 3,084 $ 1,169,131 62.5 % 737 2.6 28.2 5.2 % (1) The original FICO score is not available for 260 loans with a principal balance of approximately $87.5 million at September 30, 2019 . The Company has excluded these loans from the weighted average computations. (2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust. 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. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at September 30, 2019 and December 31, 2018 , based on principal balance, is located (dollars in thousands): September 30, 2019 December 31, 2018 State State Concentration Principal Balance State State Concentration Principal Balance California 69.1 % $ 807,730 California 67.1 % $ 686,275 New York 14.8 % 173,566 New York 17.1 % 175,390 Georgia 2.6 % 30,916 Georgia 2.6 % 26,918 Florida 2.5 % 28,882 Massachusetts 2.1 % 21,197 New Jersey 2.0 % 22,890 Florida 1.9 % 19,942 Other 9.0 % 105,147 Other 9.2 % 93,802 Total 100.0 % $ 1,169,131 Total 100.0 % $ 1,023,524 Residential Bridge Loans The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 6.01 – 7.00% 1 $ 394 75.0 % — 7.0 % 7.01 – 8.00% 18 13,117 72.9 % 5.4 7.8 % 8.01 – 9.00% 32 20,658 72.4 % 7.0 8.7 % 9.01 – 10.00% 27 10,934 73.4 % 5.4 9.8 % 10.01 – 11.00% 11 3,538 72.6 % 1.3 10.7 % 11.01 – 12.00% 9 2,307 61.0 % 1.8 11.3 % 12.01 – 13.00% 3 307 68.3 % 2.0 12.7 % 13.01 – 14.00% 1 1,125 75.0 % — 13.5 % 17.01 – 18.00% 5 2,086 73.3 % — 18.0 % Total 107 $ 54,466 72.3 % 5.7 9.4 % December 31, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 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 % The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at September 30, 2019 and December 31, 2018 , based on principal balance, is located (dollars in thousands): September 30, 2019 December 31, 2018 State Concentration Principal Balance State Concentration Principal Balance California 54.1 % $ 29,442 California 53.9 % $ 119,761 Washington 12.9 % 7,004 New York 9.5 % 21,160 New York 8.5 % 4,645 Washington 6.6 % 14,711 Florida 6.7 % 3,626 Florida 5.7 % 12,672 District of Columbia 3.1 % 1,671 New Jersey 4.7 % 10,419 Other 14.7 % 8,078 Other 19.6 % 43,534 Total 100.0 % $ 54,466 Total 100.0 % $ 222,257 Non-performing Loans Residential Whole Loans As of September 30, 2019 , there were 9 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $4.8 million and a fair value of $4.6 million . These nonperforming loans represent approximately 0.4% of the total outstanding principal balance. No allowance or provision for credit losses was recorded as of and for the three and nine months ended September 30, 2019 and September 30, 2018 , since the valuation adjustment, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. As December 31, 2018 , there were no Residential Whole-Loans in non-accrual status. Residential Bridge Loans As of September 30, 2019 , there were 4 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $2.0 million and 30 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $13.6 million and a fair value of $12.9 million . These nonperforming loans represent approximately 28.7% of the total outstanding Bridge Loans principal balance of $54.5 million . These loans are collateral dependent with a weighted average original LTV of 71% . 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 $4.0 million and a fair value of $3.8 million . These nonperforming loans represented approximately 2.3% of the total outstanding Bridge Loans principal balance of $222.3 million . These loans are collateral dependent with a weighted average original LTV of 70% . No allowance or provision for credit losses for loans carried at amortized costs was recorded as of and for the three and nine months ended September 30, 2019 and September 30, 2018 , since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. No allowance or provision for credit losses was recorded for loans carried at fair value as of and for the three and nine months ended September 30, 2019 and September 30, 2018 , since the valuation adjustment, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loan when they became contractually 90 days delinquent. As of September 30, 2019 , the Company had real estate owned ("REO") with an aggregate carrying value of $3.4 million related to foreclosed Bridge Loans. The REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The REO properties are classified in "Other Assets" in the Consolidated Balance Sheet. |
Commercial Loans
Commercial Loans | 9 Months Ended |
Sep. 30, 2019 | |
Noncontrolling Interest [Abstract] | |
Commercial Loans | Commercial Loans Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At September 30, 2019 , the Company had variable interests in two CMBS VIEs, CMSC Trust 2015 - Longhouse MZ and RETL 2019-RVP, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIE's can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. CMSC Trust 2015 - Longhouse MZ In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CMSC Trust 2015 - Longhouse MZ (“CMSC Trust”), with an outstanding balance of $13.5 million and a fair value of $13.6 million at September 30, 2019 . 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 investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.2 million mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.2 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt. RETL 2019-RVP and RETL 2018-RVP In March 2018, the Company acquired a $67.8 million interest in the trust certificate issued by RETL 2018-RVP (“RETL 2018 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 Company determined that RETL 2018 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 consolidated RETL 2018 and its investment in the trust certificates (HRR class) of RETL 2018 was eliminated in the consolidation. In March 2019, the securitized debt was refinanced and the outstanding principal balance issued by RETL 2018 Trust was paid in full. RETL 2018 was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. The Company acquired a $65.3 million interest in the trust certificates issued by the RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. The Company determined that RETL 2019 Trust was a VIE and that the Company was also 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. As the primary beneficiary, the Company consolidated RETL 2019 Trust and its investment in the trust certificates (HRR class and a portion of the C class) of RETL 2019 Trust were eliminated in the consolidation. The RETL 2019 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 $674.3 million as of September 30, 2019 . The loan's stated maturity date is March 15, 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 2.30% . Commercial Loans In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company, and WMC CRE Mezzanine Loan Subsidiary LCC ("CRE Mezz"), a wholly-owned subsidiary of CRE LLC, were formed for the purpose of acquiring commercial loans. The following table presents the commercial loans held by CRE LLC and CRE Mezz as of September 30, 2019 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 1 March 2018 Interest-Only Mezzanine loan $ 20,000 $ 20,000 71% 1-Month LIBOR plus 6.5% 11/15/2019 Three One-Year Extensions Hotel CRE 2 June 2018 Interest-Only First Mortgage 30,000 30,000 65% 1-Month LIBOR plus 4.5% 6/9/2020 One-Year Extension Hotel CRE 4 June 2019 Principal & Interest First Mortgage 50,000 50,000 75% 1-Month LIBOR plus 4.75% 1/11/2022 Two One-Year Extensions Nursing Facilities CRE 5 August 2019 Interest-Only Mezzanine loan 90,000 90,000 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two-Year First Extension and One-Year Second Extension Entertainment and Retail CRE 6 September 2019 Interest-Only First Mortgage 40,000 40,000 63% 1-Month LIBOR plus 3.02% 8/6/2021 Two One-Year Extensions Retail $ 230,000 $ 230,000 Commercial Loan Trust In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company determined that the wholly owned RSBC Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust and holds significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2019 , the Company financed the trust certificate with $137.8 million of repurchase agreements, which is a liability held outside the trust. The following table presents the commercial real estate loans held by RSBC Trust as of September 30, 2019 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate Maturity Date Extension Option Collateral SBC 1 July 2018 Interest-Only First Mortgage $ 45,187 $ 45,187 74% One-Month LIBOR plus 4.25% (1) 7/1/2020 Two One-Year Extensions Nursing Facilities SBC 2 September and October 2018 (4) Interest-Only First Mortgage 115,500 115,500 78% One-Month LIBOR plus 5.3% (2) 9/6/2021 One-Year Extension Assisted Care Living Facilities SBC 3 November 2018 Interest-Only First Mortgage 5,745 5,745 59% One-Month LIBOR plus 5.25% 12/1/2020 One-Year Extension Nursing Facilities SBC 4 January 2019 Interest-Only First Mortgage 13,600 13,600 84% One-Month LIBOR plus 4.0% (3) 12/1/2021 One-Year Extension Apartment Complex SBC 5 January 2019 Interest-Only First Mortgage 32,000 32,000 49% One-Month LIBOR plus 4.1% 7/1/2021 None Nursing Facilities $ 212,032 $ 212,032 (1) Subject to LIBOR floor of 1.25% . (2) Subject to LIBOR floor of of 1.9% and LIBOR cap of 3.5% . (3) Subject to LIBOR floor of 2% . (4) Acquired $49.6 million of the loan in September 2018 and the remaining $65.9 million in October 2018 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 2019 Trust and RSBC Trust collectively hold seven commercial loans as of September 30, 2019 . The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 Cash $ 447 $ — Restricted cash 36,456 55,808 Securitized commercial loans, at fair value 701,835 1,013,511 Commercial Loans, at fair value 212,032 166,123 Interest receivable 2,738 3,733 Total assets $ 953,508 $ 1,239,175 Securitized debt, at fair value $ 612,282 $ 949,626 Interest payable 1,257 2,419 Accounts payable and accrued expenses 33 31 Other liabilities 36,456 55,808 Total liabilities $ 650,028 $ 1,007,884 The Company’s risk with respect to its investment in each commercial loan trust is limited to its direct ownership in the trust. The commercial loans held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and nine months ended September 30, 2019 and September 30, 2018 . The following table presents the components of the carrying value of the commercial real estate loans as of September 30, 2019 and December 31, 2018 (dollars in thousands): CMSC Trust Securitized Commercial Loan, at Fair Value RETL Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 Principal balance $ 24,153 $ 24,456 $ 674,331 $ 988,609 $ 212,032 $ 166,432 $ 230,000 $ 50,000 Unamortized premium — — 2,262 431 — — — — Unamortized discount — — — — (620 ) (736 ) (309 ) (205 ) Amortized cost 24,153 24,456 676,593 989,040 211,412 165,696 229,691 49,795 Gross unrealized gains 79 — 1,010 29 620 427 309 205 Gross unrealized losses — (14 ) — — — — — — Fair value $ 24,232 $ 24,442 $ 677,603 $ 989,069 $ 212,032 $ 166,123 $ 230,000 $ 50,000 |
Financings
Financings | 9 Months Ended |
Sep. 30, 2019 | |
Debt Disclosure [Abstract] | |
Financings | Financings Repurchase Agreements The Company primarily finances its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to six months. The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company’s portfolio. For all the repurchase agreements with outstanding borrowings, the Company was in compliance with the terms of such financial tests as of September 30, 2019 . As of September 30, 2019 , the Company had 33 master repurchase agreements with its counterparties and borrowings under 20 of the 33 master repurchase agreements. The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 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) Short Term Borrowings: Agency RMBS $ 366,488 2.31 % 49 $ 14,650 3.09 % 21 Agency CMBS 1,640,190 2.36 % 29 1,392,649 2.71 % 40 Non-Agency RMBS 31,071 3.67 % 8 30,922 4.06 % 18 Non-Agency CMBS 201,751 3.28 % 28 134,814 4.05 % 48 Residential Whole Loans (1) 10,854 3.96 % 36 863,356 4.08 % 93 Residential Bridge Loans (1) 50,092 4.26 % 28 204,754 4.50 % 25 Commercial Loans (1) 137,821 4.33 % 28 131,788 4.55 % 26 Securitized commercial loans (1) 32,893 3.13 % 9 7,543 4.30 % 15 Other securities 57,061 3.55 % 30 38,361 4.18 % 26 Subtotal 2,528,221 2.63 % 31 2,818,837 3.45 % 54 Long Term Borrowings: Residential Whole Loans (1) (2) 271,887 3.68 % 653 — — % — Commercial Loans (2) 125,000 4.29 % 641 — — % — Subtotal 396,887 3.87 % 649 — — % — Total $ 2,925,108 2.80 % 115 $ 2,818,837 3.45 % 54 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. (2) Certain Residential Whole Loans and Commercial Loans were financed under two new longer term repurchase agreements. The Company entered into a $700.0 million residential and $150.0 million commercial facility. These facilities automatically roll until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral. At September 30, 2019 and December 31, 2018 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2019 December 31, 2018 1 to 29 days 1,695,132 1,867,957 30 to 59 days 623,323 144,778 60 to 89 days 209,766 555,695 Greater than or equal to 90 days 396,887 250,407 Total $ 2,925,108 $ 2,818,837 At September 30, 2019 , the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): September 30, 2019 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse AG, Cayman Islands Branch $ 99,002 875 17.5 % Nomura Securities International, Inc. 78,468 28 13.9 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 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 $ 379,998 $ 1,380 $ 381,378 $ 19,837 $ 453 $ 20,290 Agency CMBS, at fair value 1,739,015 4,592 1,743,607 1,486,142 4,262 1,490,404 Non-Agency RMBS, at fair value 47,256 441 47,697 50,555 479 51,034 Non-Agency CMBS, at fair value 270,434 1,088 271,522 186,552 915 187,467 Residential Whole Loans, at fair value (1) 300,551 2,282 302,833 1,041,885 8,145 1,050,030 Residential Bridge Loans (1) 50,675 778 51,453 221,486 3,528 225,014 Commercial Loans, at fair value (1) 422,032 2,311 424,343 196,123 1,067 197,190 Securitized commercial loans, at fair value (1) 44,244 140 44,384 13,688 88 13,776 Other securities, at fair value 82,875 143 83,018 59,780 147 59,927 Cash (2) 3,380 — 3,380 1,226 — 1,226 Total $ 3,340,460 $ 13,155 $ 3,353,615 $ 3,277,274 $ 19,084 $ 3,296,358 (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 September 30, 2019 and December 31, 2018 , investments held by counterparties as security for repurchase agreements totaled approximately $3.3 billion and $3.3 billion , respectively. Cash collateral held by counterparties at September 30, 2019 and December 31, 2018 was $3.4 million and approximately $1.2 million , respectively. Cash posted by repurchase agreement counterparties at September 30, 2019 and December 31, 2018 , was $2.1 million and approximately $17.8 million , respectively. In addition, at September 30, 2019 and December 31, 2018 , the Company held securities with a fair value of $2.8 million and $5.2 million , 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 At September 30, 2019 , the Company had $155.0 million aggregate principal amount of 6.75% convertible senior unsecured notes outstanding through two issuances described below. In October 2017, the Company issued $115.0 million aggregate principal amount of 6.75% convertible senior unsecured 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. In August 2019, the Company issued an additional $40.0 million aggregate principal amount of 6.75% convertible senior unsecured notes (the "Reopened Notes") for net proceeds of $38.8 million after subtracting underwriting commissions and debt offering expenses. The Reopened Notes have substantially identical terms as the existing notes issued in October 2017. 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 principal balance of the trust certificates was $24.2 million at September 30, 2019 , with a fair value of $24.2 million . The trust certificates bear a fixed interest rate of 8.9% and mature on July 6, 2020. The Company owns $13.5 million of the trust certificates which was eliminated in consolidation and the remaining $10.6 million is held by related parties and is carried at a fair value of $10.7 million and recorded in "Securitized debt, net" in the consolidated balance sheets. At September 30, 2019 , the commercial loan with an outstanding principal balance of approximately $24.2 million serves as collateral for the securitized debt of the CMSC Trust and is non-recourse to the Company. RETL 2019 Trust The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at September 30, 2019 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A $ 219,431 3.2% $ 219,567 3/15/2021 Class B 101,200 3.6% 101,389 3/15/2021 Class C 308,400 4.1% 309,362 3/15/2021 Class HRR 45,300 10.5% 45,310 3/15/2021 Class X-CP (1) N/A 1.5% 1,945 4/15/2020 Class X-EXT (1) N/A N/A 31 3/15/2021 $ 674,331 $ 677,604 (1) Class X-CP and Class X-EXT are interest-only classes with a notional balance of $308.4 million each. The Company acquired $30.6 million of the class C certificates and the entire class of HRR certificates, which are eliminated in consolidation and the remaining RETL debt with a fair value of $601.6 million is recorded in "Securitized debt, net" in the consolidated balance sheets. Of the remaining outstanding principal balance of $598.5 million , excluding the interest-only debt securities, $62.3 million is owned by related parties and $536.1 million is owned by third parties. At September 30, 2019 , the commercial loan with an outstanding principal balance of approximately $674.3 million serves as collateral for the securitized debt of the RETL and is non-recourse to the Company. The securitized debt of the RETL 2019 Trust can only be settled with the commercial loan that serves as collateral for the securitized debt and is non-recourse to the Company. Arroyo Trust In May 2019, the Company completed a residential mortgage-backed securitization comprised of $945.5 million of Non-QM Residential Whole Loans, issuing $919.0 million of mortgage-backed notes. The Company did not elect the fair value option for these notes and accordingly they are recorded at their principal balance less unamortized deferred financing cost and classified in "Securitized Debt, Net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates, excluding the Owner Certificates, at September 30, 2019 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 733,440 3.3% $ 733,438 4/25/2049 Class A-2 39,299 3.5% 39,298 4/25/2049 Class A-3 62,261 3.8% 62,259 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 860,055 $ 860,050 Less: Unamortized Deferred Financing Costs N/A 5,491 Total $ 860,055 $ 854,559 The securitized debt of the Arroyo Trust can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At September 30, 2019 , Residential Whole Loans, with an outstanding principal balance of approximately $877.4 million , serve as collateral for the Arroyo Trust's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three year anniversary of the closing date or ii) the date on which the aggregate collateral balance is 20% of the original principal balance. The notes are redeemable at their face value plus accrued interest. |
Derivative Instruments
Derivative Instruments | 9 Months Ended |
Sep. 30, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Derivative Instruments The Company’s derivatives may include interest rate swaps, options, futures contracts, TBAs, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, credit default swaps and total return swaps. The following table summarizes the Company’s derivative instruments at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 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 $ 3,364,600 $ 345 $ 1,128,400 $ 2,057 Futures contracts, asset Non-Hedge Derivative assets, at fair value 60,300 808 — — Credit default swaps, asset Non-Hedge Derivative assets, at fair value 60,100 2,884 50,000 549 Total derivative instruments, assets 4,037 2,606 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 1,152,200 (68 ) 2,727,800 (5,473 ) Futures contracts, liability Non-Hedge Derivative liability, at fair value 65,400 (1,518 ) 300,400 (4,657 ) Credit default swaps, liability Non-Hedge Derivative liability, at fair value 90,900 (6,502 ) — — Total derivative instruments, liabilities (8,088 ) (10,130 ) Total derivative instruments, net $ (4,051 ) $ (7,524 ) The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2019 and September 30, 2018 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended September 30, 2019 Interest rate swaps $ (123 ) $ (56,121 ) $ 1,655 $ 3,289 $ 60 $ (51,240 ) Interest rate swaptions (332 ) — — 176 — (156 ) Interest-Only Strips— accounted for as derivatives — — (590 ) (420 ) 723 (287 ) Options 1,378 — — (470 ) — 908 Futures contracts 3,620 — — (710 ) — 2,910 Credit default swaps 175 — — 634 — 809 Total $ 4,718 $ (56,121 ) $ 1,065 $ 2,499 $ 783 $ (47,056 ) Three months ended September 30, 2018 Interest rate swaps $ 95 $ 25,250 $ 772 $ (3,742 ) $ 1,190 $ 23,565 Interest-Only Strips— accounted for as derivatives — — (996 ) (929 ) 1,209 (716 ) Options — — — (253 ) — (253 ) Futures contracts 4,232 — — (1,994 ) — 2,238 Credit default swap (83 ) — — (492 ) — (575 ) TBAs (8 ) — — 374 — 366 Total $ 4,236 $ 25,250 $ (224 ) $ (7,036 ) $ 2,399 $ 24,625 Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Nine months ended September 30, 2019 Interest rate swaps $ (714 ) $ (152,559 ) $ 4,859 $ (453 ) $ 4,989 $ (143,878 ) Interest rate swaptions (332 ) — — — — (332 ) Interest-Only Strips— accounted for as derivatives — — (1,840 ) (460 ) 2,326 26 Options 1,378 — — — — 1,378 Futures contracts (6,720 ) — — 3,947 — (2,773 ) Credit default swaps (414 ) — — 259 — (155 ) Total $ (6,802 ) $ (152,559 ) $ 3,019 $ 3,293 $ 7,315 $ (145,734 ) Nine months ended September 30, 2018 Interest rate swaps $ 114 $ 123,114 $ 1,064 $ (1,497 ) $ 886 $ 123,681 Interest-Only Strips— accounted for as derivatives — — (2,970 ) (959 ) 3,642 (287 ) Options (518 ) — — 47 — (471 ) Futures contracts 8,824 — — 1,075 — 9,899 Credit default swap (125 ) — — (441 ) — (566 ) TBAs 126 — — 315 — 441 Total $ 8,421 $ 123,114 $ (1,906 ) $ (1,460 ) $ 4,528 $ 132,697 At September 30, 2019 and December 31, 2018 , the Company had cash pledged as collateral for derivatives which represents upfront cash collateral upon the Company entering into an interest rate swap transaction and cash collateral for other derivatives of approximately $87.0 million and $38.0 million , respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. Interest rate swaps and interest rate swaptions The Company enters into interest rate swaps and interest rate swaptions to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps and interest rate swaptions to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. Interest rate swaptions provide the Company the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company generally enters into MAC (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. At September 30, 2019 , the Company had made upfront cash collateral payments of $78.1 million , which is classified in "Due from counterparties" in the Consolidated Balance Sheets. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements as previously described. The Company has not elected to account for its interest rate swaps as “hedges” under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain (loss) on derivatives instruments, net" in the Consolidated Statements of Operations. Interest Rate Swaps The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) 1 year or less $ 200,000 1.8 % 2.3 % 0.7 Greater than 3 years and less than 5 years 1,182,500 2.5 % 2.2 % 4.4 Greater than 5 years 2,137,100 2.3 % 2.2 % 9.0 Total $ 3,519,600 2.4 % 2.2 % 7.0 September 30, 2019 Variable Pay Interest Rate Swap Remaining Term Notional Amount Average Variable Pay Rate Average Fixed Receive Rate Average Maturity (Years) Greater than 1 year and less than 3 years $ 225,000 2.3 % 2.4 % 1.6 Greater than 5 years 772,200 2.2 % 2.3 % 8.3 Total $ 997,200 2.3 % 2.4 % 6.8 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 Futures Contracts The Company may enter into Eurodollar, Volatility Index, and U.S. Treasury futures. As of September 30, 2019 , the Company had entered into contracts to buy or long positions for U.S. Treasuries with a notional amount of $125.7 million , with a fair value in a liability position of $710 thousand and an expiration date of December 2019 . 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 , with a fair value in a liability position of $4.7 million and an expiration date of March 2019 . 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 The Company entered into credit default swaps and, in the future, may continue to enter into these types of credit derivatives. Under these instruments, the buyer makes a monthly premium payment over the term of the contract in exchange for the seller making a payment for losses of the reference securities, upon the occurrence of a specified credit event. |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 9 Months Ended |
Sep. 30, 2019 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 9,560 $ — $ 9,560 $ (7,462 ) $ — $ 2,098 Derivative asset, at fair value 4,037 — 4,037 (3,760 ) — 277 Total derivative assets $ 13,597 $ — $ 13,597 $ (11,222 ) $ — $ 2,375 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 8,088 $ — $ 8,088 $ (3,760 ) $ (709 ) $ 3,619 Repurchase Agreements (3) 2,925,108 — 2,925,108 (2,925,108 ) — — Total derivative liability $ 2,933,196 $ — $ 2,933,196 $ (2,928,868 ) $ (709 ) $ 3,619 (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) Cash collateral pledged against the Company’s derivative counterparties was approximately $86.8 million as of September 30, 2019 . (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.3 billion as of September 30, 2019 . 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 Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-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 Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, 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 . Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2019 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Management Agreement In connection with the Company’s initial public offering ("IPO") in May 2012, the Company entered into a management agreement (the “Management Agreement”) with the Manager, which describes the services to be provided by the Manager and compensation for such services. The Manager is responsible for managing the Company’s operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company’s Board of Directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company’s stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, “stockholders’ equity” means the sum of the net proceeds from any issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company’s shares of common stock, excluding any unrealized gains or losses on our investments and derivatives and other non-cash items (excluding OTTI ) that have impacted stockholders' equity as reported in the Company’s consolidated financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. However, if the Company’s stockholders’ equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter. In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company’s chief financial officer, 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 shares 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. The Company's Manager did not earn a management fee on the issued equity through March 31, 2019, to reduce any impact on earnings as the Company fully deployed the capital into its target assets. For the three months ended September 30, 2019 and September 30, 2018 , the Company incurred approximately $1.8 million and approximately $2.3 million in management fees, respectively. For the nine months ended September 30, 2019 and September 30, 2018 , the Company incurred approximately $5.4 million and approximately $6.7 million in management fees, respectively. In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company as defined in the Management Agreement. For the three months ended September 30, 2019 and September 30, 2018 , the Company recorded expenses included in general and administrative expenses totaling approximately $210 thousand and approximately $205 thousand , respectively, related to reimbursable employee costs. For the nine months ended September 30, 2019 and September 30, 2018 , the Company recorded expenses included in general and administrative expenses totaling approximately $1.4 million and approximately $1.3 million , respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company’s general and administrative expenses in the Consolidated Statements of Operations. At September 30, 2019 and December 31, 2018 , approximately $1.8 million and approximately $4.2 million , respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. In addition, at September 30, 2019 and December 31, 2018 , approximately $226 thousand and approximately $379 thousand , respectively, of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. |
Share-Based Payments
Share-Based Payments | 9 Months Ended |
Sep. 30, 2019 | |
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 Company's secondary public offerings, the number of shares of common stock available under the Equity Incentive Plans increased to 1,573,609 . Approximately 893,353 shares have been issued under the Equity Plans with 680,256 shares available for issuance, as of September 30, 2019 . Under the Equity Plan, the Company made the following grants during the nine months ended September 30, 2019 and the year ended December 31, 2018 : 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 vested 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 March 28, 2019, the Company granted 108,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of the shares will vest on March 28, 2020, one-third will vest on March 28, 2021 and the remaining one-third will vest on March 28, 2022. On June 6, 2019, the Company granted a total of 28,780 shares ( 7,195 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 6, 2020, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company’s Director Deferred Fee Plan (the “Director Deferred Fee Plan”). The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director. During the nine months ended September 30, 2019 and September 30, 2018 , 29,200 and 84,203 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 $164 thousand and approximately $70 thousand for the three months ended September 30, 2019 and September 30, 2018 , respectively. The Company recognized stock-based compensation expense of approximately $399 thousand and approximately $195 thousand for the nine months ended September 30, 2019 and September 30, 2018 . In addition, the Company had unamortized compensation expense of $1.1 million and $117 thousand for equity awards at September 30, 2019 and December 31, 2018 , respectively. All restricted common shares granted, other than those whose issuance has been deferred pursuant to the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote. Dividend equivalent payments otherwise allocable to restricted common shares under the Company's Director Deferred Fee Plan are deemed to purchase additional phantom shares of the Company’s common stock that are credited to each participant’s deferral account. The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee’s continuing to provide services to the Company as of the vesting date. Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee. The following is a summary of restricted common stock vesting dates as of September 30, 2019 and December 31, 2018 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: September 30, 2019 December 31, 2018 Vesting Date Shares Vesting Shares Vesting June 2019 — 27,476 March 2020 36,000 — June 2020 29,656 — March 2021 36,000 — March 2022 36,000 — 137,656 27,476 The following table presents information with respect to the Company’s restricted stock for the nine months ended September 30, 2019 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 753,973 $ 16.77 Granted (2) 139,380 10.34 Cancelled/forfeited — — Outstanding at end of period 893,353 15.76 Unvested at end of period 137,656 $ 10.34 (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 2,600 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2019 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity | Stockholders’ Equity 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 Offerings 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. In May 2019, the Company completed a secondary public offering in which it sold 5,000,000 shares of its common stock at a price of $10.14 per share, for net proceeds of approximately $49.3 million after subtracting underwriting commissions and offering expenses of approximately $1.4 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. The Company has repurchased 303,422 shares of common stock accounted for as treasury stock pursuant to the authorization. In September 2018, the Company re-issued all 303,422 shares in treasury stock as part of its secondary public offering. Dividends The following table presents cash dividends declared and paid by the Company on its common stock: Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2019 September 19, 2019 September 30, 2019 October 25, 2019 $ 0.31 Not yet determined June 20, 2019 July 1, 2019 July 26, 2019 $ 0.31 Not yet determined March 21, 2019 April 1, 2019 April 26, 2019 $ 0.31 Not yet determined 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 |
Net Income per Common Share
Net Income per Common Share | 9 Months Ended |
Sep. 30, 2019 | |
Earnings Per Share [Abstract] | |
Net Income per Common Share | Net Income per Common Share The table below presents basic and diluted net income per share of common stock using the two-class method for the three and nine months ended September 30, 2019 and September 30, 2018 (dollars, other than shares and per share amounts, in thousands): For the three months ended September 30, 2019 For the three months ended September 30, 2018 Nine months ended September 30, 2019 Nine months ended September 30, 2018 Numerator : Net income attributable to common stockholders and participating securities for basic and diluted earnings per share $ 19,720 $ 20,882 $ 58,210 $ 44,064 Less: Dividends and undistributed earnings allocated to participating securities 96 54 236 112 Net income allocable to common stockholders — basic and diluted $ 19,624 $ 20,828 $ 57,974 $ 43,952 Denominator : Weighted average common shares outstanding for basic earnings per share 53,116,379 42,060,077 50,625,537 41,802,302 Weighted average common shares outstanding for diluted earnings per share 53,116,379 42,060,077 50,625,537 41,802,302 Basic earnings per common share $ 0.37 $ 0.50 $ 1.15 $ 1.05 Diluted earnings per common share $ 0.37 $ 0.50 $ 1.15 $ 1.05 For the three and nine months ended September 30, 2019 and September 30, 2018 , the Company excluded the effects of 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 convertible senior unsecured notes. For the nine months ended September 30, 2019 and the three and nine months ended September 30, 2018 , the Company excluded the effects of the warrants 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. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2019 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders and satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income and stock ownership tests. Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of September 30, 2019 . The Company files U.S. federal and state income tax returns. As of September 30, 2019 , 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 taxable REIT subsidiaries ("TRS"). Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. During the three months ended September 30, 2019 and September 30, 2018 , the Company recorded a federal and state tax benefit of $55 thousand and tax provision of $206 thousand , respectively, which is recorded in "Income tax (benefit) provision" in the Consolidated Statements of Operations. During the nine months ended September 30, 2019 and September 30, 2018 , the Company recorded a federal and state tax provision of $435 thousand and $555 thousand , respectively, which is recorded in "Income tax (benefit) provision" in the Consolidated Statements of Operations. Deferred Tax Asset As of September 30, 2019 and December 31, 2018 , the Company recorded a deferred tax asset of approximately $6.5 million and $6.0 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 valuation allowance of $6.5 million and $6.0 million as of September 30, 2019 and December 31, 2018 , respectively. In addition, the REIT generated net operating losses ("NOLs") during the year ended December 31, 2017, related to its interest rate swap terminations, and for its California return a portion of the NOL's is apportioned to the TRS. The Company recorded a deferred state tax asset relating to the NOLs of $6.4 million and $5.5 million in the REIT and $1.3 million and $993 thousand in the TRS as of September 30, 2019 and December 31, 2018 , respectively. The TRS can carryback these NOLs 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 relating to the NOLs will not be realized with the exception of the TRS carryback to 2015 and has recorded a combined valuation allowance of $7.4 million and $6.1 million as of September 30, 2019 and December 31, 2018 , respectively. The Company also recorded a deferred federal tax liability of $85 thousand and $85 thousand as of September 30, 2019 and December 31, 2018 , respectively, in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL. Effective Tax Rate The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to its valuation allowance and the deduction of dividends distributions to be paid under Code Section 857(a). |
Contingencies
Contingencies | 9 Months Ended |
Sep. 30, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies | Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at September 30, 2019 . |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2019 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended September 30, 2019 , are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2018 , filed with the SEC on March 6, 2019. The consolidated financial statements include the accounts of the Company, 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 | 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. |
Recently adopted accounting pronouncements | Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements 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 adoption of this standard did not have a material impact on its consolidated financial statements. In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees. First quarter 2019. The adoption of this standard did not have a material impact on its consolidated financial statements. In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting. First quarter 2019. The adoption of this standard did not have a material impact on its 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. However, since the Company elects the fair value option for its financial assets, it does not foresee the adoption of this guidance having a material impact on its 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 April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification. First quarter 2020. The Company is currently evaluating the impact the standard may have on its consolidated financial statements when adopted. However, the Company does not foresee the Codification Improvements having a material impact on its financial statements In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326). The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10. First quarter 2020. The Company is currently evaluating the impact the standard may have on its consolidated financial statements. However, since the Company already elects the fair value option for its financial assets, it does not foresee the adoption of this guidance having a material impact on its financial statements |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Fair Value Disclosures [Abstract] | |
Schedule of the entity's financial instruments carried at fair value based upon the valuation hierarchy | The following tables present the Company’s financial instruments carried at fair value as of September 30, 2019 and December 31, 2018 , based upon the valuation hierarchy (dollars in thousands): September 30, 2019 Fair Value Level I Level II Level III Total Assets Agency CMBS $ — $ 1,735,324 $ 67,734 $ 1,803,058 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 3,691 — 3,691 Agency RMBS — 365,286 — 365,286 Agency RMBS Interest-Only Strips — — 10,940 10,940 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 5,869 5,869 Subtotal Agency MBS — 2,104,301 84,543 2,188,844 Non-Agency RMBS — — 38,673 38,673 Non-Agency RMBS Interest-Only Strips — — 8,582 8,582 Non-Agency CMBS — 291,748 — 291,748 Subtotal Non-Agency MBS — 291,748 47,255 339,003 Other securities — 65,237 17,775 83,012 Total mortgage-backed securities and other securities — 2,461,286 149,573 2,610,859 Residential Whole Loans — — 1,209,237 1,209,237 Residential Bridge Loans — — 48,054 48,054 Securitized commercial loans — — 701,835 701,835 Commercial Loans — — 442,032 442,032 Derivative assets 808 3,229 — 4,037 Total Assets $ 808 $ 2,464,515 $ 2,550,731 $ 5,016,054 Liabilities Derivative liabilities $ 1,518 $ 6,570 $ — $ 8,088 Securitized debt — 610,306 1,976 612,282 Total Liabilities $ 1,518 $ 616,876 $ 1,976 $ 620,370 December 31, 2018 Fair Value Level I Level II Level III Total Assets Agency CMBS $ — $ 1,481,984 $ — $ 1,481,984 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 4,158 — 4,158 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 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 Securitized commercial loan — — 1,013,511 1,013,511 Commercial Loans — — 216,123 216,123 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 |
Summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments | The following tables present a summary of the available 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 September 30, 2019 and December 31, 2018 (dollars in thousands): Fair Value at Range September 30, 2019 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans (2) 1,015,712 Discounted Cash Flow Yield 3.3 % 7.5 % 3.7 % Weighted Average Life 1.3 14.9 2.6 Residential Bridge Loans 48,054 Discounted Cash Flow Yield 7.0 % 144.0 % (1) 9.8 % Weighted Average Life 0.1 2.7 0.8 Commercial Loans 442,032 Discounted Cash Flow Yield 4.5 % 8.6 % 6.4 % Weighted Average Life 0.2 2.9 1.8 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 % (1) 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 Life 0.9 2.7 2.1 (1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge Loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity, some of which are greater than 100%. (2) Excludes the Conforming Residential Whole Loans, which are valued using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. |
Schedule of additional information about the entity's financial instruments, which are measured at fair value on a recurring basis for which the entity has utilized Level III inputs to determine fair value | The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended September 30, 2019 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Whole Loans Residential Bridge Loans Commercial Loans Securitized commercial loans Securitized debt Beginning balance $ 58,917 $ 47,187 $ 17,797 $ 1,206,220 $ 87,402 $ 312,032 $ 804,134 $ 2,876 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II (43,686 ) — — — — — — — Purchases 68,633 — — 80,725 — 129,730 — — Sales and settlements (401 ) — — — — — — — Transfers to REO — — — — (2,677 ) — — — Principal repayments — (311 ) (253 ) (78,672 ) (36,978 ) — (100,700 ) — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — — (195 ) — — — Other than temporary impairment (193 ) (27 ) — — — — — — Unrealized gains/(losses), net on assets (1) 2,256 970 305 1,875 569 204 (845 ) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (71 ) Premium and discount amortization, net (983 ) (564 ) (74 ) (911 ) (67 ) 66 (754 ) (829 ) Ending balance $ 84,543 $ 47,255 $ 17,775 $ 1,209,237 $ 48,054 $ 442,032 $ 701,835 $ 1,976 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 844 $ 970 $ 305 $ 3,239 $ (41 ) $ 204 $ (845 ) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 71 Three months ended September 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 75,043 $ 16,307 $ 8,955 $ 335,149 $ 236,359 $ 70,717 $ 1,309,195 $ 2,870 Transfers into Level III from Level II — 57,275 9,708 — — — — — Transfers from Level III into Level II (51,976 ) — (8,697 ) — — — — — Purchases 107,034 — — 372,348 70,465 94,313 — — Principal repayments (42 ) (14 ) (285 ) (21,258 ) (70,341 ) (20,638 ) (117,100 ) — Total net gains / losses included in net income 0 Other than temporary impairment (384 ) (142 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,007 ) (95 ) (15 ) (1,469 ) (1,103 ) (575 ) 282 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (330 ) Premium and discount amortization, net (1,335 ) (544 ) 42 (307 ) (633 ) 134 (1,329 ) 66 Ending balance $ 127,333 $ 72,787 $ 9,708 $ 684,463 $ 234,747 $ 143,951 $ 1,191,048 $ 2,606 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (668 ) $ (94 ) $ — $ (1,231 ) $ (844 ) $ (618 ) $ 282 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 330 Nine months ended September 30, 2019 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 19,837 $ 50,555 $ 8,951 $ 1,041,885 $ 211,999 $ 216,123 $ 1,013,511 $ 2,286 Transfers into Level III from Level II — — 8,386 — — — — — Transfers from Level III into Level II — — — — — — — — Purchases 66,641 — — 318,130 — 225,109 903,770 — Sales and settlements (401 ) — — — — — — 3,769 Transfers to REO — — — — (2,677 ) — — — Principal repayments — (837 ) (439 ) (166,015 ) (160,240 ) — (1,214,584 ) — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — — (444 ) — — — Other than temporary impairment (222 ) (1,204 ) — — — — — — Unrealized gains/(losses), net on assets (1) 1,776 494 1,123 17,281 80 368 1,076 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (2,088 ) Premium and discount amortization, net (3,088 ) (1,753 ) (246 ) (2,044 ) (664 ) 432 (1,938 ) (1,991 ) Ending balance $ 84,543 $ 47,255 $ 17,775 $ 1,209,237 $ 48,054 $ 442,032 $ 701,835 $ 1,976 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 1,771 $ 494 $ 1,123 $ 18,247 $ (678 ) $ 368 $ 1,104 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 90 Nine months ended September 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 17,217 $ 8,735 $ 9,239 $ 237,423 $ 64,526 $ — $ 24,876 $ 10,945 Transfers into Level III from Level II 22,794 57,275 9,708 — — — — — Transfers from Level III into Level II (16,805 ) — (8,697 ) — — — — (10,899 ) Purchases 109,002 8,602 — 486,354 221,619 144,035 1,353,019 — Sales and settlements — — — — — — — 12 Principal repayments (53 ) (14 ) (604 ) (36,092 ) (49,503 ) — (196,007 ) (44 ) Total net gains / losses included in net income Other than temporary impairment (590 ) (191 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,447 ) (149 ) (68 ) (2,644 ) (1,217 ) (159 ) 11,152 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 2,502 Premium and discount amortization, net (2,785 ) (1,471 ) 130 (578 ) (678 ) 75 (1,992 ) 90 Ending balance $ 127,333 $ 72,787 $ 9,708 $ 684,463 $ 234,747 $ 143,951 $ 1,191,048 $ 2,606 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (1,089 ) $ (148 ) $ — $ (2,101 ) $ (832 ) $ (159 ) $ 11,152 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (2,504 ) (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" or "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively. |
Schedule of fair value, by balance sheet grouping | The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of September 30, 2019 and December 31, 2018 in the consolidated financial statements (dollars in thousands): September 30, 2019 December 31, 2018 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 5,319 $ 5,159 $ 9,720 $ 9,603 Total $ 5,319 $ 5,159 $ 9,720 $ 9,603 Liabilities Borrowings under repurchase agreements $ 2,925,108 $ 2,936,441 $ 2,818,837 $ 2,823,615 Convertible senior unsecured notes 148,542 156,986 110,060 108,531 Securitized debt (1) 860,050 868,843 — — Total $ 3,933,700 $ 3,962,270 $ 2,928,897 $ 2,932,146 (1) Carrying value excludes $5.5 million of deferred financing costs |
Mortgage-Backed Securities an_2
Mortgage-Backed Securities and other securities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of certain information about the Company's investment portfolio | The following tables present certain information about the Company’s investment portfolio at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 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 CMBS $ 1,659,501 $ 31,397 $ — $ 1,690,898 $ 112,867 $ (707 ) $ 1,803,058 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 3,691 0.4 % Subtotal Agency CMBS 1,659,501 31,397 — 1,690,898 112,867 (707 ) 1,806,749 3.0 % Agency RMBS 352,717 5,722 — 358,439 6,847 — 365,286 3.5 % Agency RMBS Interest-Only Strips (1)(2) N/A N/A N/A 9,209 1,880 (149 ) 10,940 2.6 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 5,869 3.0 % Subtotal Agency RMBS 352,717 5,722 N/A 367,648 8,727 (149 ) 382,095 3.2 % Total Agency MBS 2,012,218 37,119 — 2,058,546 121,594 (856 ) 2,188,844 3.1 % Non-Agency RMBS 53,022 4,745 (20,738 ) 37,029 1,777 (133 ) 38,673 4.8 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 8,396 276 (90 ) 8,582 0.6 % Subtotal Non-Agency RMBS 53,022 4,745 (20,738 ) 45,425 2,053 (223 ) 47,255 1.0 % Non-Agency CMBS 327,339 (17,254 ) (23,683 ) 286,402 6,729 (1,383 ) 291,748 5.2 % Total Non-Agency MBS 380,361 (12,509 ) (44,421 ) 331,827 8,782 (1,606 ) 339,003 2.6 % Other securities (3) 73,220 (2,178 ) (6,338 ) 76,758 6,257 (3 ) 83,012 7.0 % Total $ 2,465,799 $ 22,432 $ (50,759 ) $ 2,467,131 $ 136,633 $ (2,465 ) $ 2,610,859 3.0 % 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 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 % 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 % Total 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 % Total 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 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At September 30, 2019 , 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 $129.8 million , $471.7 million , $70.5 million and $168.1 million , respectively. 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. (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 $12.1 million and $17.0 million , as of September 30, 2019 and December 31, 2018 , respectively. |
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities | The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and nine months ended September 30, 2019 and September 30, 2018 (dollars in thousands): Three months ended September 30, 2019 Three months ended September 30, 2018 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (48,824 ) $ (28,582 ) $ 14,441 $ (78,837 ) $ (68,677 ) $ 21,723 Accretion of discount — 1,032 — — 1,314 — Amortization of premium — — (220 ) — — (97 ) Realized credit losses 831 — — 3,305 — — Purchases — (3,493 ) 473 — — — Sales 18,388 — (17,905 ) 2,334 25,624 (400 ) Net impairment losses recognized in earnings (1,587 ) — — (2,071 ) — — Transfers/release of credit reserve (2) (19,567 ) 1,130 18,437 817 8 (825 ) Balance at end of period $ (50,759 ) $ (29,913 ) $ 15,226 $ (74,452 ) $ (41,731 ) $ 20,401 Nine months ended September 30, 2019 Nine months ended September 30, 2018 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (53,523 ) $ (29,465 ) $ 14,928 $ (72,915 ) $ (68,438 ) $ 20,872 Accretion of discount — 3,352 — — 6,483 — Amortization of premium — — (836 ) — — (461 ) Realized credit losses 5,584 — — 5,526 — — Purchases — (6,599 ) 760 (7,182 ) (6,473 ) 435 Sales 24,422 — (19,516 ) 5,673 29,352 (1,084 ) Net impairment losses recognized in earnings (4,553 ) — — (7,570 ) — — Transfers/release of credit reserve (2) (22,689 ) 2,799 19,890 2,016 (2,655 ) 639 Balance at end of period $ (50,759 ) $ (29,913 ) $ 15,226 $ (74,452 ) $ (41,731 ) $ 20,401 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium. |
Schedule of the fair value and contractual maturities of the Company's investment securities | The following tables present the fair value and contractual maturities of the Company’s investment securities at September 30, 2019 and December 31, 2018 (dollars in thousands) : September 30, 2019 < 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 $ — $ — $ 365,286 $ — $ 365,286 Agency RMBS Interest-Only Strips 2,651 2,110 6,179 — 10,940 Agency RMBS Interest-Only Strips, accounted for as derivatives 734 4,150 985 — 5,869 Agency CMBS 1,326,225 476,833 — — 1,803,058 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 3,691 3,691 Subtotal Agency 1,329,610 483,093 372,450 3,691 2,188,844 Non-Agency RMBS — — 9,250 29,423 38,673 Non-Agency RMBS Interest- Only Strips — — 2,542 6,040 8,582 Non-Agency CMBS 77,838 101,425 86,059 26,426 291,748 Subtotal Non-Agency 77,838 101,425 97,851 61,889 339,003 Other securities 25,515 32,977 2,750 21,770 83,012 Total $ 1,432,963 $ 617,495 $ 473,051 $ 87,350 $ 2,610,859 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 |
Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position | The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 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 $ 320 $ (44 ) 2 $ 2,202 $ (105 ) 7 $ 2,522 $ (149 ) 9 Agency CMBS 85,558 (707 ) 4 — — — 85,558 (707 ) 4 Subtotal Agency 85,878 (751 ) 6 2,202 (105 ) 7 88,080 (856 ) 13 Non-Agency RMBS 13,282 (133 ) 1 — — — 13,282 (133 ) 1 Non-Agency RMBS Interest-Only Strips 2,542 (90 ) 1 — — — 2,542 (90 ) 1 Non-Agency CMBS 103,681 (630 ) 13 20,490 (753 ) 3 124,171 (1,383 ) 16 Subtotal Non-Agency 119,505 (853 ) 15 20,490 (753 ) 3 139,995 (1,606 ) 18 Other securities 9,592 (3 ) 1 — — — 9,592 (3 ) 1 Total $ 214,975 $ (1,607 ) 22 $ 22,692 $ (858 ) 10 $ 237,667 $ (2,465 ) 32 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 |
Schedule of other-than-temporary impairments the Company recorded on its securities portfolio | The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended September 30, 2019 Three months ended September 30, 2018 Nine months ended September 30, 2019 Nine months ended September 30, 2018 Agency RMBS (1) $ 49 $ 320 $ 74 $ 663 Non-Agency RMBS 27 159 1,204 269 Non-Agency CMBS 1,588 2,054 4,506 7,491 Other securities 155 — 562 — Total $ 1,819 $ 2,533 $ 6,346 $ 8,423 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that we had the intent to sell at the end of the period, if applicable. |
Summary of the components of interest income on the Company's MBS and other securities | The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2019 and September 30, 2018 , respectively (dollars in thousands): For the three months ended September 30, 2019 For the three months ended September 30, 2018 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 4,723 $ (981 ) $ 3,742 $ 4,551 $ (1,138 ) $ 3,413 Agency CMBS 14,544 (764 ) 13,780 13,812 (298 ) 13,514 Non-Agency RMBS 1,120 (564 ) 556 2,139 (536 ) 1,603 Non-Agency CMBS 3,696 1,048 4,744 5,379 1,469 6,848 Other securities 2,924 (1,636 ) 1,288 3,674 (1,660 ) 2,014 Total $ 27,007 $ (2,897 ) $ 24,110 $ 29,555 $ (2,163 ) $ 27,392 Nine months ended September 30, 2019 Nine months ended September 30, 2018 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 8,389 $ (2,256 ) $ 6,133 $ 17,471 $ (4,112 ) $ 13,359 Agency CMBS 38,100 (1,553 ) 36,547 45,753 (266 ) 45,487 Non-Agency RMBS 3,712 (1,752 ) 1,960 5,616 (685 ) 4,931 Non-Agency CMBS 9,975 3,294 13,269 15,362 5,873 21,235 Other securities 8,883 (4,985 ) 3,898 11,610 (4,825 ) 6,785 Total $ 69,059 $ (7,252 ) $ 61,807 $ 95,812 $ (4,015 ) $ 91,797 |
Schedule of sales and realized gain (loss) of the Company's MBS and other securities | The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and nine months ended September 30, 2019 and September 30, 2018 , respectively (dollars in thousands): For the three months ended September 30, 2019 For the three months ended September 30, 2018 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS $ 205,310 $ 1,560 $ — $ 1,560 $ — $ — $ — $ — Agency CMBS 356,967 20,268 — 20,268 641,677 — (25,640 ) (25,640 ) Non-Agency CMBS 24,288 134 (210 ) (76 ) 73,848 2,411 (2,712 ) (301 ) Other securities — — — — 13,712 1,712 — 1,712 Total $ 586,565 $ 21,962 $ (210 ) $ 21,752 $ 729,237 $ 4,123 $ (28,352 ) $ (24,229 ) Nine months ended September 30, 2019 Nine months ended September 30, 2018 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS $ 205,310 $ 1,560 $ — $ 1,560 $ 209,581 $ 18 $ (4,531 ) $ (4,513 ) Agency CMBS 563,677 20,268 (4,189 ) 16,079 768,544 — (30,656 ) (30,656 ) Non-Agency RMBS — — — — 51,958 3,114 — 3,114 Non-Agency CMBS 39,453 317 (1,064 ) (747 ) 80,554 2,472 (3,148 ) (676 ) Other securities — — — — 35,469 3,469 — 3,469 Total $ 808,440 $ 22,145 $ (5,253 ) $ 16,892 $ 1,146,106 $ 9,073 $ (38,335 ) $ (29,262 ) |
Residential Whole-Loans and B_2
Residential Whole-Loans and Bridge Loans - (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 Cash and cash equivalents $ 1,512 $ 674 Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively) 1,209,237 1,041,885 Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively) 50,675 221,486 Commercial loan, at fair value — 30,000 Investment related receivable 32,033 42,945 Interest receivable 6,974 11,807 Other assets 253 178 Total assets $ 1,300,684 $ 1,348,975 Securitized debt, net $ 854,559 $ — Interest payable 2,457 — Accounts payable and accrued expenses 255 677 Other liabilities — 225 Total liabilities $ 857,271 $ 902 The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 Cash $ 447 $ — Restricted cash 36,456 55,808 Securitized commercial loans, at fair value 701,835 1,013,511 Commercial Loans, at fair value 212,032 166,123 Interest receivable 2,738 3,733 Total assets $ 953,508 $ 1,239,175 Securitized debt, at fair value $ 612,282 $ 949,626 Interest payable 1,257 2,419 Accounts payable and accrued expenses 33 31 Other liabilities 36,456 55,808 Total liabilities $ 650,028 $ 1,007,884 |
Schedule of components of the carrying value of Residential Whole-Loans and securitized commercial loan | The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of September 30, 2019 and December 31, 2018 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 Principal balance $ 1,169,131 $ 1,023,524 $ 49,131 $ 212,491 $ 5,335 $ 9,766 Unamortized premium 21,925 17,629 108 1,164 7 16 Unamortized discount (2,957 ) (3,145 ) (29 ) (316 ) (23 ) (62 ) Amortized cost 1,188,099 1,038,008 49,210 213,339 5,319 9,720 Gross unrealized gains 22,763 7,573 38 212 N/A N/A Gross unrealized losses (1,625 ) (3,696 ) (1,194 ) (1,552 ) N/A N/A Fair value $ 1,209,237 $ 1,041,885 $ 48,054 $ 211,999 N/A N/A (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets. |
Schedule of certain information about the Residential Whole-Loans investment portfolio | The Residential Whole Loans have low LTV's and are comprised of 2,404 Non-QM adjustable rate mortgages, 669 conforming fixed rate mortgages and 11 investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) (2) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 59 $ 19,327 61.3 % 736 2.1 28.3 3.9 % 4.01– 5.00% 1,336 447,474 61.9 % 741 2.4 28.4 4.8 % 5.01 – 6.00% 1,581 663,426 63.3 % 735 2.6 28.3 5.4 % 6.01 – 7.00% 106 38,458 56.5 % 724 3.8 25.3 6.2 % 7.01 - 8.00% 1 353 70.0 % 777 2.8 28.3 7.2 % 8.01 - 9.00% 1 93 70.0 % 689 3.9 28.3 8.4 % Total 3,084 $ 1,169,131 62.5 % 737 2.6 28.2 5.2 % (1) The original FICO score is not available for 260 loans with a principal balance of approximately $87.5 million at September 30, 2019 . The Company has excluded these loans from the weighted average computations. (2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust. 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. |
Schedule of the U.S. states concentration and principal balance of collateral securing residential whole-loans | The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at September 30, 2019 and December 31, 2018 , based on principal balance, is located (dollars in thousands): September 30, 2019 December 31, 2018 State State Concentration Principal Balance State State Concentration Principal Balance California 69.1 % $ 807,730 California 67.1 % $ 686,275 New York 14.8 % 173,566 New York 17.1 % 175,390 Georgia 2.6 % 30,916 Georgia 2.6 % 26,918 Florida 2.5 % 28,882 Massachusetts 2.1 % 21,197 New Jersey 2.0 % 22,890 Florida 1.9 % 19,942 Other 9.0 % 105,147 Other 9.2 % 93,802 Total 100.0 % $ 1,169,131 Total 100.0 % $ 1,023,524 |
Schedule of residential bridge loans | The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 6.01 – 7.00% 1 $ 394 75.0 % — 7.0 % 7.01 – 8.00% 18 13,117 72.9 % 5.4 7.8 % 8.01 – 9.00% 32 20,658 72.4 % 7.0 8.7 % 9.01 – 10.00% 27 10,934 73.4 % 5.4 9.8 % 10.01 – 11.00% 11 3,538 72.6 % 1.3 10.7 % 11.01 – 12.00% 9 2,307 61.0 % 1.8 11.3 % 12.01 – 13.00% 3 307 68.3 % 2.0 12.7 % 13.01 – 14.00% 1 1,125 75.0 % — 13.5 % 17.01 – 18.00% 5 2,086 73.3 % — 18.0 % Total 107 $ 54,466 72.3 % 5.7 9.4 % December 31, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 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 % |
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans | The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at September 30, 2019 and December 31, 2018 , based on principal balance, is located (dollars in thousands): September 30, 2019 December 31, 2018 State Concentration Principal Balance State Concentration Principal Balance California 54.1 % $ 29,442 California 53.9 % $ 119,761 Washington 12.9 % 7,004 New York 9.5 % 21,160 New York 8.5 % 4,645 Washington 6.6 % 14,711 Florida 6.7 % 3,626 Florida 5.7 % 12,672 District of Columbia 3.1 % 1,671 New Jersey 4.7 % 10,419 Other 14.7 % 8,078 Other 19.6 % 43,534 Total 100.0 % $ 54,466 Total 100.0 % $ 222,257 |
Commercial Loans (Tables)
Commercial Loans (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Noncontrolling Interest [Abstract] | |
Schedule of commercial real estate loans held | The following table presents the commercial real estate loans held by RSBC Trust as of September 30, 2019 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate Maturity Date Extension Option Collateral SBC 1 July 2018 Interest-Only First Mortgage $ 45,187 $ 45,187 74% One-Month LIBOR plus 4.25% (1) 7/1/2020 Two One-Year Extensions Nursing Facilities SBC 2 September and October 2018 (4) Interest-Only First Mortgage 115,500 115,500 78% One-Month LIBOR plus 5.3% (2) 9/6/2021 One-Year Extension Assisted Care Living Facilities SBC 3 November 2018 Interest-Only First Mortgage 5,745 5,745 59% One-Month LIBOR plus 5.25% 12/1/2020 One-Year Extension Nursing Facilities SBC 4 January 2019 Interest-Only First Mortgage 13,600 13,600 84% One-Month LIBOR plus 4.0% (3) 12/1/2021 One-Year Extension Apartment Complex SBC 5 January 2019 Interest-Only First Mortgage 32,000 32,000 49% One-Month LIBOR plus 4.1% 7/1/2021 None Nursing Facilities $ 212,032 $ 212,032 (1) Subject to LIBOR floor of 1.25% . (2) Subject to LIBOR floor of of 1.9% and LIBOR cap of 3.5% . (3) Subject to LIBOR floor of 2% . (4) Acquired $49.6 million of the loan in September 2018 and the remaining $65.9 million in October 2018 The following table presents the commercial loans held by CRE LLC and CRE Mezz as of September 30, 2019 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 1 March 2018 Interest-Only Mezzanine loan $ 20,000 $ 20,000 71% 1-Month LIBOR plus 6.5% 11/15/2019 Three One-Year Extensions Hotel CRE 2 June 2018 Interest-Only First Mortgage 30,000 30,000 65% 1-Month LIBOR plus 4.5% 6/9/2020 One-Year Extension Hotel CRE 4 June 2019 Principal & Interest First Mortgage 50,000 50,000 75% 1-Month LIBOR plus 4.75% 1/11/2022 Two One-Year Extensions Nursing Facilities CRE 5 August 2019 Interest-Only Mezzanine loan 90,000 90,000 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two-Year First Extension and One-Year Second Extension Entertainment and Retail CRE 6 September 2019 Interest-Only First Mortgage 40,000 40,000 63% 1-Month LIBOR plus 3.02% 8/6/2021 Two One-Year Extensions Retail $ 230,000 $ 230,000 |
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 September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 Cash and cash equivalents $ 1,512 $ 674 Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively) 1,209,237 1,041,885 Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively) 50,675 221,486 Commercial loan, at fair value — 30,000 Investment related receivable 32,033 42,945 Interest receivable 6,974 11,807 Other assets 253 178 Total assets $ 1,300,684 $ 1,348,975 Securitized debt, net $ 854,559 $ — Interest payable 2,457 — Accounts payable and accrued expenses 255 677 Other liabilities — 225 Total liabilities $ 857,271 $ 902 The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 Cash $ 447 $ — Restricted cash 36,456 55,808 Securitized commercial loans, at fair value 701,835 1,013,511 Commercial Loans, at fair value 212,032 166,123 Interest receivable 2,738 3,733 Total assets $ 953,508 $ 1,239,175 Securitized debt, at fair value $ 612,282 $ 949,626 Interest payable 1,257 2,419 Accounts payable and accrued expenses 33 31 Other liabilities 36,456 55,808 Total liabilities $ 650,028 $ 1,007,884 |
Schedule of Carrying Value of the Commercial Real Estate Loans | The following table presents the components of the carrying value of the commercial real estate loans as of September 30, 2019 and December 31, 2018 (dollars in thousands): CMSC Trust Securitized Commercial Loan, at Fair Value RETL Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 Principal balance $ 24,153 $ 24,456 $ 674,331 $ 988,609 $ 212,032 $ 166,432 $ 230,000 $ 50,000 Unamortized premium — — 2,262 431 — — — — Unamortized discount — — — — (620 ) (736 ) (309 ) (205 ) Amortized cost 24,153 24,456 676,593 989,040 211,412 165,696 229,691 49,795 Gross unrealized gains 79 — 1,010 29 620 427 309 205 Gross unrealized losses — (14 ) — — — — — — Fair value $ 24,232 $ 24,442 $ 677,603 $ 989,069 $ 212,032 $ 166,123 $ 230,000 $ 50,000 |
Financings (Tables)
Financings (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Debt Disclosure [Abstract] | |
Summary of certain characteristics of the Company's repurchase agreements | The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 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) Short Term Borrowings: Agency RMBS $ 366,488 2.31 % 49 $ 14,650 3.09 % 21 Agency CMBS 1,640,190 2.36 % 29 1,392,649 2.71 % 40 Non-Agency RMBS 31,071 3.67 % 8 30,922 4.06 % 18 Non-Agency CMBS 201,751 3.28 % 28 134,814 4.05 % 48 Residential Whole Loans (1) 10,854 3.96 % 36 863,356 4.08 % 93 Residential Bridge Loans (1) 50,092 4.26 % 28 204,754 4.50 % 25 Commercial Loans (1) 137,821 4.33 % 28 131,788 4.55 % 26 Securitized commercial loans (1) 32,893 3.13 % 9 7,543 4.30 % 15 Other securities 57,061 3.55 % 30 38,361 4.18 % 26 Subtotal 2,528,221 2.63 % 31 2,818,837 3.45 % 54 Long Term Borrowings: Residential Whole Loans (1) (2) 271,887 3.68 % 653 — — % — Commercial Loans (2) 125,000 4.29 % 641 — — % — Subtotal 396,887 3.87 % 649 — — % — Total $ 2,925,108 2.80 % 115 $ 2,818,837 3.45 % 54 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. (2) Certain Residential Whole Loans and Commercial Loans were financed under two new longer term repurchase agreements. The Company entered into a $700.0 million residential and $150.0 million commercial facility. These facilities automatically roll until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral. |
Schedule of repurchase agreements collateralized by investments | At September 30, 2019 and December 31, 2018 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2019 December 31, 2018 1 to 29 days 1,695,132 1,867,957 30 to 59 days 623,323 144,778 60 to 89 days 209,766 555,695 Greater than or equal to 90 days 396,887 250,407 Total $ 2,925,108 $ 2,818,837 |
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | At September 30, 2019 , the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): September 30, 2019 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse AG, Cayman Islands Branch $ 99,002 875 17.5 % Nomura Securities International, Inc. 78,468 28 13.9 % |
Summary of collateral positions, with respect to borrowings under repurchase agreements, securitized debt, derivatives and clearing margin account | The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 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 $ 379,998 $ 1,380 $ 381,378 $ 19,837 $ 453 $ 20,290 Agency CMBS, at fair value 1,739,015 4,592 1,743,607 1,486,142 4,262 1,490,404 Non-Agency RMBS, at fair value 47,256 441 47,697 50,555 479 51,034 Non-Agency CMBS, at fair value 270,434 1,088 271,522 186,552 915 187,467 Residential Whole Loans, at fair value (1) 300,551 2,282 302,833 1,041,885 8,145 1,050,030 Residential Bridge Loans (1) 50,675 778 51,453 221,486 3,528 225,014 Commercial Loans, at fair value (1) 422,032 2,311 424,343 196,123 1,067 197,190 Securitized commercial loans, at fair value (1) 44,244 140 44,384 13,688 88 13,776 Other securities, at fair value 82,875 143 83,018 59,780 147 59,927 Cash (2) 3,380 — 3,380 1,226 — 1,226 Total $ 3,340,460 $ 13,155 $ 3,353,615 $ 3,277,274 $ 19,084 $ 3,296,358 (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 the issued Arroyo Trust's residential mortgage pass-through certificates, excluding the Owner Certificates, at September 30, 2019 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 733,440 3.3% $ 733,438 4/25/2049 Class A-2 39,299 3.5% 39,298 4/25/2049 Class A-3 62,261 3.8% 62,259 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 860,055 $ 860,050 Less: Unamortized Deferred Financing Costs N/A 5,491 Total $ 860,055 $ 854,559 The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at September 30, 2019 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A $ 219,431 3.2% $ 219,567 3/15/2021 Class B 101,200 3.6% 101,389 3/15/2021 Class C 308,400 4.1% 309,362 3/15/2021 Class HRR 45,300 10.5% 45,310 3/15/2021 Class X-CP (1) N/A 1.5% 1,945 4/15/2020 Class X-EXT (1) N/A N/A 31 3/15/2021 $ 674,331 $ 677,604 (1) Class X-CP and Class X-EXT are interest-only classes with a notional balance of $308.4 million each. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Derivative Instruments | |
Summary of the entity's derivative instruments | The following table summarizes the Company’s derivative instruments at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 December 31, 2018 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 $ 3,364,600 $ 345 $ 1,128,400 $ 2,057 Futures contracts, asset Non-Hedge Derivative assets, at fair value 60,300 808 — — Credit default swaps, asset Non-Hedge Derivative assets, at fair value 60,100 2,884 50,000 549 Total derivative instruments, assets 4,037 2,606 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 1,152,200 (68 ) 2,727,800 (5,473 ) Futures contracts, liability Non-Hedge Derivative liability, at fair value 65,400 (1,518 ) 300,400 (4,657 ) Credit default swaps, liability Non-Hedge Derivative liability, at fair value 90,900 (6,502 ) — — Total derivative instruments, liabilities (8,088 ) (10,130 ) Total derivative instruments, net $ (4,051 ) $ (7,524 ) |
Summary of the effect of entity's derivative instruments reported in Gain (loss) on derivative instruments, net on the Statements of Operations | The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2019 and September 30, 2018 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended September 30, 2019 Interest rate swaps $ (123 ) $ (56,121 ) $ 1,655 $ 3,289 $ 60 $ (51,240 ) Interest rate swaptions (332 ) — — 176 — (156 ) Interest-Only Strips— accounted for as derivatives — — (590 ) (420 ) 723 (287 ) Options 1,378 — — (470 ) — 908 Futures contracts 3,620 — — (710 ) — 2,910 Credit default swaps 175 — — 634 — 809 Total $ 4,718 $ (56,121 ) $ 1,065 $ 2,499 $ 783 $ (47,056 ) Three months ended September 30, 2018 Interest rate swaps $ 95 $ 25,250 $ 772 $ (3,742 ) $ 1,190 $ 23,565 Interest-Only Strips— accounted for as derivatives — — (996 ) (929 ) 1,209 (716 ) Options — — — (253 ) — (253 ) Futures contracts 4,232 — — (1,994 ) — 2,238 Credit default swap (83 ) — — (492 ) — (575 ) TBAs (8 ) — — 374 — 366 Total $ 4,236 $ 25,250 $ (224 ) $ (7,036 ) $ 2,399 $ 24,625 Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Nine months ended September 30, 2019 Interest rate swaps $ (714 ) $ (152,559 ) $ 4,859 $ (453 ) $ 4,989 $ (143,878 ) Interest rate swaptions (332 ) — — — — (332 ) Interest-Only Strips— accounted for as derivatives — — (1,840 ) (460 ) 2,326 26 Options 1,378 — — — — 1,378 Futures contracts (6,720 ) — — 3,947 — (2,773 ) Credit default swaps (414 ) — — 259 — (155 ) Total $ (6,802 ) $ (152,559 ) $ 3,019 $ 3,293 $ 7,315 $ (145,734 ) Nine months ended September 30, 2018 Interest rate swaps $ 114 $ 123,114 $ 1,064 $ (1,497 ) $ 886 $ 123,681 Interest-Only Strips— accounted for as derivatives — — (2,970 ) (959 ) 3,642 (287 ) Options (518 ) — — 47 — (471 ) Futures contracts 8,824 — — 1,075 — 9,899 Credit default swap (125 ) — — (441 ) — (566 ) TBAs 126 — — 315 — 441 Total $ 8,421 $ 123,114 $ (1,906 ) $ (1,460 ) $ 4,528 $ 132,697 |
Fixed Pay Rate | Interest rate swaps | |
Derivative Instruments | |
Summary of interest rate swaps or interest rate swaptions | 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 The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) 1 year or less $ 200,000 1.8 % 2.3 % 0.7 Greater than 3 years and less than 5 years 1,182,500 2.5 % 2.2 % 4.4 Greater than 5 years 2,137,100 2.3 % 2.2 % 9.0 Total $ 3,519,600 2.4 % 2.2 % 7.0 |
Variable Pay Rate | Interest rate swaps | |
Derivative Instruments | |
Summary of interest rate swaps or interest rate swaptions | September 30, 2019 Variable Pay Interest Rate Swap Remaining Term Notional Amount Average Variable Pay Rate Average Fixed Receive Rate Average Maturity (Years) Greater than 1 year and less than 3 years $ 225,000 2.3 % 2.4 % 1.6 Greater than 5 years 772,200 2.2 % 2.3 % 8.3 Total $ 997,200 2.3 % 2.4 % 6.8 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Offsetting [Abstract] | |
Schedule of gross and net information about the Company's assets subject to master netting arrangements | The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 9,560 $ — $ 9,560 $ (7,462 ) $ — $ 2,098 Derivative asset, at fair value 4,037 — 4,037 (3,760 ) — 277 Total derivative assets $ 13,597 $ — $ 13,597 $ (11,222 ) $ — $ 2,375 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 8,088 $ — $ 8,088 $ (3,760 ) $ (709 ) $ 3,619 Repurchase Agreements (3) 2,925,108 — 2,925,108 (2,925,108 ) — — Total derivative liability $ 2,933,196 $ — $ 2,933,196 $ (2,928,868 ) $ (709 ) $ 3,619 (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) Cash collateral pledged against the Company’s derivative counterparties was approximately $86.8 million as of September 30, 2019 . (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.3 billion as of September 30, 2019 . 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 Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-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 Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, 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 . |
Schedule of gross and net information about the Company's liabilities subject to master netting arrangements | The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2019 and December 31, 2018 (dollars in thousands): September 30, 2019 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 9,560 $ — $ 9,560 $ (7,462 ) $ — $ 2,098 Derivative asset, at fair value 4,037 — 4,037 (3,760 ) — 277 Total derivative assets $ 13,597 $ — $ 13,597 $ (11,222 ) $ — $ 2,375 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 8,088 $ — $ 8,088 $ (3,760 ) $ (709 ) $ 3,619 Repurchase Agreements (3) 2,925,108 — 2,925,108 (2,925,108 ) — — Total derivative liability $ 2,933,196 $ — $ 2,933,196 $ (2,928,868 ) $ (709 ) $ 3,619 (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) Cash collateral pledged against the Company’s derivative counterparties was approximately $86.8 million as of September 30, 2019 . (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.3 billion as of September 30, 2019 . 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 Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-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 Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, 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 . |
Share-Based Payments (Tables)
Share-Based Payments (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Share-based Compensation [Abstract] | |
Summary of restricted common stock vesting dates | The following is a summary of restricted common stock vesting dates as of September 30, 2019 and December 31, 2018 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: September 30, 2019 December 31, 2018 Vesting Date Shares Vesting Shares Vesting June 2019 — 27,476 March 2020 36,000 — June 2020 29,656 — March 2021 36,000 — March 2022 36,000 — 137,656 27,476 |
Schedule of restricted stock activity | The following table presents information with respect to the Company’s restricted stock for the nine months ended September 30, 2019 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 753,973 $ 16.77 Granted (2) 139,380 10.34 Cancelled/forfeited — — Outstanding at end of period 893,353 15.76 Unvested at end of period 137,656 $ 10.34 (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 2,600 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 2019 September 19, 2019 September 30, 2019 October 25, 2019 $ 0.31 Not yet determined June 20, 2019 July 1, 2019 July 26, 2019 $ 0.31 Not yet determined March 21, 2019 April 1, 2019 April 26, 2019 $ 0.31 Not yet determined 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 |
Net Income per Common Share (Ta
Net Income per Common Share (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Earnings Per Share [Abstract] | |
Schedule of basic and diluted net income (loss) per share of common stock | The table below presents basic and diluted net income per share of common stock using the two-class method for the three and nine months ended September 30, 2019 and September 30, 2018 (dollars, other than shares and per share amounts, in thousands): For the three months ended September 30, 2019 For the three months ended September 30, 2018 Nine months ended September 30, 2019 Nine months ended September 30, 2018 Numerator : Net income attributable to common stockholders and participating securities for basic and diluted earnings per share $ 19,720 $ 20,882 $ 58,210 $ 44,064 Less: Dividends and undistributed earnings allocated to participating securities 96 54 236 112 Net income allocable to common stockholders — basic and diluted $ 19,624 $ 20,828 $ 57,974 $ 43,952 Denominator : Weighted average common shares outstanding for basic earnings per share 53,116,379 42,060,077 50,625,537 41,802,302 Weighted average common shares outstanding for diluted earnings per share 53,116,379 42,060,077 50,625,537 41,802,302 Basic earnings per common share $ 0.37 $ 0.50 $ 1.15 $ 1.05 Diluted earnings per common share $ 0.37 $ 0.50 $ 1.15 $ 1.05 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Assets | |||||
Derivative assets | $ 13,597 | $ 13,597 | $ 14,466 | ||
Liabilities | |||||
Derivative liabilities | 8,088 | 8,088 | 10,130 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | (1,819) | $ (2,533) | (6,346) | $ (8,423) | |
Unrealized gains/(losses), net on assets | 2,256 | ||||
Premium and discount amortization, net | (983) | (5,165) | (2,884) | ||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets held at the end of the period | 844 | ||||
Residential Whole Loans | |||||
Assets | |||||
Fair value | 1,209,237 | 1,209,237 | 1,041,885 | ||
Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 2,188,844 | 2,188,844 | 1,505,979 | ||
Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 1,803,058 | 1,803,058 | 1,481,984 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | (764) | (298) | (1,553) | (266) | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 3,691 | 3,691 | 4,158 | ||
Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 365,286 | 365,286 | |||
Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 10,940 | 10,940 | 12,135 | ||
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 5,869 | 5,869 | 7,702 | ||
Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 339,003 | 339,003 | 250,856 | ||
Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 38,673 | 38,673 | 39,026 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | (27) | (159) | (1,204) | (269) | |
Premium and discount amortization, net | (564) | (536) | (1,752) | (685) | |
Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 8,582 | 8,582 | 11,529 | ||
Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 291,748 | 291,748 | 200,301 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | (1,588) | (2,054) | (4,506) | (7,491) | |
Premium and discount amortization, net | 1,048 | 1,469 | 3,294 | 5,873 | |
Subtotal Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 339,003 | 339,003 | 250,856 | ||
Other securities | |||||
Assets | |||||
Estimated Fair Value | 83,012 | 83,012 | 59,906 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | (155) | 0 | (562) | 0 | |
Premium and discount amortization, net | (1,636) | (1,660) | (4,985) | (4,825) | |
Total | |||||
Assets | |||||
Estimated Fair Value | 2,610,859 | 2,610,859 | 1,816,741 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | (2,897) | (2,163) | (7,252) | (4,015) | |
Level I | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | |||
Derivative assets | 808 | 808 | 0 | ||
Total Assets | 808 | 808 | 0 | ||
Liabilities | |||||
Derivative liabilities | 1,518 | 1,518 | 4,657 | ||
Securitized debt | 0 | 0 | 0 | ||
Total Liabilities | 1,518 | 1,518 | 4,657 | ||
Level I | Residential Whole Loans | |||||
Assets | |||||
Fair value | 0 | 0 | 0 | ||
Level I | Residential Bridge Loans | |||||
Assets | |||||
Fair value | 0 | 0 | 0 | ||
Level I | Securitized commercial loans | |||||
Assets | |||||
Fair value | 0 | 0 | 0 | ||
Level I | Commercial Loans | |||||
Assets | |||||
Fair value | 0 | 0 | 0 | ||
Level I | Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level I | Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level I | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level I | Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | |||
Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 0 | ||||
Level I | Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level I | Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level I | Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level I | Subtotal Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level I | Other securities | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level I | Total | |||||
Assets | |||||
Estimated Fair Value | 0 | ||||
Level II | |||||
Assets | |||||
Estimated Fair Value | 2,461,286 | 2,461,286 | |||
Derivative assets | 3,229 | 3,229 | 2,606 | ||
Total Assets | 2,464,515 | 2,464,515 | 1,740,004 | ||
Liabilities | |||||
Derivative liabilities | 6,570 | 6,570 | 5,473 | ||
Securitized debt | 610,306 | 610,306 | 947,340 | ||
Total Liabilities | 616,876 | 616,876 | 952,813 | ||
Level II | Residential Whole Loans | |||||
Assets | |||||
Fair value | 0 | 0 | 0 | ||
Level II | Residential Bridge Loans | |||||
Assets | |||||
Fair value | 0 | 0 | 0 | ||
Level II | Securitized commercial loans | |||||
Assets | |||||
Fair value | 0 | 0 | 0 | ||
Level II | Commercial Loans | |||||
Assets | |||||
Fair value | 0 | 0 | 0 | ||
Level II | Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 2,104,301 | 2,104,301 | 1,486,142 | ||
Level II | Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 1,735,324 | 1,735,324 | 1,481,984 | ||
Level II | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 3,691 | 3,691 | 4,158 | ||
Level II | Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 365,286 | 365,286 | |||
Level II | Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | |||
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 0 | ||||
Level II | Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level II | Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level II | Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 291,748 | 291,748 | 200,301 | ||
Level II | Subtotal Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 291,748 | 291,748 | 200,301 | ||
Level II | Other securities | |||||
Assets | |||||
Estimated Fair Value | 65,237 | 65,237 | 50,955 | ||
Level II | Total | |||||
Assets | |||||
Estimated Fair Value | 1,737,398 | ||||
Level III | |||||
Assets | |||||
Estimated Fair Value | 149,573 | 149,573 | |||
Derivative assets | 0 | 0 | 0 | ||
Total Assets | 2,550,731 | 2,550,731 | 2,562,861 | ||
Liabilities | |||||
Derivative liabilities | 0 | 0 | 0 | ||
Securitized debt | 1,976 | 1,976 | 2,286 | ||
Total Liabilities | 1,976 | 1,976 | 2,286 | ||
Level III | Residential Whole Loans | |||||
Assets | |||||
Fair value | 1,209,237 | 1,209,237 | 1,041,885 | ||
Level III | Residential Bridge Loans | |||||
Assets | |||||
Fair value | 48,054 | 48,054 | 211,999 | ||
Level III | Securitized commercial loans | |||||
Assets | |||||
Fair value | 701,835 | 701,835 | 1,013,511 | ||
Level III | Commercial Loans | |||||
Assets | |||||
Fair value | 442,032 | 442,032 | 216,123 | ||
Level III | Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 84,543 | 84,543 | 19,837 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 58,917 | 75,043 | 19,837 | 17,217 | |
Ending balance | 84,543 | 127,333 | 84,543 | 127,333 | |
Level III | Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 67,734 | 67,734 | 0 | ||
Level III | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level III | Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 10,940 | 10,940 | 12,135 | ||
Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 5,869 | 5,869 | |||
Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 7,702 | ||||
Level III | Non-Agency MBS | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 47,187 | 16,307 | 50,555 | 8,735 | |
Ending balance | 47,255 | 72,787 | 47,255 | 72,787 | |
Level III | Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 38,673 | 38,673 | 39,026 | ||
Level III | Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 8,582 | 8,582 | 11,529 | ||
Level III | Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 0 | ||
Level III | Subtotal Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 47,255 | 47,255 | 50,555 | ||
Level III | Other securities | |||||
Assets | |||||
Estimated Fair Value | 17,775 | 17,775 | 8,951 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 17,797 | 8,955 | 8,951 | 9,239 | |
Ending balance | 17,775 | 9,708 | 17,775 | 9,708 | |
Level III | Total | |||||
Assets | |||||
Estimated Fair Value | 79,343 | ||||
Fair Value, Measurements, Recurring | Level III | Securitized debt | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (44) | ||||
Premium and discount amortization, net | (829) | 66 | (1,991) | 90 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 2,876 | 2,870 | 2,286 | 10,945 | |
Principal repayments | (44) | ||||
Unrealized (gains)/losses, net on liabilities | (71) | (330) | (2,088) | 2,502 | |
Ending balance | 1,976 | 2,606 | 1,976 | 2,606 | |
Unrealized gains/(losses), net on assets held at the end of the period | 71 | ||||
Unrealized gains/(losses), net on assets held at the end of the period | 330 | 90 | (2,504) | ||
Fair Value, Measurements, Recurring | Level III | Residential Whole Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 1,206,220 | 335,149 | 1,041,885 | 237,423 | |
Purchases | 80,725 | 372,348 | 318,130 | 486,354 | |
Principal repayments | (78,672) | (21,258) | (166,015) | (36,092) | |
Unrealized gains/(losses), net on assets | 1,875 | (1,469) | 17,281 | (2,644) | |
Premium and discount amortization, net | (911) | (307) | (2,044) | (578) | |
Ending balance | 1,209,237 | 684,463 | 1,209,237 | 684,463 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (78,672) | (21,258) | (166,015) | (36,092) | |
Unrealized gains/(losses), net on assets held at the end of the period | 3,239 | ||||
Unrealized gains/(losses), net on assets held at the end of the period | (1,231) | 18,247 | |||
Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 87,402 | 236,359 | 211,999 | 64,526 | |
Transfers into Level III from Level II | 0 | ||||
Purchases | 0 | 70,465 | 221,619 | ||
Transfers to REO | (2,677) | (2,677) | |||
Principal repayments | (36,978) | (70,341) | (160,240) | (49,503) | |
Fair Value Measurement with Unobservable Inputs Reconciliation Recurring Basis Asset Realized Gain (Loss) Included in Earnings | (195) | (444) | |||
Unrealized gains/(losses), net on assets | 569 | (1,103) | 80 | (1,217) | |
Premium and discount amortization, net | (67) | (633) | (664) | (678) | |
Ending balance | 48,054 | 234,747 | 48,054 | 234,747 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (36,978) | (70,341) | (160,240) | (49,503) | |
Unrealized gains/(losses), net on assets held at the end of the period | (41) | ||||
Unrealized gains/(losses), net on assets held at the end of the period | (844) | (678) | |||
Fair Value, Measurements, Recurring | Level III | Securitized commercial loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 804,134 | 1,309,195 | 1,013,511 | 24,876 | |
Purchases | 0 | 903,770 | 1,353,019 | ||
Principal repayments | (100,700) | (117,100) | (1,214,584) | (196,007) | |
Unrealized gains/(losses), net on assets | (845) | 282 | 1,076 | 11,152 | |
Premium and discount amortization, net | (754) | (1,329) | (1,938) | (1,992) | |
Ending balance | 701,835 | 1,191,048 | 701,835 | 1,191,048 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (100,700) | (117,100) | (1,214,584) | (196,007) | |
Unrealized gains/(losses), net on assets held at the end of the period | (845) | ||||
Unrealized gains/(losses), net on assets held at the end of the period | 282 | 1,104 | |||
Fair Value, Measurements, Recurring | Level III | Commercial Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 312,032 | 70,717 | 216,123 | 0 | |
Purchases | 129,730 | 94,313 | 225,109 | 144,035 | |
Principal repayments | 0 | (20,638) | 0 | ||
Unrealized gains/(losses), net on assets | 204 | (575) | 368 | (159) | |
Premium and discount amortization, net | 66 | 134 | 432 | 75 | |
Ending balance | 442,032 | 143,951 | 442,032 | 143,951 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | 0 | (20,638) | 0 | ||
Unrealized gains/(losses), net on assets held at the end of the period | 204 | ||||
Unrealized gains/(losses), net on assets held at the end of the period | (618) | 368 | (159) | ||
Fair Value, Measurements, Recurring | Level III | Agency MBS | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Transfers into Level III from Level II | 0 | 22,794 | |||
Transfers from Level III into Level II | (43,686) | (51,976) | (16,805) | ||
Purchases | 68,633 | 107,034 | 66,641 | 109,002 | |
Principal repayments | 0 | (42) | (53) | ||
Other than temporary impairment | (193) | (384) | (222) | (590) | |
Unrealized gains/(losses), net on assets | (1,007) | 1,776 | (1,447) | ||
Premium and discount amortization, net | (1,335) | (3,088) | (2,785) | ||
Ending balance | 84,543 | 84,543 | |||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Sales and settlements | (401) | (401) | |||
Principal repayments | 0 | (42) | (53) | ||
Unrealized gains/(losses), net on assets held at the end of the period | (668) | 1,771 | |||
Fair Value, Measurements, Recurring | Level III | Non-Agency MBS | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Transfers into Level III from Level II | 0 | 57,275 | 57,275 | ||
Purchases | 8,602 | ||||
Principal repayments | (311) | (14) | (837) | (14) | |
Other than temporary impairment | (27) | (142) | (1,204) | (191) | |
Unrealized gains/(losses), net on assets | 970 | (95) | 494 | (149) | |
Premium and discount amortization, net | (564) | (544) | (1,753) | (1,471) | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (311) | (14) | (837) | (14) | |
Unrealized gains/(losses), net on assets held at the end of the period | 970 | ||||
Unrealized gains/(losses), net on assets held at the end of the period | (94) | 494 | |||
Fair Value, Measurements, Recurring | Level III | Other securities | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Transfers into Level III from Level II | 0 | 9,708 | 8,386 | 9,708 | |
Transfers from Level III into Level II | 0 | (8,697) | (8,697) | ||
Principal repayments | (253) | (285) | (439) | (604) | |
Unrealized gains/(losses), net on assets | 305 | (15) | 1,123 | (68) | |
Premium and discount amortization, net | (74) | 42 | (246) | 130 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (253) | (285) | (439) | (604) | |
Unrealized gains/(losses), net on assets held at the end of the period | 305 | ||||
Unrealized gains/(losses), net on assets held at the end of the period | $ 0 | 1,123 | |||
Fair Value, Measurements, Recurring | Level III | Securitized debt | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Transfers from Level III into Level II | (10,899) | ||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Sales and settlements | 3,769 | 12 | |||
Estimated Fair Value | |||||
Assets | |||||
Estimated Fair Value | 2,610,859 | 2,610,859 | |||
Derivative assets | 4,037 | 4,037 | 2,606 | ||
Total Assets | 5,016,054 | 5,016,054 | 4,302,865 | ||
Liabilities | |||||
Derivative liabilities | 8,088 | 8,088 | 10,130 | ||
Securitized debt | 612,282 | 612,282 | 949,626 | ||
Total Liabilities | 620,370 | 620,370 | 959,756 | ||
Estimated Fair Value | Residential Whole Loans | |||||
Assets | |||||
Fair value | 1,209,237 | 1,209,237 | 1,041,885 | ||
Estimated Fair Value | Residential Bridge Loans | |||||
Assets | |||||
Fair value | 48,054 | 48,054 | 211,999 | ||
Estimated Fair Value | Securitized commercial loans | |||||
Assets | |||||
Fair value | 701,835 | 701,835 | 1,013,511 | ||
Estimated Fair Value | Commercial Loans | |||||
Assets | |||||
Fair value | 442,032 | 442,032 | 216,123 | ||
Estimated Fair Value | Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 2,188,844 | 2,188,844 | 1,505,979 | ||
Estimated Fair Value | Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 1,803,058 | 1,803,058 | 1,481,984 | ||
Estimated Fair Value | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 3,691 | 3,691 | 4,158 | ||
Estimated Fair Value | Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 365,286 | 365,286 | |||
Estimated Fair Value | Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 10,940 | 10,940 | 12,135 | ||
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 5,869 | 5,869 | |||
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 7,702 | ||||
Estimated Fair Value | Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 38,673 | 38,673 | 39,026 | ||
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 8,582 | 8,582 | 11,529 | ||
Estimated Fair Value | Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 291,748 | 291,748 | 200,301 | ||
Estimated Fair Value | Subtotal Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 339,003 | 339,003 | 250,856 | ||
Estimated Fair Value | Other securities | |||||
Assets | |||||
Estimated Fair Value | 83,012 | 83,012 | 59,906 | ||
Estimated Fair Value | Total | |||||
Assets | |||||
Estimated Fair Value | 1,816,741 | ||||
Estimated Fair Value | Fair Value, Measurements, Recurring | |||||
Liabilities | |||||
Securitized debt | 868,843 | 868,843 | 0 | ||
Total Liabilities | $ 3,962,270 | $ 3,962,270 | $ 2,932,146 | ||
Assets | Fair Value, Measurements, Recurring | Level III | Residential Whole Loans | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets held at the end of the period | (2,101) | ||||
Assets | Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets held at the end of the period | (832) | ||||
Assets | Fair Value, Measurements, Recurring | Level III | Securitized commercial loans | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets held at the end of the period | 11,152 | ||||
Assets | Fair Value, Measurements, Recurring | Level III | Agency MBS | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets held at the end of the period | (1,089) | ||||
Assets | Fair Value, Measurements, Recurring | Level III | Non-Agency MBS | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets held at the end of the period | (148) | ||||
Assets | Fair Value, Measurements, Recurring | Level III | Other securities | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets held at the end of the period | $ 0 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Narrative (Details) - USD ($) | Sep. 30, 2019 | Dec. 31, 2018 |
Fair Value Disclosures [Abstract] | ||
Derivative credit risk valuation adjustment, derivative assets | $ 0 | $ 0 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Summary of quantitative information (Details) $ in Thousands | Sep. 30, 2019USD ($) | Dec. 31, 2018USD ($) |
Residential Whole Loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 1,209,237 | $ 1,041,885 |
Residential Whole Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | 1,209,237 | 1,041,885 |
Residential Whole Loans | Discounted Cash Flow | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 1,015,712 | $ 1,041,885 |
Residential Whole Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.033 | 0.035 |
Residential Whole Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 3 months | 9 months 1 day |
Residential Whole Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.075 | 0.079 |
Residential Whole Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 14 years 11 months | 10 years 3 months 1 day |
Residential Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.037 | 0.055 |
Residential Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 7 months | 2 years 9 months 18 days |
Residential Bridge Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 48,054 | $ 211,999 |
Residential Bridge Loans | Discounted Cash Flow | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 48,054 | $ 211,999 |
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.070 | 0.056 |
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 month 1 day | 1 month 1 day |
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.440 | 1.453 |
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 8 months 1 day | 1 year 7 months 1 day |
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.098 | 0.113 |
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 9 months 1 day | 6 months 1 day |
Commercial Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 442,032 | $ 216,123 |
Commercial Loans | Discounted Cash Flow | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 442,032 | $ 216,123 |
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.045 | 0.067 |
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 months 1 day | 11 months 1 day |
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.086 | 0.092 |
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 11 months 1 day | 2 years 8 months 1 day |
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.064 | 0.076 |
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 10 months 1 day | 2 years 1 month 1 day |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt | $ 612,282 | $ 949,626 |
Total Liabilities | 620,370 | 959,756 |
Fair Value, Measurements, Recurring | Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential Bridge Loans | 5,319 | 9,720 |
Borrowings under repurchase agreements | 2,925,108 | 2,818,837 |
Convertible senior unsecured notes | 148,542 | 110,060 |
Securitized debt | 860,050 | 0 |
Total Liabilities | 3,933,700 | 2,928,897 |
Debt issuance costs | 5,500 | |
Fair Value, Measurements, Recurring | Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential Bridge Loans | 5,159 | 9,603 |
Borrowings under repurchase agreements | 2,936,441 | 2,823,615 |
Convertible senior unsecured notes | 156,986 | 108,531 |
Securitized debt | 868,843 | 0 |
Total Liabilities | 3,962,270 | 2,932,146 |
Fair Value, Measurements, Recurring | Residential Bridge Loans | Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential Bridge Loans | 5,319 | 9,720 |
Fair Value, Measurements, Recurring | Residential Bridge Loans | Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential Bridge Loans | $ 5,159 | $ 9,603 |
Mortgage-Backed Securities an_3
Mortgage-Backed Securities and other securities (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Subtotal Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 1,659,501,000 | $ 1,493,675,000 |
Unamortized Premium (Discount), net | 31,397,000 | 5,820,000 |
Amortized Cost | 1,690,898,000 | 1,499,495,000 |
Unrealized Gain | 112,867,000 | 12,083,000 |
Unrealized Loss | (707,000) | (29,594,000) |
Estimated Fair Value | $ 1,806,749,000 | $ 1,486,142,000 |
Net Weighted Average Coupon (as a percent) | 3.00% | 3.00% |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 1,659,501,000 | $ 1,493,675,000 |
Unamortized Premium (Discount), net | 31,397,000 | 5,820,000 |
Amortized Cost | 1,690,898,000 | 1,499,495,000 |
Unrealized Gain | 112,867,000 | 12,083,000 |
Unrealized Loss | (707,000) | (29,594,000) |
Estimated Fair Value | $ 1,803,058,000 | $ 1,481,984,000 |
Net Weighted Average Coupon (as a percent) | 3.30% | 3.30% |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 3,691,000 | $ 4,158,000 |
Net Weighted Average Coupon (as a percent) | 0.40% | 0.40% |
Notional balance | $ 168,100,000 | |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 352,717,000 | |
Unamortized Premium (Discount), net | 5,722,000 | |
Amortized Cost | 358,439,000 | |
Unrealized Gain | 6,847,000 | |
Unrealized Loss | 0 | |
Estimated Fair Value | $ 365,286,000 | |
Net Weighted Average Coupon (as a percent) | 3.50% | |
Subtotal Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 352,717,000 | |
Unamortized Premium (Discount), net | 5,722,000 | |
Amortized Cost | 367,648,000 | $ 11,480,000 |
Unrealized Gain | 8,727,000 | 1,062,000 |
Unrealized Loss | (149,000) | (407,000) |
Estimated Fair Value | $ 382,095,000 | $ 19,837,000 |
Net Weighted Average Coupon (as a percent) | 3.20% | 2.50% |
Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 9,209,000 | $ 11,480,000 |
Unrealized Gain | 1,880,000 | 1,062,000 |
Unrealized Loss | (149,000) | (407,000) |
Estimated Fair Value | $ 10,940,000 | $ 12,135,000 |
Net Weighted Average Coupon (as a percent) | 2.60% | 2.20% |
Notional balance | $ 129,800,000 | $ 158,800,000 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 5,869,000 | $ 7,702,000 |
Net Weighted Average Coupon (as a percent) | 3.00% | 2.90% |
Notional balance | $ 70,500,000 | $ 89,800,000 |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 2,012,218,000 | 1,493,675,000 |
Unamortized Premium (Discount), net | 37,119,000 | 5,820,000 |
Amortized Cost | 2,058,546,000 | 1,510,975,000 |
Unrealized Gain | 121,594,000 | 13,145,000 |
Unrealized Loss | (856,000) | (30,001,000) |
Estimated Fair Value | $ 2,188,844,000 | $ 1,505,979,000 |
Net Weighted Average Coupon (as a percent) | 3.10% | 2.90% |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 380,361,000 | $ 295,318,000 |
Unamortized Premium (Discount), net | (12,509,000) | (13,408,000) |
Discount Designated as Credit Reserve and OTTI | (44,421,000) | (45,920,000) |
Amortized Cost | 331,827,000 | 247,144,000 |
Unrealized Gain | 8,782,000 | 6,364,000 |
Unrealized Loss | (1,606,000) | (2,652,000) |
Estimated Fair Value | $ 339,003,000 | $ 250,856,000 |
Net Weighted Average Coupon (as a percent) | 2.60% | 2.40% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 53,022,000 | $ 54,887,000 |
Unamortized Premium (Discount), net | 4,745,000 | 6,909,000 |
Discount Designated as Credit Reserve and OTTI | (20,738,000) | (23,731,000) |
Amortized Cost | 37,029,000 | 38,065,000 |
Unrealized Gain | 1,777,000 | 961,000 |
Unrealized Loss | (133,000) | 0 |
Estimated Fair Value | $ 38,673,000 | $ 39,026,000 |
Net Weighted Average Coupon (as a percent) | 4.80% | 4.80% |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 8,396,000 | $ 11,154,000 |
Unrealized Gain | 276,000 | 382,000 |
Unrealized Loss | (90,000) | (7,000) |
Estimated Fair Value | $ 8,582,000 | $ 11,529,000 |
Net Weighted Average Coupon (as a percent) | 0.60% | 0.60% |
Notional balance | $ 471,700,000 | $ 519,900,000 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 327,339,000 | 240,431,000 |
Unamortized Premium (Discount), net | (17,254,000) | (20,317,000) |
Discount Designated as Credit Reserve and OTTI | (23,683,000) | (22,189,000) |
Amortized Cost | 286,402,000 | 197,925,000 |
Unrealized Gain | 6,729,000 | 5,021,000 |
Unrealized Loss | (1,383,000) | (2,645,000) |
Estimated Fair Value | $ 291,748,000 | $ 200,301,000 |
Net Weighted Average Coupon (as a percent) | 5.20% | 5.90% |
Subtotal Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 53,022,000 | $ 54,887,000 |
Unamortized Premium (Discount), net | 4,745,000 | 6,909,000 |
Discount Designated as Credit Reserve and OTTI | (20,738,000) | (23,731,000) |
Amortized Cost | 45,425,000 | 49,219,000 |
Unrealized Gain | 2,053,000 | 1,343,000 |
Unrealized Loss | (223,000) | (7,000) |
Estimated Fair Value | $ 47,255,000 | $ 50,555,000 |
Net Weighted Average Coupon (as a percent) | 1.00% | 1.00% |
Total | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 2,465,799,000 | $ 1,836,035,000 |
Unamortized Premium (Discount), net | 22,432,000 | (8,717,000) |
Discount Designated as Credit Reserve and OTTI | (50,759,000) | (53,523,000) |
Amortized Cost | 2,467,131,000 | 1,813,403,000 |
Unrealized Gain | 136,633,000 | 24,521,000 |
Unrealized Loss | (2,465,000) | (33,043,000) |
Estimated Fair Value | $ 2,610,859,000 | $ 1,816,741,000 |
Net Weighted Average Coupon (as a percent) | 3.00% | 2.90% |
Weighted average expected remaining term to the expected maturity of investment portfolio | 8 years 1 month 6 days | 8 years 6 months |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 73,220,000 | $ 47,042,000 |
Unamortized Premium (Discount), net | (2,178,000) | (1,129,000) |
Discount Designated as Credit Reserve and OTTI | (6,338,000) | (7,603,000) |
Amortized Cost | 76,758,000 | 55,284,000 |
Unrealized Gain | 6,257,000 | 5,012,000 |
Unrealized Loss | (3,000) | (390,000) |
Estimated Fair Value | $ 83,012,000 | $ 59,906,000 |
Net Weighted Average Coupon (as a percent) | 7.00% | 9.00% |
Residual interests in asset-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 0 | $ 0 |
Amortized Cost | $ 12,100,000 | 17,000,000 |
Agency interest only strips accounted for as derivatives | ||
Debt Securities, Available-for-sale [Line Items] | ||
Notional balance | $ 172,200,000 |
Mortgage-Backed Securities an_4
Mortgage-Backed Securities and other securities- Purchase discount and premium (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Discount Designated as Credit Reserve and OTTI | ||||
Other-than-temporary Impairment Loss, Debt Securities, Portion Recognized in Earnings | $ (1,819) | $ (2,533) | $ (6,346) | $ (8,423) |
Non-Agency RMBS and Non-Agency CMBS and other securities | ||||
Discount Designated as Credit Reserve and OTTI | ||||
Balance at beginning of period | (48,824) | (78,837) | (53,523) | (72,915) |
Realized credit losses | 831 | 3,305 | 5,584 | 5,526 |
Purchases | 0 | 0 | 0 | (7,182) |
Sales | 18,388 | 2,334 | 24,422 | 5,673 |
Other-than-temporary Impairment Loss, Debt Securities, Portion Recognized in Earnings | (1,587) | (2,071) | (4,553) | (7,570) |
Transfers/release of credit reserve | (19,567) | 817 | (22,689) | 2,016 |
Balance at end of period | (50,759) | (74,452) | (50,759) | (74,452) |
Accretable Discount | ||||
Balance at beginning of period | (28,582) | (68,677) | (29,465) | (68,438) |
Accretion of discount | 1,032 | 1,314 | 3,352 | 6,483 |
Purchases | (3,493) | 0 | (6,599) | (6,473) |
Sales | 0 | 25,624 | 0 | 29,352 |
Transfers/release of credit reserve | 1,130 | 8 | 2,799 | (2,655) |
Balance at end of period | (29,913) | (41,731) | (29,913) | (41,731) |
Amortizable Premium | ||||
Balance at beginning of period | 14,441 | 21,723 | 14,928 | 20,872 |
Amortization of premium | (220) | (97) | (836) | (461) |
Purchases | 473 | 0 | 760 | 435 |
Sales | (17,905) | (400) | (19,516) | (1,084) |
Transfers/release of credit reserve | 18,437 | (825) | 19,890 | 639 |
Balance at end of period | $ 15,226 | $ 20,401 | $ 15,226 | $ 20,401 |
Mortgage-Backed Securities an_5
Mortgage-Backed Securities and other securities- Type of security (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 365,286 | |
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 | 0 | |
Agency RMBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 365,286 | |
Agency RMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | |
Total | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 2,610,859 | $ 1,816,741 |
Total | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,432,963 | 1,142,938 |
Total | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 617,495 | 466,292 |
Total | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 473,051 | 94,487 |
Total | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 87,350 | 113,024 |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 2,188,844 | 1,505,979 |
Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,329,610 | 1,106,486 |
Agency MBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 483,093 | 386,619 |
Agency MBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 372,450 | 8,716 |
Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 3,691 | 4,158 |
Agency RMBS(1) | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 382,095 | 19,837 |
Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 10,940 | 12,135 |
Agency RMBS Interest-Only Strips | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 2,651 | 3,577 |
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 | 2,110 | 2,402 |
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 | 6,179 | 6,156 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 5,869 | 7,702 |
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 | 734 | 1,089 |
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 | 4,150 | 4,053 |
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 | 985 | 2,560 |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,803,058 | 1,481,984 |
Agency CMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,326,225 | 1,101,820 |
Agency CMBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 476,833 | 380,164 |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 3,691 | 4,158 |
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 | 3,691 | 4,158 |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 339,003 | 250,856 |
Subtotal Non-Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 77,838 | 28,754 |
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 | 101,425 | 53,653 |
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 | 97,851 | 85,771 |
Subtotal Non-Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 61,889 | 82,678 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 38,673 | 39,026 |
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 | 9,250 | 8,540 |
Non-Agency RMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 29,423 | 30,486 |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 8,582 | 11,529 |
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 | 2,542 | 4,310 |
Non-Agency RMBS Interest-Only Strips | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 6,040 | 7,219 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 291,748 | 200,301 |
Non-Agency CMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 77,838 | 28,754 |
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 | 101,425 | 53,653 |
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 | 86,059 | 72,921 |
Non-Agency CMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 26,426 | 44,973 |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 83,012 | 59,906 |
Other securities | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 25,515 | 7,698 |
Other securities | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 32,977 | 26,020 |
Other securities | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 2,750 | |
Other securities | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 21,770 | $ 26,188 |
Mortgage-Backed Securities an_6
Mortgage-Backed Securities and other securities- FV and unrealized loss (Details) $ in Thousands | Sep. 30, 2019USD ($)securityitem | Dec. 31, 2018USD ($)security |
Fair Value | ||
Fair value, less than 12 months | $ 214,975 | $ 114,194 |
Fair value, 12 months or more | 22,692 | 903,289 |
Fair Value | 237,667 | 1,017,483 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (1,607) | (1,540) |
Unrealized losses, 12 months or more | (858) | (31,503) |
Unrealized Losses | $ (2,465) | $ (33,043) |
Number of Securities | ||
Number of securities, less than 12 months | security | 22 | 21 |
Number of securities, 12 months or more | security | 10 | 85 |
Number of Securities | security | 32 | 106 |
Agency RMBS(1) | ||
Fair Value | ||
Fair value, less than 12 months | $ 85,878 | $ 32,690 |
Fair value, 12 months or more | 2,202 | 883,466 |
Fair Value | 88,080 | 916,156 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (751) | (431) |
Unrealized losses, 12 months or more | (105) | (29,570) |
Unrealized Losses | $ (856) | $ (30,001) |
Number of Securities | ||
Number of securities, less than 12 months | security | 6 | 10 |
Number of securities, 12 months or more | security | 7 | 81 |
Number of Securities | security | 13 | 91 |
Agency RMBS Interest-Only Strips | ||
Fair Value | ||
Fair value, less than 12 months | $ 320 | $ 3,277 |
Fair value, 12 months or more | 2,202 | 3,917 |
Fair Value | 2,522 | 7,194 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (44) | (124) |
Unrealized losses, 12 months or more | (105) | (283) |
Unrealized Losses | $ (149) | $ (407) |
Number of Securities | ||
Number of securities, less than 12 months | security | 2 | 7 |
Number of securities, 12 months or more | security | 7 | 9 |
Number of Securities | security | 9 | 16 |
Agency CMBS | ||
Fair Value | ||
Fair value, less than 12 months | $ 85,558 | $ 29,413 |
Fair value, 12 months or more | 0 | 879,549 |
Fair Value | 85,558 | 908,962 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (707) | (307) |
Unrealized losses, 12 months or more | 0 | (29,287) |
Unrealized Losses | $ (707) | $ (29,594) |
Number of Securities | ||
Number of securities, less than 12 months | security | 4 | 3 |
Number of securities, 12 months or more | security | 0 | 72 |
Number of Securities | security | 4 | 75 |
Subtotal Non-Agency MBS | ||
Fair Value | ||
Fair value, less than 12 months | $ 119,505 | $ 66,296 |
Fair value, 12 months or more | 20,490 | 19,823 |
Fair Value | 139,995 | 86,119 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (853) | (719) |
Unrealized losses, 12 months or more | (753) | (1,933) |
Unrealized Losses | $ (1,606) | $ (2,652) |
Number of Securities | ||
Number of securities, less than 12 months | security | 15 | 9 |
Number of securities, 12 months or more | security | 3 | 4 |
Number of Securities | security | 18 | 13 |
Non-Agency RMBS | ||
Fair Value | ||
Fair value, less than 12 months | $ 13,282 | $ 0 |
Fair value, 12 months or more | 0 | 500 |
Fair Value | 13,282 | 500 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (133) | 0 |
Unrealized losses, 12 months or more | 0 | 0 |
Unrealized Losses | $ (133) | $ 0 |
Number of Securities | ||
Number of securities, less than 12 months | 1 | 0 |
Number of securities, 12 months or more | 0 | 1 |
Number of Securities | security | 1 | 1 |
Non-Agency RMBS Interest-Only Strips | ||
Fair Value | ||
Fair value, less than 12 months | $ 2,542 | $ 957 |
Fair value, 12 months or more | 0 | 0 |
Fair Value | 2,542 | 957 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (90) | (7) |
Unrealized losses, 12 months or more | 0 | 0 |
Unrealized Losses | $ (90) | $ (7) |
Number of Securities | ||
Number of securities, less than 12 months | 1 | 2 |
Number of securities, 12 months or more | 0 | 0 |
Number of Securities | security | 1 | 2 |
Non-Agency CMBS | ||
Fair Value | ||
Fair value, less than 12 months | $ 103,681 | $ 65,339 |
Fair value, 12 months or more | 20,490 | 19,323 |
Fair Value | 124,171 | 84,662 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (630) | (712) |
Unrealized losses, 12 months or more | (753) | (1,933) |
Unrealized Losses | $ (1,383) | $ (2,645) |
Number of Securities | ||
Number of securities, less than 12 months | security | 13 | 7 |
Number of securities, 12 months or more | security | 3 | 3 |
Number of Securities | security | 16 | 10 |
Other securities | ||
Fair Value | ||
Fair value, less than 12 months | $ 9,592 | $ 15,208 |
Fair value, 12 months or more | 0 | 0 |
Fair Value | 9,592 | 15,208 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (3) | (390) |
Unrealized losses, 12 months or more | 0 | 0 |
Unrealized Losses | $ (3) | $ (390) |
Number of Securities | ||
Number of securities, less than 12 months | security | 1 | 2 |
Number of securities, 12 months or more | security | 0 | 0 |
Number of Securities | security | 1 | 2 |
Mortgage-Backed Securities an_7
Mortgage-Backed Securities and other securities- Financing receivables (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Other than temporary impairment | $ 1,819 | $ 2,533 | $ 6,346 | $ 8,423 |
Components of interest income | ||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (983) | (5,165) | (2,884) | |
Interest Income | 55,652 | 54,461 | 161,503 | 151,342 |
Total | ||||
Components of interest income | ||||
Coupon Interest | 27,007 | 29,555 | 69,059 | 95,812 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (2,897) | (2,163) | (7,252) | (4,015) |
Interest Income | 24,110 | 27,392 | 61,807 | 91,797 |
Agency RMBS(1) | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other than temporary impairment | 49 | 320 | 74 | 663 |
Components of interest income | ||||
Coupon Interest | 4,723 | 4,551 | 8,389 | 17,471 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (981) | (1,138) | (2,256) | (4,112) |
Interest Income | 3,742 | 3,413 | 6,133 | 13,359 |
Agency CMBS | ||||
Components of interest income | ||||
Coupon Interest | 14,544 | 13,812 | 38,100 | 45,753 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (764) | (298) | (1,553) | (266) |
Interest Income | 13,780 | 13,514 | 36,547 | 45,487 |
Non-Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other than temporary impairment | 27 | 159 | 1,204 | 269 |
Components of interest income | ||||
Coupon Interest | 1,120 | 2,139 | 3,712 | 5,616 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (564) | (536) | (1,752) | (685) |
Interest Income | 556 | 1,603 | 1,960 | 4,931 |
Non-Agency CMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other than temporary impairment | 1,588 | 2,054 | 4,506 | 7,491 |
Components of interest income | ||||
Coupon Interest | 3,696 | 5,379 | 9,975 | 15,362 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 1,048 | 1,469 | 3,294 | 5,873 |
Interest Income | 4,744 | 6,848 | 13,269 | 21,235 |
Other securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other than temporary impairment | 155 | 0 | 562 | 0 |
Components of interest income | ||||
Coupon Interest | 2,924 | 3,674 | 8,883 | 11,610 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (1,636) | (1,660) | (4,985) | (4,825) |
Interest Income | $ 1,288 | $ 2,014 | $ 3,898 | $ 6,785 |
Mortgage-Backed Securities an_8
Mortgage-Backed Securities and other securities- Gross gains and losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Net Gain (Loss) | $ 21,399 | $ (24,229) | $ 16,286 | $ (29,262) |
Total | ||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Proceeds | 586,565 | 729,237 | 808,440 | 1,146,106 |
Gross Gains | 21,962 | 4,123 | 22,145 | 9,073 |
Gross Losses | (210) | (28,352) | (5,253) | (38,335) |
Net Gain (Loss) | 21,752 | (24,229) | 16,892 | (29,262) |
Agency RMBS(1) | ||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Proceeds | 205,310 | 0 | 205,310 | 209,581 |
Gross Gains | 1,560 | 0 | 1,560 | 18 |
Gross Losses | 0 | 0 | 0 | (4,531) |
Net Gain (Loss) | 1,560 | 0 | 1,560 | (4,513) |
Agency CMBS | ||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Proceeds | 356,967 | 641,677 | 563,677 | 768,544 |
Gross Gains | 20,268 | 0 | 20,268 | 0 |
Gross Losses | 0 | (25,640) | (4,189) | (30,656) |
Net Gain (Loss) | 20,268 | (25,640) | 16,079 | (30,656) |
Non-Agency RMBS | ||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Proceeds | 0 | 51,958 | ||
Gross Gains | 0 | 3,114 | ||
Gross Losses | 0 | 0 | ||
Net Gain (Loss) | 0 | 3,114 | ||
Non-Agency CMBS | ||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Proceeds | 24,288 | 73,848 | 39,453 | 80,554 |
Gross Gains | 134 | 2,411 | 317 | 2,472 |
Gross Losses | (210) | (2,712) | (1,064) | (3,148) |
Net Gain (Loss) | (76) | (301) | (747) | (676) |
Other securities | ||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Proceeds | 0 | 13,712 | 0 | 35,469 |
Gross Gains | 0 | 1,712 | 0 | 3,469 |
Gross Losses | 0 | 0 | 0 | 0 |
Net Gain (Loss) | $ 0 | $ 1,712 | $ 0 | $ 3,469 |
Mortgage-Backed Securities an_9
Mortgage-Backed Securities and other securities Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) - Variable interest entity, not primary beneficiary, aggregated disclosure $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019USD ($)loan | Dec. 31, 2018USD ($)loan | |
Investment [Line Items] | ||
Number of commercial loans trusts | loan | 10 | 7 |
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ | $ 129.1 | $ 118.4 |
Residential Whole-Loans and B_3
Residential Whole-Loans and Bridge Loans (Details) $ in Thousands | 1 Months Ended | 9 Months Ended | 12 Months Ended |
May 31, 2019USD ($) | Sep. 30, 2019USD ($)loan | Dec. 31, 2018USD ($)loanentity | |
Variable Interest Entity [Line Items] | |||
Repurchase agreements, net | $ 2,925,108 | $ 2,818,837 | |
Variable interest entity, not primary beneficiary, aggregated disclosure | |||
Variable Interest Entity [Line Items] | |||
Variable interest entity, nonconsolidated, number of entity | entity | 3 | ||
Residential Whole Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | loan | 3,084 | 2,782 | |
Fair value | $ 1,209,237 | $ 1,041,885 | |
Principal Balance | $ 1,169,131 | 1,023,524 | |
Residential Whole Loans | Variable interest entity, primary beneficiary, aggregated disclosure | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | loan | 11 | ||
Residential Whole Loans | VIE | |||
Variable Interest Entity [Line Items] | |||
Repurchase agreements, net | $ 82,000 | 618,700 | |
Number of Loans | loan | 3,073 | ||
Mortgage loans on real estate, number of loans, nonperforming | loan | 9 | ||
Mortgage loans on real estate, principal amount of delinquent loans | $ 4,800 | ||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 0.40% | ||
Residential Whole Loans | RCR Trust | |||
Variable Interest Entity [Line Items] | |||
Repurchase agreements, net | $ 189,800 | 250,400 | |
Residential Whole Loans | RNR Trust | |||
Variable Interest Entity [Line Items] | |||
Repurchase agreements, net | 8,100 | 15,100 | |
Residential Whole Loans | Arroyo Trust | |||
Variable Interest Entity [Line Items] | |||
Repurchase agreements, net | $ 919,000 | ||
Residential Bridge Loans | Variable interest entity, primary beneficiary, aggregated disclosure | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | loan | 96 | ||
Residential Bridge Loans | VIE | |||
Variable Interest Entity [Line Items] | |||
Repurchase agreements, net | $ 52,800 | $ 207,500 | |
Number of Loans | loan | 107 | 520 | |
Mortgage loans on real estate, number of loans, nonperforming | loan | 4 | 3 | |
Mortgage loans on real estate, principal amount of delinquent loans | $ 2,000 | $ 1,100 | |
Mortgage loans on real estate, number of loans, nonperforming, percentage | 28.70% | 2.30% | |
Principal Balance | $ 54,466 | $ 222,257 | |
Investment in mortgage loans on real estate, principal amount at fair value of delinquent loan | $ 4,000 | ||
Mortgage loans on real estate weighted average loan to value, collateral dependent | 71.00% | 70.00% | |
Foreclosed other real estate owned | $ 3,400 | ||
Estimated Fair Value | Residential Whole Loans | |||
Variable Interest Entity [Line Items] | |||
Fair value | 1,209,237 | $ 1,041,885 | |
Estimated Fair Value | Residential Whole Loans | VIE | |||
Variable Interest Entity [Line Items] | |||
Fair value | 4,600 | ||
Estimated Fair Value | Residential Bridge Loans | |||
Variable Interest Entity [Line Items] | |||
Fair value | $ 48,054 | $ 211,999 | |
Estimated Fair Value | Residential Bridge Loans | VIE | |||
Variable Interest Entity [Line Items] | |||
Mortgage loans on real estate, number of loans, nonperforming | loan | 30 | 9 | |
Mortgage loans on real estate, principal amount of delinquent loans | $ 13,600 | ||
Fair value | $ 12,900 | $ 3,800 | |
Non-Qualifying Adjustable Rate Mortgage Loan | Residential Whole Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | loan | 2,404 | ||
Conforming Fixed Rate Mortgage Loan | Residential Whole Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | loan | 669 | ||
Investor Fixed Rate Mortgage Loan | Residential Whole Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | loan | 11 | ||
Arroyo Trust | Residential Whole Loans | Arroyo Trust | |||
Variable Interest Entity [Line Items] | |||
Transfered of non-qm residential whole loans | $ 945,500 |
Residential Whole-Loans and B_4
Residential Whole-Loans and Bridge Loans - Summary of the assets and liabilities of the residential and commercial loan trusts (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 | |
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | $ 50,157 | $ 21,987 | |
Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively) | 1,209,237 | 1,041,885 | |
Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively) | 50,675 | 221,486 | |
Commercial Loans, at fair value | 422,032 | 196,123 | |
Investment related receivable | 32,033 | 42,945 | |
Interest receivable | 18,801 | 21,959 | |
Other assets | 5,505 | 2,488 | |
Total assets | [1] | 5,254,481 | 4,497,395 |
Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively) | 1,466,841 | 949,626 | |
Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively) | 9,734 | 8,532 | |
Accounts payable and accrued expenses | 3,585 | 3,858 | |
Other liabilities | 36,456 | 56,031 | |
Total liabilities | [2] | 4,690,121 | 3,994,386 |
Fair value of residential whole-loans pledged as collateral | 1,209,237 | 1,041,885 | |
Residential bridge loan, at fair value | 48,054 | 211,999 | |
VIE | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 1,959 | 674 | |
Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively) | 1,209,237 | 1,041,885 | |
Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively) | 50,675 | 221,486 | |
Commercial Loans, at fair value | 212,032 | 196,123 | |
Investment related receivable | 32,033 | 42,945 | |
Interest receivable | 9,712 | 15,540 | |
Other assets | 253 | 178 | |
Total assets | 2,254,192 | 2,588,150 | |
Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively) | 1,466,841 | 949,626 | |
Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively) | 3,714 | 2,419 | |
Accounts payable and accrued expenses | 288 | 708 | |
Other liabilities | 36,456 | 56,033 | |
Total liabilities | 1,507,299 | 1,008,786 | |
Fair value of residential whole-loans pledged as collateral | 1,209,237 | 1,041,885 | |
Residential bridge loan, at fair value | 46,159 | 211,766 | |
Residential Whole-Loan And Residential Bridge Loan | VIE | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 1,512 | 674 | |
Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively) | 1,209,237 | 1,041,885 | |
Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively) | 50,675 | 221,486 | |
Commercial Loans, at fair value | 0 | 30,000 | |
Investment related receivable | 32,033 | 42,945 | |
Interest receivable | 6,974 | 11,807 | |
Other assets | 253 | 178 | |
Total assets | 1,300,684 | 1,348,975 | |
Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively) | 854,559 | 0 | |
Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively) | 2,457 | 0 | |
Accounts payable and accrued expenses | 255 | 677 | |
Other liabilities | 0 | 225 | |
Total liabilities | 857,271 | 902 | |
Fair value of residential whole-loans pledged as collateral | 1,209,237 | 1,041,885 | |
Residential bridge loan, at fair value | $ 46,159 | $ 211,766 | |
[1] | (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents1,959674Restricted cash36,45655,808Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively)1,209,2371,041,885Residential Bridge Loans ($48,054 and $211,999 at fair value and $50,675 and $221,486 pledged as collateral, respectively)50,675221,486Securitized commercial loans, at fair value701,8351,013,511Commercial Loans, at fair value ($422,032 and $196,123 pledged as collateral, at fair value, respectively)212,032196,123Investment related receivable32,03342,945Interest receivable9,71215,540Other assets253178Total assets of consolidated VIEs2,254,1922,588,150Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively)1,209,2371,041,885Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively)46,159211,766Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively)50,675221,486Commercial Loans, at fair value ($422,032 and $196,123 pledged as collateral, at fair value, respectively)212,032196,123 | ||
[2] | (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively)1,466,841949,626Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively)3,7142,419Accounts payable and accrued expenses288708Other liabilities36,45656,033Total liabilities of consolidated VIEs1,507,2991,008,786Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively)612,282949,626Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively)75,095246,802Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively)386816 |
Residential Whole-Loans and B_5
Residential Whole-Loans and Bridge Loans - Components of the fair value of Residential Whole-Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 1,169,131 | $ 1,023,524 |
Unamortized premium | 21,925 | 17,629 |
Unamortized discount | (2,957) | (3,145) |
Amortized cost | 1,188,099 | 1,038,008 |
Gross unrealized gains | 22,763 | 7,573 |
Gross unrealized losses | (1,625) | (3,696) |
Fair value | 1,209,237 | 1,041,885 |
Residential Bridge Loans, At Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | 49,131 | 212,491 |
Unamortized premium | 108 | 1,164 |
Unamortized discount | (29) | (316) |
Amortized cost | 49,210 | 213,339 |
Gross unrealized gains | 38 | 212 |
Gross unrealized losses | (1,194) | (1,552) |
Fair value | 48,054 | 211,999 |
Residential Bridge Loans, At Amortized Cost | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | 5,335 | 9,766 |
Unamortized premium | 7 | 16 |
Unamortized discount | (23) | (62) |
Amortized cost | $ 5,319 | $ 9,720 |
Residential Whole-Loans and B_6
Residential Whole-Loans and Bridge Loans - Investment Portfolio (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019USD ($)loan | Sep. 30, 2019USD ($)loanscore | Dec. 31, 2018USD ($)loanscore | |
3.01 – 4.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 59 | 66 | |
Principal Balance | $ | $ 19,327 | $ 19,327 | $ 22,046 |
Original LTV | 61.30% | 61.60% | |
Original FICO Score | score | 736 | 738 | |
Expected Life (years)(2) | 2 years 1 month 6 days | 6 years 6 months | |
Contractual Maturity (years) | 28 years 3 months 18 days | 29 years | |
Coupon Rate | 3.90% | 3.90% | |
4.01– 5.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1,336 | 1,395 | |
Principal Balance | $ | 447,474 | $ 447,474 | $ 490,073 |
Original LTV | 61.90% | 62.30% | |
Original FICO Score | score | 741 | 739 | |
Expected Life (years)(2) | 2 years 4 months 24 days | 3 years | |
Contractual Maturity (years) | 28 years 4 months 18 days | 29 years | |
Coupon Rate | 4.80% | 4.80% | |
5.01 – 6.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1,581 | 1,283 | |
Principal Balance | $ | 663,426 | $ 663,426 | $ 496,722 |
Original LTV | 63.30% | 62.70% | |
Original FICO Score | score | 735 | 727 | |
Expected Life (years)(2) | 2 years 7 months 6 days | 2 years 6 months | |
Contractual Maturity (years) | 28 years 3 months 18 days | 28 years 6 months | |
Coupon Rate | 5.40% | 5.40% | |
6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 106 | 37 | |
Principal Balance | $ | 38,458 | $ 38,458 | $ 14,589 |
Original LTV | 56.50% | 59.50% | |
Original FICO Score | score | 724 | 731 | |
Expected Life (years)(2) | 3 years 9 months 18 days | 1 year 6 months | |
Contractual Maturity (years) | 25 years 3 months 18 days | 24 years 9 months 18 days | |
Coupon Rate | 6.20% | 6.20% | |
7.01 - 8.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1 | 1 | |
Principal Balance | $ | 353 | $ 353 | $ 94 |
Original LTV | 70.00% | 70.00% | |
Original FICO Score | score | 777 | 689 | |
Expected Life (years)(2) | 2 years 9 months 18 days | 1 year 9 months 18 days | |
Contractual Maturity (years) | 28 years 3 months 18 days | 29 years 1 month 6 days | |
Coupon Rate | 7.20% | 8.00% | |
8.01 - 9.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1 | ||
Principal Balance | $ | 93 | $ 93 | |
Original LTV | 70.00% | ||
Original FICO Score | score | 689 | ||
Expected Life (years)(2) | 3 years 10 months 24 days | ||
Contractual Maturity (years) | 28 years 3 months 18 days | ||
Coupon Rate | 8.40% | ||
Residential Whole Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 3,084 | 2,782 | |
Principal Balance | $ | 1,169,131 | $ 1,169,131 | $ 1,023,524 |
Original LTV | 62.50% | 62.40% | |
Original FICO Score | score | 737 | 733 | |
Expected Life (years)(2) | 2 years 7 months 6 days | 2 years 9 months 18 days | |
Contractual Maturity (years) | 28 years 2 months 18 days | 28 years 8 months 12 days | |
Coupon Rate | 5.20% | 5.10% | |
Residential portfolio segment with no FICO score | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 260 | 274 | |
Principal Balance | $ | 87,500 | $ 87,500 | $ 93,200 |
6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1 | 8 | |
Principal Balance | $ | 394 | $ 394 | $ 3,169 |
Original LTV | 75.00% | 60.40% | |
Expected Life (years)(2) | 0 months | 1 month 3 days | |
Coupon Rate | 7.00% | 6.70% | |
7.01 – 8.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 18 | 95 | |
Principal Balance | $ | 13,117 | $ 13,117 | $ 53,911 |
Original LTV | 72.90% | 73.10% | |
Expected Life (years)(2) | 5 months 13 days | 6 months 10 days | |
Coupon Rate | 7.80% | 7.80% | |
8.01 – 9.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 32 | 180 | |
Principal Balance | $ | 20,658 | $ 20,658 | $ 86,764 |
Original LTV | 72.40% | 72.30% | |
Expected Life (years)(2) | 7 months | 5 months 18 days | |
Coupon Rate | 8.70% | 8.70% | |
9.01 – 10.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 27 | 143 | |
Principal Balance | $ | 10,934 | $ 10,934 | $ 53,804 |
Original LTV | 73.40% | 74.00% | |
Expected Life (years)(2) | 5 months 13 days | 4 months 16 days | |
Coupon Rate | 9.80% | 9.70% | |
10.01 – 11.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 11 | 43 | |
Principal Balance | $ | 3,538 | $ 3,538 | $ 10,150 |
Original LTV | 72.60% | 72.70% | |
Expected Life (years)(2) | 1 month 10 days | 4 months | |
Coupon Rate | 10.70% | 10.70% | |
11.01 – 12.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 9 | 28 | |
Principal Balance | $ | 2,307 | $ 2,307 | $ 8,274 |
Original LTV | 61.00% | 69.80% | |
Expected Life (years)(2) | 1 month 25 days | 4 months 16 days | |
Coupon Rate | 11.30% | 11.40% | |
12.01 – 13.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 3 | 11 | |
Principal Balance | $ | $ 307 | $ 307 | $ 2,743 |
Original LTV | 68.30% | 75.80% | |
Expected Life (years)(2) | 2 months | 5 months 6 days | |
Coupon Rate | 12.70% | 12.80% | |
13.01 – 14.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 1 | 1 | |
Principal Balance | $ | $ 1,125 | $ 1,125 | $ 88 |
Original LTV | 75.00% | 65.00% | |
Expected Life (years)(2) | 0 months | 4 months | |
Coupon Rate | 13.50% | 14.00% | |
17.01 – 18.00% | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 5 | 11 | |
Principal Balance | $ | $ 2,086 | $ 2,086 | $ 3,354 |
Original LTV | 73.30% | 73.70% | |
Expected Life (years)(2) | 0 months | 2 months 9 days | |
Coupon Rate | 18.00% | 18.00% | |
Residential Bridge Loans | |||
Variable Interest Entity [Line Items] | |||
Expected Life (years)(2) | 5 months 22 days | 5 months 10 days | |
Minimum | 3.01 – 4.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 3.01% | 3.01% | |
Minimum | 4.01– 5.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 4.01% | 4.01% | |
Minimum | 5.01 – 6.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 5.01% | 5.01% | |
Minimum | 6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 6.01% | 6.01% | |
Minimum | 7.01 - 8.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 7.01% | 7.01% | |
Minimum | 8.01 - 9.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 8.01% | ||
Minimum | 6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 6.01% | 6.01% | |
Minimum | 7.01 – 8.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 7.01% | 7.01% | |
Minimum | 8.01 – 9.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 8.01% | 8.01% | |
Minimum | 9.01 – 10.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 9.01% | 9.01% | |
Minimum | 10.01 – 11.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 10.01% | 10.01% | |
Minimum | 11.01 – 12.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 11.01% | 11.01% | |
Minimum | 12.01 – 13.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 12.01% | 12.01% | |
Minimum | 13.01 – 14.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 13.01% | 13.01% | |
Minimum | 17.01 – 18.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 17.01% | 17.01% | |
Maximum | 3.01 – 4.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 4.00% | 4.00% | |
Maximum | 4.01– 5.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 5.00% | 5.00% | |
Maximum | 5.01 – 6.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 6.00% | 6.00% | |
Maximum | 6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 7.00% | 7.00% | |
Maximum | 7.01 - 8.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 8.00% | 8.00% | |
Maximum | 8.01 - 9.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 9.00% | ||
Maximum | 6.01 – 7.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 7.00% | 7.00% | |
Maximum | 7.01 – 8.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 8.00% | 8.00% | |
Maximum | 8.01 – 9.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 9.00% | 9.00% | |
Maximum | 9.01 – 10.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 10.00% | 10.00% | |
Maximum | 10.01 – 11.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 11.00% | 11.00% | |
Maximum | 11.01 – 12.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 12.00% | 12.00% | |
Maximum | 12.01 – 13.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 13.00% | 13.00% | |
Maximum | 13.01 – 14.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 14.00% | 14.00% | |
Maximum | 17.01 – 18.00% | |||
Variable Interest Entity [Line Items] | |||
Coupon Rate | 18.00% | 18.00% | |
VIE | Residential Whole Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 3,073 | ||
VIE | Residential Bridge Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | 107 | 520 | |
Principal Balance | $ | $ 54,466 | $ 54,466 | $ 222,257 |
Original LTV | 72.30% | 72.70% | |
Coupon Rate | 9.40% | 9.10% |
Residential Whole-Loans and B_7
Residential Whole-Loans and Bridge Loans - Collateral Securing (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 1,169,131 | $ 1,023,524 |
Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 100.00% | 100.00% |
Principal Balance | $ 1,169,131 | $ 1,023,524 |
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 100.00% | 100.00% |
Principal Balance | $ 54,466 | $ 222,257 |
California | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 69.10% | 67.10% |
Principal Balance | $ 807,730 | $ 686,275 |
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 54.10% | 53.90% |
Principal Balance | $ 29,442 | $ 119,761 |
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 14.80% | 17.10% |
Principal Balance | $ 173,566 | $ 175,390 |
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 8.50% | 9.50% |
Principal Balance | $ 4,645 | $ 21,160 |
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 2.60% | 2.60% |
Principal Balance | $ 30,916 | $ 26,918 |
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 2.50% | 1.90% |
Principal Balance | $ 28,882 | $ 19,942 |
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 6.70% | 5.70% |
Principal Balance | $ 3,626 | $ 12,672 |
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 2.00% | |
Principal Balance | $ 22,890 | |
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 4.70% | |
Principal Balance | $ 10,419 | |
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 9.00% | 9.20% |
Principal Balance | $ 105,147 | $ 93,802 |
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 14.70% | 19.60% |
Principal Balance | $ 8,078 | $ 43,534 |
Massachusetts | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 2.10% | |
Principal Balance | $ 21,197 | |
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 12.90% | 6.60% |
Principal Balance | $ 7,004 | $ 14,711 |
District of Columbia | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 3.10% | |
Principal Balance | $ 1,671 |
Commercial Loans - Narrative (D
Commercial Loans - Narrative (Details) $ in Thousands | 1 Months Ended | 9 Months Ended | |||
Mar. 31, 2019USD ($) | Mar. 31, 2018USD ($) | Nov. 30, 2015USD ($) | Sep. 30, 2019USD ($)loanentity | Dec. 31, 2018USD ($) | |
Variable Interest Entity [Line Items] | |||||
Variable interest entity, number of entity | entity | 2 | ||||
Securitized commercial loans, at fair value | $ 701,835 | $ 1,013,511 | |||
Repurchased borrowings | $ 137,800 | ||||
Commercial Loans | |||||
Variable Interest Entity [Line Items] | |||||
Number of commercial loans trusts | loan | 7 | ||||
CMSC Trust | |||||
Variable Interest Entity [Line Items] | |||||
Securitized commercial loans, at fair value | $ 24,200 | ||||
London Interbank Offered Rate (LIBOR) | RETL Trust | |||||
Variable Interest Entity [Line Items] | |||||
Debt instrument, basis spread on variable rate | 2.30% | ||||
CMSC Trust | |||||
Variable Interest Entity [Line Items] | |||||
Trust certificates issued | 24,200 | ||||
Principal balance | 24,153 | 24,456 | |||
CMSC Trust | Securitized commercial loans | |||||
Variable Interest Entity [Line Items] | |||||
Amount acquired, eliminated in consolidation | $ 14,000 | 13,500 | |||
Variable interest entity, carrying amount | 13,500 | ||||
Variable interest entity, fair value | 13,600 | ||||
RETL Trust | |||||
Variable Interest Entity [Line Items] | |||||
Trust certificates issued | 598,500 | ||||
Principal balance | 674,331 | 988,609 | |||
RETL Trust | Securitized commercial loans | |||||
Variable Interest Entity [Line Items] | |||||
Amount acquired, eliminated in consolidation | $ 65,300 | $ 67,800 | |||
Variable interest entity, amount acquired, eligible risk retention | $ 45,300 | ||||
RETL Trust | Trust Certificate | London Interbank Offered Rate (LIBOR) | Securitized commercial loans | |||||
Variable Interest Entity [Line Items] | |||||
Loans receivable, basis spread on variable rate | 9.50% | ||||
RSBC Trust | |||||
Variable Interest Entity [Line Items] | |||||
Principal balance | $ 212,032 | $ 166,432 |
Commercial Loans - Commercial l
Commercial Loans - Commercial loans held (Details) - Securitized commercial loans - USD ($) $ in Thousands | 1 Months Ended | 9 Months Ended | |
Oct. 31, 2018 | Sep. 30, 2018 | Sep. 30, 2019 | |
CRE LLC And CRE Mezz | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | $ 230,000 | ||
Fair Value | 230,000 | ||
RSBC Trust | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 212,032 | ||
Fair Value | 212,032 | ||
Hotel | CRE LLC And CRE Mezz | Interest-Only Mezzanine loan | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 20,000 | ||
Fair Value | 20,000 | ||
Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 30,000 | ||
Fair Value | 30,000 | ||
Nursing Facilities | CRE LLC And CRE Mezz | Principal & Interest First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 50,000 | ||
Fair Value | 50,000 | ||
Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine loan | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 90,000 | ||
Fair Value | 90,000 | ||
Retail | CRE LLC And CRE Mezz | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 40,000 | ||
Fair Value | 40,000 | ||
SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 45,187 | ||
Fair Value | 45,187 | ||
SBC 2 | Assisted Care Living Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 115,500 | ||
Fair Value | 115,500 | ||
Amount acquired, eliminated in consolidation | $ 65,900 | $ 49,600 | |
SBC 3 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 5,745 | ||
Fair Value | 5,745 | ||
SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 13,600 | ||
Fair Value | 13,600 | ||
SBC 5 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal Balance | 32,000 | ||
Fair Value | $ 32,000 | ||
London Interbank Offered Rate (LIBOR) | Hotel | CRE LLC And CRE Mezz | Interest-Only Mezzanine loan | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 6.50% | ||
London Interbank Offered Rate (LIBOR) | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 4.50% | ||
London Interbank Offered Rate (LIBOR) | Nursing Facilities | CRE LLC And CRE Mezz | Principal & Interest First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 4.75% | ||
London Interbank Offered Rate (LIBOR) | Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine loan | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 9.25% | ||
London Interbank Offered Rate (LIBOR) | Retail | CRE LLC And CRE Mezz | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 3.02% | ||
London Interbank Offered Rate (LIBOR) | SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 4.25% | ||
London Interbank Offered Rate (LIBOR) | SBC 2 | Assisted Care Living Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 5.30% | ||
London Interbank Offered Rate (LIBOR) | SBC 3 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 5.25% | ||
London Interbank Offered Rate (LIBOR) | SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 4.00% | ||
London Interbank Offered Rate (LIBOR) | SBC 5 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 4.10% | ||
London Interbank Offered Rate (LIBOR) Floor | SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 1.25% | ||
London Interbank Offered Rate (LIBOR) Floor | SBC 2 | Assisted Care Living Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 1.90% | ||
London Interbank Offered Rate (LIBOR) Floor | SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 2.00% | ||
London Interbank Offered Rate (LIBOR) Cap | SBC 2 | Assisted Care Living Facilities | RSBC Trust | Interest-Only First Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Coupon Rate | 3.50% |
Commercial Loans - Consolidated
Commercial Loans - Consolidated commercial loan trusts included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 | |
Noncontrolling Interest [Line Items] | |||
Cash and cash equivalents | $ 50,157 | $ 21,987 | |
Restricted cash | 36,456 | 55,808 | |
Securitized commercial loans, at fair value | 701,835 | 1,013,511 | |
Commercial Loans, at fair value | 422,032 | 196,123 | |
Interest receivable | 18,801 | 21,959 | |
Total assets | [1] | 5,254,481 | 4,497,395 |
Interest payable | 9,734 | 8,532 | |
Accounts payable and accrued expenses | 3,585 | 3,858 | |
Other liabilities | 36,456 | 56,031 | |
Total liabilities | [2] | 4,690,121 | 3,994,386 |
VIE | |||
Noncontrolling Interest [Line Items] | |||
Cash and cash equivalents | 1,959 | 674 | |
Restricted cash | 36,456 | 55,808 | |
Securitized commercial loans, at fair value | 701,835 | 1,013,511 | |
Commercial Loans, at fair value | 212,032 | 196,123 | |
Interest receivable | 9,712 | 15,540 | |
Total assets | 2,254,192 | 2,588,150 | |
Interest payable | 3,714 | 2,419 | |
Accounts payable and accrued expenses | 288 | 708 | |
Other liabilities | 36,456 | 56,033 | |
Total liabilities | 1,507,299 | 1,008,786 | |
Securitized commercial loans | VIE | |||
Noncontrolling Interest [Line Items] | |||
Cash and cash equivalents | 447 | 0 | |
Restricted cash | 36,456 | 55,808 | |
Securitized commercial loans, at fair value | 701,835 | 1,013,511 | |
Commercial Loans, at fair value | 212,032 | 166,123 | |
Interest receivable | 2,738 | 3,733 | |
Total assets | 953,508 | 1,239,175 | |
Securitized debt | 612,282 | 949,626 | |
Interest payable | 1,257 | 2,419 | |
Accounts payable and accrued expenses | 33 | 31 | |
Other liabilities | 36,456 | 55,808 | |
Total liabilities | $ 650,028 | $ 1,007,884 | |
[1] | (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents1,959674Restricted cash36,45655,808Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively)1,209,2371,041,885Residential Bridge Loans ($48,054 and $211,999 at fair value and $50,675 and $221,486 pledged as collateral, respectively)50,675221,486Securitized commercial loans, at fair value701,8351,013,511Commercial Loans, at fair value ($422,032 and $196,123 pledged as collateral, at fair value, respectively)212,032196,123Investment related receivable32,03342,945Interest receivable9,71215,540Other assets253178Total assets of consolidated VIEs2,254,1922,588,150Residential Whole Loans, at fair value ($1,209,237 and $1,041,885 pledged as collateral, at fair value, respectively)1,209,2371,041,885Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively)46,159211,766Residential Bridge Loans ($46,159 and $211,766 at fair value and $50,675 and $221,486 pledged as collateral, respectively)50,675221,486Commercial Loans, at fair value ($422,032 and $196,123 pledged as collateral, at fair value, respectively)212,032196,123 | ||
[2] | (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively)1,466,841949,626Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively)3,7142,419Accounts payable and accrued expenses288708Other liabilities36,45656,033Total liabilities of consolidated VIEs1,507,2991,008,786Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively)612,282949,626Securitized debt, net ($612,282 and $949,626 at fair value and $75,095 and $246,802 held by affiliates, respectively)75,095246,802Interest payable (includes $386 and $816 on securitized debt held by affiliates, respectively)386816 |
Commercial Loans - Components o
Commercial Loans - Components of the carrying value of commercial real estate loans (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Commercial Mezzanine Loan | ||
Variable Interest Entity [Line Items] | ||
Principal balance | $ 230,000 | $ 50,000 |
Unamortized premium | 0 | 0 |
Unamortized discount | (309) | (205) |
Amortized cost | 229,691 | 49,795 |
Gross unrealized gains | 309 | 205 |
Gross unrealized losses | 0 | 0 |
Fair value | 230,000 | 50,000 |
CMSC Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 24,153 | 24,456 |
Unamortized premium | 0 | 0 |
Unamortized discount | 0 | 0 |
Amortized cost | 24,153 | 24,456 |
Gross unrealized gains | 79 | 0 |
Gross unrealized losses | 0 | (14) |
Fair value | 24,232 | 24,442 |
RETL Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 674,331 | 988,609 |
Unamortized premium | 2,262 | 431 |
Unamortized discount | 0 | 0 |
Amortized cost | 676,593 | 989,040 |
Gross unrealized gains | 1,010 | 29 |
Gross unrealized losses | 0 | 0 |
Fair value | 677,603 | 989,069 |
RSBC Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 212,032 | 166,432 |
Unamortized premium | 0 | 0 |
Unamortized discount | (620) | (736) |
Amortized cost | 211,412 | 165,696 |
Gross unrealized gains | 620 | 427 |
Gross unrealized losses | 0 | 0 |
Fair value | $ 212,032 | $ 166,123 |
Financings - Narrative (Details
Financings - Narrative (Details) | 1 Months Ended | 9 Months Ended | ||||
May 31, 2019USD ($) | Mar. 31, 2019USD ($) | Mar. 31, 2018USD ($) | Nov. 30, 2015USD ($) | Sep. 30, 2019USD ($)item | Dec. 31, 2018USD ($) | |
Short-term Debt [Line Items] | ||||||
Number of counterparties to master repurchase agreement | item | 33 | |||||
Number of counterparties from whom entity borrowed under repurchase agreement | item | 20 | |||||
MBS pledged for borrowings under repurchase agreements | $ 50,675,000 | $ 221,486,000 | ||||
Securities loaned, collateral, right to reclaim cash | 3,380,000 | 1,200,000 | ||||
Securities purchased under agreements to resell, collateral, obligation to return cash | 2,100,000 | 17,800,000 | ||||
Securities purchased under agreements to resell, fair value of collateral | 2,800,000 | 5,200,000 | ||||
Securitized debt, at fair value | 1,466,841,000 | 949,626,000 | ||||
Repurchase agreements, net | 2,925,108,000 | 2,818,837,000 | ||||
Repurchase agreements | ||||||
Short-term Debt [Line Items] | ||||||
MBS pledged for borrowings under repurchase agreements | 3,300,000,000 | 3,300,000,000 | ||||
RETL Trust | ||||||
Short-term Debt [Line Items] | ||||||
Trust certificates issued | 598,500,000 | |||||
Principal balance | 674,331,000 | 988,609,000 | ||||
RETL Trust | Affiliated entities | ||||||
Short-term Debt [Line Items] | ||||||
Trust certificates issued | 62,300,000 | |||||
RETL Trust | Third parties | ||||||
Short-term Debt [Line Items] | ||||||
Trust certificates issued | 536,100,000 | |||||
CMSC Trust | ||||||
Short-term Debt [Line Items] | ||||||
Commercial pass-through certificate, amount | 25,000,000 | |||||
Trust certificates issued | 24,200,000 | |||||
Principal balance | $ 24,153,000 | 24,456,000 | ||||
Debt instrument interest rate, effective percentage | 8.90% | |||||
Securitized commercial loans | RETL Trust | ||||||
Short-term Debt [Line Items] | ||||||
Amount acquired, eliminated in consolidation | $ 65,300,000 | $ 67,800,000 | ||||
Securitized commercial loans | CMSC Trust | ||||||
Short-term Debt [Line Items] | ||||||
Amount acquired, eliminated in consolidation | $ 14,000,000 | $ 13,500,000 | ||||
Securitized debt, at fair value | 10,600,000 | |||||
Residential Whole Loans | Arroyo Trust | ||||||
Short-term Debt [Line Items] | ||||||
Repurchase agreements, net | 919,000,000 | |||||
Securitized debt | Securitized commercial loans | CMSC Trust | ||||||
Short-term Debt [Line Items] | ||||||
Securitized debt, at fair value | 10,700,000 | |||||
Secured Debt | RETL Trust | ||||||
Short-term Debt [Line Items] | ||||||
Securitized debt | 677,604,000 | |||||
Secured Debt | Arroyo Trust | ||||||
Short-term Debt [Line Items] | ||||||
Fair value | 854,559,000 | |||||
Secured Debt | Residential Whole Loans | Arroyo Trust | ||||||
Short-term Debt [Line Items] | ||||||
Fair value | $ 877,400,000 | |||||
Maximum aggregate collateral balance over original prinicipal balance percentage | 20.00% | |||||
Class C | Secured Debt | RETL Trust | ||||||
Short-term Debt [Line Items] | ||||||
Payments to acquire securitized debt | $ 30,600,000 | |||||
Securitized debt | 309,362,000 | |||||
Estimated Fair Value | ||||||
Short-term Debt [Line Items] | ||||||
Securitized debt | 612,282,000 | $ 949,626,000 | ||||
Estimated Fair Value | Class C | Secured Debt | RETL Trust | ||||||
Short-term Debt [Line Items] | ||||||
Securitized debt | $ 601,600,000 | |||||
Arroyo Trust | Residential Whole Loans | Arroyo Trust | ||||||
Short-term Debt [Line Items] | ||||||
Transfered of non-qm residential whole loans | $ 945,500,000 |
Financings - Borrowings under R
Financings - Borrowings under Repurchase Agreements (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 2,925,108,000 | $ 2,818,837,000 |
Weighted Average Remaining Maturity (days) | 115 days | 54 days |
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total | 2.80% | 3.45% |
Repurchase agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 396,887,000 | |
Weighted Average Remaining Maturity (days) | 649 days | |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.87% | |
Repurchase agreements | Whole-Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 271,887,000 | |
Weighted Average Remaining Maturity (days) | 653 days | |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.68% | |
Repurchase agreements | Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 125,000,000 | |
Weighted Average Remaining Maturity (days) | 641 days | |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 4.29% | |
Repurchase agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 2,528,221,000 | $ 2,818,837,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.63% | 3.45% |
Weighted Average Remaining Maturity (days) | 31 days | 54 days |
Repurchase agreements | Agency RMBS(1) | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 366,488,000 | $ 14,650,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.31% | 3.09% |
Weighted Average Remaining Maturity (days) | 49 days | 21 days |
Repurchase agreements | Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 1,640,190,000 | $ 1,392,649,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.36% | 2.71% |
Weighted Average Remaining Maturity (days) | 29 days | 40 days |
Repurchase agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 31,071,000 | $ 30,922,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.67% | 4.06% |
Weighted Average Remaining Maturity (days) | 8 days | 18 days |
Repurchase agreements | Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 201,751,000 | $ 134,814,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.28% | 4.05% |
Weighted Average Remaining Maturity (days) | 28 days | 48 days |
Repurchase agreements | Whole-Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 10,854,000 | $ 863,356,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.96% | 4.08% |
Weighted Average Remaining Maturity (days) | 36 days | 93 days |
Repurchase agreements | Residential Bridge Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 50,092,000 | $ 204,754,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 4.26% | 4.50% |
Weighted Average Remaining Maturity (days) | 28 days | 25 days |
Repurchase agreements | Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 137,821,000 | $ 131,788,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 4.33% | 4.55% |
Weighted Average Remaining Maturity (days) | 28 days | 26 days |
Repurchase agreements | Securitized commercial loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 32,893,000 | $ 7,543,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.13% | 4.30% |
Weighted Average Remaining Maturity (days) | 9 days | 15 days |
Repurchase agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 57,061,000 | $ 38,361,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.55% | 4.18% |
Weighted Average Remaining Maturity (days) | 30 days | 26 days |
Residential Facility | ||
Certain characteristics of the Company's repurchase agreements | ||
Maximum borrowing capacity | $ 700,000,000 | |
Commercial Facility | ||
Certain characteristics of the Company's repurchase agreements | ||
Maximum borrowing capacity | $ 150,000,000 |
Financings - Borrowings under_2
Financings - Borrowings under Repurchase Agreements-Maturity dates (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | $ 2,925,108 | $ 2,818,837 |
1 to 29 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | 1,695,132 | 1,867,957 |
30 to 59 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | 623,323 | 144,778 |
60 to 89 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | 209,766 | 555,695 |
Greater than or equal to 90 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements, net | $ 396,887 | $ 250,407 |
Financings - Borrowings under_3
Financings - Borrowings under Repurchase Agreements-Risk by Counterparty (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2019USD ($) | |
Credit Suisse AG, Cayman Islands Branch | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 99,002 |
Weighted Average Remaining Maturity (days) | 875 days |
Percentage of Stockholders’ Equity | 17.50% |
Nomura Securities International, Inc. | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 78,468 |
Weighted Average Remaining Maturity (days) | 28 days |
Percentage of Stockholders’ Equity | 13.90% |
Financings - Collateral Positio
Financings - Collateral Positions (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | $ 50,675 | $ 221,486 |
Accrued Interest | 13,155 | 19,084 |
Assets Pledged and Accrued Interest | 3,353,615 | 3,296,358 |
Assets pledged- fair value | 3,340,460 | 3,277,274 |
Repurchase agreements | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 3,300,000 | 3,300,000 |
Repurchase agreements | Agency RMBS(1) | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 379,998 | 19,837 |
Accrued Interest | 1,380 | 453 |
Assets Pledged and Accrued Interest | 381,378 | 20,290 |
Repurchase agreements | Non-Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 47,256 | 50,555 |
Accrued Interest | 441 | 479 |
Assets Pledged and Accrued Interest | 47,697 | 51,034 |
Repurchase agreements | Non-Agency CMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 270,434 | 186,552 |
Accrued Interest | 1,088 | 915 |
Assets Pledged and Accrued Interest | 271,522 | 187,467 |
Repurchase agreements | Whole-Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 300,551 | 1,041,885 |
Accrued Interest | 2,282 | 8,145 |
Assets Pledged and Accrued Interest | 302,833 | 1,050,030 |
Repurchase agreements | Residential Bridge Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 50,675 | 221,486 |
Accrued Interest | 778 | 3,528 |
Assets Pledged and Accrued Interest | 51,453 | 225,014 |
Repurchase agreements | Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 422,032 | 196,123 |
Accrued Interest | 2,311 | 1,067 |
Assets Pledged and Accrued Interest | 424,343 | 197,190 |
Repurchase agreements | Securitized commercial loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 44,244 | 13,688 |
Accrued Interest | 140 | 88 |
Assets Pledged and Accrued Interest | 44,384 | 13,776 |
Repurchase agreements | Other securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 82,875 | 59,780 |
Accrued Interest | 143 | 147 |
Assets Pledged and Accrued Interest | 83,018 | 59,927 |
Repurchase agreements | Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged and Accrued Interest | 3,380 | 1,226 |
Assets pledged- fair value | 3,380 | 1,226 |
VIE | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 50,675 | 221,486 |
VIE | Agency CMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 1,739,015 | 1,486,142 |
Accrued Interest | 4,592 | 4,262 |
Assets Pledged and Accrued Interest | $ 1,743,607 | $ 1,490,404 |
Financings - Convertible Senior
Financings - Convertible Senior Unsecured Notes (Details) - 6.75% Convertible Senior Unsecured Notes - Convertible Debt | 1 Months Ended | ||
Aug. 31, 2019USD ($) | Oct. 31, 2017USD ($)$ / shares | Sep. 30, 2019USD ($) | |
Debt Conversion [Line Items] | |||
Aggregate principal amount of 6.75% convertible senior unsecured notes | $ 40,000,000 | $ 115,000,000 | $ 155,000,000 |
Interest rate stated percentage | 6.75% | 6.75% | |
Proceeds from issuance of long-term debt | $ 38,800,000 | $ 111,100,000 | |
Convertible senior unsecured notes, earliest redemption period by company | 3 months | 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) - Secured Debt $ in Thousands | 9 Months Ended |
Sep. 30, 2019USD ($) | |
RETL Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 674,331 |
Fair Value | 677,604 |
RETL Trust | Class A | |
Debt Instrument [Line Items] | |
Principal Balance | $ 219,431 |
Coupon | 3.20% |
Fair Value | $ 219,567 |
RETL Trust | Class B | |
Debt Instrument [Line Items] | |
Principal Balance | $ 101,200 |
Coupon | 3.60% |
Fair Value | $ 101,389 |
RETL Trust | Class C | |
Debt Instrument [Line Items] | |
Principal Balance | $ 308,400 |
Coupon | 4.10% |
Fair Value | $ 309,362 |
RETL Trust | Class HRR | |
Debt Instrument [Line Items] | |
Principal Balance | $ 45,300 |
Coupon | 10.50% |
Fair Value | $ 45,310 |
RETL Trust | Class X-CP | |
Debt Instrument [Line Items] | |
Coupon | 1.50% |
Fair Value | $ 1,945 |
Notional amount | 308,400 |
RETL Trust | Class X-EXT | |
Debt Instrument [Line Items] | |
Fair Value | 31 |
Notional amount | 308,400 |
Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | 860,055 |
Long-term Debt, Gross | 860,050 |
Less: Unamortized Deferred Financing Costs | 5,491 |
Total | 854,559 |
Arroyo Trust | Class A-1 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 733,440 |
Coupon | 3.30% |
Long-term Debt, Gross | $ 733,438 |
Arroyo Trust | Class A-2 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 39,299 |
Coupon | 3.50% |
Long-term Debt, Gross | $ 39,298 |
Arroyo Trust | Class A-3 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 62,261 |
Coupon | 3.80% |
Long-term Debt, Gross | $ 62,259 |
Arroyo Trust | Class M-1 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 25,055 |
Coupon | 4.80% |
Long-term Debt, Gross | $ 25,055 |
Derivative Instruments (Details
Derivative Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Estimated Fair Value | ||
Fair value of derivative assets | $ 13,597 | $ 14,466 |
Derivative liability, at fair value | (8,088) | (10,130) |
Derivative instruments not accounted as hedges under GAAP | ||
Estimated Fair Value | ||
Fair value of derivative assets | 4,037 | 2,606 |
Derivative liability, at fair value | (8,088) | (10,130) |
Total derivative instruments | (4,051) | (7,524) |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional amount, assets | 3,364,600 | 1,128,400 |
Notional amount, liabilities | 1,152,200 | 2,727,800 |
Estimated Fair Value | ||
Fair value of derivative assets | 345 | 2,057 |
Derivative liability, at fair value | (68) | (5,473) |
Options | ||
Estimated Fair Value | ||
Total derivative instruments | 0 | 0 |
Futures contracts | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional amount, assets | 60,300 | 0 |
Notional amount, liabilities | 65,400 | 300,400 |
Estimated Fair Value | ||
Fair value of derivative assets | 808 | 0 |
Derivative liability, at fair value | (1,518) | (4,657) |
Credit default swaps | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional amount, assets | 60,100 | 50,000 |
Notional amount, liabilities | 90,900 | 0 |
Estimated Fair Value | ||
Fair value of derivative assets | 2,884 | 549 |
Derivative liability, at fair value | $ (6,502) | $ 0 |
Derivative Instruments- Gain or
Derivative Instruments- Gain or loss (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | $ (2,068) | $ 12,905 | |||
Return (Recovery) of Basis | 3,293 | (1,460) | |||
Total | $ (47,056) | $ 24,625 | (145,734) | 132,697 | |
Collateral already posted, aggregate fair value | 87,000 | 87,000 | $ 38,000 | ||
Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 4,718 | 4,236 | (6,802) | 8,421 | |
Variation Margin Settlement | (56,121) | 25,250 | (152,559) | 123,114 | |
Return (Recovery) of Basis | 1,065 | (224) | 3,019 | (1,906) | |
Mark-to-Market | 2,499 | (7,036) | 3,293 | (1,460) | |
Contractual interest income (expense), net | 783 | 2,399 | 7,315 | 4,528 | |
Total | (47,056) | 24,625 | (145,734) | 132,697 | |
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 | (123) | 95 | (714) | 114 | |
Variation Margin Settlement | (56,121) | 25,250 | (152,559) | 123,114 | |
Return (Recovery) of Basis | 1,655 | 772 | 4,859 | 1,064 | |
Mark-to-Market | 3,289 | (3,742) | (453) | (1,497) | |
Contractual interest income (expense), net | 60 | 1,190 | 4,989 | 886 | |
Total | (51,240) | 23,565 | (143,878) | 123,681 | |
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 | (332) | (332) | |||
Mark-to-Market | 176 | 0 | |||
Total | (156) | (332) | |||
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 | |||||
Return (Recovery) of Basis | (590) | (996) | (1,840) | (2,970) | |
Mark-to-Market | (420) | (929) | (460) | (959) | |
Contractual interest income (expense), net | 723 | 1,209 | 2,326 | 3,642 | |
Total | (287) | (716) | 26 | (287) | |
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 | 1,378 | 1,378 | (518) | ||
Mark-to-Market | (470) | (253) | 0 | 47 | |
Total | 908 | (253) | 1,378 | (471) | |
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 | 3,620 | 4,232 | (6,720) | 8,824 | |
Mark-to-Market | (710) | (1,994) | 3,947 | 1,075 | |
Total | 2,910 | 2,238 | (2,773) | 9,899 | |
Credit default swaps | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 175 | (83) | (414) | (125) | |
Mark-to-Market | 634 | (492) | 259 | (441) | |
Total | $ 809 | (575) | $ (155) | (566) | |
TBAs | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | (8) | 126 | |||
Mark-to-Market | 374 | 315 | |||
Total | $ 366 | $ 441 |
Derivative Instruments- Swaptio
Derivative Instruments- Swaption terms (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Interest rate swaps and interest rate swaptions | ||
Derivative liability, at fair value | $ (8,088) | $ (10,130) |
Derivative cash collateral | 709 | 8,073 |
Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Derivative liability, at fair value | (8,088) | (10,130) |
Fair value | (4,051) | (7,524) |
Interest rate swaps | ||
Interest rate swaps and interest rate swaptions | ||
Derivative cash collateral | 78,100 | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Notional amount, assets | 3,364,600 | 1,128,400 |
Notional amount, liabilities | 1,152,200 | 2,727,800 |
Derivative liability, at fair value | (68) | (5,473) |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 3,519,600 | $ 3,127,800 |
Average Fixed Pay Rate | 2.40% | 2.30% |
Average Floating Receive Rate | 2.20% | 2.60% |
Average Maturity (Years) | 7 years | 6 years |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 997,200 | $ 728,400 |
Average Fixed Pay Rate | 2.30% | 2.50% |
Average Floating Receive Rate | 2.40% | 2.40% |
Average Maturity (Years) | 6 years 9 months 18 days | 8 years 3 months |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 year or less | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 200,000 | $ 400,000 |
Average Fixed Pay Rate | 1.80% | 1.50% |
Average Floating Receive Rate | 2.30% | 2.80% |
Average Maturity (Years) | 8 months 12 days | 6 months |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 1,182,500 | $ 1,104,700 |
Average Fixed Pay Rate | 2.50% | 2.30% |
Average Floating Receive Rate | 2.20% | 2.50% |
Average Maturity (Years) | 4 years 4 months 24 days | 3 years 9 months |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 2,137,100 | $ 1,423,100 |
Average Fixed Pay Rate | 2.30% | 2.50% |
Average Floating Receive Rate | 2.20% | 2.50% |
Average Maturity (Years) | 9 years | 9 years 11 months |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 772,200 | $ 728,400 |
Average Fixed Pay Rate | 2.20% | 2.50% |
Average Floating Receive Rate | 2.30% | 2.40% |
Average Maturity (Years) | 8 years 3 months 18 days | 8 years 4 months |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 year and less than 3 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 200,000 | |
Average Fixed Pay Rate | 1.80% | |
Average Floating Receive Rate | 2.60% | |
Average Maturity (Years) | 1 year 5 months | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 year and less than 3 years | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 225,000 | |
Average Fixed Pay Rate | 2.30% | |
Average Floating Receive Rate | 2.40% | |
Average Maturity (Years) | 1 year 7 months 6 days | |
Forward starting interest rate swap | ||
Interest rate swaps and interest rate swaptions | ||
Derivative Instrument, Weighted Average Forward Starting Date | 2 months 17 days | 4 months |
Credit default swaps | Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Notional amount, assets | $ 60,100 | $ 50,000 |
Notional amount, liabilities | 90,900 | 0 |
Derivative liability, at fair value | (6,502) | 0 |
Interest Rate Swaption, Option Portion | ||
Interest rate swaps and interest rate swaptions | ||
Fair value | 0 | 0 |
Long | Us Treasury Futures | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 125,700 | |
Derivative liability, at fair value | $ (710) | |
Short | Us Treasury Futures | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 300,400 | |
Derivative liability, at fair value | $ (4,700) |
Derivative Instruments- TBA sec
Derivative Instruments- TBA securities (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Currency swaps and forwards | ||
Derivative assets | $ 13,597 | $ 14,466 |
Derivative liability, at fair value | (8,088) | (10,130) |
Derivative instruments not accounted as hedges under GAAP | ||
Currency swaps and forwards | ||
Derivative assets | 4,037 | 2,606 |
Derivative liability, at fair value | (8,088) | (10,130) |
Fair value | $ (4,051) | $ (7,524) |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities- Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Offsetting Assets [Line Items] | ||
Derivative asset, gross amount | $ 13,597 | $ 14,466 |
Derivative assets, at fair value | 4,037 | 2,606 |
Fair value of derivative assets | 13,597 | 14,466 |
Derivative asset, not offset | (11,222) | (13,917) |
Net Amount | 2,375 | 549 |
Gross Amounts of Recognized Liabilities | 8,088 | 10,130 |
Securities Sold under Agreements to Repurchase, Gross | 2,925,108 | 2,818,837 |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Gross | 2,933,196 | 2,828,967 |
Derivative liabilities | 8,088 | 10,130 |
Repurchase Agreement Borrowings, Total | 2,925,108 | 2,818,837 |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned | 2,933,196 | 2,828,967 |
Gross Amounts Not Offset in the Balance Sheets | ||
Financial Instruments | (3,760) | (2,057) |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities | (2,925,108) | (2,818,837) |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Collateral, Right to Reclaim Securities | (2,928,868) | (2,820,894) |
Cash Collateral Pledged | (709) | (8,073) |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 3,619 | 0 |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Amount Offset Against Collateral | 3,619 | 0 |
Cash collateral for derivatives | 86,800 | 38,000 |
Fair value of investments pledged against repurchase agreements | 3,300,000 | 3,300,000 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Offsetting Assets [Line Items] | ||
Derivative asset, gross amount | 9,560 | 11,860 |
Fair value of derivative assets | 9,560 | 11,860 |
Derivative asset, not offset | (7,462) | (11,860) |
Net Amount | 2,098 | 0 |
Derivative Instruments Excluding Interest Only Strips Accounted For As Derivatives And Linked Transactions | ||
Offsetting Assets [Line Items] | ||
Derivative asset, gross amount | 4,037 | 2,606 |
Derivative assets, at fair value | 4,037 | 2,606 |
Derivative asset, not offset | (3,760) | (2,057) |
Net Amount | $ 277 | $ 549 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||||
May 31, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Related Party Transactions | |||||||
Proceeds from issuance of common stock | $ 49,650 | $ 64,880 | |||||
Management fees | $ 1,800 | $ 2,284 | $ 5,367 | 6,723 | |||
Secondary Offering | |||||||
Related Party Transactions | |||||||
Sale of stock, number of shares issued in transaction | 5,000,000 | 6,500,000 | |||||
Proceeds from issuance of common stock | $ 49,300 | $ 67,700 | |||||
Western Asset Management Company | |||||||
Related Party Transactions | |||||||
Management fees (as a percent) | 1.50% | ||||||
Renewal term of management agreement | 1 year | ||||||
Notice period to terminate the Management Agreement following initial term | 180 days | ||||||
Multiple of average annual management fees used to calculate termination fee of management agreement | 300.00% | ||||||
Prior period over which management fees were incurred used to calculate the termination fee under the Management Agreement | 24 months | ||||||
Notice period to terminate the Management Agreement for cause | 30 days | ||||||
Management fees | 1,800 | 2,300 | $ 5,400 | 6,700 | |||
Reimbursable employee costs | 210 | $ 205 | 1,400 | $ 1,300 | |||
Management fees incurred but not yet paid | 1,800 | 1,800 | $ 4,200 | ||||
Reimbursable employee costs incurred but not yet paid | $ 226 | $ 226 | $ 379 | ||||
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% |
Share-Based Payments (Details)
Share-Based Payments (Details) $ / shares in Units, $ in Thousands | Jun. 06, 2019shares | Mar. 28, 2019shares | Jun. 07, 2018directorshares | Sep. 30, 2019USD ($)$ / sharesshares | Sep. 30, 2018USD ($) | Sep. 30, 2019USD ($)$ / sharesshares | Sep. 30, 2018USD ($)shares | Jun. 30, 2016shares | Dec. 31, 2018USD ($)shares |
Share-Based Payments | |||||||||
Shares authorized (as a percent) | 3.00% | 3.00% | |||||||
Number of shares remained available for issuance (in shares) | 680,256 | 680,256 | |||||||
Stock-based compensation expense recognized | $ | $ 164 | $ 70 | $ 399 | $ 195 | |||||
Common Stock Outstanding | |||||||||
Share-Based Payments | |||||||||
Number of shares remained available for issuance (in shares) | 1,573,609 | 1,573,609 | |||||||
Restricted common stock | |||||||||
Share-Based Payments | |||||||||
Vested (in shares) | 29,200 | 84,203 | |||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 137,656 | 137,656 | 27,476 | ||||||
Shares of Restricted Stock | |||||||||
Outstanding, beginning of period (in shares) | 753,973 | ||||||||
Granted (in shares) | 139,380 | ||||||||
Cancelled/forfeited (in shares) | 0 | ||||||||
Outstanding, end of period (in shares) | 893,353 | 893,353 | |||||||
Unvested at end of year (in shares) | 137,656 | 137,656 | 27,476 | ||||||
Weighted Average Grant Date Fair Value | |||||||||
Outstanding at beginning of period (in dollars per share) | $ / shares | $ 16.77 | ||||||||
Granted (in dollars per share) | $ / shares | 10.34 | ||||||||
Cancelled/forfeited (in dollars per share) | $ / shares | 0 | ||||||||
Outstanding at end of year (in dollars per share) | $ / shares | $ 15.76 | 15.76 | |||||||
Unvested at end of year (in dollars per share) | $ / shares | $ 10.34 | $ 10.34 | |||||||
Restricted common stock | June 2019 | |||||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 0 | 0 | 27,476 | ||||||
Shares of Restricted Stock | |||||||||
Unvested at end of year (in shares) | 0 | 0 | 27,476 | ||||||
Restricted common stock | March 2020 | |||||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 36,000 | 36,000 | 0 | ||||||
Shares of Restricted Stock | |||||||||
Unvested at end of year (in shares) | 36,000 | 36,000 | 0 | ||||||
Restricted common stock | June 2020 | |||||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 29,656 | 29,656 | 0 | ||||||
Shares of Restricted Stock | |||||||||
Unvested at end of year (in shares) | 29,656 | 29,656 | 0 | ||||||
Restricted common stock | March 2021 | |||||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 36,000 | 36,000 | 0 | ||||||
Shares of Restricted Stock | |||||||||
Unvested at end of year (in shares) | 36,000 | 36,000 | 0 | ||||||
Restricted common stock | March 2022 | |||||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 36,000 | 36,000 | 0 | ||||||
Shares of Restricted Stock | |||||||||
Unvested at end of year (in shares) | 36,000 | 36,000 | 0 | ||||||
Restricted common stock | Director | |||||||||
Share-Based Payments | |||||||||
Awards granted to each of the entity's independent directors (in shares) | 7,195 | 6,476 | |||||||
Number of independent directors to whom awards were granted | director | 4 | ||||||||
Shares of Restricted Stock | |||||||||
Granted (in shares) | 28,780 | 25,904 | |||||||
Restricted common stock | Management | |||||||||
Shares of Restricted Stock | |||||||||
Granted (in shares) | 108,000 | ||||||||
Restricted common stock | Management | March 2020 | |||||||||
Share-Based Payments | |||||||||
Award vesting rights, percentage | 33.00% | ||||||||
Restricted common stock | Management | March 2021 | |||||||||
Share-Based Payments | |||||||||
Award vesting rights, percentage | 33.00% | ||||||||
Restricted common stock | Management | March 2022 | |||||||||
Share-Based Payments | |||||||||
Award vesting rights, percentage | 33.00% | ||||||||
Restricted common stock | Director Deferred Fee Plan | |||||||||
Shares of Restricted Stock | |||||||||
Granted (in shares) | 2,600 | ||||||||
Equity awards | |||||||||
Share-Based Payments | |||||||||
Unamortized compensation expense | $ | $ 1,100 | $ 1,100 | $ 117 | ||||||
Shares of Restricted Stock | |||||||||
Granted (in shares) | 893,353 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands | Oct. 25, 2019 | Sep. 19, 2019 | Jul. 26, 2019 | Jun. 20, 2019 | Apr. 26, 2019 | Mar. 21, 2019 | Jan. 25, 2019 | Dec. 19, 2018 | Oct. 26, 2018 | Sep. 17, 2018 | Jul. 26, 2018 | Jun. 21, 2018 | Apr. 26, 2018 | Mar. 22, 2018 | May 31, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 21, 2017 | Apr. 30, 2017 | Feb. 25, 2016 |
Shareholders equity | |||||||||||||||||||||
Proceeds from issuance of common stock | $ 49,650 | $ 64,880 | |||||||||||||||||||
Payments of stock issuance costs | $ 490 | $ 65 | |||||||||||||||||||
Shares authorized to be repurchased (in shares) | 2,100,000 | 2,050,000 | |||||||||||||||||||
Dividends, declared per share of common stock (in dollars per share) | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | ||||||||||||||
Dividends, cash paid per share of common stock (in dollars per share) | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | |||||||||||||||
Common Stock Outstanding | |||||||||||||||||||||
Shareholders equity | |||||||||||||||||||||
Equity offering amount, maximum | $ 100,000 | ||||||||||||||||||||
Treasury Stock | |||||||||||||||||||||
Shareholders equity | |||||||||||||||||||||
Treasury stock (in shares) | 303,422 | ||||||||||||||||||||
Common Stock Outstanding | |||||||||||||||||||||
Shareholders equity | |||||||||||||||||||||
Stock repurchased during period (in shares) | 303,422 | ||||||||||||||||||||
Subsequent Event | |||||||||||||||||||||
Shareholders equity | |||||||||||||||||||||
Dividends, cash paid per share of common stock (in dollars per share) | $ 0.31 | ||||||||||||||||||||
Secondary Offering | |||||||||||||||||||||
Shareholders equity | |||||||||||||||||||||
Sale of stock, number of shares issued in transaction | 5,000,000 | 6,500,000 | |||||||||||||||||||
Treasury stock (in shares) | 303,422 | ||||||||||||||||||||
Sale of stock, price per share (in dollars per share) | $ 10.14 | $ 10.85 | $ 10.85 | ||||||||||||||||||
Proceeds from issuance of common stock | $ 49,300 | $ 67,700 | |||||||||||||||||||
Payments of stock issuance costs | $ 1,400 | $ 2,800 |
Net Income per Common Share (De
Net Income per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Numerator: | ||||
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share | $ 19,720 | $ 20,882 | $ 58,210 | $ 44,064 |
Less: Dividends and undistributed earnings allocated to participating securities | 96 | 54 | 236 | 112 |
Net income allocable to common stockholders — basic and diluted | $ 19,624 | $ 20,828 | $ 57,974 | $ 43,952 |
Denominator: | ||||
Weighted average common shares outstanding for basic earnings per share | 53,116,379 | 42,060,077 | 50,625,537 | 41,802,302 |
Weighted average common shares outstanding for diluted earnings per share | 53,116,379 | 42,060,077 | 50,625,537 | 41,802,302 |
Basic earnings per common share (in dollars per share) | $ 0.37 | $ 0.50 | $ 1.15 | $ 1.05 |
Diluted earnings per common share (in dollars per share) | $ 0.37 | $ 0.50 | $ 1.15 | $ 1.05 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Valuation Allowance [Line Items] | |||||
Current federal, state and local, tax expense (benefit) | $ (55) | $ 206 | $ 435 | $ 555 | |
Deferred tax assets, gross | 6,500 | 6,500 | $ 6,000 | ||
Capital Loss Carryforward | |||||
Valuation Allowance [Line Items] | |||||
Valuation allowances balance | 6,500 | 6,500 | 6,000 | ||
Operating Loss Carryforwards | |||||
Valuation Allowance [Line Items] | |||||
Valuation allowances balance | 7,400 | 7,400 | 6,100 | ||
State Jurisdiction | |||||
Valuation Allowance [Line Items] | |||||
Deferred tax asset, net operating losses | 6,400 | 6,400 | 5,500 | ||
State Jurisdiction | Taxable REIT Subsidiary | |||||
Valuation Allowance [Line Items] | |||||
Deferred tax asset, net operating losses | 1,300 | 1,300 | 993 | ||
Domestic Tax Authority | |||||
Valuation Allowance [Line Items] | |||||
Deferred tax liabilities, net | $ 85 | $ 85 | $ 85 |