Cover Page
Cover Page - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Mar. 04, 2022 | Jun. 30, 2021 | |
Cover [Abstract] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2021 | ||
Document Transition Report | false | ||
Entity File Number | 001-35543 | ||
Entity Incorporation, State or Country Code | DE | ||
Entity Tax Identification Number | 27-0298092 | ||
Entity Registrant Name | Western Asset Mortgage Capital Corporation | ||
Entity Address, Address Line One | 47 W 200 S | ||
Entity Address, City or Town | Salt Lake City | ||
Entity Address, State or Province | UT | ||
Entity Address, Postal Zip Code | 84101 | ||
City Area Code | (626) | ||
Local Phone Number | 844-9400 | ||
Title of 12(b) Security | Common Stock, $0.01 par value | ||
Trading Symbol | WMC | ||
Security Exchange Name | NYSE | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Small Business | true | ||
Entity Emerging Growth Company | false | ||
Entity Central Index Key | 0001465885 | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 187,567,608 | ||
Entity Common Stock, Shares Outstanding (in shares) | 60,380,105 | ||
Document Fiscal Year Focus | 2021 | ||
Document Fiscal Period Focus | FY | ||
Current Fiscal Year End Date | --12-31 | ||
Amendment Flag | false |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2021 | |
Audit Information [Abstract] | |
Auditor Firm ID | 238 |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | Los Angeles, California |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Assets: | |||
Cash and cash equivalents | $ 40,193 | $ 31,613 | |
Restricted cash | 260 | 76,132 | |
Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) | 1,023,502 | 1,008,782 | |
Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively) | 5,428 | 13,916 | |
Securitized commercial loans, at fair value | 1,355,808 | 1,605,335 | |
Commercial Loans, at fair value ($101,459 and $310,523 pledged as collateral, at fair value, respectively) | 130,572 | 310,523 | |
Investment related receivable | 22,133 | 30,576 | |
Interest receivable | 11,823 | 13,568 | |
Due from counterparties | 4,565 | 2,327 | |
Derivative assets, at fair value | 105 | 161 | |
Other assets | 45,364 | 3,152 | |
Total assets | [1] | 2,825,700 | 3,336,009 |
Liabilities: | |||
Repurchase agreements, net | 617,189 | 356,923 | |
Convertible senior unsecured notes, net | 119,168 | 170,797 | |
Securitized debt, net ($1,344,370 and $1,553,722 at fair value and $180,116 and $215,753 held by affiliates, respectively) | 1,863,488 | 2,446,012 | |
Interest payable (includes $699 and $784 on securitized debt held by affiliates, respectively) | 10,272 | 12,006 | |
Due to counterparties | 0 | 321 | |
Derivative liability, at fair value | 602 | 656 | |
Accounts payable and accrued expenses | 4,842 | 2,686 | |
Payable to affiliate | 1,925 | 3,171 | |
Dividend payable | 3,623 | 3,649 | |
Other liabilities | 262 | 84,674 | |
Total liabilities | [2] | 2,621,371 | 3,080,895 |
Commitments and contingencies | |||
Stockholders' Equity: | |||
Common stock, $0.01 par value, 500,000,000 shares authorized, and 60,380,105 and 60,812,701 outstanding, respectively | 609 | 609 | |
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding | 0 | 0 | |
Treasury stock, at cost, 579,808 and 100,000 shares held, respectively | (1,665) | (578) | |
Additional paid-in capital | 918,146 | 915,458 | |
Retained earnings (accumulated deficit) | (723,981) | (660,377) | |
Total Stockholders' Equity | 193,109 | 255,112 | |
Non-controlling interest | 11,220 | 2 | |
Total Equity | 204,329 | 255,114 | |
Total Liabilities and Stockholders' Equity | $ 2,825,700 | $ 3,336,009 | |
Common stock, shares outstanding (in shares) | 60,380,105 | 60,812,701 | |
Subtotal Agency MBS | |||
Assets: | |||
Securities, at fair value | $ 1,172 | $ 1,708 | |
Non-Agency MBS | |||
Assets: | |||
Securities, at fair value | 133,127 | 189,462 | |
Other securities | |||
Assets: | |||
Securities, at fair value | $ 51,648 | $ 48,754 | |
[1] | December 31, 2021 December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 266 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) 1,023,502 1,008,782 Residential Bridge Loans ($5,207 and $11,858 at fair value and $5,207 and $12,960 pledged as collateral, respectively) 5,207 12,960 Securitized commercial loans, at fair value 1,355,808 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 22,087 27,987 Interest receivable 10,572 10,936 Other assets — 80 Total assets of consolidated VIEs $ 2,432,064 $ 2,810,678 | ||
[2] | Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,344,370 and $1,553,722 at fair value and $180,116 and $215,753 held by affiliates, respectively) $ 1,863,488 $ 2,446,012 Interest payable (includes $699 and $784 on securitized debt held by affiliates, respectively) 6,480 7,882 Accounts payable and accrued expenses 78 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,870,306 $ 2,530,115 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Residential whole loans, fair value | $ 1,023,502 | $ 1,008,782 | |
Residential bridge loan. at fair value | 5,428 | 12,813 | |
Residential bridge loans | 5,207 | 12,960 | |
Commercial Loans, at fair value | 101,459 | 310,523 | |
Securitized debt, at fair value | 1,863,488 | 2,446,012 | |
Interest payable | $ 10,272 | $ 12,006 | |
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) | 60,380,105 | 60,812,701 | |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | |
Preferred stock, shares outstanding (in shares) | 0 | 0 | |
Treasury stock, shares held (in shares) | 579,808 | 100,000 | |
Cash and cash equivalents | $ 40,193 | $ 31,613 | |
Restricted cash | 260 | 76,132 | |
Securitized commercial loans, at fair value | 1,355,808 | 1,605,335 | |
Investment related receivable | 22,133 | 30,576 | |
Interest receivable | 11,823 | 13,568 | |
Other assets | 45,364 | 3,152 | |
Total assets | [1] | 2,825,700 | 3,336,009 |
Accounts payable and accrued expenses | 4,842 | 2,686 | |
Other liabilities | 262 | 84,674 | |
Total liabilities | [2] | 2,621,371 | 3,080,895 |
Affiliated Entity | |||
Securitized debt | 1,344,370 | 1,553,722 | |
Securitized debt, at fair value | 180,116 | 215,753 | |
Interest payable | 699 | 784 | |
VIE | |||
Residential whole loans, fair value | 1,023,502 | 1,008,782 | |
Residential bridge loan. at fair value | 5,207 | 11,858 | |
Residential bridge loans | 5,207 | 12,960 | |
Commercial Loans, at fair value | 14,362 | 68,466 | |
Securitized debt, at fair value | 1,863,488 | 2,446,012 | |
Interest payable | 6,480 | 7,882 | |
Cash and cash equivalents | 266 | 0 | |
Restricted cash | 260 | 76,132 | |
Securitized commercial loans, at fair value | 1,355,808 | 1,605,335 | |
Investment related receivable | 22,087 | 27,987 | |
Interest receivable | 10,572 | 10,936 | |
Other assets | 0 | 80 | |
Total assets | 2,432,064 | 2,810,678 | |
Accounts payable and accrued expenses | 78 | 89 | |
Other liabilities | 260 | 76,132 | |
Total liabilities | 1,870,306 | 2,530,115 | |
Subtotal Agency MBS | |||
Fair value of mortgage-backed securities pledged as collateral | 1,172 | 1,708 | |
Non-Agency MBS | |||
Fair value of mortgage-backed securities pledged as collateral | 123,947 | 167,970 | |
Other securities | |||
Fair value of mortgage-backed securities pledged as collateral | $ 51,648 | $ 48,754 | |
[1] | December 31, 2021 December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 266 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) 1,023,502 1,008,782 Residential Bridge Loans ($5,207 and $11,858 at fair value and $5,207 and $12,960 pledged as collateral, respectively) 5,207 12,960 Securitized commercial loans, at fair value 1,355,808 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 22,087 27,987 Interest receivable 10,572 10,936 Other assets — 80 Total assets of consolidated VIEs $ 2,432,064 $ 2,810,678 | ||
[2] | Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,344,370 and $1,553,722 at fair value and $180,116 and $215,753 held by affiliates, respectively) $ 1,863,488 $ 2,446,012 Interest payable (includes $699 and $784 on securitized debt held by affiliates, respectively) 6,480 7,882 Accounts payable and accrued expenses 78 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,870,306 $ 2,530,115 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Net Interest Income | |||
Interest income | $ 164,071 | $ 178,028 | $ 217,264 |
Interest expense (includes $14,341, $8,877 and $5,674 on securitized debt held by affiliates, respectively) | 136,910 | 132,591 | 150,274 |
Net Interest Income | 27,161 | 45,437 | 66,990 |
Other Income (Loss) | |||
Realized gain (loss), net | (10,927) | 84,271 | 28,278 |
Other than temporary impairment | 0 | 0 | (8,574) |
Unrealized gain (loss), net | (46,391) | (221,387) | 107,529 |
Gain (loss) on derivative instruments, net | 549 | (197,703) | (103,727) |
Other, net | 490 | 339 | 2,204 |
Other Income (Loss) | (56,279) | (334,480) | 25,710 |
Expenses | |||
Management fee to affiliate | 5,937 | 4,544 | 7,354 |
Financing fee | 0 | 20,540 | 0 |
Other operating expenses | 4,742 | 2,855 | 5,519 |
General and administrative expenses: | |||
Compensation expense | 2,571 | 2,787 | 2,591 |
Professional fees | 3,890 | 4,878 | 3,980 |
Other general and administrative expenses | 3,508 | 3,303 | 1,500 |
Total general and administrative expenses | 9,969 | 10,968 | 8,071 |
Total Expenses | 20,648 | 38,907 | 20,944 |
Income (loss) before income taxes | (49,766) | (327,950) | 71,756 |
Income tax provision | 99 | 396 | 1,057 |
Net income (loss) | (49,865) | (328,346) | 70,699 |
Net income (loss) attributable to non-controlling interest | (912) | 8 | 0 |
Net income (loss) attributable to common stockholders and participating securities | $ (48,953) | $ (328,354) | $ 70,699 |
Net income per Common Share — Basic (in dollars per share) | $ (0.81) | $ (5.72) | $ 1.37 |
Net income per Common Share — Diluted (in dollars per share) | $ (0.81) | $ (5.72) | $ 1.37 |
Consolidated Statements of Op_2
Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Interest Expense | $ 136,910 | $ 132,591 | $ 150,274 |
Affiliated Entity | |||
Interest Expense | $ 14,341 | $ 8,877 | $ 5,674 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands | Total | Total Stockholders' Equity | Common Stock Outstanding | Additional Paid-In Capital | Retained Earnings (Accumulated) Deficit | Treasury Stock | Noncontrolling Interest |
Balance (in shares) at Dec. 31, 2018 | 48,116,379 | ||||||
Beginning balance at Dec. 31, 2018 | $ 503,009 | $ 503,009 | $ 481 | $ 833,810 | $ (331,282) | $ 0 | $ 0 |
Increase (Decrease) in Stockholders' Equity | |||||||
Net proceeds from public offerings of common stock (in shares) | 5,299,497 | ||||||
Net proceeds from public offerings of common stock | 52,714 | 52,714 | $ 53 | 52,661 | |||
Grants of restricted stock (in shares) | 108,000 | ||||||
Grants of restricted stock | 0 | $ 1 | (1) | ||||
Equity component of convertible senior unsecured notes | 2,445 | 2,445 | 2,445 | ||||
Offering costs | (430) | (430) | (430) | ||||
Vesting of restricted stock | 564 | 564 | 564 | ||||
Net income (loss) | 70,699 | 70,699 | 70,699 | ||||
Dividends on common stock | (64,540) | (64,540) | 178 | (64,718) | |||
Balance (in shares) at Dec. 31, 2019 | 53,523,876 | ||||||
Ending balance at Dec. 31, 2019 | 564,461 | 564,461 | $ 535 | 889,227 | (325,301) | 0 | 0 |
Increase (Decrease) in Stockholders' Equity | |||||||
Net proceeds from public offerings of common stock (in shares) | 6,034,741 | ||||||
Net proceeds from public offerings of common stock | 22,357 | 22,357 | $ 60 | 22,297 | |||
Exchange of convertible senior notes (in shares) | 1,354,084 | ||||||
Exchange of convertible senior notes | 3,588 | 3,588 | $ 14 | 3,574 | |||
Offering costs | (371) | (371) | (371) | ||||
Proceeds from non-controlling interest, net of offering costs | 2 | 2 | |||||
Vesting of restricted stock | 699 | 699 | 699 | ||||
Treasury stock (in shares) | (100,000) | ||||||
Treasury Stock | (578) | (578) | |||||
Net income (loss) | (328,346) | (328,354) | (328,354) | 8 | |||
Dividends declared on non-controlling interest | (8) | (8) | |||||
Dividends on common stock | (6,690) | (6,690) | 32 | (6,722) | |||
Balance (in shares) at Dec. 31, 2020 | 60,812,701 | ||||||
Ending balance at Dec. 31, 2020 | 255,114 | 255,112 | $ 609 | 915,458 | (660,377) | (578) | 2 |
Increase (Decrease) in Stockholders' Equity | |||||||
Equity contributions | 12,138 | 12,138 | |||||
Exchange of phantom stock to common stock (in shares) | 47,212 | ||||||
Equity component of convertible senior unsecured notes | 2,060 | 2,060 | 2,060 | ||||
Offering costs | (70) | (70) | (70) | ||||
Vesting of restricted stock | 619 | 619 | 619 | ||||
Treasury stock (in shares) | (479,808) | ||||||
Treasury Stock | (1,087) | (1,087) | (1,087) | ||||
Net income (loss) | (49,865) | (48,953) | (48,953) | (912) | |||
Dividends declared on non-controlling interest | (8) | (8) | |||||
Dividends on common stock | (14,572) | (14,572) | 79 | (14,651) | |||
Balance (in shares) at Dec. 31, 2021 | 60,380,105 | ||||||
Ending balance at Dec. 31, 2021 | $ 204,329 | $ 193,109 | $ 609 | $ 918,146 | $ (723,981) | $ (1,665) | $ 11,220 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Cash flows from operating activities: | |||
Net income (loss) | $ (49,865) | $ (328,346) | $ 70,699 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Premium amortization and (discount accretion), net | 1,540 | 5,141 | 7,398 |
Interest income earned added to principal of investments | (485) | (829) | 0 |
Amortization of deferred financing costs | 5,445 | 3,577 | 1,488 |
Amortization of discount on convertible senior unsecured notes | 944 | 1,097 | 718 |
Restricted stock amortization | 618 | 699 | 564 |
Interest payments and basis recovered on MAC interest rate swaps | 0 | 202 | 5,772 |
Premium on purchase of Residential Whole Loans | (17,058) | (3,858) | (15,304) |
Premium on purchase of securitized commercial loans | 0 | 0 | (3,769) |
Financing fee | 8,540 | 12,000 | 0 |
Unrealized (gain) loss, net | 46,391 | 221,387 | (107,529) |
Unrealized (gain) loss on derivative instruments, net | 208 | 3,953 | (9,390) |
Other than temporary impairment | 0 | 0 | 8,574 |
Realized (gain) loss on exchange and extinguishment of convertible senior notes, net | 1,509 | (3,644) | 0 |
Realized (gain) loss on sale of real estate owned ("REO"), net | (54) | 789 | 90 |
Realized (gain) loss on investments, net | 9,472 | (81,416) | (28,368) |
Loss on derivatives, net | 0 | 13,134 | 9,631 |
Changes in operating assets and liabilities: | |||
Interest receivable | 1,399 | 5,845 | 2,546 |
Invested related receivable | 2,546 | (2,544) | 0 |
Other assets | 339 | (905) | 1,157 |
Interest payable | (1,734) | (2,995) | 6,469 |
Accounts payable and accrued expenses | 2,095 | (499) | (519) |
Payable to affiliate | (1,246) | 1,023 | (2,467) |
Other liabilities | (8,539) | 8,541 | 0 |
Net cash provided by (used in) operating activities | 2,065 | (147,648) | (52,240) |
Cash flows from investing activities: | |||
Purchase of securities | 0 | (320,996) | (1,581,485) |
Proceeds from sale of securities | 27,488 | 2,234,048 | 1,136,617 |
Principal repayments and basis recovered on securities | 16,704 | 35,352 | 126,091 |
Proceeds from sale of REO | 738 | 2,620 | 1,033 |
Purchase of Residential Whole Loans | (410,790) | (109,480) | (563,821) |
Proceeds from sale of Residential Whole Loans | 0 | 144,258 | 0 |
Principal repayments on Residential Whole Loans | 411,605 | 288,568 | 254,125 |
Purchase of commercial loans | 0 | 0 | (350,232) |
Principal repayments on commercial loans | 103,284 | 44,819 | 197,245 |
Purchase of securitized commercial loans | 0 | 0 | (1,109,461) |
Principal repayments on securitized commercial loans | 354,203 | 349,608 | 1,214,688 |
Principal repayments on Residential Bridge Loans | 9,374 | 22,075 | 211,316 |
Payment of premium for option derivatives | 0 | 0 | (780) |
Premium received from option derivatives | 0 | 0 | 2,158 |
Premium for credit default swaps, net | 0 | (14,028) | 3,885 |
Net settlements of TBAs | 0 | (2,430) | 1,934 |
Proceeds from (Payments on) termination of futures, net | 0 | 0 | (12,862) |
Due from counterparties, net | 50 | 2,340 | (2,850) |
Interest payments and basis recovered on MAC interest rate swaps | 0 | (202) | (5,772) |
Premium for interest rate swaptions, net | 0 | 80 | (332) |
Net cash provided by (used in) investing activities | 512,656 | 2,676,632 | (478,503) |
Cash flows from financing activities: | |||
Net proceeds from issuance of common stock | 0 | 22,357 | 52,714 |
Payment of offering costs | (92) | (374) | (580) |
Repurchase of common stock | (1,087) | (578) | 0 |
Proceeds from repurchase agreement borrowings | 4,592,689 | 10,020,593 | 21,381,571 |
Proceeds from convertible note offering | 86,250 | 0 | 90,625 |
Payments on extinguishment of convertible senior notes | (136,754) | (21,975) | 0 |
Proceeds from offering to non-controlling interest, net of offering costs | 0 | 2 | 0 |
Repayments of repurchase agreement borrowings | (4,334,346) | (12,486,624) | (21,375,531) |
Proceeds from securitized debt | 0 | 460,787 | 1,828,361 |
Repayments of securitized debt | (683,472) | (579,705) | (1,292,141) |
Financing fee | (8,540) | (12,000) | 0 |
Payments made for deferred financing costs | (3,573) | (5,437) | (8,522) |
Due from counterparties, net | (2,288) | 94,280 | (56,474) |
Due to counterparties, net | (321) | (388) | (17,072) |
Increase (decrease) in other liabilities, net | (75,873) | 23,185 | (2,860) |
Dividends paid on common stock | (14,598) | (19,633) | (62,864) |
Dividends paid to non-controlling interest | (8) | (8) | 0 |
Net cash (used in) provided by financing activities | (582,013) | (2,505,518) | 537,227 |
Net (decrease) increase in cash and cash equivalents | (67,292) | 23,466 | 6,484 |
Cash, cash equivalents and restricted cash, beginning of period | 107,745 | 84,279 | 77,795 |
Cash, cash equivalents and restricted cash, end of period | 40,453 | 107,745 | 84,279 |
Supplemental disclosure of operating cash flow information: | |||
Interest paid | 110,707 | 119,957 | 144,987 |
Income taxes paid | 192 | 810 | 549 |
Supplemental disclosure of non-cash financing/investing activities: | |||
Underwriting and offering costs payable | 2 | 0 | 27 |
Principal payments of securities, not settled | 0 | 44 | 0 |
Assets of deconsolidated VIE | 0 | (150,804) | 0 |
Liabilities of deconsolidated VIE | 0 | 143,952 | 0 |
Mortgage-backed securities recorded upon deconsolidation | 0 | 6,852 | 0 |
Mortgage-backed securities derecognized upon VIE consolidation | 0 | (13,737) | 0 |
Dividends and distributions declared, not paid | 3,623 | 3,649 | 16,592 |
Principal payments of Residential Whole Loans, not settled | 21,970 | 26,885 | 17,254 |
Principal payments of Residential Bridge Loans, not settled | 163 | 1,102 | 1,949 |
Other assets - Transfer of Bridge Loans to REO | 752 | 419 | 5,029 |
Other assets - Transfer of Commercial Loans to REO | 30,345 | 0 | 0 |
Other assets - Transfer of REO from non-controlling interest | 12,138 | 0 | 0 |
Proceeds from sale of REO, not settled | 0 | 0 | 728 |
Financing fee payable | 0 | (8,540) | 0 |
Exchange of convertible senior notes for commons stock | 0 | 3,588 | 0 |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | |||
Cash and cash equivalents | 40,193 | 31,613 | 31,331 |
Restricted cash | 260 | 76,132 | 52,948 |
VIE | |||
Supplemental disclosure of non-cash financing/investing activities: | |||
Assets of consolidated VIE | 0 | 1,245,287 | 0 |
Liabilities of consolidated VIE | 0 | (1,231,549) | $ 0 |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | |||
Cash and cash equivalents | 266 | 0 | |
Restricted cash | $ 260 | $ 76,132 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2021 | |
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 current portfolio is comprised of Non-QM loans, Commercial Loans, Non-Agency CMBS and to a lesser extent Agency RMBS, Non-Agency RMBS, Residential Bridge Loans, GSE Risk Transfer Securities and asset-backed securities (“ABS”) 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 Company's current investment strategy will focus on residential real estate related investments, including but not limited to non-qualified mortgage loans, non-agency RMBS, and other related investments. The Manager will vary the allocation among these 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 Franklin Resources, Inc. (“Franklin”). 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 | 12 Months Ended |
Dec. 31, 2021 | |
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 financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America ("GAAP"). The consolidated financial statements include the accounts of the Company, its wholly-owned and majority owned subsidiaries and 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 are 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. Impact of the COVID-19 Pandemic The global impact of the COVID-19 pandemic continues to evolve rapidly. Beginning with the quarter ended March 31, 2020, the COVID-19 pandemic, created extensive disruptions to the global economy and the lives of individuals throughout the world. Governments and businesses took unprecedented actions to contain the spread of COVID-19 and to mitigate its effects, including vaccination efforts, face covering mandates, quarantines, travel bans, shelter-in-place orders, closures of businesses and schools, fiscal stimulus, and legislation designed to deliver monetary aid and other relief. With the roll out of the vaccines and the decline in COVID-19 cases many of these restrictions were lifted in 2021. While the overall economy is showing signs of recovery from the initial impacts of COVID-19, workforce shortages, global supply chain bottlenecks and shortages, inflation, as well as COVID-19 variants are impacting the pace of recovery. The extent of the future effects of COVID-19 on our business, results of operations, cash flows, and growth prospects is highly uncertain and will ultimately depend on future COVID-19 developments, none of which can be predicted with any certainty. Earnings (Loss) Per Share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. Offering Costs Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete an equity offering. Cash and Cash Equivalents The Company considers all highly liquid short-term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. Restricted Cash Restricted cash represents cash held by the trustee or servicer for mortgage escrows in connection with the Company's securitized loan and commercial loan investments held in its consolidated VIEs. These escrows consist of principal and interest escrows, capital improvement reserves, repair reserves, real estate tax and insurance reserves and tenant reserves. The corresponding liability is recorded in "Other liabilities" in the Consolidated Balance Sheets. The restricted cash is not available for general corporate use. Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I — Quoted prices in active markets for identical assets or liabilities. Level II — Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3 - "Fair Value of Financial Instruments." Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consisted of Agency CMBS, Non-Agency CMBS, Agency RMBS, Non-Agency RMBS, ABS and other real estate related securities. These investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities” and ASC 325-40, “Beneficial Interests in Securitized Financial Assets.” The Company has chosen to elect the fair value option pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net.” Residential Whole Loans Investments in Residential Whole Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825 for our entire Residential Whole-Loan portfolio. Residential Whole Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring Residential Whole Loans or committing to purchase these loans are charged to expense as incurred. Residential Bridge Loans For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount. Commencing with purchases on October 25, 2017, the Company decided to elect the fair value option pursuant to ASC 825 to be consistent with the accounting of its' other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net." Commercial Loans Investments in Commercial Loans, which are comprised of first lien commercial mortgage loans and commercial mezzanine loans, are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to make the fair value election pursuant to ASC 825 for its Commercial Loan portfolio. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring the Commercial Loans or committing to purchase these loans are charged to expense as incurred. Credit Loss on Investments The Company’s loan investments are typically collateralized by real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company elected the Fair Value Option for all of its investments and accordingly it does not apply the expected loss model in accordance with ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments ("CECL") instead the Company records changes in fair value of these investment in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." For the Company's investment in mortgage-backed securities and other securities the impact of CECL guidance is limited to the calculation of the effective yield and on these investments. Real Estate Owned REO represents real estate property acquired by the Company through foreclosure and it is classified as held for sale. Upon completion of the foreclosure, the Company initially records the REO at fair value less estimated costs to sell the property. In subsequent periods, REO is reported at the lower of the current carrying amount or fair value less estimated selling costs and it is classified in "Other assets" in the Consolidated Balance Sheets. Gains/losses recognized on foreclosure as well as realized gains/losses on the disposition of REO are reported by the Company in "Realized gain (loss), net" in the Consolidated Statements of Operations. Interest Income Recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest," using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. For the purposes of calculating interest income, to ensure that a projected credit loss of a security does not impact the effective yield and interest income the Company maintains a “shadow allowance” account. The Company uses the shadow allowance to create a management basis. The management basis which is the difference between the net present value of projected cash flows less shadow allowance amount. The shadow allowance and the management basis are operational accounts that are used solely for the purposes of determining and calculating accretable yield and accretable book value and are not recorded in the Company's consolidated financial statements. The management basis is limited to a fair market value of the investment. Actual realized loss on a security is recorded as a reduction in both the management basis and the amortized cost basis. Interest income is computed using the amortized basis as the reference amount and applying the yield calculated using management basis. Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated. Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. Sales of investments are driven by the Company’s portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company’s Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Due From Counterparties / Due To Counterparties "Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or futures contracts, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. Daily variation margin on only the Company's centrally cleared derivatives was treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets. Derivatives and Hedging Activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company as part of its hedging strategy, we may enter into interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and forwards to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company accounts for variation margins as partial settlement of the respective derivative asset or liability that will result in realized gains or losses on the derivative contract in the Consolidated Statement of Operation. The cash payments for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows have been altered from that of the underlying mortgage collateral. Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Repurchase Agreements and Reverse Repurchase Agreements Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet all the criteria for sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements is recorded as interest expense. The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager’s view terminating the outstanding repurchase agreement is not in the Company’s best interest. Cash paid to the borrower is recorded in the Company’s Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties." The Company establishes haircuts to ensure the market value of the underlying asset remains sufficient to protect the Company in the event of default by the counterparty. Realized gains and losses associated with the sale of the security are recognized in "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Cash Flows. Convertible Senior Unsecured Notes Convertible senior unsecured notes include unsecured convertible debt that is carried at its unpaid principal balance, net of any unamortized deferred issuance costs, in the Company’s Consolidated Balance Sheets. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. ASC 470-20 "Debt-Debt with Conversion and Other Options" requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component will reflect the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the life of the notes. Share-based Compensation Compensation cost related to restricted common stock or restricted stock units ("RSUs") issued to the Company’s independent directors, including any restricted stock which is subject to a deferred compensation program, is measured at its fair value at the grant date and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager, including officers and certain directors, of the Company who are employees of the Manager and its affiliates, is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis. Income Taxes The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Com |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments The following tables present the Company's financial instruments carried at fair value as of December 31, 2021 and December 31, 2020, based upon the valuation hierarchy (dollars in thousands): December 31, 2021 Fair Value Assets Level I Level II Level III Total Agency RMBS Interest-Only Strips $ — $ — $ 114 $ 114 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 1,058 1,058 Subtotal Agency MBS — — 1,172 1,172 Non-Agency CMBS — 99,630 5,728 105,358 Non-Agency RMBS — 25,652 — 25,652 Non-Agency RMBS Interest-Only Strips — — 2,117 2,117 Subtotal Non-Agency MBS — 125,282 7,845 133,127 Other securities — 51,648 — 51,648 Total mortgage-backed securities and other securities — 176,930 9,017 185,947 Residential Whole Loans — — 1,023,502 1,023,502 Residential Bridge Loans — — 5,428 5,428 Commercial loans — — 130,572 130,572 Securitized commercial loans — — 1,355,808 1,355,808 Derivative assets — 105 — 105 Total Assets $ — $ 177,035 $ 2,524,327 $ 2,701,362 Liabilities Derivative liabilities $ — $ 602 $ — $ 602 Securitized debt — 1,329,451 14,919 1,344,370 Total Liabilities $ — $ 1,330,053 $ 14,919 $ 1,344,972 December 31, 2020 Fair Value Assets Level I Level II Level III Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ 143 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 1,565 1,565 Subtotal Agency MBS — — 1,708 1,708 Non-Agency CMBS — 155,093 8,988 164,081 Non-Agency RMBS — — 21,416 21,416 Non-Agency RMBS Interest-Only Strips — — 3,965 3,965 Subtotal Non-Agency MBS — 155,093 34,369 189,462 Other securities — 40,161 8,593 48,754 Total mortgage-backed securities and other securities — 195,254 44,670 239,924 Residential Whole Loans — — 1,008,782 1,008,782 Residential Bridge Loans — 12,813 12,813 Commercial loans — — 310,523 310,523 Securitized commercial loan — — 1,605,335 1,605,335 Derivative assets — 161 — 161 Total Assets $ — $ 195,415 $ 2,982,123 $ 3,177,538 Liabilities Derivative liabilities $ — $ 656 $ — $ 656 Securitized debt — 1,538,304 15,418 1,553,722 Total Liabilities $ — $ 1,538,960 $ 15,418 $ 1,554,378 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 if 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. 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 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, delinquencies and fair value of the collateral for collateral dependent loans. The assumption made by the independent third-party pricing service includes the market discount rate, default assumptions and loss severity. Other inputs and assumptions relevant to the pricing of Residential Whole Loans include FICO scores and prepayment speeds. The independent third-party pricing service used a combination of recent loan trades and recent residential whole loans securitization transactions adjusted for deal cost and liquidity premium, to form their opinion on the appropriate discount rate. 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 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, loss severity, cash flows and probability weighted loss scenarios. The Company reviews the analysis provided by the 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 collateralized financing entity ("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 the securitized commercial loans' valuation, the Company classifies its securitized commercial loans as Level III. Securitized debt Values for the Company's securitized debt that the Company elected the fair value option 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 volume 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 derivatives and/or futures contracts for the years ended December 31, 2021 and December 31, 2020. 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 December 31, 2021 and December 31, 2020 (dollars in thousands). Fair Value at Range December 31, 2021 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans $ 1,023,502 Discounted Cash Flow Market Discount Rate 2.6 % 7.5 % 3.5 % Weighted Average Life 1.4 8.9 3.1 Residential Bridge Loans $ 5,428 Discounted Cash Flow Market Discount Rate 9.8 % 23.1 % (1) 17.2 % Weighted Average Life 0.3 3.6 2.4 Commercial Loans $ 130,572 Discounted Cash Flow Market Discount Rate 4.5 % 21.7 % 9.3 % Weighted Average Life 0.5 2.8 1.2 Fair Value at Range December 31, 2020 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans $ 1,008,782 Discounted Cash Flow Market Discount Rate 2.1 % 7.5 % 4.1 % Weighted Average Life 1.5 8.4 2.9 Residential Bridge Loans $ 12,813 Discounted Cash Flow Market Discount Rate 8.0 % 35.2 % (1) 18.0 % Weighted Average Life 0.3 2.6 1.3 Commercial Loans: $ 310,523 Discounted Cash Flow Market Discount Rate 6.3 % 18.4 % 10.5 % Weighted Average Life 0.5 1.9 0.7 (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 discount rate or yield to maturity. 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 (dollars in thousands) : Year ended December 31, 2021 Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized Beginning balance $ 1,708 $ 34,369 $ 8,593 $ 1,008,782 $ 12,813 $ 310,523 $ 1,605,335 $ 15,418 Transfers into Level III from Level II — 5,683 — — — — — — Transfers from Level III into Level II — (32,471) (10,306) — — — — — Purchases — — — 422,041 — — — — Transfers to REO — — — — (752) (30,000) — — Loan modifications / capitalized interest — — — 486 — — — — Principal repayments — (256) — (401,075) (7,312) (103,285) (354,202) — Total net gains/losses included in net income Realized gains/(losses), net on assets — — — — (206) — — — Unrealized gains/(losses), net on assets (1) (206) 698 1,657 2,354 907 (46,813) 79,972 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 4,056 Premium and discount amortization, net (330) (178) 56 (9,086) (22) 147 24,703 (4,555) Ending balance $ 1,172 $ 7,845 $ — $ 1,023,502 $ 5,428 $ 130,572 $ 1,355,808 $ 14,919 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (206) $ (1,173) $ — $ 5,795 $ 149 $ (50,034) $ 64,973 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (3,603) Year ended December 31, 2020 Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Commercial Loans Securitized Debt Beginning balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — (6,482) — — — — — Purchases — — — 92,822 — — — — Sales and settlements (11,529) (12,658) — (144,259) — — — — Transfers to REO — — — — (419) — — — VIE consolidation — — — — — — 1,245,287 17,960 VIE deconsolidation — 6,852 — — — — (150,804) — Loan modifications / capitalized interest — — — 779 — 49 — — Principal repayments — (710) (154) (278,316) (19,105) (44,819) (349,609) — Total net gains / (losses) included in net income Realized gains/(losses), net on assets 1,528 (60) — (10,511) (373) — — — Unrealized gains/(losses), net on assets (1) (2,609) (4,013) (1,949) (23,094) (499) (15,282) (58,421) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (887) Premium and discount amortization, net (1,597) (856) (18) (4,499) (60) 362 9,842 (2,712) Ending balance $ 1,708 $ 34,369 $ 8,593 $ 1,008,782 $ 12,813 $ 310,523 $ 1,605,335 $ 15,418 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (616) $ (3,783) $ (599) $ (14,807) $ (881) $ (15,282) $ 746 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 887 (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. Transfers between hierarchy levels for the years ended December 31, 2021 and December 31, 2020 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, provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the years ended December 31, 2021 and December 31, 2020. Other Fair Value Disclosures The Company's 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 December 31, 2021 and December 31, 2020, in the consolidated financial statements (dollars in thousands): December 31, 2021 December 31, 2020 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans N/A N/A $ 1,103 $ 1,095 Total $ — $ — $ 1,103 $ 1,095 Liabilities Borrowings under repurchase agreements $ 617,189 $ 617,794 $ 356,923 $ 359,799 Convertible senior unsecured notes 119,168 122,133 170,797 155,129 Securitized debt (1) 524,649 528,046 899,207 922,362 Total $ 1,261,006 $ 1,267,973 $ 1,426,927 $ 1,437,290 (1) For the year ended December 31, 2021, the remianing nine residential bridge loans left in the portfolio were all carried at fair value. (2) Carrying value excludes $5.5 million and $6.9 million of deferred financing costs as of December 31, 2021 and December 31, 2020, respectively. "Due from counterparties" and "Due to counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value. 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. At December 31, 2021, 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 | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities and other securities | 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 114 $ — $ 114 Agency RMBS Interest-Only Strips, accounted for as derivatives — 1,058 — — 1,058 Subtotal Agency — 1,058 114 — 1,172 Non-Agency CMBS 66,384 17,644 21,171 159 105,358 Non-Agency RMBS — — 10,282 15,370 25,652 Non-Agency RMBS Interest-Only Strips — — 106 2,011 2,117 Subtotal Non-Agency 66,384 17,644 31,559 17,540 133,127 Other securities 9,255 4,266 25,653 12,474 51,648 Total $ 75,639 $ 22,968 $ 57,326 $ 30,014 $ 185,947 December 31, 2020 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ — $ 143 Agency RMBS Interest-Only Strips, accounted for as derivatives — 1,565 — — 1,565 Subtotal Agency — 1,565 143 — 1,708 Non-Agency CMBS 59,724 50,408 53,269 680 164,081 Non-Agency RMBS — — 7,958 13,458 21,416 Non-Agency RMBS Interest-Only Strips — — 472 3,493 3,965 Subtotal Non-Agency 59,724 50,408 61,699 17,631 189,462 Other securities 7,247 6,203 24,610 10,694 48,754 Total $ 66,971 $ 58,176 $ 86,452 $ 28,325 $ 239,924 The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ — $ — — $ 96,080 $ (62,716) 16 $ 96,080 $ (62,716) 16 Non-Agency RMBS — — — 201 (35) 1 201 (35) 1 Non-Agency RMBS Interest-Only Strips — — — 2,117 (3,491) 4 2,117 (3,491) 4 Subtotal Non-Agency — — — 98,398 (66,242) 21 98,398 (66,242) 21 Other securities — — — 9,022 (213) 4 9,022 (213) 4 Total $ — $ — — $ 107,420 $ (66,455) 25 $ 107,420 $ (66,455) 25 December 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 102,935 $ (33,602) 16 $ 50,887 $ (15,406) 15 $ 153,822 $ (49,008) 31 Non-Agency RMBS 18,242 (2,498) 4 — — — 18,242 (2,498) 4 Non-Agency RMBS Interest-Only Strips 3,492 (790) 3 472 (1,516) 1 3,964 (2,306) 4 Subtotal Non-Agency 124,669 (36,890) 23 51,359 (16,922) 16 176,028 (53,812) 39 Other securities 26,365 (1,818) 6 — — — 26,365 (1,818) 6 Total $ 151,034 $ (38,708) 29 $ 51,359 $ (16,922) 16 $ 202,393 $ (55,630) 45 The following table presents the OTTI the Company recorded on its securities portfolio prior to the adoption of CECL (dollars in thousands): For the year ended December 31, 2019 Agency RMBS (1) $ 74 Non-Agency RMBS 1,331 Non-Agency CMBS 6,565 Other securities 604 Total $ 8,574 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that the Company had the intent to sell at the end of the period, if applicable. The following table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2021, December 31, 2020 and December 31, 2019, respectively (dollars in thousands): For the year ended December 31, 2021 For the year ended December 31, 2020 For the year ended December 31, 2019 Coupon Net (Premium Interest Coupon Net (Premium Interest Coupon Net (Premium Interest Agency CMBS $ — $ — $ — $ 11,336 $ (636) $ 10,700 $ 51,286 $ (2,327) $ 48,959 Agency RMBS 47 (30) 17 2,975 (987) 1,988 12,181 (3,053) 9,128 Non-Agency CMBS 9,874 6,535 16,409 15,331 6,467 21,798 14,178 4,017 18,195 Non-Agency RMBS 2,127 (670) 1,457 2,732 (1,193) 1,539 4,682 (2,214) 2,468 Other securities 4,685 (1,574) 3,111 8,263 (4,781) 3,482 11,633 (6,472) 5,161 Total $ 16,733 $ 4,261 $ 20,994 $ 40,637 $ (1,130) $ 39,507 $ 93,960 $ (10,049) $ 83,911 The following tables present the sales and realized gains (losses) of the Company's MBS and other securities for the three years ended December 31, 2021, December 31, 2020 and December 31, 2019, respectively (dollars in thousands): For the year ended December 31, 2021 Proceeds Gross Gross Net Non-Agency CMBS $ 27,488 $ — $ (9,266) $ (9,266) Total $ 27,488 $ — $ (9,266) $ (9,266) For the year ended December 31, 2020 Proceeds Gross Gross Net Agency CMBS $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS 400,948 12,552 (506) 12,046 Non-Agency CMBS 111,804 1 (23,624) (23,623) Non-Agency RMBS 12,658 — (60) (60) Other securities 35,957 113 (6,223) (6,110) Total $ 2,229,516 $ 129,129 $ (36,899) $ 92,230 For the year ended December 31, 2019 Proceeds Gross Gross Net Agency CMBS 891,072 32,793 (4,190) 28,603 Agency RMBS $ 205,310 $ 1,559 $ — $ 1,559 Non-Agency CMBS 40,235 317 (1,624) (1,307) Total $ 1,136,617 $ 34,669 $ (5,814) $ 28,855 Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of December 31, 2021 and December 31, 2020, the Company held five 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 December 31, 2021 and December 31, 2020, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $26.5 million and $48.9 million, respectively. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of December 31, 2021 and December 31, 2020, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities." id="sjs-B4">Mortgage-Backed Securities and other securities The following tables present certain information about the Company's investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Principal Unamortized Amortized Unrealized Unrealized Loss Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 59 $ 55 $ — $ 114 1.3 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 1,058 1.3 % Total Agency MBS — — 59 55 — 1,172 1.3 % Non-Agency RMBS 36,147 (13,936) 22,211 3,476 (35) 25,652 4.3 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 5,608 — (3,491) 2,117 0.3 % Subtotal Non-Agency RMBS 36,147 (13,936) 27,819 3,476 (3,526) 27,769 1.0 % Non-Agency CMBS 179,619 (13,088) 166,531 1,543 (62,716) 105,358 5.4 % Total Non-Agency MBS 215,766 (27,024) 194,350 5,019 (66,242) 133,127 3.0 % Other securities (3) 51,159 (8,229) 47,652 4,209 (213) 51,648 5.6 % Total $ 266,925 $ (35,253) $ 242,061 $ 9,283 $ (66,455) $ 185,947 3.2 % December 31, 2020 Principal Unamortized Amortized Unrealized Gain Unrealized Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 89 $ 54 $ — $ 143 2.1 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 1,565 2.6 % Total Agency MBS — — 89 54 — 1,708 2.5 % Non-Agency RMBS 38,112 (14,649) 23,463 451 (2,498) 21,416 1.6 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 6,271 — (2,306) 3,965 0.4 % Subtotal Non-Agency RMBS 38,112 (14,649) 29,734 451 (4,804) 25,381 0.6 % Non-Agency CMBS 235,497 (25,258) 210,239 2,850 (49,008) 164,081 5.0 % Total Non-Agency MBS 273,609 (39,907) 239,973 3,301 (53,812) 189,462 2.4 % Other securities (3) 51,537 (8,239) 49,420 1,152 (1,818) 48,754 4.4 % Total $ 325,146 $ (48,146) $ 289,482 $ 4,507 $ (55,630) $ 239,924 2.5 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At December 31, 2021, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.9 million, $181.0 million and $16.8 million, respectively. At December 31, 2020, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs and Agency RMBS IOs and IIOs accounted for as derivatives was $3.7 million, $306.0 million and $21.6 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 $4.7 million and $6.1 million, as of December 31, 2021 and December 31, 2020, respectively. (4) The calculation of the weighted average coupon rate includes the weighted average coupon rates of IOs and IIOs accounted for as derivatives using their notional amounts. As of December 31, 2021 and December 31, 2020, the weighted average expected remaining term of the MBS and other securities investment portfolio was 5.9 years and 5.5 years, respectively. Prior to the adoption of CECL on January 1, 2020, the Company recorded Other Than Temporary Impairment ("OTTI") when the credit quality of the underlying collateral of the beneficial interest deteriorates and or the scheduled payments are faster than previously projected. As of January 1, 2020, since we elected the fair value option for these investment a credit loss adjustment, if any, would be reflected in the fair value of these securities and reported as "Unrealized gain (loss), net" in the Consolidated Statements of Operations. The following table presents the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the year ended December 31, 2019 (dollars in thousands): Discount Designated as Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (53,523) $ (29,465) $ 14,928 Accretion of discount — 4,364 — Amortization of premium — — (1,215) Realized credit losses 7,290 — — Purchases (28) (7,953) 819 Sales 26,706 — (19,640) Net impairment losses recognized in earnings (6,612) — — Transfers/release of credit reserve (2) (22,308) 2,889 19,419 Balance at end of period $ (48,475) -48475000 $ (30,165) $ 14,311 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security's non-accretable discount results in a corresponding reduction in its amortizable premium. The following tables present the fair value and contractual maturities of the Company's investment securities at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 114 $ — $ 114 Agency RMBS Interest-Only Strips, accounted for as derivatives — 1,058 — — 1,058 Subtotal Agency — 1,058 114 — 1,172 Non-Agency CMBS 66,384 17,644 21,171 159 105,358 Non-Agency RMBS — — 10,282 15,370 25,652 Non-Agency RMBS Interest-Only Strips — — 106 2,011 2,117 Subtotal Non-Agency 66,384 17,644 31,559 17,540 133,127 Other securities 9,255 4,266 25,653 12,474 51,648 Total $ 75,639 $ 22,968 $ 57,326 $ 30,014 $ 185,947 December 31, 2020 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ — $ 143 Agency RMBS Interest-Only Strips, accounted for as derivatives — 1,565 — — 1,565 Subtotal Agency — 1,565 143 — 1,708 Non-Agency CMBS 59,724 50,408 53,269 680 164,081 Non-Agency RMBS — — 7,958 13,458 21,416 Non-Agency RMBS Interest-Only Strips — — 472 3,493 3,965 Subtotal Non-Agency 59,724 50,408 61,699 17,631 189,462 Other securities 7,247 6,203 24,610 10,694 48,754 Total $ 66,971 $ 58,176 $ 86,452 $ 28,325 $ 239,924 The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ — $ — — $ 96,080 $ (62,716) 16 $ 96,080 $ (62,716) 16 Non-Agency RMBS — — — 201 (35) 1 201 (35) 1 Non-Agency RMBS Interest-Only Strips — — — 2,117 (3,491) 4 2,117 (3,491) 4 Subtotal Non-Agency — — — 98,398 (66,242) 21 98,398 (66,242) 21 Other securities — — — 9,022 (213) 4 9,022 (213) 4 Total $ — $ — — $ 107,420 $ (66,455) 25 $ 107,420 $ (66,455) 25 December 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 102,935 $ (33,602) 16 $ 50,887 $ (15,406) 15 $ 153,822 $ (49,008) 31 Non-Agency RMBS 18,242 (2,498) 4 — — — 18,242 (2,498) 4 Non-Agency RMBS Interest-Only Strips 3,492 (790) 3 472 (1,516) 1 3,964 (2,306) 4 Subtotal Non-Agency 124,669 (36,890) 23 51,359 (16,922) 16 176,028 (53,812) 39 Other securities 26,365 (1,818) 6 — — — 26,365 (1,818) 6 Total $ 151,034 $ (38,708) 29 $ 51,359 $ (16,922) 16 $ 202,393 $ (55,630) 45 The following table presents the OTTI the Company recorded on its securities portfolio prior to the adoption of CECL (dollars in thousands): For the year ended December 31, 2019 Agency RMBS (1) $ 74 Non-Agency RMBS 1,331 Non-Agency CMBS 6,565 Other securities 604 Total $ 8,574 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that the Company had the intent to sell at the end of the period, if applicable. The following table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2021, December 31, 2020 and December 31, 2019, respectively (dollars in thousands): For the year ended December 31, 2021 For the year ended December 31, 2020 For the year ended December 31, 2019 Coupon Net (Premium Interest Coupon Net (Premium Interest Coupon Net (Premium Interest Agency CMBS $ — $ — $ — $ 11,336 $ (636) $ 10,700 $ 51,286 $ (2,327) $ 48,959 Agency RMBS 47 (30) 17 2,975 (987) 1,988 12,181 (3,053) 9,128 Non-Agency CMBS 9,874 6,535 16,409 15,331 6,467 21,798 14,178 4,017 18,195 Non-Agency RMBS 2,127 (670) 1,457 2,732 (1,193) 1,539 4,682 (2,214) 2,468 Other securities 4,685 (1,574) 3,111 8,263 (4,781) 3,482 11,633 (6,472) 5,161 Total $ 16,733 $ 4,261 $ 20,994 $ 40,637 $ (1,130) $ 39,507 $ 93,960 $ (10,049) $ 83,911 The following tables present the sales and realized gains (losses) of the Company's MBS and other securities for the three years ended December 31, 2021, December 31, 2020 and December 31, 2019, respectively (dollars in thousands): For the year ended December 31, 2021 Proceeds Gross Gross Net Non-Agency CMBS $ 27,488 $ — $ (9,266) $ (9,266) Total $ 27,488 $ — $ (9,266) $ (9,266) For the year ended December 31, 2020 Proceeds Gross Gross Net Agency CMBS $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS 400,948 12,552 (506) 12,046 Non-Agency CMBS 111,804 1 (23,624) (23,623) Non-Agency RMBS 12,658 — (60) (60) Other securities 35,957 113 (6,223) (6,110) Total $ 2,229,516 $ 129,129 $ (36,899) $ 92,230 For the year ended December 31, 2019 Proceeds Gross Gross Net Agency CMBS 891,072 32,793 (4,190) 28,603 Agency RMBS $ 205,310 $ 1,559 $ — $ 1,559 Non-Agency CMBS 40,235 317 (1,624) (1,307) Total $ 1,136,617 $ 34,669 $ (5,814) $ 28,855 Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of December 31, 2021 and December 31, 2020, the Company held five 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 December 31, 2021 and December 31, 2020, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $26.5 million and $48.9 million, respectively. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of December 31, 2021 and December 31, 2020, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities. |
Residential Whole Loans and Bri
Residential Whole Loans and Bridge Loans | 12 Months Ended |
Dec. 31, 2021 | |
Variable Interest Entities | |
Residential Whole Loans and Bridge Loans | Residential Whole Loans and Bridge Loans Residential Whole-Loan Trusts Revolving Mortgage Investment Trust 2015-1QR2 Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") was formed to acquire Non-QM Residential Whole Loans. RMI 2015 Trust 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. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM 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. As of December 31, 2021, and December 31, 2020, the RMI 2015 Trust owns 770 and 134 Non-QM Residential Whole Loans with a fair value of $451.7 million and $67.1 million, respectively. The loans are financed under the Company's Residential Whole Loan Facility, and the Company holds the financing liability outside the RMI 2015 Trust. Refer to Note 7 - Financings for details. Arroyo Mortgage Trust 2019-2 In May 2019, the Company formed Arroyo Mortgage Trust 2019-2 ("Arroyo Trust 2019"), a wholly-owned subsidiary of the Company, to completed its first residential mortgage-backed securitization comprised $945.5 million of Non-QM Residential Whole Loans. The Arroyo Trust 2019 issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and eliminated intercompany Owner Certificates in consolidation. As of December 31, 2021, and December 31, 2020, the Arroyo Trust 2019 owns 1,042 and 1,575 Non-QM Residential Whole Loans with a fair value of $374.3 million and $632.3 million, respectively. Arroyo Mortgage Trust 2020-1 In June 2020, t he Company formed Arroyo Mortgage Trust 2020-1 ("Arroyo Trust 2020"), a wholly-owned subsidiary of the Company, to completed its second residential mortgage-backed securitization comprised of $355.8 million of Non-QM Residential Whole Loans. The Arroyo Trust 2020 issued $341.7 million of mortgage-backed notes and retained all the subordinate and residual debt securities, which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and eliminated intercompany Owner Certificates in consolidation. As of December 31, 2021, and December 31, 2020, the Arroyo Trust 2020 owns 543 and 780 Non-QM Residential Whole Loans with a fair value of $195.7 million and $306.9 million, respectively. Residential Bridge Loan Trust In February 2017, the Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") to acquire Residential Bridge Loans. RMI 2017 Trust issued a trust certificate that is wholly-owned by the Company and 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 consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company has eliminated the intercompany trust certificate in consolidation. The Company is no longer allocating capital to Residential Bridge Loans. As of December 31, 2021, and December 31, 2020 there were eight and 25 remaining Residential Bridge Loans in the portfolio with a fair value of $5.2 million and $13.0 million, respectively. As of December 31, 2021, and December 31, 2020, the trust also owned six and eight investor fixed rate residential mortgages with a fair value of $1.7 million and $2.5 million, respectively. Consolidated Residential Whole-Loan and Residential Bridge Loan Trusts The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Cash and cash equivalents $ 266 $ — Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) 1,023,502 1,008,782 Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively) 5,207 12,960 Investment related receivable 22,087 27,987 Interest receivable 5,282 4,688 Other assets — 80 Total assets $ 1,056,344 $ 1,054,497 Securitized debt, net $ 519,118 $ 892,290 Interest payable 1,316 2,222 Accounts payable and accrued expenses 69 77 Total liabilities $ 520,503 $ 894,589 The Residential Whole Loans held by the consolidated Arroyo Trust 2019 and Arroyo Trust 2020 are held solely to satisfy the liabilities of each respective trust, and has 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 these trusts for the years ended December 31, 2021 and December 31, 2020. The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2021 and December 31, 2020 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Principal balance $ 989,143 $ 984,555 $ 5,834 $ 15,247 Unamortized premium 31,070 24,248 — 3 Unamortized discount (1,337) (1,799) — — Amortized cost 1,018,876 1,007,004 5,834 15,250 Gross unrealized gains 14,190 9,282 78 5 Gross unrealized losses (9,564) (7,504) (484) (1,339) Fair value $ 1,023,502 $ 1,008,782 $ 5,428 $ 13,916 (1) Includes $1.1 million of Residential Bridge Loans carried at amortized cost as of December 31, 2020. Residential Whole Loans The Residential Whole Loans have low LTV's and are comprised of 2,355 Non-QM adjustable rate mortgages and six investor fixed rate residential mortgages. The following tables present certain information about the Company's Residential Whole Loan investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01% - 3.00% 27 $ 15,640 65.1 % 757 5.3 28.8 2.8 % 3.01% - 4.00% 496 244,022 63.7 % 756 3.3 28.0 3.7 % 4.01% - 5.00% 1,051 413,451 65.1 % 747 2.9 28.2 4.7 % 5.01% - 6.00% 757 305,344 64.9 % 738 3.0 26.8 5.4 % 6.01% - 7.00% 28 10,181 67.9 % 721 3.1 25.8 6.3 % 7.01% - 8.00% 2 505 73.2 % 753 4.5 26.8 7.1 % Total 2,361 $ 989,143 64.8 % 746 3.1 27.7 4.6 % (1) The original FICO score is not available for 230 loans with a principal balance of approximately $74.3 million at December 31, 2021. The Company has excluded these loans from the weighted average computations. December 31, 2020 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01% - 3.00% 4 $ 3,239 66.7 % 733 5.9 28.0 2.7 % 3.01% - 4.00% 118 $ 41,489 55.8 % 709 3.8 23.3 3.7 % 4.01% - 5.00% 1,172 $ 403,398 61.8 % 751 2.7 27.7 4.9 % 5.01% - 6.00% 1,166 $ 523,105 64.2 % 740 2.9 27.7 5.4 % 6.01% - 7.00% 35 $ 12,813 67.5 % 720 3.2 27.0 6.3 % 7.01% - 8.00% 2 511 73.2 % 753 4.1 27.6 7.1 % Total 2,497 $ 984,555 62.9 % 744 2.9 27.5 5.1 % (1) The original FICO score is not available for 236 loans with a principal balance of approximately $75.2 million at December 31, 2020. The Company has excluded these loans from the weighted average computations. The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): December 31, 2021 December 31, 2020 State State Concentration Principal Balance State State Concentration Principal Balance California 73.9 % $ 730,771 California 65.8 % $ 647,877 New York 11.6 % 114,625 New York 17.7 % 173,788 Florida 2.7 % 26,293 Georgia 3.4 % 33,577 Georgia 2.5 % 25,106 Florida 2.8 % 27,274 Texas 1.9 % 19,062 New Jersey 2.5 % 24,704 Other 7.4 % 73,286 Other 7.8 % 77,335 Total 100.0 % $ 989,143 Total 100.0 % $ 984,555 Residential Bridge Loans The Company is no longer allocating capital to Residential Bridge Loans. The following tables present certain information about the remaining Residential Bridge Loans in the Company's investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01% – 9.00% 3 $ 2,946 70.4 % 0.0 8.8 % 9.01% – 11.00% 4 2,393 76.7 % 0.0 10.4 % 11.01% - 13.00% 2 495 69.7 % 0.0 11.4 % Total 9 $ 5,834 72.9 % 0.0 9.7 % December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01% – 9.00% 10 $ 8,295 69.6 % 1.4 8.7 % 9.01% – 11.00% 15 $ 6,123 75.5 % 0.5 10.1 % 11.01% - 13.00% 3 705 69.8 % 0.0 11.4 % 17.01% – 19.00% 1 124 75.0 % 0.0 18.0 % Total 29 $ 15,247 72.0 % 0.8 9.4 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): December 31, 2021 December 31, 2020 State State Concentration Principal Balance State State Concentration Principal Balance New York 45.1 % $ 2,631 California 37.5 % $ 5,713 California 30.1 % 1,754 New York 17.3 % 2,632 Florida 19.3 % 1,125 Washington 16.1 % 2,461 New Jersey 3.7 % 219 Florida 12.9 % 1,969 Pennsylvania 1.8 % 105 Connecticut 5.7 % 872 Other — % — Other 10.5 % 1,600 Total 100.0 % $ 5,834 Total 100.0 % $ 15,247 Non-performing Loans The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2021 (dollars in thousands): Residential Whole Loans (1) Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current 2,329 $ 971,790 $ 1,006,271 — $ — $ — 1-30 days 9 3,146 3,285 1 75 76 31-60 days — — — — — — 61-90 days 3 1,993 1,989 2 954 935 90+ days 20 12,214 11,957 6 4,805 4,417 Total 2,361 $ 989,143 $ 1,023,502 9 $ 5,834 $ 5,428 (1) As of December 31, 2021, there were no loans in forbearance. Residential Whole Loans As of December 31, 2021, there were 20 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $12.2 million and a fair value of approximately $12.0 million. These nonperforming loans represent approximately 1.2% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.0%. As of December 31, 2020, there were 26 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $15.3 million and a fair value of approximately $14.7 million. These nonperforming loans represent approximately 1.6% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.4%. These loans are carried at fair value, and accordingly no allowance for credit losses or credit loss expense was recorded, since the adjustment for credit losses, if any, would be reflected in the fair value of these loans as a component of "Unrealized gain (loss), net in the Consolidated Statements of Operations. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Residential Bridge Loans As of December 31, 2021, the Company had nine remaining Residential Bridge Loans in the portfolio. Of these six were in non-accrual status with an unpaid principal balance of approximately $4.8 million and a fair value of $4.4 million. These nonperforming loans had an outstanding principal balance of $5.8 million. These loans are collateral dependent. As of December 31, 2020, there was one Residential Bridge Loan carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $124 thousand and 20 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $9.9 million and a fair value of $8.9 million. These nonperforming loans had an outstanding Bridge Loans principal balance of $15.2 million. These loans are collateral dependent. The Company concluded that an allowance for credit losses was not necessary for the loan carried at amortized cost as of and for the year ended December 31, 2020 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balance. For loans carried at fair value no allowance for credit losses was recorded as of and for the years ended December 31, 2021 and December 31, 2020 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. Residential Real Estate Owned As of December 31, 2021 and December 31, 2020, the Company had four and three residential REO properties with an aggregate carrying value of $1.1 million and $1.1 million, respectively, related to foreclosed Bridge Loans. The residential REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The residential REO properties are classified in "Other assets" in the Consolidated Balance Sheets. Commercial Loans In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company, was formed for the purpose of acquiring Commercial Loans. The Commercial Loans owned by CRE LLC are financed under the Commercial Whole Loan Facility. Refer to Note 7 - Financings for details. The following table presents information about the Commercial Loans owned by CRE LLC as of December 31, 2021 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 3 August 2019 Interest-Only Mezzanine loan $ 90,000 $ 29,113 58% 1-Month LIBOR plus 9.25% 6/29/2021 None (1) Entertainment and Retail CRE 4 September 2019 Interest-Only First Mortgage 38,367 38,267 63% 1-Month LIBOR plus 3.02% 8/6/2022 One-Year Extension Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,212 62% 1-Month LIBOR plus 3.75% 11/6/2022 Two One-Year Extensions Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 13,033 62% 1-Month LIBOR plus 3.75% 11/6/2022 Two One-Year Extensions Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,163 62% 1-Month LIBOR plus 3.75% 11/6/2022 Two One-Year Extensions Hotel CRE 8 December 2019 Interest-Only First Mortgage 4,429 4,422 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living $ 177,797 $ 116,210 (1) CRE 3 is in default and not eligible for extension. Commercial Loan Payoffs On September 7, 2021, CRE 2, which had an outstanding principal balance of $46.8 million collateralized by nursing facilities, was paid off in full. 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 consolidates the trust because it determined that the wholly-owned RSBC Trust was a VIE and that the Company was the primary beneficiary. As of December 31, 2021, there is one loan remaining in the trust and it is financed under one of the Company's short-term repurchase agreements. The Company holds the financing liability outside the RSBC Trust. Refer to Note 7 - "Financings" for details. The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of December 31, 2021 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 14,362 $ 14,362 49% One-Month LIBOR plus 4.10% 7/6/2022 None Nursing Facilities $ 14,362 $ 14,362 RSBC Trust Loan Payoffs On July 7, 2021, SBC 1, which had an outstanding principal balance of $45.2 million collateralized by nursing facilities, was paid off in full. On September 24, 2021, SBC 2 which had an outstanding principal balance of $9.2 million collateralized by an apartment complex was paid off in full. Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 2021, the Company had a variable interest in one third party sponsored CMBS VIEs, CSMC Trust 2014-USA, 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 this VIE 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. RETL 2019-RVP 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 was eliminated in consolidation. The RETL 2019 Trust held a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. On September 15, 2021, the commercial loan was paid in full by the borrower and the RETL HRR bond which had an outstanding principal amount of $45.3 million held in WMC RETL LLC, a wholly-owned subsidiary of the Company, was paid off. Accordingly, the RETL 2019 Trust is no longer consolidated. CSMC Trust 2014-USA The Company together with other related party entities own more than 50% of the controlling class of CSMC Trust 2014-USA ("CSMC USA"). As of December 31, 2021 , the Company held an 8.8% interest in the trust certificates issued by CSMC USA (F Class) with an outstanding principal balance of $14.9 million. The Company performs ongoing reassessment of its CMBS VIE holdings for potential consolidation of the securitized trust in which it owns a portion of the controlling class. Since the ownership of the controlling financial interest is held within a related party group, the Company must determine whether it is the primary beneficiary under the related party tie-breaker rule. As a result of the Company's evaluation, it was determined that the Company is the primary beneficiary of CSMC USA, and effective on August 1, 2020, consolidated CSMC USA. The Company’s investment in the trust certificate of CSMC USA (F Class) was eliminated in the consolidation. The CSMC USA holds a commercial loan secured by a first mortgage lien on the borrowers’ fee and leasehold interests in a portion of a super-regional mall. The outstanding principal balance on this commercial loan is $1.4 billion as of December 31, 2021 . The loan's has a stated maturity date is September 11, 2025 and bears a fixed interest rate of 4.38%. The Company elected the fair value option for the commercial loan as well as the associated securitized debt. In December 2020, the commercial loan held by CSMC USA was amended to an interest only payment through maturity. As part of the modification a Cash Management Forbearance Agreement was entered into by the special servicer and the borrower, which required both increased reporting requirements and monthly net cash remittance. Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust The two commercial consolidated trusts, CSMC USA and RSBC Trust collectively held two Commercial Loans as of December 31, 2021. The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Restricted cash $ 260 $ 76,132 Securitized commercial loans, at fair value 1,355,808 1,605,335 Commercial Loans, at fair value 14,362 68,466 Interest receivable 5,290 6,248 Total assets $ 1,375,720 $ 1,756,181 Securitized debt, at fair value $ 1,344,370 $ 1,553,722 Interest payable 5,164 5,660 Accounts payable and accrued expenses 9 12 Other liabilities 260 76,132 Total liabilities $ 1,349,803 $ 1,635,526 The Company’s risk with respect to its investment in the securitized commercial loan trust is limited to its direct ownership in the trust. The commercial loan held by the consolidated securitized commercial loan trust is 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 securitized commercial loan of trust can only be used to satisfy the obligations of that trust. The Company is not contractually required to provide, and has not provided any additional financial support to the securitized commercial trust for the years ended December 31, 2021 and December 31, 2020. The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of December 31, 2021 and December 31, 2020 (dollars in thousands): RETL Trust Securitized Commercial Loan, at Fair Value (1) CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Principal balance $ — $ 354,202 $ 1,385,591 $ 1,385,591 $ 14,362 $ 68,750 $ 177,797 $ 256,694 Unamortized premium — 180 — — — — — — Unamortized discount — — (110,770) (135,653) — (94) — (53) Amortized cost — 354,382 1,274,821 1,249,938 14,362 68,656 177,797 256,641 Gross unrealized gains — — 80,987 16,013 — — — 1 Gross unrealized losses — (14,998) — — — (190) (61,587) (14,585) Fair value $ — $ 339,384 $ 1,355,808 $ 1,265,951 $ 14,362 $ 68,466 $ 116,210 $ 242,057 (1) On September 15, 2021, the commercial loan was paid in full by the borrower and the RETL HRR bond with an outstanding principal amount of $45.3 million held in WMC RETL LLC, a wholly-owned subsidiary of the Company, was paid off. Accordingly, the RETL 2019 Trust is no longer consolidated. Non-Performing Commercial Loans The following table presents the aging of the Commercial Loans as of December 31, 2021 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 6 $ 102,159 $ 101,459 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 29,113 Total 7 $ 192,159 $ 130,572 The COVID-19 pandemic has adversely impacted a broad range of industries in which the commercial loan borrowers operate and could impair their ability to fulfill their financial obligations to the Company, most significantly hospitality and retail assets. The low average original LTV of the Company's commercial loan portfolio of 59.7%, reflecting significant equity value that the sponsors are motivated to protect, is a mitigating factor of these risks. However, there is no guarantee that losses will not occur. CRE 3 Loan As of December 31, 2021, the CRE 3 junior mezzanine loan which has an outstanding principal balance of $90.0 million secured by a class A retail and entertainment complex located in the North East U.S. (the “Property”) was in default. The Property, which was originally scheduled to open in March 2020, was severely impacted by COVID-19 related shutdowns and restrictions and continues to face the challenging conditions impacting large portions of the retail sector. The Company was receiving interest payments on this loan from a reserve that was exhausted in May 2021 and the loan became non-performing. Additionally, on May 10, 2021, the administrative agent for the senior mortgage loan on the Property (the “Administrative Agent”) notified us, as administrative agent for the junior mezzanine loan, of the Administrative Agent’s intent to accept an assignment in lieu of foreclosure with respect to the Property if the junior mezzanine lenders did not elect to purchase the senior mortgage loan within 30 days pursuant to the terms set forth in an intercreditor agreement among the Administrative Agent, the Company and the senior mezzanine lender. The senior mezzanine lender was provided with a similar notice on May 10, 2021. Since the original notice provided by the Administrative Agent on May 10, 2021, the Administrative Agent has extended the deadline for the junior mezzanine lenders and the senior mezzanine lender to exercise their purchase right with respect to the senior mortgage loan a total of three times, with the most recent extension expired on July 14, 2021, and neither the junior mezzanine lenders nor the senior mezzanine lender offered to purchase the senior mortgage loan. The Company is currently in discussions with the borrower and certain other lenders regarding alternatives to address the situation which might include modifications of loan terms, deferral of payments and the funding of new advances. There can be no assurance that these discussions will result in an outcome in which the Company would be repaid any amount of the loan and the Company may suffer further declines in fair value with respect to this mezzanine investment. T he Company could experience a total loss of its investment under various scenarios, which at current levels would result in a $29.1 million reduction in the Company’s book value. Commercial Real Estate Owned In October 2020, the Company commenced foreclosure proceedings for its non-performing commercial loan with an outstanding principal balance of $30.0 million.secured by a hotel. However, on February 24, 2021, the borrower filed for bankruptcy protection halting the foreclosure process. In August 2021, the bankruptcy case was dismissed by the bankruptcy court and the Company and the other holders of the loan foreclosed on the property through a special purpose entity ("SPE") formed for the purpose of holding the property. The SPE is consolidated by the Company and the property is recorded at the lower of cost or fair value less cost to sell. As of December 31, 2021, the REO is recorded at $42.5 million and classified in "Other assets" in the Consolidated Balance Sheets and the other members' interests in the SPE of approximately $11.2 million are recorded as "Non-controlling interest" in the consolidated financial statements. The property was marketed for sale and sold in February 2022. See Note 16 - "Subsequent Events" for details on the sale. |
Commercial Loans
Commercial Loans | 12 Months Ended |
Dec. 31, 2021 | |
Noncontrolling Interest [Abstract] | |
Commercial Loans | Residential Whole Loans and Bridge Loans Residential Whole-Loan Trusts Revolving Mortgage Investment Trust 2015-1QR2 Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") was formed to acquire Non-QM Residential Whole Loans. RMI 2015 Trust 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. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM 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. As of December 31, 2021, and December 31, 2020, the RMI 2015 Trust owns 770 and 134 Non-QM Residential Whole Loans with a fair value of $451.7 million and $67.1 million, respectively. The loans are financed under the Company's Residential Whole Loan Facility, and the Company holds the financing liability outside the RMI 2015 Trust. Refer to Note 7 - Financings for details. Arroyo Mortgage Trust 2019-2 In May 2019, the Company formed Arroyo Mortgage Trust 2019-2 ("Arroyo Trust 2019"), a wholly-owned subsidiary of the Company, to completed its first residential mortgage-backed securitization comprised $945.5 million of Non-QM Residential Whole Loans. The Arroyo Trust 2019 issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and eliminated intercompany Owner Certificates in consolidation. As of December 31, 2021, and December 31, 2020, the Arroyo Trust 2019 owns 1,042 and 1,575 Non-QM Residential Whole Loans with a fair value of $374.3 million and $632.3 million, respectively. Arroyo Mortgage Trust 2020-1 In June 2020, t he Company formed Arroyo Mortgage Trust 2020-1 ("Arroyo Trust 2020"), a wholly-owned subsidiary of the Company, to completed its second residential mortgage-backed securitization comprised of $355.8 million of Non-QM Residential Whole Loans. The Arroyo Trust 2020 issued $341.7 million of mortgage-backed notes and retained all the subordinate and residual debt securities, which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and eliminated intercompany Owner Certificates in consolidation. As of December 31, 2021, and December 31, 2020, the Arroyo Trust 2020 owns 543 and 780 Non-QM Residential Whole Loans with a fair value of $195.7 million and $306.9 million, respectively. Residential Bridge Loan Trust In February 2017, the Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") to acquire Residential Bridge Loans. RMI 2017 Trust issued a trust certificate that is wholly-owned by the Company and 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 consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company has eliminated the intercompany trust certificate in consolidation. The Company is no longer allocating capital to Residential Bridge Loans. As of December 31, 2021, and December 31, 2020 there were eight and 25 remaining Residential Bridge Loans in the portfolio with a fair value of $5.2 million and $13.0 million, respectively. As of December 31, 2021, and December 31, 2020, the trust also owned six and eight investor fixed rate residential mortgages with a fair value of $1.7 million and $2.5 million, respectively. Consolidated Residential Whole-Loan and Residential Bridge Loan Trusts The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Cash and cash equivalents $ 266 $ — Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) 1,023,502 1,008,782 Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively) 5,207 12,960 Investment related receivable 22,087 27,987 Interest receivable 5,282 4,688 Other assets — 80 Total assets $ 1,056,344 $ 1,054,497 Securitized debt, net $ 519,118 $ 892,290 Interest payable 1,316 2,222 Accounts payable and accrued expenses 69 77 Total liabilities $ 520,503 $ 894,589 The Residential Whole Loans held by the consolidated Arroyo Trust 2019 and Arroyo Trust 2020 are held solely to satisfy the liabilities of each respective trust, and has 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 these trusts for the years ended December 31, 2021 and December 31, 2020. The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2021 and December 31, 2020 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Principal balance $ 989,143 $ 984,555 $ 5,834 $ 15,247 Unamortized premium 31,070 24,248 — 3 Unamortized discount (1,337) (1,799) — — Amortized cost 1,018,876 1,007,004 5,834 15,250 Gross unrealized gains 14,190 9,282 78 5 Gross unrealized losses (9,564) (7,504) (484) (1,339) Fair value $ 1,023,502 $ 1,008,782 $ 5,428 $ 13,916 (1) Includes $1.1 million of Residential Bridge Loans carried at amortized cost as of December 31, 2020. Residential Whole Loans The Residential Whole Loans have low LTV's and are comprised of 2,355 Non-QM adjustable rate mortgages and six investor fixed rate residential mortgages. The following tables present certain information about the Company's Residential Whole Loan investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01% - 3.00% 27 $ 15,640 65.1 % 757 5.3 28.8 2.8 % 3.01% - 4.00% 496 244,022 63.7 % 756 3.3 28.0 3.7 % 4.01% - 5.00% 1,051 413,451 65.1 % 747 2.9 28.2 4.7 % 5.01% - 6.00% 757 305,344 64.9 % 738 3.0 26.8 5.4 % 6.01% - 7.00% 28 10,181 67.9 % 721 3.1 25.8 6.3 % 7.01% - 8.00% 2 505 73.2 % 753 4.5 26.8 7.1 % Total 2,361 $ 989,143 64.8 % 746 3.1 27.7 4.6 % (1) The original FICO score is not available for 230 loans with a principal balance of approximately $74.3 million at December 31, 2021. The Company has excluded these loans from the weighted average computations. December 31, 2020 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01% - 3.00% 4 $ 3,239 66.7 % 733 5.9 28.0 2.7 % 3.01% - 4.00% 118 $ 41,489 55.8 % 709 3.8 23.3 3.7 % 4.01% - 5.00% 1,172 $ 403,398 61.8 % 751 2.7 27.7 4.9 % 5.01% - 6.00% 1,166 $ 523,105 64.2 % 740 2.9 27.7 5.4 % 6.01% - 7.00% 35 $ 12,813 67.5 % 720 3.2 27.0 6.3 % 7.01% - 8.00% 2 511 73.2 % 753 4.1 27.6 7.1 % Total 2,497 $ 984,555 62.9 % 744 2.9 27.5 5.1 % (1) The original FICO score is not available for 236 loans with a principal balance of approximately $75.2 million at December 31, 2020. The Company has excluded these loans from the weighted average computations. The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): December 31, 2021 December 31, 2020 State State Concentration Principal Balance State State Concentration Principal Balance California 73.9 % $ 730,771 California 65.8 % $ 647,877 New York 11.6 % 114,625 New York 17.7 % 173,788 Florida 2.7 % 26,293 Georgia 3.4 % 33,577 Georgia 2.5 % 25,106 Florida 2.8 % 27,274 Texas 1.9 % 19,062 New Jersey 2.5 % 24,704 Other 7.4 % 73,286 Other 7.8 % 77,335 Total 100.0 % $ 989,143 Total 100.0 % $ 984,555 Residential Bridge Loans The Company is no longer allocating capital to Residential Bridge Loans. The following tables present certain information about the remaining Residential Bridge Loans in the Company's investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01% – 9.00% 3 $ 2,946 70.4 % 0.0 8.8 % 9.01% – 11.00% 4 2,393 76.7 % 0.0 10.4 % 11.01% - 13.00% 2 495 69.7 % 0.0 11.4 % Total 9 $ 5,834 72.9 % 0.0 9.7 % December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01% – 9.00% 10 $ 8,295 69.6 % 1.4 8.7 % 9.01% – 11.00% 15 $ 6,123 75.5 % 0.5 10.1 % 11.01% - 13.00% 3 705 69.8 % 0.0 11.4 % 17.01% – 19.00% 1 124 75.0 % 0.0 18.0 % Total 29 $ 15,247 72.0 % 0.8 9.4 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): December 31, 2021 December 31, 2020 State State Concentration Principal Balance State State Concentration Principal Balance New York 45.1 % $ 2,631 California 37.5 % $ 5,713 California 30.1 % 1,754 New York 17.3 % 2,632 Florida 19.3 % 1,125 Washington 16.1 % 2,461 New Jersey 3.7 % 219 Florida 12.9 % 1,969 Pennsylvania 1.8 % 105 Connecticut 5.7 % 872 Other — % — Other 10.5 % 1,600 Total 100.0 % $ 5,834 Total 100.0 % $ 15,247 Non-performing Loans The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2021 (dollars in thousands): Residential Whole Loans (1) Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current 2,329 $ 971,790 $ 1,006,271 — $ — $ — 1-30 days 9 3,146 3,285 1 75 76 31-60 days — — — — — — 61-90 days 3 1,993 1,989 2 954 935 90+ days 20 12,214 11,957 6 4,805 4,417 Total 2,361 $ 989,143 $ 1,023,502 9 $ 5,834 $ 5,428 (1) As of December 31, 2021, there were no loans in forbearance. Residential Whole Loans As of December 31, 2021, there were 20 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $12.2 million and a fair value of approximately $12.0 million. These nonperforming loans represent approximately 1.2% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.0%. As of December 31, 2020, there were 26 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $15.3 million and a fair value of approximately $14.7 million. These nonperforming loans represent approximately 1.6% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.4%. These loans are carried at fair value, and accordingly no allowance for credit losses or credit loss expense was recorded, since the adjustment for credit losses, if any, would be reflected in the fair value of these loans as a component of "Unrealized gain (loss), net in the Consolidated Statements of Operations. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Residential Bridge Loans As of December 31, 2021, the Company had nine remaining Residential Bridge Loans in the portfolio. Of these six were in non-accrual status with an unpaid principal balance of approximately $4.8 million and a fair value of $4.4 million. These nonperforming loans had an outstanding principal balance of $5.8 million. These loans are collateral dependent. As of December 31, 2020, there was one Residential Bridge Loan carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $124 thousand and 20 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $9.9 million and a fair value of $8.9 million. These nonperforming loans had an outstanding Bridge Loans principal balance of $15.2 million. These loans are collateral dependent. The Company concluded that an allowance for credit losses was not necessary for the loan carried at amortized cost as of and for the year ended December 31, 2020 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balance. For loans carried at fair value no allowance for credit losses was recorded as of and for the years ended December 31, 2021 and December 31, 2020 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. Residential Real Estate Owned As of December 31, 2021 and December 31, 2020, the Company had four and three residential REO properties with an aggregate carrying value of $1.1 million and $1.1 million, respectively, related to foreclosed Bridge Loans. The residential REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The residential REO properties are classified in "Other assets" in the Consolidated Balance Sheets. Commercial Loans In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company, was formed for the purpose of acquiring Commercial Loans. The Commercial Loans owned by CRE LLC are financed under the Commercial Whole Loan Facility. Refer to Note 7 - Financings for details. The following table presents information about the Commercial Loans owned by CRE LLC as of December 31, 2021 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 3 August 2019 Interest-Only Mezzanine loan $ 90,000 $ 29,113 58% 1-Month LIBOR plus 9.25% 6/29/2021 None (1) Entertainment and Retail CRE 4 September 2019 Interest-Only First Mortgage 38,367 38,267 63% 1-Month LIBOR plus 3.02% 8/6/2022 One-Year Extension Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,212 62% 1-Month LIBOR plus 3.75% 11/6/2022 Two One-Year Extensions Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 13,033 62% 1-Month LIBOR plus 3.75% 11/6/2022 Two One-Year Extensions Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,163 62% 1-Month LIBOR plus 3.75% 11/6/2022 Two One-Year Extensions Hotel CRE 8 December 2019 Interest-Only First Mortgage 4,429 4,422 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living $ 177,797 $ 116,210 (1) CRE 3 is in default and not eligible for extension. Commercial Loan Payoffs On September 7, 2021, CRE 2, which had an outstanding principal balance of $46.8 million collateralized by nursing facilities, was paid off in full. 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 consolidates the trust because it determined that the wholly-owned RSBC Trust was a VIE and that the Company was the primary beneficiary. As of December 31, 2021, there is one loan remaining in the trust and it is financed under one of the Company's short-term repurchase agreements. The Company holds the financing liability outside the RSBC Trust. Refer to Note 7 - "Financings" for details. The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of December 31, 2021 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 14,362 $ 14,362 49% One-Month LIBOR plus 4.10% 7/6/2022 None Nursing Facilities $ 14,362 $ 14,362 RSBC Trust Loan Payoffs On July 7, 2021, SBC 1, which had an outstanding principal balance of $45.2 million collateralized by nursing facilities, was paid off in full. On September 24, 2021, SBC 2 which had an outstanding principal balance of $9.2 million collateralized by an apartment complex was paid off in full. Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 2021, the Company had a variable interest in one third party sponsored CMBS VIEs, CSMC Trust 2014-USA, 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 this VIE 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. RETL 2019-RVP 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 was eliminated in consolidation. The RETL 2019 Trust held a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. On September 15, 2021, the commercial loan was paid in full by the borrower and the RETL HRR bond which had an outstanding principal amount of $45.3 million held in WMC RETL LLC, a wholly-owned subsidiary of the Company, was paid off. Accordingly, the RETL 2019 Trust is no longer consolidated. CSMC Trust 2014-USA The Company together with other related party entities own more than 50% of the controlling class of CSMC Trust 2014-USA ("CSMC USA"). As of December 31, 2021 , the Company held an 8.8% interest in the trust certificates issued by CSMC USA (F Class) with an outstanding principal balance of $14.9 million. The Company performs ongoing reassessment of its CMBS VIE holdings for potential consolidation of the securitized trust in which it owns a portion of the controlling class. Since the ownership of the controlling financial interest is held within a related party group, the Company must determine whether it is the primary beneficiary under the related party tie-breaker rule. As a result of the Company's evaluation, it was determined that the Company is the primary beneficiary of CSMC USA, and effective on August 1, 2020, consolidated CSMC USA. The Company’s investment in the trust certificate of CSMC USA (F Class) was eliminated in the consolidation. The CSMC USA holds a commercial loan secured by a first mortgage lien on the borrowers’ fee and leasehold interests in a portion of a super-regional mall. The outstanding principal balance on this commercial loan is $1.4 billion as of December 31, 2021 . The loan's has a stated maturity date is September 11, 2025 and bears a fixed interest rate of 4.38%. The Company elected the fair value option for the commercial loan as well as the associated securitized debt. In December 2020, the commercial loan held by CSMC USA was amended to an interest only payment through maturity. As part of the modification a Cash Management Forbearance Agreement was entered into by the special servicer and the borrower, which required both increased reporting requirements and monthly net cash remittance. Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust The two commercial consolidated trusts, CSMC USA and RSBC Trust collectively held two Commercial Loans as of December 31, 2021. The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Restricted cash $ 260 $ 76,132 Securitized commercial loans, at fair value 1,355,808 1,605,335 Commercial Loans, at fair value 14,362 68,466 Interest receivable 5,290 6,248 Total assets $ 1,375,720 $ 1,756,181 Securitized debt, at fair value $ 1,344,370 $ 1,553,722 Interest payable 5,164 5,660 Accounts payable and accrued expenses 9 12 Other liabilities 260 76,132 Total liabilities $ 1,349,803 $ 1,635,526 The Company’s risk with respect to its investment in the securitized commercial loan trust is limited to its direct ownership in the trust. The commercial loan held by the consolidated securitized commercial loan trust is 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 securitized commercial loan of trust can only be used to satisfy the obligations of that trust. The Company is not contractually required to provide, and has not provided any additional financial support to the securitized commercial trust for the years ended December 31, 2021 and December 31, 2020. The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of December 31, 2021 and December 31, 2020 (dollars in thousands): RETL Trust Securitized Commercial Loan, at Fair Value (1) CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Principal balance $ — $ 354,202 $ 1,385,591 $ 1,385,591 $ 14,362 $ 68,750 $ 177,797 $ 256,694 Unamortized premium — 180 — — — — — — Unamortized discount — — (110,770) (135,653) — (94) — (53) Amortized cost — 354,382 1,274,821 1,249,938 14,362 68,656 177,797 256,641 Gross unrealized gains — — 80,987 16,013 — — — 1 Gross unrealized losses — (14,998) — — — (190) (61,587) (14,585) Fair value $ — $ 339,384 $ 1,355,808 $ 1,265,951 $ 14,362 $ 68,466 $ 116,210 $ 242,057 (1) On September 15, 2021, the commercial loan was paid in full by the borrower and the RETL HRR bond with an outstanding principal amount of $45.3 million held in WMC RETL LLC, a wholly-owned subsidiary of the Company, was paid off. Accordingly, the RETL 2019 Trust is no longer consolidated. Non-Performing Commercial Loans The following table presents the aging of the Commercial Loans as of December 31, 2021 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 6 $ 102,159 $ 101,459 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 29,113 Total 7 $ 192,159 $ 130,572 The COVID-19 pandemic has adversely impacted a broad range of industries in which the commercial loan borrowers operate and could impair their ability to fulfill their financial obligations to the Company, most significantly hospitality and retail assets. The low average original LTV of the Company's commercial loan portfolio of 59.7%, reflecting significant equity value that the sponsors are motivated to protect, is a mitigating factor of these risks. However, there is no guarantee that losses will not occur. CRE 3 Loan As of December 31, 2021, the CRE 3 junior mezzanine loan which has an outstanding principal balance of $90.0 million secured by a class A retail and entertainment complex located in the North East U.S. (the “Property”) was in default. The Property, which was originally scheduled to open in March 2020, was severely impacted by COVID-19 related shutdowns and restrictions and continues to face the challenging conditions impacting large portions of the retail sector. The Company was receiving interest payments on this loan from a reserve that was exhausted in May 2021 and the loan became non-performing. Additionally, on May 10, 2021, the administrative agent for the senior mortgage loan on the Property (the “Administrative Agent”) notified us, as administrative agent for the junior mezzanine loan, of the Administrative Agent’s intent to accept an assignment in lieu of foreclosure with respect to the Property if the junior mezzanine lenders did not elect to purchase the senior mortgage loan within 30 days pursuant to the terms set forth in an intercreditor agreement among the Administrative Agent, the Company and the senior mezzanine lender. The senior mezzanine lender was provided with a similar notice on May 10, 2021. Since the original notice provided by the Administrative Agent on May 10, 2021, the Administrative Agent has extended the deadline for the junior mezzanine lenders and the senior mezzanine lender to exercise their purchase right with respect to the senior mortgage loan a total of three times, with the most recent extension expired on July 14, 2021, and neither the junior mezzanine lenders nor the senior mezzanine lender offered to purchase the senior mortgage loan. The Company is currently in discussions with the borrower and certain other lenders regarding alternatives to address the situation which might include modifications of loan terms, deferral of payments and the funding of new advances. There can be no assurance that these discussions will result in an outcome in which the Company would be repaid any amount of the loan and the Company may suffer further declines in fair value with respect to this mezzanine investment. T he Company could experience a total loss of its investment under various scenarios, which at current levels would result in a $29.1 million reduction in the Company’s book value. Commercial Real Estate Owned In October 2020, the Company commenced foreclosure proceedings for its non-performing commercial loan with an outstanding principal balance of $30.0 million.secured by a hotel. However, on February 24, 2021, the borrower filed for bankruptcy protection halting the foreclosure process. In August 2021, the bankruptcy case was dismissed by the bankruptcy court and the Company and the other holders of the loan foreclosed on the property through a special purpose entity ("SPE") formed for the purpose of holding the property. The SPE is consolidated by the Company and the property is recorded at the lower of cost or fair value less cost to sell. As of December 31, 2021, the REO is recorded at $42.5 million and classified in "Other assets" in the Consolidated Balance Sheets and the other members' interests in the SPE of approximately $11.2 million are recorded as "Non-controlling interest" in the consolidated financial statements. The property was marketed for sale and sold in February 2022. See Note 16 - "Subsequent Events" for details on the sale. |
Financings
Financings | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
Financings | Financings Repurchase Agreements The Company has primarily financed its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and historically had terms ranging from one month to 12 months. The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under these 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 normally requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a time frame as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. The market disruptions surrounding COVID-19 pandemic in 2020 resulted in the decline of the Company's asset values making it challenging to obtain repurchase agreement financing with favorable terms or at all. The Company's repurchase agreement counterparties have increased borrowing rates and increased haircuts. In the second quarter of 2020 i n order to manage the severe market conditions and the resulting large margin demands from lenders and pressure on the Company’s liquidity, the Company entered into three longer term financing arrangements to reduce its exposure to short-term financings with daily mark to market exposure. Below is a summary of each of these financing arrangements. Residential Whole Loan Facility On April 21, 2020, the Company entered into amendments with respect to certain of its loan warehouse facilities. These amendments mainly served to convert an existing residential whole loan facility into a term facility by removing any mark to market margin requirements, and to consolidate the Company’s Non-Qualified Mortgage loans, which were previously financed by three separate, unaffiliated counterparties, into a single facility. The target advance rate under the amended and restated facility was approximately 84% of the aggregate unpaid principal balance of the loans. The facility had an original maturity of October 20, 2021. All principal payments and income generated by the loans during the term of the facility were used to pay principal and interest on the facility. Upon the securitization or sale by the Company of any whole loan subject to this amended and restated facility, the counterparty was entitled to receive a recapture premium fee of 30% of all realized value on any whole loans above such counterparty’s amortized basis as well as an exit fee of 0.50% of the loan amount in circumstances where the counterparty was not involved in the disposition of the loans. The financing cost of this facility was reflective of the challenging market conditions, at time, when the Company entered into the agreement. On June 29, 2020, the Company securitized approximately $355.8 million of the Residential Whole Loans and paid down the facility by approximately $339.4 million (see "Securitized Debt" below for additional details). As part of the financing arrangements noted above, the Company had agreed to pay the lender a fee of 30% of all realized value on the Residential Whole Loans above the counterparty's amortized basis upon securitization or sale. As a result of refinancing the Residential Whole Loans through a securitization, the Company accrued a premium recapture fee of approximately $20.5 million, to be paid at the maturity of the facility, and recorded in "Financing fees" in the Consolidated Statements of Operations. On October 6, 2020 the Company entered into an amendment of its Residential Whole Loan Facility. The amendment converted the existing Residential Whole Loan Facility to a limited mark to market margin facility that bore an interest rate of LIBOR plus 2.75%, with a LIBOR floor of 0.25%. The target advance rate under the amended facility was 85% and the facility scheduled maturity was on October 5, 2021. I n connection with this amendment to the facility the Company paid $12.0 million of the premium recapture fee. The balance of $8.5 million was paid on November 5, 2021 when the amended facility matured after a one month extension and the Company entered into a new amended Residential Whole Loan Facility. T he premium recapture fee was eliminated for new and remaining investments financed under this facility. On November 5, 2021, the Company entered into a further amendment of its Residential Whole Loan Facility. The amended facility has a stated capacity of $500.0 million. and bears an interest rate to LIBOR plus 2.00%, with a LIBOR floor of 0.25%. The facility is available to finance five types of residential mortgages: Non-Agency mortgage loans, Non-QM loans, investor loans, re-performing and non-performing loans. The advance rates may differ by type of loan, but for performing Non- QM loans the advance rate is 90%. The facility matures on November 4, 2022. The facility is a mark to market margin facility; however, the margin requirement is only triggered if the fair value of the collateral declines to below the aggregate outstanding principal amount of the collateral. The Company finances its Non-QM Residential Whole Loans held in RMI 2015 Trust under this facility. As of December 31, 2021, the Company had outstanding borrowings of $396.5 million. The borrowing is secured by against Non-QM Residential Whole Loans with a fair value of $451.7 million. Non-Agency CMBS and Non-Agency RMBS Facility On May 4, 2020, the Company supplemented one of its existing securities repurchase facilities to consolidate most of its CMBS and RMBS assets, which were financed by multiple counterparties, into a single term facility with limited mark to market margin requirements. Pursuant to the agreement, a margin deficit will not occur until such time as the loan to value ratio surpasses a certain threshold (the “LTV Trigger”), on a weighted average basis per asset type, calculated on a portfolio level. If this threshold was reached, the Company may elect to provide cash margin or sell certain assets to the extent necessary to lower the ratio. The term of this facility was 12 months, subject to a 12 month extensions at the counterparty’s option. All interest income generated by the assets during the term of the facility was paid to the Company no less often than monthly. Interest on the facility was due from the Company at a rate of three-month LIBOR plus 5.00% payable quarterly in arrears. Half of all principal repayments on the underlying assets was applied to repay the obligations owed to the counterparty, with the remainder paid to the Company, unless the LTV Trigger has occurred, in which case all principal payments will be applied to repay the obligations. On May 5, 2021, the Company amended its Non-Agency CMBS and Non-Agency RMBS financing facility to, among other things, extend the facility for an additional 12 months and reduce the interest rate. The amended facility has improved advance rates and bears interest at a rate of three-month LIBOR plus 2.00%. As of December 31, 2021, the outstanding balance under this facility was $102.9 million. The borrowing is secured by investments with a fair market value of $181.0 million as of December 31, 2021. Commercial Whole Loan Facility On May 5, 2021, the Company amended its Commercial Whole Loan Facility to, among other things, convert the term to a 12-month facility with a stated capacity of up to $100 million. The facility has a 12-month extension option, subject to the lender's consent. As of December 31, 2021, the Company had approximately $63.7 million in borrowings, with a weighted average interest rate of 2.27% under its Commercial Whole Loan Facility. The borrowing is secured by the performing commercial loans that are held in CRE LLC with an estimated fair market value of $87.1 million as of December 31, 2021. Financial Metrics Certain of the Company’s financing arrangements provide the counterparty with the right to terminate the agreement and accelerate amounts due under the associated agreement if the Company does not maintain financial metrics. Although specific to each financing arrangement, typical financial metrics include minimum equity and liquidity requirements, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross-default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. The Company was in compliance with the terms of such financial tests as of December 31, 2021. As of December 31, 2021, the Company had borrowings under five of its master repurchase agreements. The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Securities Pledged Repurchase Weighted Average Weighted Average Repurchase Weighted Average Weighted Average Short Term Borrowings: Agency RMBS $ 976 1.02 % 58 $ 1,418 1.34 % 59 Non-Agency CMBS — — % 0 10,313 2.25 % 14 Non-Agency RMBS (1) 38,354 2.94 % 4 — — % 0 Residential Whole Loans (2) 1,439 2.57 % 5 29,800 3.71 % 15 Residential Bridge Loans (2) 4,368 2.61 % 5 11,254 2.73 % 36 Commercial Loans (2) 6,463 3.20 % 5 34,375 3.32 % 75 Membership Interest — — % 0 18,844 2.90 % 29 Other securities 2,457 3.50 % 18 2,594 4.51 % 19 Total short term borrowings 54,057 2.92 % 6 108,598 3.19 % 39 Long Term Borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS (1) 59,802 2.14 % 125 66,767 5.23 % 126 Non-Agency RMBS 15,632 2.14 % 125 14,643 5.23 % 126 Other Securities 27,506 2.22 % 125 13,677 5.24 % 126 Subtotal 102,940 2.16 % 125 95,087 5.23 % 126 Residential Whole Loan Facility Residential Whole Loans (2) 396,531 2.25 % 308 30,224 3.00 % 278 Commercial Whole Loan Facility Commercial Loans 63,661 2.27 % 268 124,937 2.17 % 287 Total long term borrowings 563,132 2.24 % 270 250,248 3.74 % 225 Repurchase agreements borrowings $ 617,189 2.30 % 247 $ 358,846 3.57 % 169 Less unamortized debt issuance costs — N/A N/A 1,923 N/A N/A Repurchase agreements borrowings, net $ 617,189 2.30 % 247 $ 356,923 3.57 % 169 (1) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. (2) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. At December 31, 2021 and December 31, 2020, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2021 December 31, 2020 1 to 29 days $ 53,081 $ 59,856 30 to 59 days 370 13,421 60 to 89 days 606 35,321 Greater than or equal to 90 days 563,132 250,248 Total $ 617,189 $ 358,846 At December 31, 2021, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): December 31, 2021 Counterparty Amount of Collateral Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 84,150 280 43.6 % Citigroup Global Markets Inc. 78,544 125 40.7 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Assets Accrued Assets Pledged Assets Accrued Assets Pledged Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 1,172 $ 19 $ 1,191 $ 1,708 $ 49 $ 1,757 Non-Agency CMBS, at fair value (1) 107,624 504 108,128 152,275 649 152,924 Non-Agency RMBS, at fair value 66,555 343 66,898 25,382 160 25,542 Residential Whole Loans, at fair value (2) 453,447 2,674 456,121 97,566 543 98,109 Residential Bridge Loans (2) 5,207 91 5,298 12,960 180 13,140 Commercial Loans, at fair value (2) 101,459 360 101,819 310,523 1,850 312,373 Membership interest (3) — — — 33,690 — 33,690 Other securities, at fair value 51,648 100 51,748 48,754 44 48,798 Cash (4) 3,151 — 3,151 1,817 — 1,817 Total $ 790,263 $ 4,091 $ 794,354 $ 684,675 $ 3,475 $ 688,150 (1) Includes securities eliminated upon VIE consolidation. (2) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (3) The pledged amount relates to the Company's non-controlling membership interest in its wholly owned subsidiary WMC RETL LLC, which was financed under a repurchase agreement. The membership interest is eliminated in consolidation. (4) Cash posted as collateral is included in "Due from counterparties" in the Company's Consolidated Balance Sheets. A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At December 31, 2021 and December 31, 2020, investments held by counterparties as security for repurchase agreements totaled approximately $787.1 million and approximately $682.9 million, respectively. Cash collateral held by counterparties at December 31, 2021 and December 31, 2020 was approximately $3.2 million and $1.8 million, respectively. Cash posted by repurchase agreement counterparties at December 31, 2021 and December 31, 2020 was $0 and $320 thousand, respectively. Convertible Senior Unsecured Notes 6.75% Convertible Senior Unsecured Notes due 2024 In September 2021, the Company issued $86.3 million aggregate principal amount of the 2024 Notes for net proceeds of $83.3 million. Interest on the 2024 Notes is paid semiannually. The 2024 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 2024 Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the 2024 Notes. The initial conversion rate was 337.9520 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $2.96 per share of common stock. The 2024 Notes mature on September 15, 2024, 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. 6.75% Convertible Senior Unsecured Notes due 2022 At December 31, 2021 and December 31, 2020, the Company had $37.7 million and $175.0 million aggregate principal amount, respectively, of the 2022 Notes outstanding. Interest on the 2022 Notes is paid semiannually. The 2022 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 2022 Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the 2022 Notes. The initial and current 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. The 2022 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 2022 Notes Exchanges and Repurchases On July 1, 2020, the Company issued an aggregate of 1,354,084 shares of its common stock, par value $0.01 per share (the “Common Stock”), in exchange for $5.0 million aggregate principal amount of the 2022 Notes pursuant to separate privately negotiated exchange agreements entered into on July 1, 2020 (collectively, the “Exchange Agreement”) between the Company and certain holders of the 2022 Notes. The Company did not receive any cash proceeds as a result of the Exchange Agreement, and the 2022 Notes exchanged pursuant to the Exchange Agreement were retired and cancelled. The common stock was issued in reliance upon the exemption set forth in Section 3(a)(9) of the Securities Act of 1933 for securities exchanged by the Company and an existing security holder where no commission or other remuneration is paid or given directly or indirectly by the Company for soliciting such exchange. During the quarter ended December 31, 2020, the Company repurchased $25.0 million aggregate principal amount of the 2022 Notes at an approximate 13% discount to par value, plus accrued and unpaid interest. During the quarter ended March 31, 2021, the Company repurchased $6.7 million aggregate principal amount of the 2022 Notes at an approximate 6.3% discount to par value, plus accrued and unpaid interest. During August 2021, the Company repurchased $22.3 million aggregate principal amount of the 2022 Notes at an approximate 2.8% discount to par value, plus accrued and unpaid interest. During September 2021, the Company used the net proceeds from the issuance of the 2024 Notes and $20.3 million in cash on hand to repurchase $100.3 million of the 2022 Notes at par, plus accrued and unpaid interest. During December 2021, the Company repurchased $8.0 million aggregate principal amount of its 2022 Notes at a 1% premium to par value, plus accrued and unpaid interest. Securitized Debt Residential Mortgage-Backed Notes Arroyo Trust 2019 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 costs 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 at December 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 277,549 3.3% $ 277,549 4/25/2049 Class A-2 14,885 3.5% 14,885 4/25/2049 Class A-3 23,583 3.8% 23,583 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 341,072 $ 341,072 Less: Unamortized Deferred Financing Costs N/A 3,501 Total $ 341,072 $ 337,571 The Company retained the non-offered securities in the securitization, which include the class B, Class A-IO-S and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2019 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At December 31, 2021, Residential Whole Loans, with an outstanding principal balance of approximately $358.9 million, served as collateral for the Arroyo Trust 2019'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. Arroyo Trust 2020 In June 2020, the Company completed a residential mortgage-backed securitization comprised of $355.8 million of Non-QM Residential Whole Loans, issuing $341.7 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 2020's residential mortgage pass-through certificates at December 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 125,469 1.7% $ 125,469 3/25/2055 Class A-1B 14,888 2.1% 14,888 3/25/2055 Class A-2 13,518 2.9% 13,518 3/25/2055 Class A-3 17,963 3.3% 17,963 3/25/2055 Class M-1 11,739 4.3% 11,739 3/25/2055 Subtotal $ 183,577 $ 183,577 Less: Unamortized Deferred Financing Costs N/A 2,030 Total $ 183,577 $ 181,547 The Company retained the non-offered securities in the securitization, which include the Class B, Class A-IO-S and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2020 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At December 31, 2021 , Residential Whole Loans, with an outstanding principal balance of approximately $188.2 million serve as collateral for the Arroyo Trust 2020'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 equal to or less than 30% of the original principal balance. The notes are redeemable at their face value plus accrued interest. Commercial Mortgage-Backed Notes CSMC 2014 USA The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at December 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 124,143 9/11/2025 Class A-2 531,700 4.0 % 559,447 9/11/2025 Class B 136,400 4.2 % 133,776 9/11/2025 Class C 94,500 4.3 % 91,460 9/11/2025 Class D 153,950 4.4 % 142,388 9/11/2025 Class E 180,150 4.4 % 160,325 9/11/2025 Class F 153,600 4.4 % 117,912 9/11/2025 Class X-1 (1) n/a 0.7 % 12,347 9/11/2025 Class X-2 (1) n/a 0.2 % 2,572 9/11/2025 $ 1,370,691 $ 1,344,370 (1) Class X-1 and Class X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of December 31, 2021, respectively. At December 31, 2021, the Company owned a portion of the class F certificates with an outstanding principal balance of $14.9 million, which is eliminated in consolidation. The remaining CSMC USA debt that we elected the fair value option had a fair value of $1.3 billion, and is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining outstanding principal balance of $1.4 billion, $198.3 million is owned by related parties and $1.2 billion is owned by third parties. The securitized debt of the CSMC USA can only be settled with the commercial loan with an outstanding principal balance of approximately $1.4 billion at December 31, 2021, that serves as collateral for the securitized debt and is non-recourse to the Company. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic changes in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." |
Derivative Instruments
Derivative Instruments | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Derivative Instruments The Company's derivatives may include interest rate swaps, swaptions, options, futures contracts, TBAs, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, credit default swaps and total return swaps. The following table summarizes the Company's derivative instruments at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Fair Notional Fair Credit default swaps, asset Non-Hedge Derivative assets, at fair value $ 2,030 $ 105 $ 2,030 $ 161 Total derivative instruments, assets 105 161 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 22,000 (38) — — Credit default swaps, liability Non-Hedge Derivative liability, at fair value 4,140 (564) 4,140 (656) Total derivative instruments, liabilities (602) (656) Total derivative instruments, net $ (497) $ (495) The following table summarizes the effects of the Company's derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the years ended December 31, 2021, December 31, 2020 and December 31, 2019 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return Mark-to-Market Contractual interest Total Year ended December 31, 2021 Interest rate swaps $ — $ 490 $ — $ (38) $ 109 $ 561 Interest-Only Strips—accounted for as derivatives — — (300) (206) 394 (112) Credit default swaps 64 — — 36 — 100 Total $ 64 $ 490 $ (300) $ (208) $ 503 $ 549 Year ended December 31, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions 80 — — — — 80 Interest-Only Strips—accounted for as derivatives (940) — (1,096) (532) 1,324 (1,244) Credit default swaps (9,534) — — (1,834) — (11,368) TBAs (2,430) — — 928 — (1,502) Total $ (13,086) $ (179,759) $ (834) $ (3,953) $ (71) $ (197,703) Year ended December 31, 2019 Interest rate swaps $ (4,978) $ (108,169) $ 5,769 $ 5,140 $ 3,732 $ (98,506) Interest rate swaptions (332) — — — — (332) Interest-Only Strips—accounted for as derivatives — — (2,688) (508) 3,277 81 Options 1,378 — — — — 1,378 Futures contracts (12,862) — — 4,657 — (8,205) Credit default swaps (178) — — 1,029 — 851 TBAs 1,934 — — (928) — 1,006 Total $ (15,038) $ (108,169) $ 3,081 $ 9,390 $ 7,009 $ (103,727) At December 31, 2021 and December 31, 2020, the Company had cash pledged as collateral for derivatives of approximately $1.4 million and approximately $510 thousand respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. Interest rate swaps The Company uses interest rate swaps 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 to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. The Company generally enters into MAC (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements. 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. The following table provides additional information on the Company's fixed-pay interest rate swap as of December 31, 2021 (dollars in thousands): December 31, 2021 Fixed Pay Interest Rate Swap Remaining Term Notional Average Fixed Pay Average Floating Receive Average Greater than 5 years $ 22,000 1.2 % 0.05 % 9.8 Total $ 22,000 1.2 % 0.05 % 9.8 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 an 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 |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 12 Months Ended |
Dec. 31, 2021 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company's Consolidated Balance Sheets at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,058 $ — $ 1,058 $ (1,058) $ — $ — Derivative asset, at fair value (2) 105 — 105 (105) — — Total assets $ 1,163 $ — $ 1,163 $ (1,163) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 602 $ — $ 602 $ (105) $ (497) $ — Repurchase Agreements (4) 617,189 — 617,189 (617,189) — — Total liability $ 617,791 $ — $ 617,791 $ (617,294) $ (497) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps and credit default swaps. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $1.4 million as of December 31, 2021. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $787.1 million as of December 31, 2021 . December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,565 $ — $ 1,565 $ (1,565) $ — $ — Derivative asset, at fair value (2) 161 — 161 (161) — — Total derivative assets $ 1,726 $ — $ 1,726 $ (1,726) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 656 $ — $ 656 $ (161) $ (495) $ — Repurchase Agreements (4) 356,923 — 356,923 (356,923) — — Total liability $ 357,579 $ — $ 357,579 $ (357,084) $ (495) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value credit default swaps. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $510 thousand as of December 31, 2020. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $682.9 million as of December 31, 2020. Certain of the Company's repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2021 | |
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 other than temporary impairment) 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, 2022 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. For the years ended December 31, 2021, December 31, 2020 and December 31, 2019 the Company incurred $5.9 million, $4.5 million and $7.4 million in management fees, respectively. The Manager waived the management fee in part for six months from October 2018 through March 2019 to reduce the impact of the Company's 2018 secondary public offering on earnings as the Company fully deployed the capital into its target assets. The Manger waived the management fee for three months from March 2020 through May 2020 because of the unprecedented market disruption and dislocation across fixed income markets surrounding the uncertainty related to the COVID-19 pandemic. In December 2021, the Manager agreed to voluntarily waive 25% of its management fee solely for the duration of calendar year 2022 in order to support the earnings potential of the Company and its transition to a residential focused investment portfolio. Future waivers, if any, will be at the Manager's discretion. In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company, as defined in the Management Agreement. For the years ended December 31, 2021, December 31, 2020 and December 31, 2019, the Company recorded expenses included in general and administrative expenses totaling approximately $1.9 million, $1.7 million and $1.6 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 expense in the Consolidated Statements of Operations. At December 31, 2021 and December 31, 2020, approximately $1.5 million and approximately $3.0 million, respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. In addition, at December 31, 2021 and December 31, 2020, approximately $457 thousand and approximately $148 thousand, respectively of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. |
Share-Based Payments
Share-Based Payments | 12 Months Ended |
Dec. 31, 2021 | |
Share-based Payment Arrangement, Noncash Expense [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, including restricted stock units 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. The number of shares of common stock available under the Equity Incentive Plans is 1,804,258. Approximately 1,148,225 of shares have been issued under the Equity Plans with 656,033 shares available for issuance as of December 31, 2021. Under the Equity Plan, the Company made the following grants during the years ended December 31, 2021 and December 31, 2020: On June 19, 2020, the Company granted a total of 127,275 restricted stock units (25,455 each) under the Equity Plan to the Company’s then five independent directors. In May 2021, one of the independent directors retired. As a result 25,455 shares of the unvested restricted stock were forfeited during the year ended December 31, 2021. The remaining restricted stock units in this grant vested in full on June 19, 2021, the first anniversary of the grant date, and will be settled in shares of the Company's common stock upon a separation from service with the Company On June 25, 2021, the Company granted a total of 81,160 restricted stock units (20,290 each) under the Equity Plan to the Company’s four independent directors. These restricted stock units will vest in full on June 25, 2022, the first anniversary of the grant date, and will be settled in shares of the Company's common stock upon a separation from service with the Company During the years ended December 31, 2021, December 31, 2020 and December 31, 2019, 137,820, 67,480 and 29,200 restricted stock units vested, respectively. The Company recognized stock-based compensation expense of approximately $618 thousand, $699 thousand and $564 thousand for the years ended December 31, 2021, December 31, 2020 and December 31, 2019, respectively. In addition, the Company had unamortized compensation expense of $211 thousand and $619 thousand for equity awards at December 31, 2021 and December 31, 2020, respectively. Holders of restricted stock units are entitled to receive dividends (or dividend equivalent payments) and distributions that become payable on the restricted stock units during the restricted period. Dividend equivalent payments allocable to restricted stock units 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 stock units 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 stock units awarded when vested, subject to the grantee's continuing to provide services to the Company as of the vesting date. Unvested restricted stock units and rights to dividends thereon are forfeited upon termination of the grantee. The following is a summary of restricted stock units vesting dates as of December 31, 2021 and December 31, 2020: December 31, 2021 December 31, 2020 Vesting Date Shares Vesting Shares Vesting March 2021 — 36,000 June 2021 — 130,365 March 2022 36,000 36,000 June 2022 81,160 — 117,160 202,365 The following table presents information with respect to the Company's restricted stock units for the years ended December 31, 2021 and December 31, 2020: December 31, 2021 December 31, 2020 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Restricted Stock Units Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 1,025,542 $ 14.10 894,289 $ 15.76 Granted (2) 148,138 5.07 131,253 2.79 Cancelled/forfeited (25,455) 2.75 — — Outstanding at end of period 1,148,225 $ 13.19 1,025,542 $ 14.10 Unvested at end of period 117,160 $ 5.62 202,365 $ 5.50 (1) The grant date fair value of restricted stock unit awards is based on the closing market price of the Company's common stock at the grant date. (2) Includes 66,978 shares and 3,978 restricted stock units attributed to dividends on restricted stock units for the years ended December 31, 2021 and December 31, 2020, respectively. |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2021 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity | Stockholders' Equity At-The-Market Program In March 2017, the Company entered into an equity distribution agreement with JMP Securities LLC, which was amended on June 5, 2020, under which the Company may offer and sell up to $100.0 million shares of common stock in an At-The-Market equity offering. During the year ended December 31, 2021, the Company did not sell shares under this agreement. During the year ended December 31, 2020, the Company sold 6,034,741 shares under the agreement with an average price of $3.70,for total net proceeds of approximately $22.0 million. Stock Repurchase Program In December 2021, The Company extended its share repurchase program as authorized by its Board of Directors. Under the extended program, the Company is permitted to repurchase up to 3,000,000 shares of its common stock through December 31, 2023. The previous authorization expired on December 31, 2021. Any 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 Commission Act of 1934, as amended. The authorization does not obligate the Company to acquire any particular amount of common shares, or any shares at all, and the program may be suspended or discontinued at the Company's discretion without prior notice. In the fourth quarter of 2021, the Company repurchased 479,808 shares of common stock with a weighted average price of $2.27. The repurchased stock was not retired and will be accounted for as treasury stock. Convertible Notes Exchange On July 1, 2020, the Company issued an aggregate of 1,354,084 shares of its common stock in exchange for $5.0 million aggregate principal amount of its 2022 Notes. See Note 7 - "Financings" for additional information related to the Exchange Agreement. Dividends To preserve liquidity, the Company suspended its common stick dividend during the first and second quarter of 2020 given extraordinary market volatility driven by uncertainty surrounding the COVID-19 pandemic. Begining in the third quarter of 2020, the Company resumed payment of the quarterly dividend after making progress strengthening its balance sheet and improving liquidity and earnings power of its investment portfolio. 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 2021 December 21, 2021 December 31, 2021 January 26, 2022 $ 0.06 Not yet determined (1) September 23, 2021 October 4, 2021 October 26, 2021 $ 0.06 Return of capital June 22, 2021 July 2, 2021 July 26, 2021 $ 0.06 Return of capital March 23, 2021 April 2, 2021 April 26, 2021 $ 0.06 Return of capital 2020 December 17, 2020 December 28, 2020 January 26, 2021 $ 0.06 Return of capital (2) September 22, 2020 October 2, 2020 October 26, 2020 $ 0.05 Return of capital (1) The cash distributions made on January 26, 2022, with a record date of December 31, 2021, are treated as received by stockholders on January 26, 2022 and taxable in calendar year 2022. The tax characterization of these distributions will be determined in January 2023. (2) The cash distributions made on January 26, 2021, with a record date of December 28, 2020, were treated as received by stockholders on January 26, 2021 and taxable in calendar year 2021 as return of capital. |
Net Income (Loss) per Common Sh
Net Income (Loss) per Common Share | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
Net Income (loss) per Common Share | Net Income (Loss) per Common Share The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the years ended December 31, 2021, December 31, 2020 and December 31, 2019 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2021 For the year ended December 31, 2020 For the year ended December 31, 2019 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ (48,953) $ (328,354) $ 70,699 Less: Dividends and undistributed earnings allocated to participating securities 89 36 303 Net income (loss) allocable to common stockholders—basic and diluted $ (49,042) $ (328,390) $ 70,396 Denominator : Weighted average common shares outstanding for basic earnings per share 60,747,137 57,411,384 51,278,932 Weighted average common shares outstanding for diluted earnings per share 60,747,137 57,411,384 51,278,932 Basic earnings (loss) per common share $ (0.81) $ (5.72) $ 1.37 Diluted earnings (loss) per common share $ (0.81) $ (5.72) $ 1.37 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders and satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income and stock ownership tests. Based on the Company's analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of December 31, 2021. The Company files U.S. federal and state income tax returns. As of December 31, 2021, U.S. federal tax returns filed by the Company for 2020, 2019 and 2018 and state tax returns filed for 2020, 2019, 2018, 2017 and 2016 are open for examination pursuant to relevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company's policy is to classify them as a component of its provision for income taxes. Income Tax Provision Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more TRS. Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. For the years ended December 31, 2021, December 31, 2020 and December 31, 2019, the Company recorded a federal and state tax provision of approximately $99 thousand, $396 thousand, and $1.1 million, respectively. The following table summarizes the Company's income tax provision for the years ended December 31, 2021, December 31, 2020 and December 31, 2019 (dollars in thousands): For the year ended December 31, 2021 For the year ended December 31, 2020 For the year ended December 31, 2019 Current Tax Provision (Benefit) Federal $ 55 $ 527 $ 860 State 44 (452) 197 Total Current Provision for Income Taxes, net 99 75 1,057 Deferred Provision (Benefit) for Income Taxes Federal — (85) — State — 406 — Total Deferred Benefit for Income Taxes, net — 321 — Total Income Tax Provision, net $ 99 $ 396 $ 1,057 Deferred Tax Asset and Deferred Tax Liability As of December 31, 2021 and December 31, 2020, the Company recorded a deferred tax asset of approximately $13.0 million and $21.0 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 full valuation allowance. In addition, the REIT generated net operating losses ("NOLs") during the year ended December 31, 2021 related to ordinary losses on its MBS portfolio and it generated NOLs for the years ended December 31, 2020 and December 31, 2017, related to its swap terminations, and for its California return a portion of the NOLs is apportioned to the TRS. The Company recorded a deferred state tax asset of $18.6 million and $19.3 million in the REIT and $2.0 million and $2.1 million in the TRS as of December 31, 2021 and December 31, 2020, respectively. The TRS can carryback the NOLs generated during the years ended December 31, 2020 and December 31, 2017 to each of the two preceding years to request a refund for taxes paid. As of December 31, 2021 and December 31, 2020, the Company has concluded it is more likely than not the deferred tax asset relating to the NOLs will not be realized and it has recorded a combined valuation allowance of $20.6 million and $21.4 million, respectively. The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2021 and 2020 (dollars in thousands): Deferred Tax Asset December 31, 2021 December 31, 2020 Net operating loss available for carry-back and carry-forward (1) $ 20,637 $ 21,402 Net capital loss carry-forward (1) 11,072 11,966 Investments 1,972 9,061 Deferred tax asset 33,681 42,429 Allowance (33,681) (42,429) Net deferred tax asset $ — $ — Deferred Tax Liability December 31, 2021 December 31, 2020 Net operating loss available for carry-back and carry-forward $ — $ 85 Net deferred tax liability $ — $ 85 (1) Net operating loss available for carry-forward begin to expire in 2037. Net capital loss available for carry-forward begin to expire in 2022. Reconciliation of Tax Rate to Effective Tax Rate T he Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows: For the year ended December 31, 2021 For the year ended December 31, 2020 Federal statutory rate 21.0 % 21.0 % State statutory rate, net of federal benefit (4.4) % 1.5 % Other 0.2 % — % Change in valuation allowance 13.8 % (4.4) % REIT earnings not subject to corporate taxes (30.8) % (18.2) % Effective Tax Rate (0.2) % (0.1) % |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Contingencies From time to time, the Company may become involved in various claims, regulatory actions and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at December 31, 2021 and December 31, 2020, respectively . |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Residential Mortgage-Backed Notes In February 2022, the Company completed its third securitization of $432.0 million of Residential Whole Loans, issuing $398.9 million of mortgage back notes, The mortgage backed notes were issued by Arroyo Mortgage Trust 2022-1 in five classes with a weighted average fixed interest rate of approximately 3.1% per annum. Commercial Real Estate Owned |
Schedule IV - Mortgage Loans on
Schedule IV - Mortgage Loans on Real Estate | 12 Months Ended |
Dec. 31, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule IV - Mortgage Loans on Real Estate | $ in thousands Description Number of Interest Maturity Periodic Payment Terms (1) Prior Face Carrying Amount of Mortgages (4) Principal Residential Whole-Loans and Bridge Loans Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 434 Hybrid ARM 2.5% to 6.4% 11/01/2041 to 11/01/2051 P&I $ — $ 65,285 $ 68,209 $ — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 656 Hybrid ARM 2.7% to 5.9% 11/01/2034 to 02/01/2055 P&I — 213,403 222,038 769 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 237 Hybrid ARM 2.5% to 6.3% 04/01/2043 to 11/01/2051 P&I — 133,682 138,503 1,115 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 100 Hybrid ARM 3.4% to 6.2% 05/01/2043 to 11/01/2051 P&I — 79,399 82,331 790 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 35 Hybrid ARM 3.5% to 5.8% 09/01/2043 to 11/01/2051 P&I — 35,905 37,080 989 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 22 Hybrid ARM 3.4% to 5.6% 12/01/2041 to 11/01/2051 P&I — 27,586 28,451 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 17 Hybrid ARM 2.9% to 6.1% 05/01/2044 to 09/01/2051 P&I — 30,896 32,043 1,557 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 232 Fixed 3.7% to 7.1% 07/01/2026 to 11/01/2051 P&I — 35,329 36,951 229 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 301 Fixed 2.9% to 7.2% 09/01/2026 to 11/01/2051 P&I — 106,453 109,780 2,064 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 181 Fixed 2.5% to 6.1% 11/01/2033 to 11/01/2055 P&I — 106,729 109,372 1,625 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 78 Fixed 2.9% to 6.4% 11/01/2033 to 11/01/2051 P&I — 66,170 67,992 805 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 31 Fixed 2.9% to 5.9% 04/01/2048 to 11/01/2051 P&I — 33,311 34,236 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 22 Fixed 2.7% to 6.3% 02/01/2036 to 11/01/2051 P&I — 28,497 29,285 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 15 Fixed 3.1% to 5.7% 10/01/2048 to 11/01/2051 P&I — 26,498 27,231 2,271 $ in thousands Description Number of Interest Maturity Periodic Payment Terms (1) Prior Face Carrying Amount of Mortgages (4) Principal Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $0 - $249,999 3 Fixed 9.8% to 12.3% 11/01/2019 to 12/31/2021 Interest Only (2) — 324 400 144 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 1 Fixed 11.3% 12/31/2021 Interest Only (2) — 420 378 420 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 3 Fixed 8.5% to 10% 12/31/2021 to 01/01/2022 Interest Only (2) — 2,670 2,473 1,821 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 1 Fixed 9% 12/31/2021 Interest Only (2) — 1,125 1,012 1,125 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 1 Fixed 10.8% 12/31/2021 Interest Only (2) — 1,295 1,165 1,295 Total Residential Whole-Loans and Bridge Loans $ — $ 994,977 $ 1,028,930 $ 17,019 Commercial Loans Commercial Loan Held in Securitization Trust Original Loan Balance $32,000,000 1 LIBOR + 4.1% 07/06/2022 Interest Only (3) $ — $ 14,362 $ 14,362 $ — Commercial Loan Original Loan Balance $90,000,000 1 LIBOR + 9.25% 06/29/2021 Interest Only (3) — 90,000 29,113 90,000 Commercial Loan Original Loan Balance $40,000,000 1 LIBOR + 3.02% 08/06/2022 Interest Only (3) — 38,367 38,267 — Commercial Loan Original Loan Balance $13,206,521 1 LIBOR + 3.75% 11/06/2022 Interest Only (3) — 13,207 13,033 — Commercial Loan Original Loan Balance $24,534,783 1 LIBOR + 3.75% 11/06/2022 Interest Only (3) — 24,535 24,212 — Commercial Loan Original Loan Balance $7,258,696 1 LIBOR + 3.75% 11/06/2022 Interest Only (3) — 7,259 7,163 — Commercial Loan Original Loan Balance $4,425,400 1 LIBOR + 4.85% 12/06/2022 Interest Only (3) — 4,429 4,422 — Total Commercial Loans $ — $ 192,159 $ 130,572 $ 90,000 Securitized Commercial Loans Commercial Loan Held in Securitization Trust Original Loan Balance $1,400,000,000 1 Fixed 4.38% 09/15/2025 Interest Only (3) — 1,385,591 1,355,808 — Total Securitized Commercial Loans $ — $ 1,385,591 $ 1,355,808 $ — Total Residential and Commercial Loans $ — $ 2,572,727 $ 2,515,310 $ 107,019 (1) Principal and interest ("P&I") (2) Residential Bridge Loans are mainly interest only loans with a balloon payment at maturity. (3) The borrower may prepay the commercial loan in whole or in part at any time in accordance with the terms of the loan agreement. (4) The carrying value of the reflects the fair value of the mortgage loans. Reconciliation of Carrying Value of Mortgage Loans on Real Estate: 2021 2020 2019 Beginning balance $ 2,938,556 $ 2,691,532 $ 2,493,238 Additions during period: New mortgage loans 427,848 113,340 2,042,587 Unrealized gains 100,598 — 21,291 Realized gains 35 — — Capitalized interest 485 829 — Mortgage loan of consolidated VIE — 1,245,287 — Deductions during period: Collections of principal 872,612 713,854 1,853,630 Transfer to REO 30,751 419 5,029 Amortization of premium and (discounts), net (15,053) (4,805) 5,247 Unrealized losses 63,661 97,089 1,191 Sales of mortgage loans — 144,259 — Realized losses 241 10,812 487 Mortgage loan of deconsolidated VIE — 150,804 — Balance at end of period $ 2,515,310 $ 2,938,556 $ 2,691,532 |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The accompanying financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America ("GAAP"). The consolidated financial statements include the accounts of the Company, its wholly-owned and majority owned subsidiaries and VIEs in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation. |
Variable Interest Entity | Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required. |
Use of Estimates | Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. |
Earnings (Loss) per share | Earnings (Loss) Per Share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. |
Offering Costs | Offering Costs |
Cash and Cash Equivalents | Cash and Cash Equivalents The Company considers all highly liquid short-term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. |
Restricted Cash | Restricted Cash Restricted cash represents cash held by the trustee or servicer for mortgage escrows in connection with the Company's securitized loan and commercial loan investments held in its consolidated VIEs. These escrows consist of principal and interest escrows, capital improvement reserves, repair reserves, real estate tax and insurance reserves and tenant reserves. The corresponding liability is recorded in "Other liabilities" in the Consolidated Balance Sheets. The restricted cash is not available for general corporate use. |
Valuation of financial instruments | Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I — Quoted prices in active markets for identical assets or liabilities. Level II — Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3 - "Fair Value of Financial Instruments." |
Mortgage-Backed Securities and Other Securities | Mortgage-Backed Securities and Other Securities |
Residential Whole-Loans, Residential Bridge Loans, Securitized Commercial Loans, Commercial Loans | Residential Whole Loans Investments in Residential Whole Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825 for our entire Residential Whole-Loan portfolio. Residential Whole Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring Residential Whole Loans or committing to purchase these loans are charged to expense as incurred. Residential Bridge Loans For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount. Commencing with purchases on October 25, 2017, the Company decided to elect the fair value option pursuant to ASC 825 to be consistent with the accounting of its' other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net." Commercial Loans Investments in Commercial Loans, which are comprised of first lien commercial mortgage loans and commercial mezzanine loans, are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to make the fair value election pursuant to ASC 825 for its Commercial Loan portfolio. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring the Commercial Loans or committing to purchase these loans are charged to expense as incurred. |
Credit Loss on Investments | Credit Loss on Investments The Company’s loan investments are typically collateralized by real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company elected the Fair Value Option for all of its investments and accordingly it does not apply the expected loss model in accordance with ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments ("CECL") instead the Company records changes in fair value of these investment in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." |
Real Estate Owned | Real Estate OwnedREO represents real estate property acquired by the Company through foreclosure and it is classified as held for sale. Upon completion of the foreclosure, the Company initially records the REO at fair value less estimated costs to sell the property. In subsequent periods, REO is reported at the lower of the current carrying amount or fair value less estimated selling costs and it is classified in "Other assets" in the Consolidated Balance Sheets. Gains/losses recognized on foreclosure as well as realized gains/losses on the disposition of REO are reported by the Company in "Realized gain (loss), net" in the Consolidated Statements of Operations. |
Interest Income Recognition | Interest Income Recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest," using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. For the purposes of calculating interest income, to ensure that a projected credit loss of a security does not impact the effective yield and interest income the Company maintains a “shadow allowance” account. The Company uses the shadow allowance to create a management basis. The management basis which is the difference between the net present value of projected cash flows less shadow allowance amount. The shadow allowance and the management basis are operational accounts that are used solely for the purposes of determining and calculating accretable yield and accretable book value and are not recorded in the Company's consolidated financial statements. The management basis is limited to a fair market value of the investment. Actual realized loss on a security is recorded as a reduction in both the management basis and the amortized cost basis. Interest income is computed using the amortized basis as the reference amount and applying the yield calculated using management basis. Loan Portfolio |
Purchases and Sales of Investments | Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. |
Due From Counterparties/Due To Counterparties | Due From Counterparties / Due To Counterparties "Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or futures contracts, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. Daily variation margin on only the Company's centrally cleared derivatives was treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets. |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company as part of its hedging strategy, we may enter into interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and forwards to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company accounts for variation margins as partial settlement of the respective derivative asset or liability that will result in realized gains or losses on the derivative contract in the Consolidated Statement of Operation. The cash payments for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows have been altered from that of the underlying mortgage collateral. Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. |
Repurchase Agreements and Reverse Repurchase Agreements | Repurchase Agreements and Reverse Repurchase Agreements Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet all the criteria for sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements is recorded as interest expense. The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager’s view terminating the outstanding repurchase agreement is not in the Company’s best interest. Cash paid to the borrower is recorded in the Company’s Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties." The Company establishes haircuts to ensure the market value of the |
Convertible Senior Unsecured Notes | Convertible Senior Unsecured Notes Convertible senior unsecured notes include unsecured convertible debt that is carried at its unpaid principal balance, net of any unamortized deferred issuance costs, in the Company’s Consolidated Balance Sheets. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. ASC 470-20 "Debt-Debt with Conversion and Other Options" requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component will reflect the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the life of the notes. |
Share-based compensation | Share-based Compensation |
Income taxes | Income Taxes The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact in the Company’s results of operations and amounts available for distribution to stockholders. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company’s taxable income as opposed to net income reported in the Consolidated Statements of Operations. Taxable income, generally, will differ from net income reported in the Consolidated Statements of Operations because the determination of taxable income is based on tax regulations and not GAAP. From time to time the Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS is subject to U.S. federal, state and local corporate income taxes, and its value, along with all other TRS's, may not exceed 20% of the value of the Company. If the TRS generates net income it may declare dividends to the Company, which will be included in the Company’s taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2021, the Company has a single wholly-owned subsidiary which it has elected to treat as a domestic TRS. |
Comprehensive Income (Loss) | Comprehensive Income (Loss) The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented. |
Recently adopted accounting pronouncements | Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this update clarified the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815. January 1, 2021 The adoption of this standard did not have a material impact on the consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. January 1, 2022. The Company evaluated the impact this standard may have on its consolidated financial statements and does not believe it will have a material impact on its financial statements due to the limited nature of such transactions. In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this update provided optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. In January 2021, the FASB issued ASU 2021-01, "Reference Rate Reform (Topic 848)." The amendments in this Update clarify that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. March 12, 2020 through December 31, 2022 The Company may elect to adopt the amendments in ASU 2020-04 and ASU 2021-1 at any time after March 12, 2020 but not later than December 31, 2022. Currently, the Company's contracts that are referenced to LIBOR have not been affected by the amendments in these updates. The Company is in the process of evaluating the guidance and the other optional expedients, and the effect on the company's financial statements has not yet been determined. |
Basis of Presentation and Sum_3
Basis of Presentation and Summary of Significant Accounting Policies (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Schedule of New Accounting Pronouncements and Changes in Accounting Principles | Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this update clarified the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815. January 1, 2021 The adoption of this standard did not have a material impact on the consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. January 1, 2022. The Company evaluated the impact this standard may have on its consolidated financial statements and does not believe it will have a material impact on its financial statements due to the limited nature of such transactions. In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this update provided optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. In January 2021, the FASB issued ASU 2021-01, "Reference Rate Reform (Topic 848)." The amendments in this Update clarify that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. March 12, 2020 through December 31, 2022 The Company may elect to adopt the amendments in ASU 2020-04 and ASU 2021-1 at any time after March 12, 2020 but not later than December 31, 2022. Currently, the Company's contracts that are referenced to LIBOR have not been affected by the amendments in these updates. The Company is in the process of evaluating the guidance and the other optional expedients, and the effect on the company's financial statements has not yet been determined. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of the entity's financial instruments carried at fair value based upon the balance sheet by the valuation hierarchy | The following tables present the Company's financial instruments carried at fair value as of December 31, 2021 and December 31, 2020, based upon the valuation hierarchy (dollars in thousands): December 31, 2021 Fair Value Assets Level I Level II Level III Total Agency RMBS Interest-Only Strips $ — $ — $ 114 $ 114 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 1,058 1,058 Subtotal Agency MBS — — 1,172 1,172 Non-Agency CMBS — 99,630 5,728 105,358 Non-Agency RMBS — 25,652 — 25,652 Non-Agency RMBS Interest-Only Strips — — 2,117 2,117 Subtotal Non-Agency MBS — 125,282 7,845 133,127 Other securities — 51,648 — 51,648 Total mortgage-backed securities and other securities — 176,930 9,017 185,947 Residential Whole Loans — — 1,023,502 1,023,502 Residential Bridge Loans — — 5,428 5,428 Commercial loans — — 130,572 130,572 Securitized commercial loans — — 1,355,808 1,355,808 Derivative assets — 105 — 105 Total Assets $ — $ 177,035 $ 2,524,327 $ 2,701,362 Liabilities Derivative liabilities $ — $ 602 $ — $ 602 Securitized debt — 1,329,451 14,919 1,344,370 Total Liabilities $ — $ 1,330,053 $ 14,919 $ 1,344,972 December 31, 2020 Fair Value Assets Level I Level II Level III Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ 143 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 1,565 1,565 Subtotal Agency MBS — — 1,708 1,708 Non-Agency CMBS — 155,093 8,988 164,081 Non-Agency RMBS — — 21,416 21,416 Non-Agency RMBS Interest-Only Strips — — 3,965 3,965 Subtotal Non-Agency MBS — 155,093 34,369 189,462 Other securities — 40,161 8,593 48,754 Total mortgage-backed securities and other securities — 195,254 44,670 239,924 Residential Whole Loans — — 1,008,782 1,008,782 Residential Bridge Loans — 12,813 12,813 Commercial loans — — 310,523 310,523 Securitized commercial loan — — 1,605,335 1,605,335 Derivative assets — 161 — 161 Total Assets $ — $ 195,415 $ 2,982,123 $ 3,177,538 Liabilities Derivative liabilities $ — $ 656 $ — $ 656 Securitized debt — 1,538,304 15,418 1,553,722 Total Liabilities $ — $ 1,538,960 $ 15,418 $ 1,554,378 |
Summary of quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments | The following tables present a summary of 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 December 31, 2021 and December 31, 2020 (dollars in thousands). Fair Value at Range December 31, 2021 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans $ 1,023,502 Discounted Cash Flow Market Discount Rate 2.6 % 7.5 % 3.5 % Weighted Average Life 1.4 8.9 3.1 Residential Bridge Loans $ 5,428 Discounted Cash Flow Market Discount Rate 9.8 % 23.1 % (1) 17.2 % Weighted Average Life 0.3 3.6 2.4 Commercial Loans $ 130,572 Discounted Cash Flow Market Discount Rate 4.5 % 21.7 % 9.3 % Weighted Average Life 0.5 2.8 1.2 Fair Value at Range December 31, 2020 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans $ 1,008,782 Discounted Cash Flow Market Discount Rate 2.1 % 7.5 % 4.1 % Weighted Average Life 1.5 8.4 2.9 Residential Bridge Loans $ 12,813 Discounted Cash Flow Market Discount Rate 8.0 % 35.2 % (1) 18.0 % Weighted Average Life 0.3 2.6 1.3 Commercial Loans: $ 310,523 Discounted Cash Flow Market Discount Rate 6.3 % 18.4 % 10.5 % Weighted Average Life 0.5 1.9 0.7 |
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 (dollars in thousands) : Year ended December 31, 2021 Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized Beginning balance $ 1,708 $ 34,369 $ 8,593 $ 1,008,782 $ 12,813 $ 310,523 $ 1,605,335 $ 15,418 Transfers into Level III from Level II — 5,683 — — — — — — Transfers from Level III into Level II — (32,471) (10,306) — — — — — Purchases — — — 422,041 — — — — Transfers to REO — — — — (752) (30,000) — — Loan modifications / capitalized interest — — — 486 — — — — Principal repayments — (256) — (401,075) (7,312) (103,285) (354,202) — Total net gains/losses included in net income Realized gains/(losses), net on assets — — — — (206) — — — Unrealized gains/(losses), net on assets (1) (206) 698 1,657 2,354 907 (46,813) 79,972 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 4,056 Premium and discount amortization, net (330) (178) 56 (9,086) (22) 147 24,703 (4,555) Ending balance $ 1,172 $ 7,845 $ — $ 1,023,502 $ 5,428 $ 130,572 $ 1,355,808 $ 14,919 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (206) $ (1,173) $ — $ 5,795 $ 149 $ (50,034) $ 64,973 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (3,603) Year ended December 31, 2020 Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Commercial Loans Securitized Debt Beginning balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — (6,482) — — — — — Purchases — — — 92,822 — — — — Sales and settlements (11,529) (12,658) — (144,259) — — — — Transfers to REO — — — — (419) — — — VIE consolidation — — — — — — 1,245,287 17,960 VIE deconsolidation — 6,852 — — — — (150,804) — Loan modifications / capitalized interest — — — 779 — 49 — — Principal repayments — (710) (154) (278,316) (19,105) (44,819) (349,609) — Total net gains / (losses) included in net income Realized gains/(losses), net on assets 1,528 (60) — (10,511) (373) — — — Unrealized gains/(losses), net on assets (1) (2,609) (4,013) (1,949) (23,094) (499) (15,282) (58,421) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (887) Premium and discount amortization, net (1,597) (856) (18) (4,499) (60) 362 9,842 (2,712) Ending balance $ 1,708 $ 34,369 $ 8,593 $ 1,008,782 $ 12,813 $ 310,523 $ 1,605,335 $ 15,418 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (616) $ (3,783) $ (599) $ (14,807) $ (881) $ (15,282) $ 746 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 887 (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. |
Schedule of other fair value disclosures | The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value, as of December 31, 2021 and December 31, 2020, in the consolidated financial statements (dollars in thousands): December 31, 2021 December 31, 2020 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans N/A N/A $ 1,103 $ 1,095 Total $ — $ — $ 1,103 $ 1,095 Liabilities Borrowings under repurchase agreements $ 617,189 $ 617,794 $ 356,923 $ 359,799 Convertible senior unsecured notes 119,168 122,133 170,797 155,129 Securitized debt (1) 524,649 528,046 899,207 922,362 Total $ 1,261,006 $ 1,267,973 $ 1,426,927 $ 1,437,290 (1) For the year ended December 31, 2021, the remianing nine residential bridge loans left in the portfolio were all carried at fair value. (2) Carrying value excludes $5.5 million and $6.9 million of deferred financing costs as of December 31, 2021 and December 31, 2020, respectively. |
Mortgage-Backed Securities an_2
Mortgage-Backed Securities and other securities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of certain information about the Company's investment portfolio | The following tables present certain information about the Company's investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Principal Unamortized Amortized Unrealized Unrealized Loss Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 59 $ 55 $ — $ 114 1.3 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 1,058 1.3 % Total Agency MBS — — 59 55 — 1,172 1.3 % Non-Agency RMBS 36,147 (13,936) 22,211 3,476 (35) 25,652 4.3 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 5,608 — (3,491) 2,117 0.3 % Subtotal Non-Agency RMBS 36,147 (13,936) 27,819 3,476 (3,526) 27,769 1.0 % Non-Agency CMBS 179,619 (13,088) 166,531 1,543 (62,716) 105,358 5.4 % Total Non-Agency MBS 215,766 (27,024) 194,350 5,019 (66,242) 133,127 3.0 % Other securities (3) 51,159 (8,229) 47,652 4,209 (213) 51,648 5.6 % Total $ 266,925 $ (35,253) $ 242,061 $ 9,283 $ (66,455) $ 185,947 3.2 % December 31, 2020 Principal Unamortized Amortized Unrealized Gain Unrealized Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 89 $ 54 $ — $ 143 2.1 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 1,565 2.6 % Total Agency MBS — — 89 54 — 1,708 2.5 % Non-Agency RMBS 38,112 (14,649) 23,463 451 (2,498) 21,416 1.6 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 6,271 — (2,306) 3,965 0.4 % Subtotal Non-Agency RMBS 38,112 (14,649) 29,734 451 (4,804) 25,381 0.6 % Non-Agency CMBS 235,497 (25,258) 210,239 2,850 (49,008) 164,081 5.0 % Total Non-Agency MBS 273,609 (39,907) 239,973 3,301 (53,812) 189,462 2.4 % Other securities (3) 51,537 (8,239) 49,420 1,152 (1,818) 48,754 4.4 % Total $ 325,146 $ (48,146) $ 289,482 $ 4,507 $ (55,630) $ 239,924 2.5 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At December 31, 2021, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.9 million, $181.0 million and $16.8 million, respectively. At December 31, 2020, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs and Agency RMBS IOs and IIOs accounted for as derivatives was $3.7 million, $306.0 million and $21.6 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 $4.7 million and $6.1 million, as of December 31, 2021 and December 31, 2020, respectively. (4) The calculation of the weighted average coupon rate includes the weighted average coupon rates of IOs and IIOs accounted for as derivatives using their notional amounts. |
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities | The following table presents the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the year ended December 31, 2019 (dollars in thousands): Discount Designated as Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (53,523) $ (29,465) $ 14,928 Accretion of discount — 4,364 — Amortization of premium — — (1,215) Realized credit losses 7,290 — — Purchases (28) (7,953) 819 Sales 26,706 — (19,640) Net impairment losses recognized in earnings (6,612) — — Transfers/release of credit reserve (2) (22,308) 2,889 19,419 Balance at end of period $ (48,475) -48475000 $ (30,165) $ 14,311 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security's non-accretable discount results in a corresponding reduction in its amortizable premium. |
Schedule of the fair value and contractual maturities of the Company's investment securities | The following tables present the fair value and contractual maturities of the Company's investment securities at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 114 $ — $ 114 Agency RMBS Interest-Only Strips, accounted for as derivatives — 1,058 — — 1,058 Subtotal Agency — 1,058 114 — 1,172 Non-Agency CMBS 66,384 17,644 21,171 159 105,358 Non-Agency RMBS — — 10,282 15,370 25,652 Non-Agency RMBS Interest-Only Strips — — 106 2,011 2,117 Subtotal Non-Agency 66,384 17,644 31,559 17,540 133,127 Other securities 9,255 4,266 25,653 12,474 51,648 Total $ 75,639 $ 22,968 $ 57,326 $ 30,014 $ 185,947 December 31, 2020 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ — $ 143 Agency RMBS Interest-Only Strips, accounted for as derivatives — 1,565 — — 1,565 Subtotal Agency — 1,565 143 — 1,708 Non-Agency CMBS 59,724 50,408 53,269 680 164,081 Non-Agency RMBS — — 7,958 13,458 21,416 Non-Agency RMBS Interest-Only Strips — — 472 3,493 3,965 Subtotal Non-Agency 59,724 50,408 61,699 17,631 189,462 Other securities 7,247 6,203 24,610 10,694 48,754 Total $ 66,971 $ 58,176 $ 86,452 $ 28,325 $ 239,924 |
Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position | The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ — $ — — $ 96,080 $ (62,716) 16 $ 96,080 $ (62,716) 16 Non-Agency RMBS — — — 201 (35) 1 201 (35) 1 Non-Agency RMBS Interest-Only Strips — — — 2,117 (3,491) 4 2,117 (3,491) 4 Subtotal Non-Agency — — — 98,398 (66,242) 21 98,398 (66,242) 21 Other securities — — — 9,022 (213) 4 9,022 (213) 4 Total $ — $ — — $ 107,420 $ (66,455) 25 $ 107,420 $ (66,455) 25 December 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 102,935 $ (33,602) 16 $ 50,887 $ (15,406) 15 $ 153,822 $ (49,008) 31 Non-Agency RMBS 18,242 (2,498) 4 — — — 18,242 (2,498) 4 Non-Agency RMBS Interest-Only Strips 3,492 (790) 3 472 (1,516) 1 3,964 (2,306) 4 Subtotal Non-Agency 124,669 (36,890) 23 51,359 (16,922) 16 176,028 (53,812) 39 Other securities 26,365 (1,818) 6 — — — 26,365 (1,818) 6 Total $ 151,034 $ (38,708) 29 $ 51,359 $ (16,922) 16 $ 202,393 $ (55,630) 45 |
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 prior to the adoption of CECL (dollars in thousands): For the year ended December 31, 2019 Agency RMBS (1) $ 74 Non-Agency RMBS 1,331 Non-Agency CMBS 6,565 Other securities 604 Total $ 8,574 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that the Company 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 table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2021, December 31, 2020 and December 31, 2019, respectively (dollars in thousands): For the year ended December 31, 2021 For the year ended December 31, 2020 For the year ended December 31, 2019 Coupon Net (Premium Interest Coupon Net (Premium Interest Coupon Net (Premium Interest Agency CMBS $ — $ — $ — $ 11,336 $ (636) $ 10,700 $ 51,286 $ (2,327) $ 48,959 Agency RMBS 47 (30) 17 2,975 (987) 1,988 12,181 (3,053) 9,128 Non-Agency CMBS 9,874 6,535 16,409 15,331 6,467 21,798 14,178 4,017 18,195 Non-Agency RMBS 2,127 (670) 1,457 2,732 (1,193) 1,539 4,682 (2,214) 2,468 Other securities 4,685 (1,574) 3,111 8,263 (4,781) 3,482 11,633 (6,472) 5,161 Total $ 16,733 $ 4,261 $ 20,994 $ 40,637 $ (1,130) $ 39,507 $ 93,960 $ (10,049) $ 83,911 |
Schedule of sales and realized gains (loss) of the Company's MBS and other securities | The following tables present the sales and realized gains (losses) of the Company's MBS and other securities for the three years ended December 31, 2021, December 31, 2020 and December 31, 2019, respectively (dollars in thousands): For the year ended December 31, 2021 Proceeds Gross Gross Net Non-Agency CMBS $ 27,488 $ — $ (9,266) $ (9,266) Total $ 27,488 $ — $ (9,266) $ (9,266) For the year ended December 31, 2020 Proceeds Gross Gross Net Agency CMBS $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS 400,948 12,552 (506) 12,046 Non-Agency CMBS 111,804 1 (23,624) (23,623) Non-Agency RMBS 12,658 — (60) (60) Other securities 35,957 113 (6,223) (6,110) Total $ 2,229,516 $ 129,129 $ (36,899) $ 92,230 For the year ended December 31, 2019 Proceeds Gross Gross Net Agency CMBS 891,072 32,793 (4,190) 28,603 Agency RMBS $ 205,310 $ 1,559 $ — $ 1,559 Non-Agency CMBS 40,235 317 (1,624) (1,307) Total $ 1,136,617 $ 34,669 $ (5,814) $ 28,855 |
Residential Whole Loans and B_2
Residential Whole Loans and Bridge Loans (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Variable Interest Entities | |
Schedule of the assets and liabilities of the VIE included in the consolidated balance sheets | The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Cash and cash equivalents $ 266 $ — Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) 1,023,502 1,008,782 Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively) 5,207 12,960 Investment related receivable 22,087 27,987 Interest receivable 5,282 4,688 Other assets — 80 Total assets $ 1,056,344 $ 1,054,497 Securitized debt, net $ 519,118 $ 892,290 Interest payable 1,316 2,222 Accounts payable and accrued expenses 69 77 Total liabilities $ 520,503 $ 894,589 December 31, 2021 December 31, 2020 Restricted cash $ 260 $ 76,132 Securitized commercial loans, at fair value 1,355,808 1,605,335 Commercial Loans, at fair value 14,362 68,466 Interest receivable 5,290 6,248 Total assets $ 1,375,720 $ 1,756,181 Securitized debt, at fair value $ 1,344,370 $ 1,553,722 Interest payable 5,164 5,660 Accounts payable and accrued expenses 9 12 Other liabilities 260 76,132 Total liabilities $ 1,349,803 $ 1,635,526 |
Schedule of components of the carrying value of residential whole-loans and securitized commercial loan | The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2021 and December 31, 2020 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Principal balance $ 989,143 $ 984,555 $ 5,834 $ 15,247 Unamortized premium 31,070 24,248 — 3 Unamortized discount (1,337) (1,799) — — Amortized cost 1,018,876 1,007,004 5,834 15,250 Gross unrealized gains 14,190 9,282 78 5 Gross unrealized losses (9,564) (7,504) (484) (1,339) Fair value $ 1,023,502 $ 1,008,782 $ 5,428 $ 13,916 (1) Includes $1.1 million of Residential Bridge Loans carried at amortized cost as of December 31, 2020. |
Schedule of certain information about the residential whole-loans investment portfolio | The following tables present certain information about the Company's Residential Whole Loan investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01% - 3.00% 27 $ 15,640 65.1 % 757 5.3 28.8 2.8 % 3.01% - 4.00% 496 244,022 63.7 % 756 3.3 28.0 3.7 % 4.01% - 5.00% 1,051 413,451 65.1 % 747 2.9 28.2 4.7 % 5.01% - 6.00% 757 305,344 64.9 % 738 3.0 26.8 5.4 % 6.01% - 7.00% 28 10,181 67.9 % 721 3.1 25.8 6.3 % 7.01% - 8.00% 2 505 73.2 % 753 4.5 26.8 7.1 % Total 2,361 $ 989,143 64.8 % 746 3.1 27.7 4.6 % (1) The original FICO score is not available for 230 loans with a principal balance of approximately $74.3 million at December 31, 2021. The Company has excluded these loans from the weighted average computations. December 31, 2020 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01% - 3.00% 4 $ 3,239 66.7 % 733 5.9 28.0 2.7 % 3.01% - 4.00% 118 $ 41,489 55.8 % 709 3.8 23.3 3.7 % 4.01% - 5.00% 1,172 $ 403,398 61.8 % 751 2.7 27.7 4.9 % 5.01% - 6.00% 1,166 $ 523,105 64.2 % 740 2.9 27.7 5.4 % 6.01% - 7.00% 35 $ 12,813 67.5 % 720 3.2 27.0 6.3 % 7.01% - 8.00% 2 511 73.2 % 753 4.1 27.6 7.1 % Total 2,497 $ 984,555 62.9 % 744 2.9 27.5 5.1 % (1) The original FICO score is not available for 236 loans with a principal balance of approximately $75.2 million at December 31, 2020. The Company has excluded these loans from the weighted average computations. |
Schedule of the US states represented in residential whole-loans based on principal balance | The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): December 31, 2021 December 31, 2020 State State Concentration Principal Balance State State Concentration Principal Balance California 73.9 % $ 730,771 California 65.8 % $ 647,877 New York 11.6 % 114,625 New York 17.7 % 173,788 Florida 2.7 % 26,293 Georgia 3.4 % 33,577 Georgia 2.5 % 25,106 Florida 2.8 % 27,274 Texas 1.9 % 19,062 New Jersey 2.5 % 24,704 Other 7.4 % 73,286 Other 7.8 % 77,335 Total 100.0 % $ 989,143 Total 100.0 % $ 984,555 |
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge loans | The following tables present certain information about the remaining Residential Bridge Loans in the Company's investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01% – 9.00% 3 $ 2,946 70.4 % 0.0 8.8 % 9.01% – 11.00% 4 2,393 76.7 % 0.0 10.4 % 11.01% - 13.00% 2 495 69.7 % 0.0 11.4 % Total 9 $ 5,834 72.9 % 0.0 9.7 % December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01% – 9.00% 10 $ 8,295 69.6 % 1.4 8.7 % 9.01% – 11.00% 15 $ 6,123 75.5 % 0.5 10.1 % 11.01% - 13.00% 3 705 69.8 % 0.0 11.4 % 17.01% – 19.00% 1 124 75.0 % 0.0 18.0 % Total 29 $ 15,247 72.0 % 0.8 9.4 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero. |
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans | The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): December 31, 2021 December 31, 2020 State State Concentration Principal Balance State State Concentration Principal Balance New York 45.1 % $ 2,631 California 37.5 % $ 5,713 California 30.1 % 1,754 New York 17.3 % 2,632 Florida 19.3 % 1,125 Washington 16.1 % 2,461 New Jersey 3.7 % 219 Florida 12.9 % 1,969 Pennsylvania 1.8 % 105 Connecticut 5.7 % 872 Other — % — Other 10.5 % 1,600 Total 100.0 % $ 5,834 Total 100.0 % $ 15,247 |
Aging of residential whole loans and bridge loans | The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2021 (dollars in thousands): Residential Whole Loans (1) Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current 2,329 $ 971,790 $ 1,006,271 — $ — $ — 1-30 days 9 3,146 3,285 1 75 76 31-60 days — — — — — — 61-90 days 3 1,993 1,989 2 954 935 90+ days 20 12,214 11,957 6 4,805 4,417 Total 2,361 $ 989,143 $ 1,023,502 9 $ 5,834 $ 5,428 (1) As of December 31, 2021, there were no loans in forbearance. Commercial Loans No of Loans Principal Fair Value Current 6 $ 102,159 $ 101,459 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 29,113 Total 7 $ 192,159 $ 130,572 |
Commercial Loans (Tables)
Commercial Loans (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Noncontrolling Interest [Abstract] | |
Schedule of commercial real estate loans held | Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 3 August 2019 Interest-Only Mezzanine loan $ 90,000 $ 29,113 58% 1-Month LIBOR plus 9.25% 6/29/2021 None (1) Entertainment and Retail CRE 4 September 2019 Interest-Only First Mortgage 38,367 38,267 63% 1-Month LIBOR plus 3.02% 8/6/2022 One-Year Extension Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,212 62% 1-Month LIBOR plus 3.75% 11/6/2022 Two One-Year Extensions Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 13,033 62% 1-Month LIBOR plus 3.75% 11/6/2022 Two One-Year Extensions Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,163 62% 1-Month LIBOR plus 3.75% 11/6/2022 Two One-Year Extensions Hotel CRE 8 December 2019 Interest-Only First Mortgage 4,429 4,422 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living $ 177,797 $ 116,210 (1) CRE 3 is in default and not eligible for extension. Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 14,362 $ 14,362 49% One-Month LIBOR plus 4.10% 7/6/2022 None Nursing Facilities $ 14,362 $ 14,362 |
Schedule of the assets and liabilities of the VIE included in the consolidated balance sheets | The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Cash and cash equivalents $ 266 $ — Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) 1,023,502 1,008,782 Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively) 5,207 12,960 Investment related receivable 22,087 27,987 Interest receivable 5,282 4,688 Other assets — 80 Total assets $ 1,056,344 $ 1,054,497 Securitized debt, net $ 519,118 $ 892,290 Interest payable 1,316 2,222 Accounts payable and accrued expenses 69 77 Total liabilities $ 520,503 $ 894,589 December 31, 2021 December 31, 2020 Restricted cash $ 260 $ 76,132 Securitized commercial loans, at fair value 1,355,808 1,605,335 Commercial Loans, at fair value 14,362 68,466 Interest receivable 5,290 6,248 Total assets $ 1,375,720 $ 1,756,181 Securitized debt, at fair value $ 1,344,370 $ 1,553,722 Interest payable 5,164 5,660 Accounts payable and accrued expenses 9 12 Other liabilities 260 76,132 Total liabilities $ 1,349,803 $ 1,635,526 |
Schedule of Carrying Value of the Commercial Real Estate Loans | The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of December 31, 2021 and December 31, 2020 (dollars in thousands): RETL Trust Securitized Commercial Loan, at Fair Value (1) CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Principal balance $ — $ 354,202 $ 1,385,591 $ 1,385,591 $ 14,362 $ 68,750 $ 177,797 $ 256,694 Unamortized premium — 180 — — — — — — Unamortized discount — — (110,770) (135,653) — (94) — (53) Amortized cost — 354,382 1,274,821 1,249,938 14,362 68,656 177,797 256,641 Gross unrealized gains — — 80,987 16,013 — — — 1 Gross unrealized losses — (14,998) — — — (190) (61,587) (14,585) Fair value $ — $ 339,384 $ 1,355,808 $ 1,265,951 $ 14,362 $ 68,466 $ 116,210 $ 242,057 (1) On September 15, 2021, the commercial loan was paid in full by the borrower and the RETL HRR bond with an outstanding principal amount of $45.3 million held in WMC RETL LLC, a wholly-owned subsidiary of the Company, was paid off. Accordingly, the RETL 2019 Trust is no longer consolidated. |
Aging of residential whole loans and bridge loans | The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2021 (dollars in thousands): Residential Whole Loans (1) Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current 2,329 $ 971,790 $ 1,006,271 — $ — $ — 1-30 days 9 3,146 3,285 1 75 76 31-60 days — — — — — — 61-90 days 3 1,993 1,989 2 954 935 90+ days 20 12,214 11,957 6 4,805 4,417 Total 2,361 $ 989,143 $ 1,023,502 9 $ 5,834 $ 5,428 (1) As of December 31, 2021, there were no loans in forbearance. Commercial Loans No of Loans Principal Fair Value Current 6 $ 102,159 $ 101,459 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 29,113 Total 7 $ 192,159 $ 130,572 |
Financings (Tables)
Financings (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
Summary of certain characteristics of the Company's repurchase agreements | The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Securities Pledged Repurchase Weighted Average Weighted Average Repurchase Weighted Average Weighted Average Short Term Borrowings: Agency RMBS $ 976 1.02 % 58 $ 1,418 1.34 % 59 Non-Agency CMBS — — % 0 10,313 2.25 % 14 Non-Agency RMBS (1) 38,354 2.94 % 4 — — % 0 Residential Whole Loans (2) 1,439 2.57 % 5 29,800 3.71 % 15 Residential Bridge Loans (2) 4,368 2.61 % 5 11,254 2.73 % 36 Commercial Loans (2) 6,463 3.20 % 5 34,375 3.32 % 75 Membership Interest — — % 0 18,844 2.90 % 29 Other securities 2,457 3.50 % 18 2,594 4.51 % 19 Total short term borrowings 54,057 2.92 % 6 108,598 3.19 % 39 Long Term Borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS (1) 59,802 2.14 % 125 66,767 5.23 % 126 Non-Agency RMBS 15,632 2.14 % 125 14,643 5.23 % 126 Other Securities 27,506 2.22 % 125 13,677 5.24 % 126 Subtotal 102,940 2.16 % 125 95,087 5.23 % 126 Residential Whole Loan Facility Residential Whole Loans (2) 396,531 2.25 % 308 30,224 3.00 % 278 Commercial Whole Loan Facility Commercial Loans 63,661 2.27 % 268 124,937 2.17 % 287 Total long term borrowings 563,132 2.24 % 270 250,248 3.74 % 225 Repurchase agreements borrowings $ 617,189 2.30 % 247 $ 358,846 3.57 % 169 Less unamortized debt issuance costs — N/A N/A 1,923 N/A N/A Repurchase agreements borrowings, net $ 617,189 2.30 % 247 $ 356,923 3.57 % 169 (1) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. |
Schedule of repurchase agreements collateralized by investments | At December 31, 2021 and December 31, 2020, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2021 December 31, 2020 1 to 29 days $ 53,081 $ 59,856 30 to 59 days 370 13,421 60 to 89 days 606 35,321 Greater than or equal to 90 days 563,132 250,248 Total $ 617,189 $ 358,846 |
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | At December 31, 2021, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): December 31, 2021 Counterparty Amount of Collateral Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 84,150 280 43.6 % Citigroup Global Markets Inc. 78,544 125 40.7 % |
Summary of collateral positions, with respect to borrowings under repurchase agreements, securitized debt, derivatives and clearing margin account | The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Assets Accrued Assets Pledged Assets Accrued Assets Pledged Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 1,172 $ 19 $ 1,191 $ 1,708 $ 49 $ 1,757 Non-Agency CMBS, at fair value (1) 107,624 504 108,128 152,275 649 152,924 Non-Agency RMBS, at fair value 66,555 343 66,898 25,382 160 25,542 Residential Whole Loans, at fair value (2) 453,447 2,674 456,121 97,566 543 98,109 Residential Bridge Loans (2) 5,207 91 5,298 12,960 180 13,140 Commercial Loans, at fair value (2) 101,459 360 101,819 310,523 1,850 312,373 Membership interest (3) — — — 33,690 — 33,690 Other securities, at fair value 51,648 100 51,748 48,754 44 48,798 Cash (4) 3,151 — 3,151 1,817 — 1,817 Total $ 790,263 $ 4,091 $ 794,354 $ 684,675 $ 3,475 $ 688,150 (1) Includes securities eliminated upon VIE consolidation. (2) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (3) The pledged amount relates to the Company's non-controlling membership interest in its wholly owned subsidiary WMC RETL LLC, which was financed under a repurchase agreement. The membership interest is eliminated in consolidation. (4) 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 at December 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 277,549 3.3% $ 277,549 4/25/2049 Class A-2 14,885 3.5% 14,885 4/25/2049 Class A-3 23,583 3.8% 23,583 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 341,072 $ 341,072 Less: Unamortized Deferred Financing Costs N/A 3,501 Total $ 341,072 $ 337,571 Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 125,469 1.7% $ 125,469 3/25/2055 Class A-1B 14,888 2.1% 14,888 3/25/2055 Class A-2 13,518 2.9% 13,518 3/25/2055 Class A-3 17,963 3.3% 17,963 3/25/2055 Class M-1 11,739 4.3% 11,739 3/25/2055 Subtotal $ 183,577 $ 183,577 Less: Unamortized Deferred Financing Costs N/A 2,030 Total $ 183,577 $ 181,547 The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at December 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 124,143 9/11/2025 Class A-2 531,700 4.0 % 559,447 9/11/2025 Class B 136,400 4.2 % 133,776 9/11/2025 Class C 94,500 4.3 % 91,460 9/11/2025 Class D 153,950 4.4 % 142,388 9/11/2025 Class E 180,150 4.4 % 160,325 9/11/2025 Class F 153,600 4.4 % 117,912 9/11/2025 Class X-1 (1) n/a 0.7 % 12,347 9/11/2025 Class X-2 (1) n/a 0.2 % 2,572 9/11/2025 $ 1,370,691 $ 1,344,370 (1) Class X-1 and Class X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of December 31, 2021, respectively. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Derivative instruments | |
Summary of the entity's derivative instruments | The following table summarizes the Company's derivative instruments at December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 December 31, 2020 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Fair Notional Fair Credit default swaps, asset Non-Hedge Derivative assets, at fair value $ 2,030 $ 105 $ 2,030 $ 161 Total derivative instruments, assets 105 161 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 22,000 (38) — — Credit default swaps, liability Non-Hedge Derivative liability, at fair value 4,140 (564) 4,140 (656) Total derivative instruments, liabilities (602) (656) Total derivative instruments, net $ (497) $ (495) |
Summary of the effect of entity's derivative instruments reported in gain (loss) on derivative instruments, net on the statements of operations | The following table summarizes the effects of the Company's derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the years ended December 31, 2021, December 31, 2020 and December 31, 2019 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return Mark-to-Market Contractual interest Total Year ended December 31, 2021 Interest rate swaps $ — $ 490 $ — $ (38) $ 109 $ 561 Interest-Only Strips—accounted for as derivatives — — (300) (206) 394 (112) Credit default swaps 64 — — 36 — 100 Total $ 64 $ 490 $ (300) $ (208) $ 503 $ 549 Year ended December 31, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions 80 — — — — 80 Interest-Only Strips—accounted for as derivatives (940) — (1,096) (532) 1,324 (1,244) Credit default swaps (9,534) — — (1,834) — (11,368) TBAs (2,430) — — 928 — (1,502) Total $ (13,086) $ (179,759) $ (834) $ (3,953) $ (71) $ (197,703) Year ended December 31, 2019 Interest rate swaps $ (4,978) $ (108,169) $ 5,769 $ 5,140 $ 3,732 $ (98,506) Interest rate swaptions (332) — — — — (332) Interest-Only Strips—accounted for as derivatives — — (2,688) (508) 3,277 81 Options 1,378 — — — — 1,378 Futures contracts (12,862) — — 4,657 — (8,205) Credit default swaps (178) — — 1,029 — 851 TBAs 1,934 — — (928) — 1,006 Total $ (15,038) $ (108,169) $ 3,081 $ 9,390 $ 7,009 $ (103,727) |
Fixed Pay Rate | Interest Rate Swaps | |
Derivative instruments | |
Summary of interest rate swaps or interest rate swaptions | The following table provides additional information on the Company's fixed-pay interest rate swap as of December 31, 2021 (dollars in thousands): December 31, 2021 Fixed Pay Interest Rate Swap Remaining Term Notional Average Fixed Pay Average Floating Receive Average Greater than 5 years $ 22,000 1.2 % 0.05 % 9.8 Total $ 22,000 1.2 % 0.05 % 9.8 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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 December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,058 $ — $ 1,058 $ (1,058) $ — $ — Derivative asset, at fair value (2) 105 — 105 (105) — — Total assets $ 1,163 $ — $ 1,163 $ (1,163) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 602 $ — $ 602 $ (105) $ (497) $ — Repurchase Agreements (4) 617,189 — 617,189 (617,189) — — Total liability $ 617,791 $ — $ 617,791 $ (617,294) $ (497) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps and credit default swaps. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $1.4 million as of December 31, 2021. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $787.1 million as of December 31, 2021 . December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,565 $ — $ 1,565 $ (1,565) $ — $ — Derivative asset, at fair value (2) 161 — 161 (161) — — Total derivative assets $ 1,726 $ — $ 1,726 $ (1,726) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 656 $ — $ 656 $ (161) $ (495) $ — Repurchase Agreements (4) 356,923 — 356,923 (356,923) — — Total liability $ 357,579 $ — $ 357,579 $ (357,084) $ (495) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value credit default swaps. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $510 thousand as of December 31, 2020. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $682.9 million as of December 31, 2020. |
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 December 31, 2021 and December 31, 2020 (dollars in thousands): December 31, 2021 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,058 $ — $ 1,058 $ (1,058) $ — $ — Derivative asset, at fair value (2) 105 — 105 (105) — — Total assets $ 1,163 $ — $ 1,163 $ (1,163) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 602 $ — $ 602 $ (105) $ (497) $ — Repurchase Agreements (4) 617,189 — 617,189 (617,189) — — Total liability $ 617,791 $ — $ 617,791 $ (617,294) $ (497) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps and credit default swaps. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $1.4 million as of December 31, 2021. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $787.1 million as of December 31, 2021 . December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,565 $ — $ 1,565 $ (1,565) $ — $ — Derivative asset, at fair value (2) 161 — 161 (161) — — Total derivative assets $ 1,726 $ — $ 1,726 $ (1,726) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 656 $ — $ 656 $ (161) $ (495) $ — Repurchase Agreements (4) 356,923 — 356,923 (356,923) — — Total liability $ 357,579 $ — $ 357,579 $ (357,084) $ (495) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value credit default swaps. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $510 thousand as of December 31, 2020. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $682.9 million as of December 31, 2020. |
Share-Based Payments (Tables)
Share-Based Payments (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Share-based Payment Arrangement, Noncash Expense [Abstract] | |
Summary of restricted common stock vesting dates | The following is a summary of restricted stock units vesting dates as of December 31, 2021 and December 31, 2020: December 31, 2021 December 31, 2020 Vesting Date Shares Vesting Shares Vesting March 2021 — 36,000 June 2021 — 130,365 March 2022 36,000 36,000 June 2022 81,160 — 117,160 202,365 |
Schedule of shares issued under the company’s equity incentive plans | The following table presents information with respect to the Company's restricted stock units for the years ended December 31, 2021 and December 31, 2020: December 31, 2021 December 31, 2020 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Restricted Stock Units Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 1,025,542 $ 14.10 894,289 $ 15.76 Granted (2) 148,138 5.07 131,253 2.79 Cancelled/forfeited (25,455) 2.75 — — Outstanding at end of period 1,148,225 $ 13.19 1,025,542 $ 14.10 Unvested at end of period 117,160 $ 5.62 202,365 $ 5.50 (1) The grant date fair value of restricted stock unit awards is based on the closing market price of the Company's common stock at the grant date. (2) Includes 66,978 shares and 3,978 restricted stock units attributed to dividends on restricted stock units for the years ended December 31, 2021 and December 31, 2020, respectively. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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 2021 December 21, 2021 December 31, 2021 January 26, 2022 $ 0.06 Not yet determined (1) September 23, 2021 October 4, 2021 October 26, 2021 $ 0.06 Return of capital June 22, 2021 July 2, 2021 July 26, 2021 $ 0.06 Return of capital March 23, 2021 April 2, 2021 April 26, 2021 $ 0.06 Return of capital 2020 December 17, 2020 December 28, 2020 January 26, 2021 $ 0.06 Return of capital (2) September 22, 2020 October 2, 2020 October 26, 2020 $ 0.05 Return of capital (1) The cash distributions made on January 26, 2022, with a record date of December 31, 2021, are treated as received by stockholders on January 26, 2022 and taxable in calendar year 2022. The tax characterization of these distributions will be determined in January 2023. (2) The cash distributions made on January 26, 2021, with a record date of December 28, 2020, were treated as received by stockholders on January 26, 2021 and taxable in calendar year 2021 as return of capital. |
Net Income (Loss) per Common _2
Net Income (Loss) per Common Share (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of basic and diluted net income (loss) per share of common stock | The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the years ended December 31, 2021, December 31, 2020 and December 31, 2019 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2021 For the year ended December 31, 2020 For the year ended December 31, 2019 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ (48,953) $ (328,354) $ 70,699 Less: Dividends and undistributed earnings allocated to participating securities 89 36 303 Net income (loss) allocable to common stockholders—basic and diluted $ (49,042) $ (328,390) $ 70,396 Denominator : Weighted average common shares outstanding for basic earnings per share 60,747,137 57,411,384 51,278,932 Weighted average common shares outstanding for diluted earnings per share 60,747,137 57,411,384 51,278,932 Basic earnings (loss) per common share $ (0.81) $ (5.72) $ 1.37 Diluted earnings (loss) per common share $ (0.81) $ (5.72) $ 1.37 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
Schedule of components of income tax expense | The following table summarizes the Company's income tax provision for the years ended December 31, 2021, December 31, 2020 and December 31, 2019 (dollars in thousands): For the year ended December 31, 2021 For the year ended December 31, 2020 For the year ended December 31, 2019 Current Tax Provision (Benefit) Federal $ 55 $ 527 $ 860 State 44 (452) 197 Total Current Provision for Income Taxes, net 99 75 1,057 Deferred Provision (Benefit) for Income Taxes Federal — (85) — State — 406 — Total Deferred Benefit for Income Taxes, net — 321 — Total Income Tax Provision, net $ 99 $ 396 $ 1,057 |
Schedule of deferred tax assets and liabilities | The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2021 and 2020 (dollars in thousands): Deferred Tax Asset December 31, 2021 December 31, 2020 Net operating loss available for carry-back and carry-forward (1) $ 20,637 $ 21,402 Net capital loss carry-forward (1) 11,072 11,966 Investments 1,972 9,061 Deferred tax asset 33,681 42,429 Allowance (33,681) (42,429) Net deferred tax asset $ — $ — |
Summary of operating loss carryforwards | Deferred Tax Liability December 31, 2021 December 31, 2020 Net operating loss available for carry-back and carry-forward $ — $ 85 Net deferred tax liability $ — $ 85 |
Schedule of effective income tax rate reconciliation | The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows: For the year ended December 31, 2021 For the year ended December 31, 2020 Federal statutory rate 21.0 % 21.0 % State statutory rate, net of federal benefit (4.4) % 1.5 % Other 0.2 % — % Change in valuation allowance 13.8 % (4.4) % REIT earnings not subject to corporate taxes (30.8) % (18.2) % Effective Tax Rate (0.2) % (0.1) % |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Value (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets | ||
Derivative assets | $ 1,163 | $ 1,726 |
Liabilities | ||
Derivative liabilities | 602 | 656 |
Commercial Loans | ||
Assets | ||
Loans at fair value | 130,572 | |
Agency RMBS Interest-Only Strips | ||
Assets | ||
Securities, at fair value | 114 | 143 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Securities, at fair value | 1,058 | 1,565 |
Subtotal Agency MBS | ||
Assets | ||
Securities, at fair value | 1,172 | 1,708 |
Non-Agency CMBS | ||
Assets | ||
Securities, at fair value | 105,358 | 164,081 |
Non-Agency RMBS | ||
Assets | ||
Securities, at fair value | 25,652 | 21,416 |
Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Securities, at fair value | 2,117 | 3,965 |
Subtotal Non-Agency MBS | ||
Assets | ||
Securities, at fair value | 133,127 | 189,462 |
Other securities | ||
Assets | ||
Securities, at fair value | 51,648 | 48,754 |
Total mortgage-backed securities and other securities | ||
Assets | ||
Securities, at fair value | 185,947 | 239,924 |
Level III | Residential Whole Loans | ||
Assets | ||
Loans at fair value | 1,023,502 | |
Level III | Residential Bridge Loans | ||
Assets | ||
Loans at fair value | 5,428 | |
Level III | Commercial Loans | ||
Assets | ||
Loans at fair value | 130,572 | 310,523 |
Fair Value, Measurements, Recurring | ||
Assets | ||
Derivative assets | 105 | 161 |
Total | 2,701,362 | 3,177,538 |
Liabilities | ||
Derivative liabilities | 602 | 656 |
Securitized debt | 1,344,370 | 1,553,722 |
Total Liabilities | 1,344,972 | 1,554,378 |
Fair Value, Measurements, Recurring | Residential Whole Loans | ||
Assets | ||
Loans at fair value | 1,023,502 | 1,008,782 |
Fair Value, Measurements, Recurring | Residential Bridge Loans | ||
Assets | ||
Loans at fair value | 5,428 | 12,813 |
Fair Value, Measurements, Recurring | Commercial Loans | ||
Assets | ||
Loans at fair value | 130,572 | 310,523 |
Fair Value, Measurements, Recurring | Securitized Commercial Loans | ||
Assets | ||
Loans at fair value | 1,355,808 | 1,605,335 |
Fair Value, Measurements, Recurring | Agency RMBS Interest-Only Strips | ||
Assets | ||
Securities, at fair value | 114 | 143 |
Fair Value, Measurements, Recurring | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Securities, at fair value | 1,058 | 1,565 |
Fair Value, Measurements, Recurring | Subtotal Agency MBS | ||
Assets | ||
Securities, at fair value | 1,172 | 1,708 |
Fair Value, Measurements, Recurring | Non-Agency CMBS | ||
Assets | ||
Securities, at fair value | 105,358 | 164,081 |
Fair Value, Measurements, Recurring | Non-Agency RMBS | ||
Assets | ||
Securities, at fair value | 25,652 | 21,416 |
Fair Value, Measurements, Recurring | Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Securities, at fair value | 2,117 | 3,965 |
Fair Value, Measurements, Recurring | Subtotal Non-Agency MBS | ||
Assets | ||
Securities, at fair value | 133,127 | 189,462 |
Fair Value, Measurements, Recurring | Other securities | ||
Assets | ||
Securities, at fair value | 51,648 | 48,754 |
Fair Value, Measurements, Recurring | Total mortgage-backed securities and other securities | ||
Assets | ||
Securities, at fair value | 185,947 | 239,924 |
Fair Value, Measurements, Recurring | Level I | ||
Assets | ||
Derivative assets | 0 | 0 |
Total | 0 | 0 |
Liabilities | ||
Derivative liabilities | 0 | 0 |
Securitized debt | 0 | 0 |
Total Liabilities | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Residential Whole Loans | ||
Assets | ||
Loans at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Residential Bridge Loans | ||
Assets | ||
Loans at fair value | 0 | |
Fair Value, Measurements, Recurring | Level I | Commercial Loans | ||
Assets | ||
Loans at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Securitized Commercial Loans | ||
Assets | ||
Loans at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Agency RMBS Interest-Only Strips | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Subtotal Agency MBS | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Non-Agency CMBS | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Non-Agency RMBS | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Subtotal Non-Agency MBS | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Other securities | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level I | Total mortgage-backed securities and other securities | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level II | ||
Assets | ||
Derivative assets | 105 | 161 |
Total | 177,035 | 195,415 |
Liabilities | ||
Derivative liabilities | 602 | 656 |
Securitized debt | 1,329,451 | 1,538,304 |
Total Liabilities | 1,330,053 | 1,538,960 |
Fair Value, Measurements, Recurring | Level II | Residential Whole Loans | ||
Assets | ||
Loans at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level II | Residential Bridge Loans | ||
Assets | ||
Loans at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level II | Commercial Loans | ||
Assets | ||
Loans at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level II | Securitized Commercial Loans | ||
Assets | ||
Loans at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level II | Agency RMBS Interest-Only Strips | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level II | Subtotal Agency MBS | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level II | Non-Agency CMBS | ||
Assets | ||
Securities, at fair value | 99,630 | 155,093 |
Fair Value, Measurements, Recurring | Level II | Non-Agency RMBS | ||
Assets | ||
Securities, at fair value | 25,652 | 0 |
Fair Value, Measurements, Recurring | Level II | Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level II | Subtotal Non-Agency MBS | ||
Assets | ||
Securities, at fair value | 125,282 | 155,093 |
Fair Value, Measurements, Recurring | Level II | Other securities | ||
Assets | ||
Securities, at fair value | 51,648 | 40,161 |
Fair Value, Measurements, Recurring | Level II | Total mortgage-backed securities and other securities | ||
Assets | ||
Securities, at fair value | 176,930 | 195,254 |
Fair Value, Measurements, Recurring | Level III | ||
Assets | ||
Derivative assets | 0 | 0 |
Total | 2,524,327 | 2,982,123 |
Liabilities | ||
Derivative liabilities | 0 | 0 |
Securitized debt | 14,919 | 15,418 |
Total Liabilities | 14,919 | 15,418 |
Fair Value, Measurements, Recurring | Level III | Residential Whole Loans | ||
Assets | ||
Loans at fair value | 1,023,502 | 1,008,782 |
Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans | ||
Assets | ||
Loans at fair value | 5,428 | 12,813 |
Fair Value, Measurements, Recurring | Level III | Commercial Loans | ||
Assets | ||
Loans at fair value | 130,572 | 310,523 |
Fair Value, Measurements, Recurring | Level III | Securitized Commercial Loans | ||
Assets | ||
Loans at fair value | 1,355,808 | 1,605,335 |
Fair Value, Measurements, Recurring | Level III | Agency RMBS Interest-Only Strips | ||
Assets | ||
Securities, at fair value | 114 | 143 |
Fair Value, Measurements, Recurring | Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Securities, at fair value | 1,058 | 1,565 |
Fair Value, Measurements, Recurring | Level III | Subtotal Agency MBS | ||
Assets | ||
Securities, at fair value | 1,172 | 1,708 |
Fair Value, Measurements, Recurring | Level III | Non-Agency CMBS | ||
Assets | ||
Securities, at fair value | 5,728 | 8,988 |
Fair Value, Measurements, Recurring | Level III | Non-Agency RMBS | ||
Assets | ||
Securities, at fair value | 0 | 21,416 |
Fair Value, Measurements, Recurring | Level III | Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Securities, at fair value | 2,117 | 3,965 |
Fair Value, Measurements, Recurring | Level III | Subtotal Non-Agency MBS | ||
Assets | ||
Securities, at fair value | 7,845 | 34,369 |
Fair Value, Measurements, Recurring | Level III | Other securities | ||
Assets | ||
Securities, at fair value | 0 | 8,593 |
Fair Value, Measurements, Recurring | Level III | Total mortgage-backed securities and other securities | ||
Assets | ||
Securities, at fair value | $ 9,017 | $ 44,670 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Narrative (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
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 | Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) |
Residential Whole Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 1,023,502 | |
Residential Whole Loans | Level III | Discounted Cash Flow | Market Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.026 | 0.021 |
Residential Whole Loans | Level III | Discounted Cash Flow | Market Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.075 | 0.075 |
Residential Whole Loans | Level III | Discounted Cash Flow | Market Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.035 | 0.041 |
Residential Whole Loans | Level III | Discounted Cash Flow | Weighted Average Life | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 4 months 24 days | 1 year 6 months |
Residential Whole Loans | Level III | Discounted Cash Flow | Weighted Average Life | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 8 years 10 months 24 days | 8 years 4 months 24 days |
Residential Whole Loans | Level III | Discounted Cash Flow | Weighted Average Life | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 3 years 1 month 6 days | 2 years 10 months 24 days |
Residential Bridge Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 5,428 | |
Residential Bridge Loans | Level III | Discounted Cash Flow | Market Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.098 | 0.080 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Market Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.231 | 0.352 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Market Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.172 | 0.180 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Weighted Average Life | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 3 months 18 days | 3 months 18 days |
Residential Bridge Loans | Level III | Discounted Cash Flow | Weighted Average Life | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 3 years 7 months 6 days | 2 years 7 months 6 days |
Residential Bridge Loans | Level III | Discounted Cash Flow | Weighted Average Life | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 4 months 24 days | 1 year 3 months 18 days |
Commercial Loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 130,572 | |
Commercial Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 130,572 | $ 310,523 |
Commercial Loans | Level III | Discounted Cash Flow | Market Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.045 | 0.063 |
Commercial Loans | Level III | Discounted Cash Flow | Market Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.217 | 0.184 |
Commercial Loans | Level III | Discounted Cash Flow | Market Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.093 | 0.105 |
Commercial Loans | Level III | Discounted Cash Flow | Weighted Average Life | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 6 months | 6 months |
Commercial Loans | Level III | Discounted Cash Flow | Weighted Average Life | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 9 months 18 days | 1 year 10 months 24 days |
Commercial Loans | Level III | Discounted Cash Flow | Weighted Average Life | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 2 months 12 days | 8 months 12 days |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Financial Instruments Measured at Level III (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Premium and discount amortization, net | $ (1,540) | $ (5,141) | $ (7,398) |
Other securities | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Premium and discount amortization, net | (1,574) | (4,781) | (6,472) |
Level III | Fair Value, Measurements, Recurring | Securitized Debt | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 15,418 | 1,057 | |
Transfers into Level III from Level II | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | |
Purchases | 0 | 0 | |
Sales and settlements | 0 | ||
Transfers to REO | 0 | 0 | |
VIE consolidation | 17,960 | ||
VIE deconsolidation | 0 | ||
Loan modifications / capitalized interest | 0 | 0 | |
Principal repayments | 0 | 0 | |
Realized gains/(losses), net on assets | 0 | 0 | |
Unrealized gains/(losses), net on assets | 0 | 0 | |
Unrealized gains (losses), net on liabilities | 4,056 | (887) | |
Premium and discount amortization, net | (4,555) | (2,712) | |
Ending balance | 14,919 | 15,418 | 1,057 |
Unrealized gain (loss) | (3,603) | 887 | |
Level III | Fair Value, Measurements, Recurring | Securitized Debt | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Residential Whole Loans | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 1,008,782 | 1,375,860 | |
Transfers into Level III from Level II | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | |
Purchases | 422,041 | 92,822 | |
Sales and settlements | (144,259) | ||
Transfers to REO | 0 | 0 | |
VIE consolidation | 0 | ||
VIE deconsolidation | 0 | ||
Loan modifications / capitalized interest | 486 | 779 | |
Principal repayments | (401,075) | (278,316) | |
Realized gains/(losses), net on assets | 0 | (10,511) | |
Unrealized gains/(losses), net on assets | 2,354 | (23,094) | |
Unrealized gains (losses), net on liabilities | 0 | 0 | |
Premium and discount amortization, net | (9,086) | (4,499) | |
Ending balance | 1,023,502 | 1,008,782 | 1,375,860 |
Unrealized gain (loss) | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Residential Whole Loans | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | 5,795 | (14,807) | |
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 12,813 | 33,269 | |
Transfers into Level III from Level II | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | |
Purchases | 0 | 0 | |
Sales and settlements | 0 | ||
Transfers to REO | (752) | (419) | |
VIE consolidation | 0 | ||
VIE deconsolidation | 0 | ||
Loan modifications / capitalized interest | 0 | 0 | |
Principal repayments | (7,312) | (19,105) | |
Realized gains/(losses), net on assets | (206) | (373) | |
Unrealized gains/(losses), net on assets | 907 | (499) | |
Unrealized gains (losses), net on liabilities | 0 | 0 | |
Premium and discount amortization, net | (22) | (60) | |
Ending balance | 5,428 | 12,813 | 33,269 |
Unrealized gain (loss) | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | 149 | (881) | |
Level III | Fair Value, Measurements, Recurring | Commercial Loans | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 310,523 | 370,213 | |
Transfers into Level III from Level II | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | |
Purchases | 0 | 0 | |
Sales and settlements | 0 | ||
Transfers to REO | (30,000) | 0 | |
VIE consolidation | 0 | ||
VIE deconsolidation | 0 | ||
Loan modifications / capitalized interest | 0 | 49 | |
Principal repayments | (103,285) | (44,819) | |
Realized gains/(losses), net on assets | 0 | 0 | |
Unrealized gains/(losses), net on assets | (46,813) | (15,282) | |
Unrealized gains (losses), net on liabilities | 0 | 0 | |
Premium and discount amortization, net | 147 | 362 | |
Ending balance | 130,572 | 310,523 | 370,213 |
Unrealized gain (loss) | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Commercial Loans | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | (50,034) | (15,282) | |
Level III | Fair Value, Measurements, Recurring | Securitized Commercial Loans | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 1,605,335 | 909,040 | |
Transfers into Level III from Level II | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | |
Purchases | 0 | 0 | |
Sales and settlements | 0 | ||
Transfers to REO | 0 | 0 | |
VIE consolidation | 1,245,287 | ||
VIE deconsolidation | (150,804) | ||
Loan modifications / capitalized interest | 0 | 0 | |
Principal repayments | (354,202) | (349,609) | |
Realized gains/(losses), net on assets | 0 | 0 | |
Unrealized gains/(losses), net on assets | 79,972 | (58,421) | |
Unrealized gains (losses), net on liabilities | 0 | 0 | |
Premium and discount amortization, net | 24,703 | 9,842 | |
Ending balance | 1,355,808 | 1,605,335 | 909,040 |
Unrealized gain (loss) | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Securitized Commercial Loans | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | 64,973 | 746 | |
Level III | Fair Value, Measurements, Recurring | Subtotal Agency MBS | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 1,708 | 15,915 | |
Transfers into Level III from Level II | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | |
Purchases | 0 | 0 | |
Sales and settlements | (11,529) | ||
Transfers to REO | 0 | 0 | |
VIE consolidation | 0 | ||
VIE deconsolidation | 0 | ||
Loan modifications / capitalized interest | 0 | 0 | |
Principal repayments | 0 | 0 | |
Realized gains/(losses), net on assets | 0 | 1,528 | |
Unrealized gains/(losses), net on assets | (206) | (2,609) | |
Unrealized gains (losses), net on liabilities | 0 | 0 | |
Premium and discount amortization, net | (330) | (1,597) | |
Ending balance | 1,172 | 1,708 | 15,915 |
Unrealized gain (loss) | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Subtotal Agency MBS | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | (206) | (616) | |
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 34,369 | 45,814 | |
Transfers into Level III from Level II | 5,683 | 0 | |
Transfers from Level III into Level II | (32,471) | 0 | |
Purchases | 0 | 0 | |
Sales and settlements | (12,658) | ||
Transfers to REO | 0 | 0 | |
VIE consolidation | 0 | ||
VIE deconsolidation | 6,852 | ||
Loan modifications / capitalized interest | 0 | 0 | |
Principal repayments | (256) | (710) | |
Realized gains/(losses), net on assets | 0 | (60) | |
Unrealized gains/(losses), net on assets | 698 | (4,013) | |
Unrealized gains (losses), net on liabilities | 0 | 0 | |
Premium and discount amortization, net | (178) | (856) | |
Ending balance | 7,845 | 34,369 | 45,814 |
Unrealized gain (loss) | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | (1,173) | (3,783) | |
Level III | Fair Value, Measurements, Recurring | Other securities | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 8,593 | 17,196 | |
Transfers into Level III from Level II | 0 | 0 | |
Transfers from Level III into Level II | (10,306) | (6,482) | |
Purchases | 0 | 0 | |
Sales and settlements | 0 | ||
Transfers to REO | 0 | 0 | |
VIE consolidation | 0 | ||
VIE deconsolidation | 0 | ||
Loan modifications / capitalized interest | 0 | 0 | |
Principal repayments | 0 | (154) | |
Realized gains/(losses), net on assets | 0 | 0 | |
Unrealized gains/(losses), net on assets | 1,657 | (1,949) | |
Unrealized gains (losses), net on liabilities | 0 | 0 | |
Premium and discount amortization, net | 56 | (18) | |
Ending balance | 0 | 8,593 | $ 17,196 |
Unrealized gain (loss) | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Other securities | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | $ 0 | $ (599) |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - Fair Value, Measurements, Recurring - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt | $ 1,344,370 | $ 1,553,722 |
Total | 1,344,972 | 1,554,378 |
Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans on real estate, carrying amount of mortgages | 0 | 1,103 |
Borrowings under repurchase agreements | 617,189 | 356,923 |
Convertible senior unsecured notes | 119,168 | 170,797 |
Securitized debt | 524,649 | 899,207 |
Total | 1,261,006 | 1,426,927 |
Debt issuance costs, net | 5,500 | 6,900 |
Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans on real estate, carrying amount of mortgages | 0 | 1,095 |
Borrowings under repurchase agreements | 617,794 | 359,799 |
Convertible senior unsecured notes | 122,133 | 155,129 |
Securitized debt | 528,046 | 922,362 |
Total | $ 1,267,973 | 1,437,290 |
Residential Bridge Loans | Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans on real estate, carrying amount of mortgages | 1,103 | |
Residential Bridge Loans | Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans on real estate, carrying amount of mortgages | $ 1,095 |
Mortgage-Backed Securities an_3
Mortgage-Backed Securities and other securities - Company's investment portfolio (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 59,000 | $ 89,000 |
Unrealized Gain | 55,000 | 54,000 |
Unrealized Loss | 0 | 0 |
Estimated Fair Value | $ 114,000 | $ 143,000 |
Net Weighted Average Coupon (as a percent) | 1.30% | 2.10% |
Notional balance | $ 2,900,000 | $ 3,700,000 |
Agency RMBS Interest-Only Strips, accounted for as derivatives | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 1,058,000 | $ 1,565,000 |
Net Weighted Average Coupon (as a percent) | 1.30% | 2.60% |
Subtotal Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 0 | $ 0 |
Unamortized Premium (Discount), net | 0 | 0 |
Amortized Cost | 59,000 | 89,000 |
Unrealized Gain | 55,000 | 54,000 |
Unrealized Loss | 0 | 0 |
Estimated Fair Value | $ 1,172,000 | $ 1,708,000 |
Net Weighted Average Coupon (as a percent) | 1.30% | 2.50% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 36,147,000 | $ 38,112,000 |
Unamortized Premium (Discount), net | (13,936,000) | (14,649,000) |
Amortized Cost | 22,211,000 | 23,463,000 |
Unrealized Gain | 3,476,000 | 451,000 |
Unrealized Loss | (35,000) | (2,498,000) |
Estimated Fair Value | $ 25,652,000 | $ 21,416,000 |
Net Weighted Average Coupon (as a percent) | 4.30% | 1.60% |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 5,608,000 | $ 6,271,000 |
Unrealized Gain | 0 | 0 |
Unrealized Loss | (3,491,000) | (2,306,000) |
Estimated Fair Value | $ 2,117,000 | $ 3,965,000 |
Net Weighted Average Coupon (as a percent) | 0.30% | 0.40% |
Notional balance | $ 181,000,000 | $ 306,000,000 |
Subtotal Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 36,147,000 | 38,112,000 |
Unamortized Premium (Discount), net | (13,936,000) | (14,649,000) |
Amortized Cost | 27,819,000 | 29,734,000 |
Unrealized Gain | 3,476,000 | 451,000 |
Unrealized Loss | (3,526,000) | (4,804,000) |
Estimated Fair Value | $ 27,769,000 | $ 25,381,000 |
Net Weighted Average Coupon (as a percent) | 1.00% | 0.60% |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 179,619,000 | $ 235,497,000 |
Unamortized Premium (Discount), net | (13,088,000) | (25,258,000) |
Amortized Cost | 166,531,000 | 210,239,000 |
Unrealized Gain | 1,543,000 | 2,850,000 |
Unrealized Loss | (62,716,000) | (49,008,000) |
Estimated Fair Value | $ 105,358,000 | $ 164,081,000 |
Net Weighted Average Coupon (as a percent) | 5.40% | 5.00% |
Total Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 215,766,000 | $ 273,609,000 |
Unamortized Premium (Discount), net | (27,024,000) | (39,907,000) |
Amortized Cost | 194,350,000 | 239,973,000 |
Unrealized Gain | 5,019,000 | 3,301,000 |
Unrealized Loss | (66,242,000) | (53,812,000) |
Estimated Fair Value | $ 133,127,000 | $ 189,462,000 |
Net Weighted Average Coupon (as a percent) | 3.00% | 2.40% |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 51,159,000 | $ 51,537,000 |
Unamortized Premium (Discount), net | (8,229,000) | (8,239,000) |
Amortized Cost | 47,652,000 | 49,420,000 |
Unrealized Gain | 4,209,000 | 1,152,000 |
Unrealized Loss | (213,000) | (1,818,000) |
Estimated Fair Value | $ 51,648,000 | $ 48,754,000 |
Net Weighted Average Coupon (as a percent) | 5.60% | 4.40% |
Total mortgage-backed securities and other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 266,925,000 | $ 325,146,000 |
Unamortized Premium (Discount), net | (35,253,000) | (48,146,000) |
Amortized Cost | 242,061,000 | 289,482,000 |
Unrealized Gain | 9,283,000 | 4,507,000 |
Unrealized Loss | (66,455,000) | (55,630,000) |
Estimated Fair Value | $ 185,947,000 | $ 239,924,000 |
Net Weighted Average Coupon (as a percent) | 3.20% | 2.50% |
Weighted average expected remaining term to the expected maturity of investment portfolio | 5 years 10 months 24 days | 5 years 6 months |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 1,058,000 | $ 1,565,000 |
Notional balance | 16,800,000 | 21,600,000 |
Residual interests in asset-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 0 | 0 |
Amortized Cost | $ 4,700,000 | $ 6,100,000 |
Mortgage-Backed Securities an_4
Mortgage-Backed Securities and other securities - Changes in the components of purchase discount and amortizable premium (Details) - Non-Agency RMBS and Non-Agency CMBS and Other Securities $ in Thousands | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Discount Designated as Credit Reserve and OTTI | |
Balance at beginning of period | $ (53,523) |
Realized credit losses | 7,290 |
Purchases | (28) |
Sales | (26,706) |
Net impairment losses recognized in earnings | (6,612) |
Transfers/release of credit reserve | (22,308) |
Balance at end of period | 48,475 |
Accretable Discount | |
Balance at beginning of period | (29,465) |
Accretion of discount | (4,364) |
Purchases | (7,953) |
Sales | 0 |
Transfers/release of credit reserve | 2,889 |
Balance at end of period | 30,165 |
Amortizable Premium | |
Balance at beginning of period | 14,928 |
Amortization of premium | (1,215) |
Purchases | 819 |
Sales | (19,640) |
Transfers/release of credit reserve | 19,419 |
Balance at end of period | $ (14,311) |
- Fair value and contractual ma
- Fair value and contractual maturities of the Company's investment securities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 114 | $ 143 |
Agency RMBS Interest-Only Strips | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
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 | 114 | 143 |
Agency RMBS Interest-Only Strips | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,058 | 1,565 |
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 | 0 | 0 |
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 | 1,058 | 1,565 |
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 | 0 | 0 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Subtotal Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,172 | 1,708 |
Subtotal Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Subtotal Agency MBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,058 | 1,565 |
Subtotal Agency MBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 114 | 143 |
Subtotal Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 105,358 | 164,081 |
Non-Agency CMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 66,384 | 59,724 |
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 | 17,644 | 50,408 |
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 | 21,171 | 53,269 |
Non-Agency CMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 159 | 680 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 25,652 | 21,416 |
Non-Agency RMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency RMBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
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 | 10,282 | 7,958 |
Non-Agency RMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 15,370 | 13,458 |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 2,117 | 3,965 |
Non-Agency RMBS Interest-Only Strips | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 106 | 472 |
Non-Agency RMBS Interest-Only Strips | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 2,011 | 3,493 |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 133,127 | 189,462 |
Subtotal Non-Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 66,384 | 59,724 |
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 | 17,644 | 50,408 |
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 | 31,559 | 61,699 |
Subtotal Non-Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 17,540 | 17,631 |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 51,648 | 48,754 |
Other securities | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 9,255 | 7,247 |
Other securities | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 4,266 | 6,203 |
Other securities | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 25,653 | 24,610 |
Other securities | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 12,474 | 10,694 |
Total mortgage-backed securities and other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 185,947 | 239,924 |
Total mortgage-backed securities and other securities | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 75,639 | 66,971 |
Total mortgage-backed securities and other securities | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 22,968 | 58,176 |
Total mortgage-backed securities and other securities | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 57,326 | 86,452 |
Total mortgage-backed securities and other securities | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 30,014 | $ 28,325 |
Mortgage-Backed Securities an_5
Mortgage-Backed Securities and other securities - Gross unrealized losses and estimated fair value (Details) $ in Thousands | Dec. 31, 2021USD ($)item | Dec. 31, 2020USD ($)item |
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 0 | $ 151,034 |
Fair value, 12 months or longer | 107,420 | 51,359 |
Fair Value | 107,420 | 202,393 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 0 | (38,708) |
12 Months or Longer, Accumulated Loss | (66,455) | (16,922) |
Unrealized Losses | $ (66,455) | $ (55,630) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 0 | 29 |
Number of positions, 12 months or longer | item | 25 | 16 |
Number of Securities | item | 25 | 45 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 0 | $ 102,935 |
Fair value, 12 months or longer | 96,080 | 50,887 |
Fair Value | 96,080 | 153,822 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 0 | (33,602) |
12 Months or Longer, Accumulated Loss | (62,716) | (15,406) |
Unrealized Losses | $ (62,716) | $ (49,008) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 0 | 16 |
Number of positions, 12 months or longer | item | 16 | 15 |
Number of Securities | item | 16 | 31 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 0 | $ 18,242 |
Fair value, 12 months or longer | 201 | 0 |
Fair Value | 201 | 18,242 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 0 | (2,498) |
12 Months or Longer, Accumulated Loss | (35) | 0 |
Unrealized Losses | $ (35) | $ (2,498) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 0 | 4 |
Number of positions, 12 months or longer | item | 1 | 0 |
Number of Securities | item | 1 | 4 |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 0 | $ 3,492 |
Fair value, 12 months or longer | 2,117 | 472 |
Fair Value | 2,117 | 3,964 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 0 | (790) |
12 Months or Longer, Accumulated Loss | (3,491) | (1,516) |
Unrealized Losses | $ (3,491) | $ (2,306) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 0 | 3 |
Number of positions, 12 months or longer | item | 4 | 1 |
Number of Securities | item | 4 | 4 |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 0 | $ 124,669 |
Fair value, 12 months or longer | 98,398 | 51,359 |
Fair Value | 98,398 | 176,028 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 0 | (36,890) |
12 Months or Longer, Accumulated Loss | (66,242) | (16,922) |
Unrealized Losses | $ (66,242) | $ (53,812) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 0 | 23 |
Number of positions, 12 months or longer | item | 21 | 16 |
Number of Securities | item | 21 | 39 |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 0 | $ 26,365 |
Fair value, 12 months or longer | 9,022 | 0 |
Fair Value | 9,022 | 26,365 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | 0 | (1,818) |
12 Months or Longer, Accumulated Loss | (213) | 0 |
Unrealized Losses | $ (213) | $ (1,818) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 0 | 6 |
Number of positions, 12 months or longer | item | 4 | 0 |
Number of Securities | item | 4 | 6 |
Mortgage-Backed Securities an_6
Mortgage-Backed Securities and other securities - OTTI and Interest Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |||
Other than temporary impairment | $ 0 | $ 0 | $ 8,574 |
Depreciation, Amortization and Accretion, Net [Abstract] | |||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (1,540) | (5,141) | (7,398) |
Interest income | 164,071 | 178,028 | 217,264 |
Agency CMBS | |||
Depreciation, Amortization and Accretion, Net [Abstract] | |||
Coupon Interest | 0 | 11,336 | 51,286 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 0 | (636) | (2,327) |
Interest income | 0 | 10,700 | 48,959 |
Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Other than temporary impairment | 74 | ||
Depreciation, Amortization and Accretion, Net [Abstract] | |||
Coupon Interest | 47 | 2,975 | 12,181 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (30) | (987) | (3,053) |
Interest income | 17 | 1,988 | 9,128 |
Non-Agency CMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Other than temporary impairment | 6,565 | ||
Depreciation, Amortization and Accretion, Net [Abstract] | |||
Coupon Interest | 9,874 | 15,331 | 14,178 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 6,535 | 6,467 | 4,017 |
Interest income | 16,409 | 21,798 | 18,195 |
Non-Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Other than temporary impairment | 1,331 | ||
Depreciation, Amortization and Accretion, Net [Abstract] | |||
Coupon Interest | 2,127 | 2,732 | 4,682 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (670) | (1,193) | (2,214) |
Interest income | 1,457 | 1,539 | 2,468 |
Other securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Other than temporary impairment | 604 | ||
Depreciation, Amortization and Accretion, Net [Abstract] | |||
Coupon Interest | 4,685 | 8,263 | 11,633 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (1,574) | (4,781) | (6,472) |
Interest income | 3,111 | 3,482 | 5,161 |
Total mortgage-backed securities and other securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Other than temporary impairment | 8,574 | ||
Depreciation, Amortization and Accretion, Net [Abstract] | |||
Coupon Interest | 16,733 | 40,637 | 93,960 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 4,261 | (1,130) | (10,049) |
Interest income | $ 20,994 | $ 39,507 | $ 83,911 |
Mortgage-Backed Securities an_7
Mortgage-Backed Securities and other securities - Sales and realized gains (losses) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||
Net Gain (Loss) | $ (10,927) | $ 84,271 | $ 28,278 |
Agency CMBS | |||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||
Proceeds | 1,668,149 | 891,072 | |
Gross Gains | 116,463 | 32,793 | |
Gross Losses | (6,486) | (4,190) | |
Net Gain (Loss) | 109,977 | 28,603 | |
Agency RMBS | |||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||
Proceeds | 400,948 | 205,310 | |
Gross Gains | 12,552 | 1,559 | |
Gross Losses | (506) | 0 | |
Net Gain (Loss) | 12,046 | 1,559 | |
Non-Agency CMBS | |||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||
Proceeds | 27,488 | 111,804 | 40,235 |
Gross Gains | 0 | 1 | 317 |
Gross Losses | (9,266) | (23,624) | (1,624) |
Net Gain (Loss) | (9,266) | (23,623) | (1,307) |
Non-Agency RMBS | |||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||
Proceeds | 12,658 | ||
Gross Gains | 0 | ||
Gross Losses | (60) | ||
Net Gain (Loss) | (60) | ||
Other securities | |||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||
Proceeds | 35,957 | ||
Gross Gains | 113 | ||
Gross Losses | (6,223) | ||
Net Gain (Loss) | (6,110) | ||
Total mortgage-backed securities and other securities | |||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||
Proceeds | 27,488 | 2,229,516 | 1,136,617 |
Gross Gains | 0 | 129,129 | 34,669 |
Gross Losses | (9,266) | (36,899) | (5,814) |
Net Gain (Loss) | $ (9,266) | $ 92,230 | $ 28,855 |
Mortgage-Backed Securities an_8
Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2021USD ($)loanentity | Dec. 31, 2020USD ($)loan | |
Schedule of Investments [Line Items] | ||
VIE, consolidated, number of commercial loan trusts | entity | 2 | |
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ | $ 26.5 | $ 48.9 |
Variable Interest Entity, Not Primary Beneficiary | ||
Schedule of Investments [Line Items] | ||
VIE, consolidated, number of commercial loan trusts | loan | 5 | 7 |
Residential Whole Loans and B_3
Residential Whole Loans and Bridge Loans (Details) $ in Thousands | 1 Months Ended | 12 Months Ended | ||||
May 31, 2019USD ($) | Dec. 31, 2021USD ($)loantrustproperty | Dec. 31, 2020USD ($)loanpropertydirectortrust | Jun. 30, 2021USD ($) | Jun. 30, 2020USD ($) | Jun. 29, 2020USD ($) | |
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | $ 617,189 | $ 356,923 | ||||
Principal amount of delinquent loans | 107,019 | |||||
Principal balance | $ 2,572,727 | |||||
Residential REO properties | property | 4 | 3 | ||||
Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | 2,361 | 2,497 | ||||
Principal balance | $ 989,143 | $ 984,555 | ||||
Residential Whole Loans | Non-Qualifying Adjustable Rate Mortgage | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 2,355 | |||||
Residential Whole Loans | Investor Fixed Rate Mortgage | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 6 | |||||
Residential Bridge Loans | Non-Qualifying Adjustable Rate Mortgage | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 8 | 25 | ||||
Fair Value | $ 5,200 | $ 13,000 | ||||
Residential Bridge Loans | Investor Fixed Rate Mortgage | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 6 | 8 | ||||
Residential Bridge Loans | Investor Fixed Rate Mortgage | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair Value | $ 1,700 | $ 2,500 | ||||
VIE | Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Principal amount of delinquent loans | $ 12,200 | $ 15,300 | ||||
Original LTV, collateral dependent | 60.00% | 60.40% | ||||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 1.20% | 1.60% | ||||
Mortgage loans on real estate, number of loans | loan | 20 | 26 | ||||
VIE | Residential Whole Loans | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair Value | $ 12,000 | $ 14,700 | ||||
VIE | Residential Bridge Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 9 | 29 | ||||
Principal amount of delinquent loans | $ 124 | |||||
Mortgage loans on real estate, number of loans | loan | 9 | 1 | ||||
Principal amount at fair value of delinquent loans | $ 4,800 | $ 9,900 | ||||
Principal balance | 5,834 | 15,247 | ||||
Foreclosed loans, carrying value | 1,100 | 1,100 | ||||
VIE | Residential Bridge Loans | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair Value | $ 4,400 | $ 8,900 | ||||
Mortgage loans on real estate, number of loans | loan | 6 | 20 | ||||
Arroyo Mortgage Trust 2019-2 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 1,042 | 1,575 | ||||
Arroyo Mortgage Trust 2019-2 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair Value | $ 374,300 | $ 632,300 | ||||
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | $ 919,000 | |||||
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans | Arroyo Trust | ||||||
Variable Interest Entity [Line Items] | ||||||
Transfer of residential mortgage-backed securitization | $ 945,500 | |||||
Arroyo Mortgage Trust 2020 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 543 | 780 | ||||
Arroyo Mortgage Trust 2020 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair Value | $ 195,700 | $ 306,900 | ||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | $ 341,700 | $ 341,700 | ||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans | Arroyo Trust | ||||||
Variable Interest Entity [Line Items] | ||||||
Line of credit facility, maximum borrowing capacity | $ 355,800 | |||||
RMI 2015 Trust | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | trust | 770 | 134 | ||||
RMI 2015 Trust | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair Value | $ 451,700 | $ 67,100 |
Residential Whole Loans and B_4
Residential Whole Loans and Bridge Loans - Summary of the Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | ||||
Cash and cash equivalents | $ 40,193 | $ 31,613 | $ 31,331 | |
Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) | 1,023,502 | 1,008,782 | ||
Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively) | 5,207 | 12,960 | ||
Investment related receivable | 22,133 | 30,576 | ||
Interest receivable | 11,823 | 13,568 | ||
Other assets | 45,364 | 3,152 | ||
Total assets | [1] | 2,825,700 | 3,336,009 | |
Securitized debt, at fair value | 1,863,488 | 2,446,012 | ||
Interest payable | 10,272 | 12,006 | ||
Accounts payable and accrued expenses | 4,842 | 2,686 | ||
Total liabilities | [2] | 2,621,371 | 3,080,895 | |
VIE | ||||
Variable Interest Entity [Line Items] | ||||
Cash and cash equivalents | 266 | 0 | ||
Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) | 1,023,502 | 1,008,782 | ||
Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively) | 5,207 | 12,960 | ||
Investment related receivable | 22,087 | 27,987 | ||
Interest receivable | 10,572 | 10,936 | ||
Other assets | 0 | 80 | ||
Total assets | 2,432,064 | 2,810,678 | ||
Securitized debt, at fair value | 1,863,488 | 2,446,012 | ||
Interest payable | 6,480 | 7,882 | ||
Accounts payable and accrued expenses | 78 | 89 | ||
Total liabilities | 1,870,306 | 2,530,115 | ||
Residential Whole-Loan And Residential Bridge Loan | VIE | ||||
Variable Interest Entity [Line Items] | ||||
Cash and cash equivalents | 266 | 0 | ||
Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) | 1,023,502 | 1,008,782 | ||
Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively) | 5,207 | 12,960 | ||
Investment related receivable | 22,087 | 27,987 | ||
Interest receivable | 5,282 | 4,688 | ||
Other assets | 0 | 80 | ||
Total assets | 1,056,344 | 1,054,497 | ||
Securitized debt, at fair value | 519,118 | 892,290 | ||
Interest payable | 1,316 | 2,222 | ||
Accounts payable and accrued expenses | 69 | 77 | ||
Total liabilities | $ 520,503 | $ 894,589 | ||
[1] | December 31, 2021 December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 266 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) 1,023,502 1,008,782 Residential Bridge Loans ($5,207 and $11,858 at fair value and $5,207 and $12,960 pledged as collateral, respectively) 5,207 12,960 Securitized commercial loans, at fair value 1,355,808 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 22,087 27,987 Interest receivable 10,572 10,936 Other assets — 80 Total assets of consolidated VIEs $ 2,432,064 $ 2,810,678 | |||
[2] | Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,344,370 and $1,553,722 at fair value and $180,116 and $215,753 held by affiliates, respectively) $ 1,863,488 $ 2,446,012 Interest payable (includes $699 and $784 on securitized debt held by affiliates, respectively) 6,480 7,882 Accounts payable and accrued expenses 78 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,870,306 $ 2,530,115 |
Residential Whole Loans and B_5
Residential Whole Loans and Bridge Loans - Carrying Value Components (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Variable Interest Entity [Line Items] | ||
Principal balance | $ 2,572,727 | |
Residential Whole Loans, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 989,143 | $ 984,555 |
Unamortized premium | 31,070 | 24,248 |
Unamortized discount | (1,337) | (1,799) |
Amortized cost | 1,018,876 | 1,007,004 |
Gross unrealized gains | 14,190 | 9,282 |
Gross unrealized losses | (9,564) | (7,504) |
Fair value | 1,023,502 | 1,008,782 |
Residential Bridge Loans, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 5,834 | 15,247 |
Unamortized premium | 0 | 3 |
Unamortized discount | 0 | 0 |
Amortized cost | 5,834 | 15,250 |
Gross unrealized gains | 78 | 5 |
Gross unrealized losses | (484) | (1,339) |
Fair value | $ 5,428 | 13,916 |
Residential Bridge Loans, at Amortized Cost | ||
Variable Interest Entity [Line Items] | ||
Amortized cost | $ 1,100 |
Residential Whole Loans and B_6
Residential Whole Loans and Bridge Loans - Investment Portfolio (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021USD ($)fICO_Scoreloan | Dec. 31, 2020USD ($)fICO_Scoredirectorloan | |
Variable Interest Entity [Line Items] | ||
Principal balance | $ 2,572,727 | |
Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 2,361 | 2,497 |
Principal balance | $ 989,143 | $ 984,555 |
Original LTV | 64.80% | 62.90% |
Original FICO Score | fICO_Score | 746 | 744 |
Expected Life (in years) | 3 years 1 month 6 days | 2 years 10 months 24 days |
Contractual Maturity (years) | 27 years 8 months 12 days | 27 years 6 months |
Coupon Rate | 4.60% | 5.10% |
2.01% - 3.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 27 | 4 |
Principal balance | $ 15,640 | $ 3,239 |
Original LTV | 65.10% | 66.70% |
Original FICO Score | fICO_Score | 757 | 733 |
Expected Life (in years) | 5 years 3 months 18 days | 5 years 10 months 24 days |
Contractual Maturity (years) | 28 years 9 months 18 days | 28 years |
Coupon Rate | 2.80% | 2.70% |
2.01% - 3.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 2.01% | 2.01% |
2.01% - 3.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 3.00% | 3.00% |
3.01% - 4.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 496 | 118 |
Principal balance | $ 244,022 | $ 41,489 |
Original LTV | 63.70% | 55.80% |
Original FICO Score | fICO_Score | 756 | 709 |
Expected Life (in years) | 3 years 3 months 18 days | 3 years 9 months 18 days |
Contractual Maturity (years) | 28 years | 23 years 3 months 18 days |
Coupon Rate | 3.70% | 3.70% |
3.01% - 4.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 3.01% | 3.01% |
3.01% - 4.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 4.00% | 4.00% |
4.01% - 5.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 1,051 | 1,172 |
Principal balance | $ 413,451 | $ 403,398 |
Original LTV | 65.10% | 61.80% |
Original FICO Score | fICO_Score | 747 | 751 |
Expected Life (in years) | 2 years 10 months 24 days | 2 years 8 months 12 days |
Contractual Maturity (years) | 28 years 2 months 12 days | 27 years 8 months 12 days |
Coupon Rate | 4.70% | 4.90% |
4.01% - 5.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 4.01% | 4.01% |
4.01% - 5.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 5.00% | 5.00% |
5.01% - 6.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 757 | 1,166 |
Principal balance | $ 305,344 | $ 523,105 |
Original LTV | 64.90% | 64.20% |
Original FICO Score | fICO_Score | 738 | 740 |
Expected Life (in years) | 3 years | 2 years 10 months 24 days |
Contractual Maturity (years) | 26 years 9 months 18 days | 27 years 8 months 12 days |
Coupon Rate | 5.40% | 5.40% |
5.01% - 6.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 5.01% | 5.01% |
5.01% - 6.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 6.00% | 6.00% |
6.01% - 7.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 28 | 35 |
Principal balance | $ 10,181 | $ 12,813 |
Original LTV | 67.90% | 67.50% |
Original FICO Score | fICO_Score | 721 | 720 |
Expected Life (in years) | 3 years 1 month 6 days | 3 years 2 months 12 days |
Contractual Maturity (years) | 25 years 9 months 18 days | 27 years |
Coupon Rate | 6.30% | 6.30% |
6.01% - 7.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 6.01% | 6.01% |
6.01% - 7.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 7.00% | 7.00% |
7.01% - 8.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 2 | 2 |
Principal balance | $ 505 | $ 511 |
Original LTV | 73.20% | 73.20% |
Original FICO Score | fICO_Score | 753 | 753 |
Expected Life (in years) | 4 years 6 months | 4 years 1 month 6 days |
Contractual Maturity (years) | 26 years 9 months 18 days | 27 years 7 months 6 days |
Coupon Rate | 7.10% | 7.10% |
7.01% - 8.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 7.01% | 7.01% |
7.01% - 8.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 8.00% | 8.00% |
Residential portfolio segment with no FICO score | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 230 | 236 |
Principal balance | $ 74,300 | $ 75,200 |
Residential Bridge Loans | VIE | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 9 | 29 |
Principal balance | $ 5,834 | $ 15,247 |
Original LTV | 72.90% | 72.00% |
Contractual Maturity (years) | 0 years | 9 months 18 days |
Coupon Rate | 9.70% | 9.40% |
7.01% – 9.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 3 | 10 |
Principal balance | $ 2,946 | $ 8,295 |
Original LTV | 70.40% | 69.60% |
Contractual Maturity (years) | 0 years | 1 year 4 months 24 days |
Coupon Rate | 8.80% | 8.70% |
7.01% – 9.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 7.01% | 7.01% |
7.01% – 9.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9.00% | 9.00% |
9.01% – 11.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 4 | 15 |
Principal balance | $ 2,393 | $ 6,123 |
Original LTV | 76.70% | 75.50% |
Contractual Maturity (years) | 0 years | 6 months |
Coupon Rate | 10.40% | 10.10% |
9.01% – 11.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9.01% | 9.01% |
9.01% – 11.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 11.00% | 11.00% |
11.01% - 13.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 2 | 3 |
Principal balance | $ 495 | $ 705 |
Original LTV | 69.70% | 69.80% |
Contractual Maturity (years) | 0 years | 0 years |
Coupon Rate | 11.40% | 11.40% |
11.01% - 13.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 11.01% | 11.01% |
11.01% - 13.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 13.00% | 13.00% |
17.01% – 19.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 1 | |
Principal balance | $ 124 | |
Original LTV | 75.00% | |
Contractual Maturity (years) | 0 years | |
Coupon Rate | 18.00% | |
17.01% – 19.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 17.01% | |
17.01% – 19.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 19.00% |
Residential Whole Loans and B_7
Residential Whole Loans and Bridge Loans - Geographic Concentration (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Variable Interest Entity [Line Items] | ||
Principal balance | $ 2,572,727 | |
Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Principal balance | $ 989,143 | $ 984,555 |
Geographic Concentration Risk | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 100.00% | 100.00% |
Principal balance | $ 989,143 | $ 984,555 |
Geographic Concentration Risk | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 100.00% | 100.00% |
Principal balance | $ 5,834 | $ 15,247 |
Geographic Concentration Risk | CALIFORNIA | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 73.90% | 65.80% |
Principal balance | $ 730,771 | $ 647,877 |
Geographic Concentration Risk | CALIFORNIA | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 30.10% | 37.50% |
Principal balance | $ 1,754 | $ 5,713 |
Geographic Concentration Risk | NEW YORK | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 11.60% | 17.70% |
Principal balance | $ 114,625 | $ 173,788 |
Geographic Concentration Risk | NEW YORK | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 45.10% | 17.30% |
Principal balance | $ 2,631 | $ 2,632 |
Geographic Concentration Risk | FLORIDA | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 2.70% | 2.80% |
Principal balance | $ 26,293 | $ 27,274 |
Geographic Concentration Risk | FLORIDA | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 19.30% | 12.90% |
Principal balance | $ 1,125 | $ 1,969 |
Geographic Concentration Risk | WASHINGTON | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 16.10% | |
Principal balance | $ 2,461 | |
Geographic Concentration Risk | TEXAS | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 1.90% | |
Principal balance | $ 19,062 | |
Geographic Concentration Risk | NEW JERSEY | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 2.50% | |
Principal balance | $ 24,704 | |
Geographic Concentration Risk | NEW JERSEY | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 3.70% | |
Principal balance | $ 219 | |
Geographic Concentration Risk | PENNSYLVANIA | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 1.80% | |
Principal balance | $ 105 | |
Geographic Concentration Risk | GEORGIA | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 2.50% | 3.40% |
Principal balance | $ 25,106 | $ 33,577 |
Geographic Concentration Risk | CONNECTICUT | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 5.70% | |
Principal balance | $ 872 | |
Geographic Concentration Risk | Other States | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 7.40% | 7.80% |
Principal balance | $ 73,286 | $ 77,335 |
Geographic Concentration Risk | Other States | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 0.00% | 10.50% |
Principal balance | $ 0 | $ 1,600 |
Residential Whole Loans and B_8
Residential Whole Loans and Bridge Loans - Aging of Delinquent Loans (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($) | |
Variable Interest Entity [Line Items] | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 107,019 | |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 2,361 | |
Principal balance | $ 989,143 | |
Loans at fair value | 1,023,502 | $ 1,008,782 |
Payments of loan costs | $ 1,018,876 | $ 1,007,004 |
Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 9 | |
Principal balance | $ 5,834 | |
Loans at fair value | $ 5,428 | |
Current | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 2,329 | |
Principal balance | $ 971,790 | |
Loans at fair value | $ 1,006,271 | |
Current | Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 0 | |
Principal balance | $ 0 | |
Loans at fair value | $ 0 | |
1-30 days | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 9 | |
Principal balance | $ 3,146 | |
Loans at fair value | $ 3,285 | |
1-30 days | Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 1 | |
Principal balance | $ 75 | |
Loans at fair value | $ 76 | |
31-60 days | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 0 | |
Principal balance | $ 0 | |
Loans at fair value | $ 0 | |
31-60 days | Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 0 | |
Principal balance | $ 0 | |
Loans at fair value | $ 0 | |
61-90 days | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 3 | |
Principal balance | $ 1,993 | |
Loans at fair value | $ 1,989 | |
61-90 days | Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 2 | |
Principal balance | $ 954 | |
Loans at fair value | $ 935 | |
90+ days | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 20 | |
Principal balance | $ 12,214 | |
Loans at fair value | $ 11,957 | |
90+ days | Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 6 | |
Principal balance | $ 4,805 | |
Loans at fair value | $ 4,417 |
Commercial Loans - Narrative (D
Commercial Loans - Narrative (Details) $ in Thousands | Sep. 15, 2021USD ($) | Mar. 31, 2019USD ($) | Dec. 31, 2021USD ($)entity | Sep. 24, 2021USD ($) | Jul. 07, 2021USD ($) | Feb. 24, 2021USD ($) | Dec. 31, 2020USD ($) |
Variable Interest Entity [Line Items] | |||||||
Variable interest entity, amount acquired, interest rate | 8.80% | ||||||
Principal balance | $ 2,572,727 | ||||||
VIE, consolidated, number of commercial loan trusts | entity | 2 | ||||||
Real estate owned | $ 42,500 | ||||||
Members' interest | $ 11,200 | ||||||
Number of VIEs, as primary beneficiary | entity | 1 | ||||||
RETL Trust Securitized Commercial Loan, at Fair Value (1) | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | $ 0 | $ 354,202 | |||||
Gross unrealized losses | 0 | $ (14,998) | |||||
CSMC Trust | Class F | Secured Debt | |||||||
Variable Interest Entity [Line Items] | |||||||
Debt default, amount | $ 14,900 | ||||||
SBC Two | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal Amount Outstanding of Loans Held-in-portfolio | $ 9,200 | ||||||
CSMC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Debt instrument, basis spread on variable rate | 4.38% | ||||||
Securitized Commercial Loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Coupon rate | 59.70% | ||||||
COVID response, borrowers requesting forbearance, principal balance | $ 30,000 | ||||||
Securitized Commercial Loans | RETL Trust Securitized Commercial Loan, at Fair Value (1) | |||||||
Variable Interest Entity [Line Items] | |||||||
Variable interest entity, amount acquired | $ 65,300 | ||||||
Variable interest entity, amount acquired, eligible risk retention | $ 45,300 | $ 45,300 | |||||
Eligible risk retention percentage | 5.00% | ||||||
Securitized Commercial Loans | CSMC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | $ 1,400,000 | ||||||
Securitized Commercial Loans | RSBC Trust Commercial Loans, at Fair Value | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | 14,362 | ||||||
Securitized Commercial Loans | RSBC Trust Commercial Loans, at Fair Value | SBC 3 | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | $ 45,200 | ||||||
Commercial Loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | $ 192,159 | ||||||
VIE, consolidated, number of commercial loan trusts | entity | 2 | ||||||
Commercial Loans | CRE 3 | Retail | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | $ 90,000 | ||||||
Loss on investment | $ 29,100 |
Commercial Loans - Commercial l
Commercial Loans - Commercial loans held (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2021 | Sep. 07, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | $ 2,572,727 | ||||
Fair Value | $ 2,515,310 | $ 2,938,556 | $ 2,691,532 | $ 2,493,238 | |
Securitized Commercial Loans | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Coupon rate | 59.70% | ||||
CRE LLC And CRE Mezz | Securitized Commercial Loans | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | $ 177,797 | ||||
Fair Value | 116,210 | ||||
CRE LLC And CRE Mezz | Securitized Commercial Loans | CRE 2 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | $ 46,800 | ||||
RSBC Trust Commercial Loans, at Fair Value | Securitized Commercial Loans | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | 14,362 | ||||
Fair Value | 14,362 | ||||
Hotel | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only First Mortgage | CRE 5 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | 24,535 | ||||
Fair Value | $ 24,212 | ||||
Coupon rate | 62.00% | ||||
Hotel | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only First Mortgage | CRE 6 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | $ 13,207 | ||||
Fair Value | $ 13,033 | ||||
Coupon rate | 62.00% | ||||
Hotel | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only First Mortgage | CRE 7 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | $ 7,259 | ||||
Fair Value | $ 7,163 | ||||
Coupon rate | 62.00% | ||||
Nursing Facilities | RSBC Trust Commercial Loans, at Fair Value | Securitized Commercial Loans | Interest-Only First Mortgage | SBC 3 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | $ 14,362 | ||||
Fair Value | $ 14,362 | ||||
Coupon rate | 49.00% | ||||
Entertainment and Retail | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only Mezzanine loan | CRE 3 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | $ 90,000 | ||||
Fair Value | $ 29,113 | ||||
Coupon rate | 58.00% | ||||
Retail | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only First Mortgage | CRE 4 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | $ 38,367 | ||||
Fair Value | $ 38,267 | ||||
Coupon rate | 63.00% | ||||
Assisted Living | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only First Mortgage | CRE 8 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance | $ 4,429 | ||||
Fair Value | $ 4,422 | ||||
Coupon rate | 79.00% | ||||
London Interbank Offered Rate (LIBOR) | Hotel | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only First Mortgage | CRE 5 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Coupon rate | 3.75% | ||||
London Interbank Offered Rate (LIBOR) | Hotel | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only First Mortgage | CRE 6 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Coupon rate | 3.75% | ||||
London Interbank Offered Rate (LIBOR) | Hotel | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only First Mortgage | CRE 7 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Coupon rate | 3.75% | ||||
London Interbank Offered Rate (LIBOR) | Nursing Facilities | RSBC Trust Commercial Loans, at Fair Value | Securitized Commercial Loans | Interest-Only First Mortgage | SBC 3 | |||||
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) | Entertainment and Retail | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only Mezzanine loan | CRE 3 | |||||
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 | Securitized Commercial Loans | Interest-Only First Mortgage | CRE 4 | |||||
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) | Assisted Living | CRE LLC And CRE Mezz | Securitized Commercial Loans | Interest-Only First Mortgage | CRE 8 | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Coupon rate | 4.85% |
Commercial Loans - Consolidated
Commercial Loans - Consolidated trusts included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Noncontrolling Interest [Line Items] | ||||
Restricted cash | $ 260 | $ 76,132 | $ 52,948 | |
Securitized commercial loans, at fair value | 1,355,808 | 1,605,335 | ||
Commercial Loans, at fair value | 101,459 | 310,523 | ||
Interest receivable | 11,823 | 13,568 | ||
Total assets | [1] | 2,825,700 | 3,336,009 | |
Interest payable | 10,272 | 12,006 | ||
Accounts payable and accrued expenses | 4,842 | 2,686 | ||
Other liabilities | 262 | 84,674 | ||
Total liabilities | [2] | 2,621,371 | 3,080,895 | |
VIE | ||||
Noncontrolling Interest [Line Items] | ||||
Restricted cash | 260 | 76,132 | ||
Securitized commercial loans, at fair value | 1,355,808 | 1,605,335 | ||
Commercial Loans, at fair value | 14,362 | 68,466 | ||
Interest receivable | 10,572 | 10,936 | ||
Total assets | 2,432,064 | 2,810,678 | ||
Interest payable | 6,480 | 7,882 | ||
Accounts payable and accrued expenses | 78 | 89 | ||
Other liabilities | 260 | 76,132 | ||
Total liabilities | 1,870,306 | 2,530,115 | ||
Securitized Commercial Loans | VIE | ||||
Noncontrolling Interest [Line Items] | ||||
Restricted cash | 260 | 76,132 | ||
Securitized commercial loans, at fair value | 1,355,808 | 1,605,335 | ||
Commercial Loans, at fair value | 14,362 | 68,466 | ||
Interest receivable | 5,290 | 6,248 | ||
Total assets | 1,375,720 | 1,756,181 | ||
Securitized debt, at fair value | 1,344,370 | 1,553,722 | ||
Interest payable | 5,164 | 5,660 | ||
Accounts payable and accrued expenses | 9 | 12 | ||
Other liabilities | 260 | 76,132 | ||
Total liabilities | $ 1,349,803 | $ 1,635,526 | ||
[1] | December 31, 2021 December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 266 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively) 1,023,502 1,008,782 Residential Bridge Loans ($5,207 and $11,858 at fair value and $5,207 and $12,960 pledged as collateral, respectively) 5,207 12,960 Securitized commercial loans, at fair value 1,355,808 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 22,087 27,987 Interest receivable 10,572 10,936 Other assets — 80 Total assets of consolidated VIEs $ 2,432,064 $ 2,810,678 | |||
[2] | Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,344,370 and $1,553,722 at fair value and $180,116 and $215,753 held by affiliates, respectively) $ 1,863,488 $ 2,446,012 Interest payable (includes $699 and $784 on securitized debt held by affiliates, respectively) 6,480 7,882 Accounts payable and accrued expenses 78 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,870,306 $ 2,530,115 |
Commercial Loans - Components o
Commercial Loans - Components of the carrying value of the commercial real estate loans (Details) - USD ($) $ in Thousands | Sep. 15, 2021 | Mar. 31, 2019 | Dec. 31, 2021 | Dec. 31, 2020 |
Commercial Loans, at Fair Value | ||||
Variable Interest Entity [Line Items] | ||||
Principal balance | $ 177,797 | $ 256,694 | ||
Unamortized premium | 0 | 0 | ||
Unamortized discount | 0 | (53) | ||
Amortized cost | 177,797 | 256,641 | ||
Gross unrealized gains | 0 | 1 | ||
Gross unrealized losses | (61,587) | (14,585) | ||
Fair Value | 116,210 | 242,057 | ||
CSMC Trust | Securitized Commercial Loans | ||||
Variable Interest Entity [Line Items] | ||||
Principal balance | 1,400,000 | |||
RETL Trust Securitized Commercial Loan, at Fair Value (1) | ||||
Variable Interest Entity [Line Items] | ||||
Principal balance | 0 | 354,202 | ||
Unamortized premium | 0 | 180 | ||
Unamortized discount | 0 | 0 | ||
Amortized cost | 0 | 354,382 | ||
Gross unrealized gains | 0 | 0 | ||
Gross unrealized losses | 0 | (14,998) | ||
Fair Value | 0 | 339,384 | ||
RETL Trust Securitized Commercial Loan, at Fair Value (1) | Securitized Commercial Loans | ||||
Variable Interest Entity [Line Items] | ||||
Variable interest entity, amount acquired, eligible risk retention | $ 45,300 | $ 45,300 | ||
CSMC USA Trust Securitized Commercial Loan, at Fair Value | ||||
Variable Interest Entity [Line Items] | ||||
Principal balance | 1,385,591 | 1,385,591 | ||
Unamortized premium | 0 | 0 | ||
Unamortized discount | (110,770) | (135,653) | ||
Amortized cost | 1,274,821 | 1,249,938 | ||
Gross unrealized gains | 80,987 | 16,013 | ||
Gross unrealized losses | 0 | 0 | ||
Fair Value | 1,355,808 | 1,265,951 | ||
RSBC Trust Commercial Loans, at Fair Value | ||||
Variable Interest Entity [Line Items] | ||||
Principal balance | 14,362 | 68,750 | ||
Unamortized premium | 0 | 0 | ||
Unamortized discount | 0 | (94) | ||
Amortized cost | 14,362 | 68,656 | ||
Gross unrealized gains | 0 | 0 | ||
Gross unrealized losses | 0 | (190) | ||
Fair Value | $ 14,362 | $ 68,466 |
Commercial Loans - Schedule of
Commercial Loans - Schedule of Non-Performing Aging Commercial Loans (Details) - Commercial Loans $ in Thousands | Dec. 31, 2021USD ($) |
Noncontrolling Interest [Line Items] | |
No of Loans | 7 |
Principal balance | $ 192,159 |
Fair Value | $ 130,572 |
Current | |
Noncontrolling Interest [Line Items] | |
No of Loans | 6 |
Principal balance | $ 102,159 |
Fair Value | $ 101,459 |
1-30 days | |
Noncontrolling Interest [Line Items] | |
No of Loans | 0 |
Principal balance | $ 0 |
Fair Value | $ 0 |
31-60 days | |
Noncontrolling Interest [Line Items] | |
No of Loans | 0 |
Principal balance | $ 0 |
Fair Value | $ 0 |
61-90 days | |
Noncontrolling Interest [Line Items] | |
No of Loans | 0 |
Principal balance | $ 0 |
Fair Value | $ 0 |
90+ days | |
Noncontrolling Interest [Line Items] | |
No of Loans | 1 |
Principal balance | $ 90,000 |
Fair Value | $ 29,113 |
Financings - Narrative (Details
Financings - Narrative (Details) | Nov. 05, 2021USD ($) | Nov. 04, 2021 | May 05, 2021USD ($) | Oct. 06, 2020 | Jul. 01, 2020USD ($)$ / sharesshares | Jun. 29, 2020USD ($) | May 04, 2020 | Apr. 21, 2020counterparty | Sep. 30, 2021USD ($)$ / shares | May 31, 2019USD ($) | Dec. 31, 2021USD ($)agreementitem$ / shares | Dec. 31, 2020USD ($)$ / shares | Dec. 31, 2019USD ($) | Aug. 31, 2021USD ($) | Jun. 30, 2021USD ($) | Mar. 31, 2021USD ($) | Jun. 30, 2020USD ($) |
Short-term Debt [Line Items] | |||||||||||||||||
Number of longer term financial arrangements company entered to reduce its exposure to short term financings | agreement | 3 | ||||||||||||||||
Number of counterparties from whom the Company had borrowings | item | 5 | ||||||||||||||||
Financing fee | $ (8,540,000) | $ (12,000,000) | $ 0 | ||||||||||||||
Repurchase Agreement Borrowings | 617,189,000 | 358,846,000 | |||||||||||||||
Assets pledged | 5,207,000 | 12,960,000 | |||||||||||||||
Due from counterparties | 3,200,000 | 1,800,000 | |||||||||||||||
Due to counterparties | $ 0 | $ 320,000 | |||||||||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | |||||||||||||||
Repurchase agreements, net | $ 617,189,000 | $ 356,923,000 | |||||||||||||||
Repurchase Agreements | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Repurchase Agreement Borrowings | $ 563,132,000 | $ 250,248,000 | |||||||||||||||
Weighted average interest rate | 2.24% | 3.74% | |||||||||||||||
Residential Whole Loans | Repurchase Agreements | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Repurchase Agreement Borrowings | $ 396,500,000 | ||||||||||||||||
Commercial Loans | Repurchase Agreements | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Repurchase Agreement Borrowings | $ 63,661,000 | $ 124,937,000 | |||||||||||||||
Weighted average interest rate | 2.27% | 2.17% | |||||||||||||||
Commercial Loans | Securities Sold Under Agreements To Repurchase | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Weighted average interest rate | 2.27% | ||||||||||||||||
Arroyo Mortgage Trust 2020 | Secured Debt | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Principal balance | $ 183,577,000 | ||||||||||||||||
Outstanding principle balance | 181,547,000 | ||||||||||||||||
Arroyo Mortgage Trust 2020 | Non-QM Loans | Arroyo Trust | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Number of counterparties from whom the Company had borrowings | counterparty | 3 | ||||||||||||||||
Target advance rate | 84.00% | ||||||||||||||||
Commitment fee percentage | 30.00% | ||||||||||||||||
Exit fee percentage | 0.50% | ||||||||||||||||
Line of credit, remaining borrowing capacity | 451,700,000 | ||||||||||||||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans, at Fair Value | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Repurchase agreements, net | $ 341,700,000 | $ 341,700,000 | |||||||||||||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans, at Fair Value | Secured Debt | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Outstanding principle balance | $ 188,200,000 | ||||||||||||||||
Debt instrument, collateral balance percentage | 30.00% | ||||||||||||||||
Debt Instrument, Term, Redemption Of Offering Notes | 3 years | ||||||||||||||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans, at Fair Value | Arroyo Trust | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Commitment fee percentage | 30.00% | ||||||||||||||||
Line of credit facility, maximum borrowing capacity | $ 355,800,000 | ||||||||||||||||
Repayments of Lines of Credit | $ 8,500,000 | $ 339,400,000 | |||||||||||||||
Debt Instrument, Fee | 20.5 million | ||||||||||||||||
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans, at Fair Value | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Repurchase agreements, net | $ 919,000,000 | ||||||||||||||||
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans, at Fair Value | Arroyo Trust | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Transfer of residential mortgage-backed securitization | $ 945,500,000 | ||||||||||||||||
CSMC Trust | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Trust certificates issued | 1,400,000,000 | ||||||||||||||||
CSMC Trust | Affiliated Entity | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Trust certificates issued | 198,300,000 | ||||||||||||||||
CSMC Trust | Third Party | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Trust certificates issued | 1,200,000,000 | ||||||||||||||||
CSMC Trust | Secured Debt | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Principal balance | 1,370,691,000 | ||||||||||||||||
Debt Instrument, Fair Value Disclosure | 1,344,370,000 | ||||||||||||||||
CSMC Trust | Securitized Commercial Loans | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Financing receivable, gross | 1,400,000,000 | ||||||||||||||||
Arroyo Trust | Residential Whole Loans, at Fair Value | Secured Debt | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Outstanding principle balance | $ 358,900,000 | ||||||||||||||||
Debt instrument, collateral balance percentage | 20.00% | ||||||||||||||||
Debt Instrument, Term, Redemption Of Offering Notes | 3 years | ||||||||||||||||
Residential Loan Warehouse Facility | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Target advance rate | 85.00% | ||||||||||||||||
Residential Loan Warehouse Facility | London Interbank Offered Rate (LIBOR) | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Debt instrument, basis spread on variable rate | 2.00% | 2.75% | |||||||||||||||
Residential Loan Warehouse Facility | Non-QM Loans | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Target advance rate | 90.00% | ||||||||||||||||
Line of credit, remaining borrowing capacity | $ 500,000,000 | ||||||||||||||||
Non-Agency CMBS and Non-Agency RMBS Facility | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Debt instrument, term | 12 months | 12 months | |||||||||||||||
Debt Instrument, Term Extensions At Counterparty’s Option | 12 months | ||||||||||||||||
Loans Pledged as Collateral | $ 181,000,000 | ||||||||||||||||
Line of credit, remaining borrowing capacity | $ 102,900,000 | ||||||||||||||||
Non-Agency CMBS and Non-Agency RMBS Facility | London Interbank Offered Rate (LIBOR) | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Debt instrument, basis spread on variable rate | 2.00% | 5.00% | |||||||||||||||
2022 Notes | Convertible Debt | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Principal balance | $ 5,000,000 | ||||||||||||||||
Redemption price, percentage | 100.00% | ||||||||||||||||
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares | $ 2.96 | ||||||||||||||||
Exchange of convertible senior notes (in shares) | shares | 1,354,084 | ||||||||||||||||
Convertible senior unsecured notes, conversion ratio | 0.337952 | ||||||||||||||||
Class F | CSMC Trust | Secured Debt | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Principal balance | $ 153,600,000 | ||||||||||||||||
Debt Instrument, Fair Value Disclosure | 117,912,000 | ||||||||||||||||
Debt default, amount | 14,900,000 | ||||||||||||||||
Class F | CSMC Trust | Secured Debt | Estimate of Fair Value Measurement | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Debt Instrument, Fair Value Disclosure | 1,300,000,000 | ||||||||||||||||
Commercial Whole Loan Facility | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Debt instrument, term | 12 months | ||||||||||||||||
Debt Instrument, Term Extensions At Counterparty’s Option | 12 months | ||||||||||||||||
Commercial Whole Loan Facility | Estimate of Fair Value Measurement | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Loans Pledged as Collateral | 87,100,000 | ||||||||||||||||
Commercial Whole Loan Facility | Repurchase Agreements | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Line of credit facility, maximum borrowing capacity | $ 100,000,000 | ||||||||||||||||
Commercial Whole Loan Facility | Securities Sold Under Agreements To Repurchase | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Outstanding principle balance | 63,700,000 | ||||||||||||||||
Six Point Seventy Five Percent Convertible Senior Unsecured Notes Due 2022 | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Debt instrument, repurchase amount | $ 100,300,000 | $ 8,000,000 | $ 25,000,000 | $ 22,300,000 | $ 6,700,000 | ||||||||||||
Debt instrument, interest rate, effective percentage | 1.00% | 13.00% | 2.80% | 6.30% | |||||||||||||
Six Point Seventy Five Percent Convertible Senior Unsecured Notes Due 2022 | Convertible Debt | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Principal balance | $ 5,000,000 | $ 37,700,000 | $ 175,000,000 | ||||||||||||||
Interest rate, stated percentage | 6.75% | ||||||||||||||||
Redemption price, percentage | 100.00% | ||||||||||||||||
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares | $ 12.02 | ||||||||||||||||
Exchange of convertible senior notes (in shares) | shares | 1,354,084 | ||||||||||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | ||||||||||||||||
Convertible senior unsecured notes, conversion ratio | 0.0831947000 | ||||||||||||||||
Minimum | Repurchase Agreements | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Debt instrument, term | 1 month | ||||||||||||||||
Minimum | Residential Loan Warehouse Facility | London Interbank Offered Rate (LIBOR) | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Debt instrument, basis spread on variable rate | 0.25% | 0.25% | |||||||||||||||
Maximum | Repurchase Agreements | |||||||||||||||||
Short-term Debt [Line Items] | |||||||||||||||||
Debt instrument, term | 12 months |
Financings - Borrowings under R
Financings - Borrowings under Repurchase Agreements (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 617,189 | $ 358,846 |
Less unamortized debt issuance costs | 0 | 1,923 |
Repurchase agreements, net | $ 617,189 | $ 356,923 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.30% | 3.57% |
Weighted Average Remaining Maturity (days) | 247 days | 169 days |
Repurchase Agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 563,132 | $ 250,248 |
Weighted average interest rate | 2.24% | 3.74% |
Weighted Average Remaining Maturity (days) | 270 days | 225 days |
Repurchase Agreements | Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 59,802 | $ 66,767 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 5.23% | |
Weighted average interest rate | 2.14% | |
Weighted Average Remaining Maturity (days) | 125 days | 126 days |
Repurchase Agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 15,632 | $ 14,643 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 5.23% | |
Weighted average interest rate | 2.14% | |
Weighted Average Remaining Maturity (days) | 125 days | 126 days |
Repurchase Agreements | Non-Agency CMBS and Non-Agency RMBS Facility | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 102,940 | $ 95,087 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 5.23% | |
Weighted average interest rate | 2.16% | |
Weighted Average Remaining Maturity (days) | 125 days | 126 days |
Repurchase Agreements | Residential Whole Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 396,531 | $ 30,224 |
Weighted average interest rate | 2.25% | 3.00% |
Weighted Average Remaining Maturity (days) | 308 days | 278 days |
Repurchase Agreements | Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 63,661 | $ 124,937 |
Weighted average interest rate | 2.27% | 2.17% |
Weighted Average Remaining Maturity (days) | 268 days | 287 days |
Repurchase Agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 27,506 | $ 13,677 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 5.24% | |
Weighted average interest rate | 2.22% | |
Weighted Average Remaining Maturity (days) | 125 days | 126 days |
Repurchase Agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 54,057 | $ 108,598 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.92% | 3.19% |
Weighted Average Remaining Maturity (days) | 6 days | 39 days |
Repurchase Agreements | Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 976 | $ 1,418 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 1.02% | 1.34% |
Weighted Average Remaining Maturity (days) | 58 days | 59 days |
Repurchase Agreements | Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 0 | $ 10,313 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 0.00% | 2.25% |
Weighted Average Remaining Maturity (days) | 0 days | 14 days |
Repurchase Agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 38,354 | $ 0 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.94% | 0.00% |
Weighted Average Remaining Maturity (days) | 4 days | 0 days |
Repurchase Agreements | Residential Whole Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 1,439 | $ 29,800 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.57% | 3.71% |
Weighted Average Remaining Maturity (days) | 5 days | 15 days |
Repurchase Agreements | Residential Bridge Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 4,368 | $ 11,254 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.61% | 2.73% |
Weighted Average Remaining Maturity (days) | 5 days | 36 days |
Repurchase Agreements | Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 6,463 | $ 34,375 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.20% | 3.32% |
Weighted Average Remaining Maturity (days) | 5 days | 75 days |
Repurchase Agreements | Membership Interest | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 0 | $ 18,844 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 0.00% | 2.90% |
Weighted Average Remaining Maturity (days) | 0 days | 29 days |
Repurchase Agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 2,457 | $ 2,594 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.50% | 4.51% |
Weighted Average Remaining Maturity (days) | 18 days | 19 days |
Financings - Repurchase Agreeme
Financings - Repurchase Agreements Remaining Maturities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 617,189 | $ 358,846 |
1 to 29 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 53,081 | 59,856 |
30 to 59 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 370 | 13,421 |
60 to 89 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 606 | 35,321 |
Greater than or equal to 90 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 563,132 | $ 250,248 |
Financings - Collateral at Risk
Financings - Collateral at Risk Under its Repurchase Agreements Greater than 10% (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2021USD ($) | |
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 | $ 84,150 |
Weighted Average Remaining Maturity (days) | 280 days |
Percentage of Stockholders' Equity | 43.60% |
Citigroup Global Markets Inc. | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 78,544 |
Weighted Average Remaining Maturity (days) | 125 days |
Percentage of Stockholders' Equity | 40.70% |
Financings - Collateral Positio
Financings - Collateral Positions (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Collateral Positions | ||
Assets pledged | $ 5,207 | $ 12,960 |
Repurchase Agreements | ||
Collateral Positions | ||
Assets pledged | 787,100 | 682,900 |
Assets pledged- fair value | 790,263 | 684,675 |
Accrued interest | 4,091 | 3,475 |
Assets pledged and accrued interest | 794,354 | 688,150 |
Repurchase Agreements | Agency RMBS | ||
Collateral Positions | ||
Assets pledged | 1,172 | 1,708 |
Accrued interest | 19 | 49 |
Assets pledged and accrued interest | 1,191 | 1,757 |
Repurchase Agreements | Non-Agency CMBS | ||
Collateral Positions | ||
Assets pledged | 107,624 | 152,275 |
Accrued interest | 504 | 649 |
Assets pledged and accrued interest | 108,128 | 152,924 |
Repurchase Agreements | Non-Agency RMBS | ||
Collateral Positions | ||
Assets pledged | 66,555 | 25,382 |
Accrued interest | 343 | 160 |
Assets pledged and accrued interest | 66,898 | 25,542 |
Repurchase Agreements | Residential Whole Loans | ||
Collateral Positions | ||
Assets pledged | 453,447 | 97,566 |
Accrued interest | 2,674 | 543 |
Assets pledged and accrued interest | 456,121 | 98,109 |
Repurchase Agreements | Residential Bridge Loans | ||
Collateral Positions | ||
Assets pledged | 5,207 | 12,960 |
Accrued interest | 91 | 180 |
Assets pledged and accrued interest | 5,298 | 13,140 |
Repurchase Agreements | Commercial Loans | ||
Collateral Positions | ||
Assets pledged | 101,459 | 310,523 |
Accrued interest | 360 | 1,850 |
Assets pledged and accrued interest | 101,819 | 312,373 |
Repurchase Agreements | Membership Interest | ||
Collateral Positions | ||
Assets pledged | 0 | 33,690 |
Accrued interest | 0 | 0 |
Assets pledged and accrued interest | 0 | 33,690 |
Repurchase Agreements | Other securities | ||
Collateral Positions | ||
Assets pledged | 51,648 | 48,754 |
Accrued interest | 100 | 44 |
Assets pledged and accrued interest | 51,748 | 48,798 |
Repurchase Agreements | Cash | ||
Collateral Positions | ||
Assets pledged- fair value | 3,151 | 1,817 |
Accrued interest | 0 | 0 |
Assets pledged and accrued interest | $ 3,151 | $ 1,817 |
Financings - Commercial Mortgag
Financings - Commercial Mortgage Pass-Through Certificates (Details) - Secured Debt | 12 Months Ended |
Dec. 31, 2021USD ($) | |
Arroyo Trust 2019 | |
Debt Instrument [Line Items] | |
Principal balance | $ 341,072,000 |
Carrying Value | 341,072,000 |
Less: Unamortized Deferred Financing Costs | 3,501,000 |
Total | 337,571,000 |
Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal balance | 183,577,000 |
Carrying Value | 183,577,000 |
Less: Unamortized Deferred Financing Costs | 2,030,000 |
Total | 181,547,000 |
CSMC Trust | |
Debt Instrument [Line Items] | |
Principal balance | 1,370,691,000 |
Debt Instrument, Fair Value Disclosure | 1,344,370,000 |
Class A-1 | Arroyo Trust 2019 | |
Debt Instrument [Line Items] | |
Principal balance | $ 277,549,000 |
Debt Instrument, Premium, Coupon Rate | 3.30% |
Carrying Value | $ 277,549,000 |
Class A-1 | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal balance | $ 120,391,000 |
Debt Instrument, Premium, Coupon Rate | 3.30% |
Debt Instrument, Fair Value Disclosure | $ 124,143,000 |
Class A-2 | Arroyo Trust 2019 | |
Debt Instrument [Line Items] | |
Principal balance | $ 14,885,000 |
Debt Instrument, Premium, Coupon Rate | 3.50% |
Carrying Value | $ 14,885,000 |
Class A-2 | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal balance | $ 13,518,000 |
Debt Instrument, Premium, Coupon Rate | 2.90% |
Carrying Value | $ 13,518,000 |
Class A-2 | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal balance | $ 531,700,000 |
Debt Instrument, Premium, Coupon Rate | 4.00% |
Debt Instrument, Fair Value Disclosure | $ 559,447,000 |
Class B | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal balance | $ 136,400,000 |
Debt Instrument, Premium, Coupon Rate | 4.20% |
Debt Instrument, Fair Value Disclosure | $ 133,776,000 |
Class C | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal balance | $ 94,500,000 |
Debt Instrument, Premium, Coupon Rate | 4.30% |
Debt Instrument, Fair Value Disclosure | $ 91,460,000 |
Class A-3 | Arroyo Trust 2019 | |
Debt Instrument [Line Items] | |
Principal balance | $ 23,583,000 |
Debt Instrument, Premium, Coupon Rate | 3.80% |
Carrying Value | $ 23,583,000 |
Class A-3 | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal balance | $ 17,963,000 |
Debt Instrument, Premium, Coupon Rate | 3.30% |
Carrying Value | $ 17,963,000 |
Class M-1 | Arroyo Trust 2019 | |
Debt Instrument [Line Items] | |
Principal balance | $ 25,055,000 |
Debt Instrument, Premium, Coupon Rate | 4.80% |
Carrying Value | $ 25,055,000 |
Class M-1 | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal balance | $ 11,739,000 |
Debt Instrument, Premium, Coupon Rate | 4.30% |
Carrying Value | $ 11,739,000 |
Class D | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal balance | $ 153,950,000 |
Debt Instrument, Premium, Coupon Rate | 4.40% |
Debt Instrument, Fair Value Disclosure | $ 142,388,000 |
Class E | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal balance | $ 180,150,000 |
Debt Instrument, Premium, Coupon Rate | 4.40% |
Debt Instrument, Fair Value Disclosure | $ 160,325,000 |
Class F | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal balance | $ 153,600,000 |
Debt Instrument, Premium, Coupon Rate | 4.40% |
Debt Instrument, Fair Value Disclosure | $ 117,912,000 |
Class X-1 | CSMC Trust | |
Debt Instrument [Line Items] | |
Debt Instrument, Premium, Coupon Rate | 0.70% |
Debt Instrument, Fair Value Disclosure | $ 12,347,000 |
Notional amount of nonderivative instruments | $ 652,100,000 |
Class X-2 | CSMC Trust | |
Debt Instrument [Line Items] | |
Debt Instrument, Premium, Coupon Rate | 0.20% |
Debt Instrument, Fair Value Disclosure | $ 2,572,000 |
Notional amount of nonderivative instruments | 733,500,000 |
Class A-1A | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal balance | $ 125,469,000 |
Debt Instrument, Premium, Coupon Rate | 1.70% |
Carrying Value | $ 125,469,000 |
Class A-1B | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal balance | $ 14,888,000 |
Debt Instrument, Premium, Coupon Rate | 2.10% |
Carrying Value | $ 14,888,000 |
Financings - Convertible Senior
Financings - Convertible Senior Unsecured Notes (Details) - USD ($) | Jul. 01, 2020 | Sep. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Aug. 31, 2021 | Mar. 31, 2021 |
Debt Instrument [Line Items] | |||||||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |||||
Proceeds from convertible note offering | $ 86,250,000 | $ 0 | $ 90,625,000 | ||||
2024 Notes | |||||||
Debt Instrument [Line Items] | |||||||
Debt instrument, repurchase amount | $ 20,300,000 | ||||||
Six Point Seventy Five Percent Convertible Senior Unsecured Notes Due 2022 | |||||||
Debt Instrument [Line Items] | |||||||
Debt instrument, repurchase amount | 100,300,000 | $ 8,000,000 | $ 25,000,000 | $ 22,300,000 | $ 6,700,000 | ||
Debt instrument, interest rate, effective percentage | 1.00% | 13.00% | 2.80% | 6.30% | |||
Convertible Debt | 2024 Notes | |||||||
Debt Instrument [Line Items] | |||||||
Interest rate, stated percentage | 6.75% | ||||||
Principal balance | 86,300,000 | ||||||
Proceeds from convertible note offering | $ 83,300,000 | ||||||
Convertible Debt | Six Point Seventy Five Percent Convertible Senior Unsecured Notes Due 2022 | |||||||
Debt Instrument [Line Items] | |||||||
Interest rate, stated percentage | 6.75% | ||||||
Principal balance | $ 5,000,000 | $ 37,700,000 | $ 175,000,000 | ||||
Redemption price, percentage | 100.00% | ||||||
Convertible senior unsecured notes, conversion price (in dollars per share) | $ 12.02 | ||||||
Redemption period | 3 months | ||||||
Exchange of convertible senior notes (in shares) | 1,354,084 | ||||||
Common stock, par value (in dollars per share) | $ 0.01 |
Derivative Instruments- Summary
Derivative Instruments- Summary (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Estimated Fair Value | ||
Derivative assets | $ 1,163 | $ 1,726 |
Derivative liabilities | (602) | (656) |
Derivative Instruments Not Accounted as Hedges Under GAAP | ||
Estimated Fair Value | ||
Derivative assets | 105 | 161 |
Derivative liabilities | (602) | (656) |
Total derivative instruments | (497) | (495) |
Interest Rate Swaps | Derivative Instruments Not Accounted as Hedges Under GAAP | ||
Notional Amount | ||
Notional amount, liabilities | 22,000 | 0 |
Estimated Fair Value | ||
Derivative liabilities | (38) | 0 |
Credit Default Swap | Derivative Instruments Not Accounted as Hedges Under GAAP | ||
Notional Amount | ||
Notional amount, assets | 2,030 | 2,030 |
Notional amount, liabilities | 4,140 | 4,140 |
Estimated Fair Value | ||
Derivative assets | 105 | 161 |
Derivative liabilities | $ (564) | $ (656) |
Derivative Instruments - Gains
Derivative Instruments - Gains and Losses (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Amounts recognized on the statements of operations related to the Company's derivatives | |||
Other Settlements / Expirations | $ 0 | $ (13,134) | $ (9,631) |
Mark-to-Market | (208) | (3,953) | 9,390 |
Total | 549 | (197,703) | (103,727) |
Collateral already posted, aggregate fair value | 1,400 | 510 | |
Derivative Instruments Not Accounted as Hedges Under GAAP | |||
Amounts recognized on the statements of operations related to the Company's derivatives | |||
Other Settlements / Expirations | 64 | (13,086) | (15,038) |
Variation Margin Settlement | 490 | (179,759) | (108,169) |
Return (Recovery) of Basis | (300) | (834) | 3,081 |
Mark-to-Market | (208) | (3,953) | 9,390 |
Contractual interest income (expense), net | 503 | (71) | 7,009 |
Total | 549 | (197,703) | (103,727) |
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 | 0 | (262) | (4,978) |
Variation Margin Settlement | 490 | (179,759) | (108,169) |
Return (Recovery) of Basis | 0 | 262 | 5,769 |
Mark-to-Market | (38) | (2,515) | 5,140 |
Contractual interest income (expense), net | 109 | (1,395) | 3,732 |
Total | 561 | (183,669) | (98,506) |
Interest Sate 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 | 80 | (332) | |
Variation Margin Settlement | 0 | ||
Return (Recovery) of Basis | 0 | ||
Mark-to-Market | 0 | ||
Contractual interest income (expense), net | 0 | ||
Total | 80 | (332) | |
Interest-Only Strips—accounted for as derivatives | Derivative Instruments Not Accounted as Hedges Under GAAP | |||
Amounts recognized on the statements of operations related to the Company's derivatives | |||
Other Settlements / Expirations | 0 | (940) | 0 |
Variation Margin Settlement | 0 | 0 | 0 |
Return (Recovery) of Basis | (300) | (1,096) | (2,688) |
Mark-to-Market | (206) | (532) | (508) |
Contractual interest income (expense), net | 394 | 1,324 | 3,277 |
Total | (112) | (1,244) | 81 |
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 | ||
Variation Margin Settlement | 0 | ||
Return (Recovery) of Basis | 0 | ||
Mark-to-Market | 0 | ||
Contractual interest income (expense), net | 0 | ||
Total | 1,378 | ||
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 | (12,862) | ||
Variation Margin Settlement | 0 | ||
Return (Recovery) of Basis | 0 | ||
Mark-to-Market | 4,657 | ||
Contractual interest income (expense), net | 0 | ||
Total | (8,205) | ||
Credit Default Swap | Derivative Instruments Not Accounted as Hedges Under GAAP | |||
Amounts recognized on the statements of operations related to the Company's derivatives | |||
Other Settlements / Expirations | 64 | (9,534) | (178) |
Variation Margin Settlement | 0 | 0 | 0 |
Return (Recovery) of Basis | 0 | 0 | 0 |
Mark-to-Market | 36 | (1,834) | 1,029 |
Contractual interest income (expense), net | 0 | 0 | 0 |
Total | $ 100 | (11,368) | 851 |
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 | (2,430) | 1,934 | |
Variation Margin Settlement | 0 | 0 | |
Return (Recovery) of Basis | 0 | 0 | |
Mark-to-Market | 928 | (928) | |
Contractual interest income (expense), net | 0 | 0 | |
Total | $ (1,502) | $ 1,006 |
Derivative Instruments - Intere
Derivative Instruments - Interest Rate Swaps (Details) - Interest Rate Swaps - Derivative Instruments Not Accounted as Hedges Under GAAP - Fixed Income Interest Rate $ in Thousands | 12 Months Ended |
Dec. 31, 2021USD ($) | |
Currency swaps and forwards | |
Notional Amount | $ 22,000 |
Average Fixed Pay Rate | 1.20% |
Average Floating Receive Rate | 0.05% |
Average Maturity (Years) | 9 years 9 months 18 days |
Greater than 5 years | |
Currency swaps and forwards | |
Notional Amount | $ 22,000 |
Average Fixed Pay Rate | 1.20% |
Average Floating Receive Rate | 0.05% |
Average Maturity (Years) | 9 years 9 months 18 days |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Derivative Assets | ||
Gross Amounts | $ 1,163 | $ 1,726 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 1,163 | 1,726 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 105 | 161 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (1,163) | (1,726) |
Gross amounts not offset in the consolidated balance sheets, cash collateral | 0 | 0 |
Net Amount | 0 | 0 |
Derivative Liabilities and Repurchase Agreements | ||
Gross amounts of derivative liability, fair value | 602 | 656 |
Gross amounts offset in the consolidated balance sheets, derivative liability, at fair value | 0 | 0 |
Derivative liability, at fair value | 602 | 656 |
Gross amounts not offset in the consolidated balance sheets, financial instruments, derivative liability, at fair value | (105) | (161) |
Gross amounts not offset in the consolidated balance sheets, cash collateral, derivative liability, at fair value | (497) | (495) |
Derivative liability, at fair value, net Amount | 0 | 0 |
Gross amounts of repurchase agreements | 617,189 | 356,923 |
Gross amounts offset in the consolidated balance sheets, repurchase agreements | 0 | 0 |
Repurchase agreement, net amounts of assets presented in consolidated balance sheets | 617,189 | 356,923 |
Gross amounts not offset in the consolidated balance sheets, financial instruments, repurchase agreements | (617,189) | (356,923) |
Gross amounts not offset in the consolidated balance sheets, cash collateral, repurchase agreements | 0 | 0 |
Repurchase agreements, net amount | 0 | 0 |
Gross amounts of total liabilities | 617,791 | 357,579 |
Gross amounts offset in the consolidated balance sheets, total liabilities | 0 | 0 |
Total liabilities, net amounts of assets presented in consolidated balance sheets | 617,791 | 357,579 |
Gross amounts not offset in the consolidated balance sheets, financial instruments, total liabilities | (617,294) | (357,084) |
Derivative liability, net amount | 0 | 0 |
Derivative liability, cash collateral pledged | 1,400 | 510 |
Fair value of investments pledged against repurchase agreements | 787,100 | 682,900 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Derivative Assets | ||
Gross Amounts | 1,058 | 1,565 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 1,058 | 1,565 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (1,058) | (1,565) |
Gross amounts not offset in the consolidated balance sheets, cash collateral | 0 | 0 |
Net Amount | 0 | 0 |
Derivative asset | ||
Derivative Assets | ||
Gross Amounts | 105 | 161 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 105 | 161 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (105) | (161) |
Gross amounts not offset in the consolidated balance sheets, cash collateral | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Related Party Transactions | |||
Management fees | $ 5,937 | $ 4,544 | $ 7,354 |
Western Asset Management Company | |||
Related Party Transactions | |||
Management fees percentage | 1.50% | ||
Renewal term of management agreement period | 1 year | ||
Notice period to terminate the management agreement following initial term | 180 days | ||
Termination fee of management agreement | 3 | ||
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 | $ 5,900 | 4,500 | 7,400 |
Reimbursable employee costs | 1,900 | 1,700 | $ 1,600 |
Management fees incurred but not yet paid | 1,500 | 3,000 | |
Reimbursable employee costs incurred but not yet paid | $ 457 | $ 148 | |
Western Asset Management Company | Minimum | |||
Related Party Transactions | |||
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees percentage | 67.00% | ||
Proportion of affirmative votes by the entity's independent directors to terminate the management agreement percentage | 67.00% |
Share-Based Payments (Details)
Share-Based Payments (Details) $ / shares in Units, $ in Thousands | Jun. 25, 2021directorshares | Jun. 19, 2020directorshares | Dec. 31, 2021USD ($)$ / sharesshares | Dec. 31, 2020USD ($)$ / sharesshares | Dec. 31, 2019USD ($)$ / sharesshares |
Share-Based Payments | |||||
Shares authorized percentage | 3.00% | ||||
Number of shares remained available for issuance (in shares) | 656,033 | ||||
Stock-based compensation expense recognized | $ | $ 618 | $ 699 | $ 564 | ||
June 2022 | |||||
Summary of restricted common stock vesting dates | |||||
Shares Vesting (in shares) | 81,160 | 0 | |||
Restricted Stock Units | |||||
Shares Issued Under the Equity Incentive Plans, Unvested at end of year (in shares) | 81,160 | 0 | |||
Common Stock Outstanding | |||||
Share-Based Payments | |||||
Number of shares remained available for issuance (in shares) | 1,804,258 | ||||
Equity awards | |||||
Share-Based Payments | |||||
Granted (in shares) | 1,148,225 | ||||
Unamortized compensation expense | $ | $ 211 | $ 619 | |||
Restricted Stock Units | |||||
Granted (in shares) | 1,148,225 | ||||
Restricted common stock | |||||
Share-Based Payments | |||||
Granted (in shares) | 148,138 | 131,253 | |||
Vested (in shares) | 137,820 | 67,480 | 29,200 | ||
Summary of restricted common stock vesting dates | |||||
Shares Vesting (in shares) | 117,160 | 202,365 | |||
Restricted Stock Units | |||||
Outstanding, beginning of period (in shares) | 1,025,542 | 894,289 | |||
Granted (in shares) | 148,138 | 131,253 | |||
Cancelled/forfeited (in shares) | (25,455) | 0 | |||
Outstanding, end of period (in shares) | 1,148,225 | 1,025,542 | 894,289 | ||
Shares Issued Under the Equity Incentive Plans, Unvested at end of year (in shares) | 117,160 | 202,365 | |||
Weighted Average Grant Date Fair Value | |||||
Outstanding at beginning of period (in dollars per share) | $ / shares | $ 14.10 | $ 15.76 | |||
Granted (in dollars per share) | $ / shares | 5.07 | 2.79 | |||
Cancelled/forfeited (in dollars per share) | $ / shares | 2.75 | 0 | |||
Outstanding at end of year (in dollars per share) | $ / shares | 13.19 | 14.10 | $ 15.76 | ||
Weighted average grant date fair value, Unvested at end of year (in dollars per share) | $ / shares | $ 5.62 | $ 5.50 | |||
Restricted common stock | Director Deferred Fee Plan | |||||
Share-Based Payments | |||||
Granted (in shares) | 66,978 | 3,978 | |||
Restricted Stock Units | |||||
Granted (in shares) | 66,978 | 3,978 | |||
Restricted common stock | March 2021 | |||||
Summary of restricted common stock vesting dates | |||||
Shares Vesting (in shares) | 0 | 36,000 | |||
Restricted Stock Units | |||||
Shares Issued Under the Equity Incentive Plans, Unvested at end of year (in shares) | 0 | 36,000 | |||
Restricted common stock | June 2021 | |||||
Summary of restricted common stock vesting dates | |||||
Shares Vesting (in shares) | 0 | 130,365 | |||
Restricted Stock Units | |||||
Shares Issued Under the Equity Incentive Plans, Unvested at end of year (in shares) | 0 | 130,365 | |||
Restricted common stock | March 2022 | |||||
Summary of restricted common stock vesting dates | |||||
Shares Vesting (in shares) | 36,000 | 36,000 | |||
Restricted Stock Units | |||||
Shares Issued Under the Equity Incentive Plans, Unvested at end of year (in shares) | 36,000 | 36,000 | |||
Restricted common stock | Director | |||||
Share-Based Payments | |||||
Granted (in shares) | 81,160 | 127,275 | |||
Awards granted to each of the entity's independent directors (in shares) | 20,290 | 25,455 | |||
Number of independent directors to whom awards were granted | director | 4 | 5 | |||
Restricted Stock Units | |||||
Granted (in shares) | 81,160 | 127,275 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) | Dec. 21, 2021 | Sep. 23, 2021 | Jun. 22, 2021 | Mar. 23, 2021 | Dec. 17, 2020 | Sep. 22, 2020 | Jul. 01, 2020 | Dec. 31, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 19, 2019 | Mar. 31, 2017 |
Shareholders equity | |||||||||||||
Net proceeds from issuance of common stock | $ 0 | $ 22,357,000 | $ 52,714,000 | ||||||||||
Shares authorized to be repurchased (in shares) | 3,000,000 | ||||||||||||
Treasury stock (in shares) | 479,808 | ||||||||||||
Treasury stock, weighted average price (in dollars per share) | $ 2.27 | ||||||||||||
Dividends declared per Share of Common Stock (in dollars per share) | $ 0.06 | $ 0.06 | $ 0.06 | $ 0.06 | $ 0.06 | $ 0.05 | |||||||
Dividends paid per Share of Common Stock (in dollars per share) | $ 0.06 | $ 0.06 | $ 0.06 | $ 0.06 | $ 0.06 | $ 0.05 | |||||||
2022 Notes | Convertible Debt | |||||||||||||
Shareholders equity | |||||||||||||
Exchange of convertible senior notes (in shares) | 1,354,084 | ||||||||||||
Principal balance | $ 5,000,000 | ||||||||||||
Common Stock | |||||||||||||
Shareholders equity | |||||||||||||
Treasury stock (in shares) | 479,808 | 100,000 | |||||||||||
Common Stock | At The Market Offering | |||||||||||||
Shareholders equity | |||||||||||||
Equity offering amount, maximum | $ 100,000,000 | ||||||||||||
Sale of stock (in shares) | 6,034,741 | ||||||||||||
Sale of stock, price per share (in dollars per share) | $ 3.70 | ||||||||||||
Net proceeds from issuance of common stock | $ 22,000,000 |
Net Income (Loss) per Common _3
Net Income (Loss) per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Numerator: | |||
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share | $ (48,953) | $ (328,354) | $ 70,699 |
Dividends and undistributed earnings allocated to participating securities, basic | 89 | 36 | 303 |
Dividends and undistributed earnings allocated to participating securities, diluted | 89 | 36 | 303 |
Net income (loss) allocable to common stockholders — basic and diluted, basic | (49,042) | (328,390) | 70,396 |
Net income (loss) allocable to common stockholders — basic and diluted, diluted | $ (49,042) | $ (328,390) | $ 70,396 |
Denominator: | |||
Weighted average common shares outstanding for basic earnings per share (in shares) | 60,747,137 | 57,411,384 | 51,278,932 |
Weighted average common shares outstanding for diluted earnings per share (in shares) | 60,747,137 | 57,411,384 | 51,278,932 |
Basic earnings (loss) per common share (in dollars per share) | $ (0.81) | $ (5.72) | $ 1.37 |
Diluted earnings (loss) per common share (in dollars per share) | $ (0.81) | $ (5.72) | $ 1.37 |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Tax Contingency [Line Items] | |||
Income tax provision | $ 99 | $ 396 | $ 1,057 |
Deferred tax asset, capital loss carry-forward | 11,072 | 11,966 | |
Deferred tax assets, net operating losses | 20,637 | 21,402 | |
Allowance | (33,681) | (42,429) | |
Operating Loss Carryforwards | |||
Income Tax Contingency [Line Items] | |||
Allowance | (20,600) | (21,400) | |
State and Local Jurisdiction | |||
Income Tax Contingency [Line Items] | |||
Deferred tax assets, net operating losses | 18,600 | 19,300 | |
Taxable REIT Subsidiary | |||
Income Tax Contingency [Line Items] | |||
Deferred tax asset, capital loss carry-forward | 13,000 | 21,000 | |
Taxable REIT Subsidiary | State and Local Jurisdiction | |||
Income Tax Contingency [Line Items] | |||
Deferred tax assets, net operating losses | $ 2,000 | $ 2,100 |
Income Taxes - Components of In
Income Taxes - Components of Income Tax Expense (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Current Tax Provision (Benefit) | |||
Federal | $ 55 | $ 527 | $ 860 |
State | 44 | (452) | 197 |
Total Current Provision for Income Taxes, net | 99 | 75 | 1,057 |
Deferred Provision (Benefit) for Income Taxes | |||
Federal | 0 | (85) | 0 |
State | 0 | 406 | 0 |
Total Deferred Benefit for Income Taxes, net | 0 | 321 | 0 |
Income Tax Expense (Benefit) | $ 99 | $ 396 | $ 1,057 |
Income Taxes - Deferred Tax Ass
Income Taxes - Deferred Tax Asset/Liability (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Deferred Tax Asset | ||
Net operating loss available for carry-back and carry-forward (1) | $ 20,637 | $ 21,402 |
Net capital loss carry-forward (1) | 11,072 | 11,966 |
Investments | 1,972 | 9,061 |
Deferred tax asset | 33,681 | 42,429 |
Allowance | (33,681) | (42,429) |
Net deferred tax asset | 0 | 0 |
Deferred Tax Liability | ||
Net operating loss available for carry-back and carry-forward | 0 | 85 |
Net deferred tax liability | $ 0 | $ 85 |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of Tax Rate to Effective Tax Rate (Details) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Effective Income Tax Rate Reconciliation, Percent [Abstract] | ||
Federal statutory rate | 21.00% | 21.00% |
State statutory rate, net of federal benefit | (4.40%) | 1.50% |
Other | 0.20% | 0.00% |
Change in valuation allowance | 13.80% | (4.40%) |
REIT earnings not subject to corporate taxes | (30.80%) | (18.20%) |
Effective Tax Rate | (0.20%) | (0.10%) |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ in Thousands | 1 Months Ended | |||
Feb. 28, 2022 | May 31, 2019 | Dec. 31, 2021 | Dec. 31, 2020 | |
Subsequent Event [Line Items] | ||||
Repurchase agreements, net | $ 617,189 | $ 356,923 | ||
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans | ||||
Subsequent Event [Line Items] | ||||
Repurchase agreements, net | $ 919,000 | |||
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans | Arroyo Trust | ||||
Subsequent Event [Line Items] | ||||
Transfer of residential mortgage-backed securitization | $ 945,500 | |||
Subsequent Event | ||||
Subsequent Event [Line Items] | ||||
Weighted average fixed interest rate | 3.10% | |||
Proceeds from foreclosed property | $ 55,900 | |||
Initial investment | 42,000 | |||
Subsequent Event | Arroyo Mortgage Trust 2019-2 | Residential Whole Loans | ||||
Subsequent Event [Line Items] | ||||
Repurchase agreements, net | 398,900 | |||
Subsequent Event | Arroyo Mortgage Trust 2019-2 | Residential Whole Loans | Arroyo Trust | ||||
Subsequent Event [Line Items] | ||||
Transfer of residential mortgage-backed securitization | $ 432,000 |
Schedule IV - Mortgage Loans _2
Schedule IV - Mortgage Loans on Real Estate (Details) | 12 Months Ended | ||
Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | |
Mortgage Loans on Real Estate | |||
Principal balance | $ 2,572,727,000 | ||
Fair Value | 2,515,310,000 | $ 2,938,556,000 | $ 2,691,532,000 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | 107,019,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Beginning balance | 2,938,556,000 | 2,691,532,000 | 2,493,238,000 |
New mortgage loans | 427,848,000 | 113,340,000 | 2,042,587,000 |
Unrealized gains | 100,598,000 | 0 | 21,291,000 |
Realized gains | 35,000 | 0 | 0 |
Capitalized interest | 485,000 | 829,000 | 0 |
Mortgage loan of consolidated VIE | 0 | 1,245,287,000 | 0 |
Collections of principal | 872,612,000 | 713,854,000 | 1,853,630,000 |
Transfer to REO | 30,751,000 | 419,000 | 5,029,000 |
Amortization of premium and (discounts), net | (15,053,000) | (4,805,000) | 5,247,000 |
Unrealized losses | 63,661,000 | 97,089,000 | 1,191,000 |
Sales of mortgage loans | 0 | 144,259,000 | 0 |
Realized losses | 241,000 | 10,812,000 | 487,000 |
Mortgage loan of deconsolidated VIE | 0 | 150,804,000 | 0 |
Balance at end of period | 2,515,310,000 | $ 2,938,556,000 | $ 2,691,532,000 |
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 32,000,000 | |||
Mortgage Loans on Real Estate | |||
Principal balance | 32,000,000 | ||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 90,000,000 | |||
Mortgage Loans on Real Estate | |||
Principal balance | 90,000,000 | ||
Commercial Mezzanine Loan Held in Securitization Trust | Original Balance Amount 40,000,000 | |||
Mortgage Loans on Real Estate | |||
Principal balance | 40,000,000 | ||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,206,521 | |||
Mortgage Loans on Real Estate | |||
Principal balance | 13,206,521 | ||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 24,534,783 | |||
Mortgage Loans on Real Estate | |||
Principal balance | 24,534,783 | ||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 7,258,696 | |||
Mortgage Loans on Real Estate | |||
Principal balance | 7,258,696 | ||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 4,425,400 | |||
Mortgage Loans on Real Estate | |||
Principal balance | 4,425,400 | ||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 1,400,000,000 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,400,000,000 | ||
Coupon Rate | 4.38% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 65,285,000 | ||
Number of Loans | loan | 434 | ||
Fair Value | $ 68,209,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 68,209,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 213,403,000 | ||
Number of Loans | loan | 656 | ||
Fair Value | $ 222,038,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 769,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 222,038,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 133,682,000 | ||
Number of Loans | loan | 237 | ||
Fair Value | $ 138,503,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,115,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 138,503,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 79,399,000 | ||
Number of Loans | loan | 100 | ||
Fair Value | $ 82,331,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 790,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 82,331,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 35,905,000 | ||
Number of Loans | loan | 35 | ||
Fair Value | $ 37,080,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 989,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 37,080,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 27,586,000 | ||
Number of Loans | loan | 22 | ||
Fair Value | $ 28,451,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 28,451,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 30,896,000 | ||
Number of Loans | loan | 17 | ||
Fair Value | $ 32,043,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,557,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 32,043,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $0 - $249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 0 | ||
Coupon Rate | 2.50% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $250,000 - $499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 250,000 | ||
Coupon Rate | 2.70% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $500,000- $749,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 500,000 | ||
Coupon Rate | 2.50% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $750,000 - $999,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 750,000 | ||
Coupon Rate | 3.40% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,000,000 - $1,249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,000,000 | ||
Coupon Rate | 3.50% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,250,000 - $1,499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,250,000 | ||
Coupon Rate | 3.40% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,500,000 and above | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,500,000 | ||
Coupon Rate | 2.90% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $0 - $249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 249,999 | ||
Coupon Rate | 6.40% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $250,000 - $499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 499,999 | ||
Coupon Rate | 5.90% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $500,000- $749,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 749,999 | ||
Coupon Rate | 6.30% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $750,000 - $999,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 999,999 | ||
Coupon Rate | 6.20% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,000,000 - $1,249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,249,999 | ||
Coupon Rate | 5.80% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,250,000 - $1,499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,499,999 | ||
Coupon Rate | 5.60% | ||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,500,000 and above | |||
Mortgage Loans on Real Estate | |||
Coupon Rate | 6.10% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 35,329,000 | ||
Number of Loans | loan | 232 | ||
Fair Value | $ 36,951,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 229,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 36,951,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 106,453,000 | ||
Number of Loans | loan | 301 | ||
Fair Value | $ 109,780,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 2,064,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 109,780,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 106,729,000 | ||
Number of Loans | loan | 181 | ||
Fair Value | $ 109,372,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,625,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 109,372,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 66,170,000 | ||
Number of Loans | loan | 78 | ||
Fair Value | $ 67,992,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 805,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 67,992,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 33,311,000 | ||
Number of Loans | loan | 31 | ||
Fair Value | $ 34,236,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 34,236,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 28,497,000 | ||
Number of Loans | loan | 22 | ||
Fair Value | $ 29,285,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 29,285,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 26,498,000 | ||
Number of Loans | loan | 15 | ||
Fair Value | $ 27,231,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 2,271,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 27,231,000 | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $0 - $249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 0 | ||
Coupon Rate | 3.70% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $250,000 - $499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 250,000 | ||
Coupon Rate | 2.90% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $500,000- $749,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 500,000 | ||
Coupon Rate | 2.50% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $750,000 - $999,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 750,000 | ||
Coupon Rate | 2.90% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,000,000 - $1,249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,000,000 | ||
Coupon Rate | 2.90% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,250,000 - $1,499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,250,000 | ||
Coupon Rate | 2.70% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,500,000 and above | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,500,000 | ||
Coupon Rate | 3.10% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $0 - $249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 249,999 | ||
Coupon Rate | 7.10% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $250,000 - $499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 499,999 | ||
Coupon Rate | 7.20% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $500,000- $749,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 749,999 | ||
Coupon Rate | 6.10% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $750,000 - $999,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 999,999 | ||
Coupon Rate | 6.40% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,000,000 - $1,249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,249,999 | ||
Coupon Rate | 5.90% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,250,000 - $1,499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,499,999 | ||
Coupon Rate | 6.30% | ||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,500,000 and above | |||
Mortgage Loans on Real Estate | |||
Coupon Rate | 5.70% | ||
Residential Bridge Loans | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 994,977,000 | ||
Fair Value | 1,028,930,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 1,028,930,000 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | |||
Mortgage Loans on Real Estate | |||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 17,019,000 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 324,000 | ||
Number of Loans | loan | 3 | ||
Fair Value | $ 400,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 144,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 400,000 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 420,000 | ||
Number of Loans | loan | 1 | ||
Coupon Rate | 11.30% | ||
Fair Value | $ 378,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 420,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 378,000 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 2,670,000 | ||
Number of Loans | loan | 3 | ||
Fair Value | $ 2,473,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,821,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 2,473,000 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,125,000 | ||
Number of Loans | loan | 1 | ||
Coupon Rate | 9.00% | ||
Fair Value | $ 1,012,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,125,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 1,012,000 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,295,000 | ||
Number of Loans | loan | 1 | ||
Coupon Rate | 10.80% | ||
Fair Value | $ 1,165,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,295,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 1,165,000 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $0 - $249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 0 | ||
Coupon Rate | 9.80% | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $250,000 - $499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 250,000 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $750,000 - $999,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 750,000 | ||
Coupon Rate | 8.50% | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,000,000 - $1,249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,000,000 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,250,000 - $1,499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | 1,250,000 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $0 - $249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 249,999 | ||
Coupon Rate | 12.30% | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $250,000 - $499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 499,999 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $750,000 - $999,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 999,999 | ||
Coupon Rate | 10.00% | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,000,000 - $1,249,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,249,999 | ||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,250,000 - $1,499,999 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,499,999 | ||
Securitized Commercial Loans | |||
Mortgage Loans on Real Estate | |||
Coupon Rate | 59.70% | ||
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,385,591,000 | ||
Fair Value | 1,355,808,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 1,355,808,000 | ||
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 32,000,000 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 14,362,000 | ||
Number of Loans | loan | 1 | ||
Fair Value | $ 14,362,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 14,362,000 | ||
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 1,400,000,000 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 1,385,591,000 | ||
Number of Loans | loan | 1 | ||
Fair Value | $ 1,355,808,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 1,355,808,000 | ||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | |||
Mortgage Loans on Real Estate | |||
Principal balance | 192,159,000 | ||
Fair Value | 130,572,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 90,000,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 130,572,000 | ||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 90,000,000 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 90,000,000 | ||
Number of Loans | loan | 1 | ||
Fair Value | $ 29,113,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 90,000,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 29,113,000 | ||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Balance Amount 40,000,000 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 38,367,000 | ||
Number of Loans | loan | 1 | ||
Fair Value | $ 38,267,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 38,267,000 | ||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,206,521 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 13,207,000 | ||
Number of Loans | loan | 1 | ||
Fair Value | $ 13,033,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 13,033,000 | ||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 24,534,783 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 24,535,000 | ||
Number of Loans | loan | 1 | ||
Fair Value | $ 24,212,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 24,212,000 | ||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 7,258,696 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 7,259,000 | ||
Number of Loans | loan | 1 | ||
Fair Value | $ 7,163,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | 7,163,000 | ||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 4,425,400 | |||
Mortgage Loans on Real Estate | |||
Principal balance | $ 4,429,000 | ||
Number of Loans | loan | 1 | ||
Fair Value | $ 4,422,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |||
Balance at end of period | $ 4,422,000 | ||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 32,000,000 | |||
Mortgage Loans on Real Estate | |||
Coupon Rate | 4.10% | ||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 90,000,000 | |||
Mortgage Loans on Real Estate | |||
Coupon Rate | 9.25% | ||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Balance Amount 40,000,000 | |||
Mortgage Loans on Real Estate | |||
Coupon Rate | 3.02% | ||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,206,521 | |||
Mortgage Loans on Real Estate | |||
Coupon Rate | 3.75% | ||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 24,534,783 | |||
Mortgage Loans on Real Estate | |||
Coupon Rate | 3.75% | ||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 7,258,696 | |||
Mortgage Loans on Real Estate | |||
Coupon Rate | 3.75% | ||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 4,425,400 | |||
Mortgage Loans on Real Estate | |||
Coupon Rate | 4.85% |