Cover
Cover - shares | 6 Months Ended | |
Jun. 30, 2023 | Aug. 09, 2023 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2023 | |
Document Transition Report | false | |
Entity File Number | 001-35543 | |
Entity Registrant Name | Western Asset Mortgage Capital Corporation | |
Entity Incorporation, State or Country Code | DE | |
Entity Tax Identification Number | 27-0298092 | |
Entity Address, Address Line One | 385 East Colorado Boulevard, | |
Entity Address, City or Town | Pasadena | |
Entity Address, State or Province | CA | |
Entity Address, Postal Zip Code | 91101 | |
City Area Code | 626 | |
Local Phone Number | 844-9400 | |
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 Shell Company | false | |
Title of 12(b) Security | Common Stock, $0.01 par value | |
Trading Symbol | WMC | |
Security Exchange Name | NYSE | |
Entity Common Stock, Shares Outstanding (in shares) | 6,038,012 | |
Entity Central Index Key | 0001465885 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2023 | |
Document Fiscal Period Focus | Q2 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 | |
Assets: | |||
Cash and cash equivalents | $ 17,375 | $ 18,011 | |
Restricted cash | 0 | 248 | |
Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) | 1,037,381 | 1,091,145 | |
Residential Bridge Loans, at fair value | 2,782 | 2,849 | |
Securitized Commercial Loan, at fair value | 1,025,321 | 1,085,103 | |
Commercial Loans, at fair value ($66,059 and $66,864 pledged as collateral, at fair value, respectively) | 78,806 | 90,002 | |
Investment related receivable | 8,806 | 5,960 | |
Interest receivable | 10,895 | 11,330 | |
Due from counterparties | 1,302 | 6,574 | |
Derivative assets, at fair value | 0 | 1 | |
Other assets | 4,542 | 4,860 | |
Total Assets | [1] | 2,287,349 | 2,453,234 |
Liabilities: | |||
Repurchase agreements, net | 147,860 | 193,117 | |
Convertible senior unsecured notes, net | 84,341 | 83,522 | |
Securitized debt, net ($1,629,629 and $1,719,865 at fair value and $115,793 and $128,217 held by affiliates, respectively) | 1,944,906 | 2,058,684 | |
Interest payable (includes $635 and $655 on securitized debt held by affiliates, respectively) | 10,216 | 12,794 | |
Due to counterparties | 0 | 300 | |
Derivative liability, at fair value | 68 | 61 | |
Accounts payable and accrued expenses | 5,246 | 3,201 | |
Payable to affiliate | 3,878 | 4,028 | |
Dividend payable | 2,113 | 2,415 | |
Other liabilities | 0 | 300 | |
Total Liabilities | [2] | 2,198,628 | 2,358,422 |
Commitments and contingencies (Note 15) | |||
Stockholders’ Equity: | |||
Common stock: $0.01 par value, 50,000,000 shares authorized, 6,038,012 and 6,038,012 outstanding, respectively | 60 | 60 | |
Preferred stock, $0.01 par value, 10,000,000 shares authorized and no shares outstanding | 0 | 0 | |
Treasury stock, at cost, 57,981 and 57,981 shares held, respectively | (1,665) | (1,665) | |
Additional paid-in capital | 919,511 | 919,238 | |
Retained earnings (accumulated deficit) | (829,193) | (822,829) | |
Total Stockholders’ Equity | 88,713 | 94,804 | |
Non-controlling interest | 8 | 8 | |
Total Equity | 88,721 | 94,812 | |
Total Liabilities and Equity | 2,287,349 | 2,453,234 | |
VIE | |||
Assets: | |||
Restricted cash | 0 | 248 | |
Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) | 1,037,381 | 1,091,145 | |
Residential Bridge Loans, at fair value | 2,782 | 2,849 | |
Securitized Commercial Loan, at fair value | 1,025,321 | 1,085,103 | |
Commercial Loans, at fair value ($66,059 and $66,864 pledged as collateral, at fair value, respectively) | 12,747 | 14,362 | |
Investment related receivable | 8,760 | 5,914 | |
Interest receivable | 9,798 | 10,182 | |
Other assets | 0 | 509 | |
Total Assets | 2,096,789 | 2,210,312 | |
Liabilities: | |||
Securitized debt, net ($1,629,629 and $1,719,865 at fair value and $115,793 and $128,217 held by affiliates, respectively) | 1,944,906 | 2,058,684 | |
Interest payable (includes $635 and $655 on securitized debt held by affiliates, respectively) | 7,971 | 8,303 | |
Accounts payable and accrued expenses | 60 | 43 | |
Other liabilities | 0 | 248 | |
Total Liabilities | 1,952,937 | 2,067,278 | |
Subtotal Agency MBS | |||
Assets: | |||
Securities, at fair value | 838 | 767 | |
Non-Agency MBS | |||
Assets: | |||
Securities, at fair value | 82,686 | 109,122 | |
Other securities | |||
Assets: | |||
Securities, at fair value | $ 16,615 | $ 27,262 | |
[1] June 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) 1,037,381 1,091,145 Residential Bridge Loans, at fair value 2,782 2,849 Securitized Commercial Loan, at fair value 1,025,321 1,085,103 Commercial Loans, at fair value 12,747 14,362 Investment related receivable 8,760 5,914 Interest receivable 9,798 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,096,789 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,629,629 and $1,719,865 at fair value and $115,793 and $128,217 held by affiliates, respectively) $ 1,944,906 $ 2,058,684 Interest payable (includes $635 and $655 on securitized debt held by affiliates, respectively) 7,971 8,303 Accounts payable and accrued expenses 60 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,952,937 $ 2,067,278 June 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) 1,037,381 1,091,145 Residential Bridge Loans, at fair value 2,782 2,849 Securitized Commercial Loan, at fair value 1,025,321 1,085,103 Commercial Loans, at fair value 12,747 14,362 Investment related receivable 8,760 5,914 Interest receivable 9,798 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,096,789 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,629,629 and $1,719,865 at fair value and $115,793 and $128,217 held by affiliates, respectively) $ 1,944,906 $ 2,058,684 Interest payable (includes $635 and $655 on securitized debt held by affiliates, respectively) 7,971 8,303 Accounts payable and accrued expenses 60 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,952,937 $ 2,067,278 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 |
Commercial loans, at fair value | $ 66,059 | $ 66,864 |
Secured debt, held by affiliates | 1,944,906 | 2,058,684 |
Interest payable | $ 10,216 | $ 12,794 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 50,000,000 | 50,000,000 |
Common stock, shares outstanding (in shares) | 6,038,012 | 6,038,012 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 10,000,000 | 10,000,000 |
Preferred stock, shares outstanding (in shares) | 0 | 0 |
Treasury stock, shares held (in shares) | 57,981 | 57,981,000 |
VIE | ||
Fair value of collateral, residential home loans | $ 1,036,385 | $ 1,089,914 |
Secured debt, held by affiliates | 1,944,906 | 2,058,684 |
Interest payable | 7,971 | 8,303 |
Affiliated Entity | ||
Securitized debt, at fair value | 1,629,629 | 1,719,865 |
Secured debt, held by affiliates | 115,793 | 128,217 |
Interest payable | 635 | 655 |
Subtotal Agency MBS | ||
Fair value of mortgage-backed securities and other securities pledged as collateral | 278 | 249 |
Non-Agency MBS | ||
Fair value of mortgage-backed securities and other securities pledged as collateral | 73,572 | 100,115 |
Other securities | ||
Fair value of mortgage-backed securities and other securities pledged as collateral | $ 15,375 | $ 27,262 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2023 | Jun. 30, 2022 | |
Net Interest Income | ||||
Interest income | $ 40,222 | $ 39,577 | $ 81,079 | $ 75,219 |
Interest expense (includes $3,265, $3,476, $6,583, and $6,919 on securitized debt held by affiliates, respectively) | 36,212 | 33,342 | 72,714 | 64,701 |
Net Interest Income | 4,010 | 6,235 | 8,365 | 10,518 |
Other Income (Loss) | ||||
Realized loss, net | (1,099) | (45,661) | (83,917) | (33,516) |
Unrealized gain (loss), net | (6,854) | 16,185 | 83,462 | (22,718) |
Gain on derivative instruments, net | 1,014 | 4,781 | 64 | 11,717 |
Other, net | 186 | (46) | 243 | (191) |
Other Loss | (6,753) | (24,741) | (148) | (44,708) |
Expenses | ||||
Management fee to affiliate | 958 | 1,002 | 1,934 | 2,102 |
Other operating expenses | 293 | 262 | 579 | 558 |
Transaction costs | 1,989 | 344 | 2,632 | 2,955 |
General and administrative expenses: | ||||
Compensation expense | 504 | 130 | 1,015 | 628 |
Professional fees | 1,550 | 1,552 | 2,965 | 2,808 |
Other general and administrative expenses | 605 | 637 | 1,154 | 1,373 |
Total general and administrative expenses | 2,659 | 2,319 | 5,134 | 4,809 |
Total Expenses | 5,899 | 3,927 | 10,279 | 10,424 |
Loss before income taxes | (8,642) | (22,433) | (2,062) | (44,614) |
Income tax provision (benefit) | (12) | (46) | 0 | 10 |
Net loss | (8,630) | (22,387) | (2,062) | (44,624) |
Net income attributable to non-controlling interest | 3 | 0 | 4 | 3,616 |
Net loss attributable to common stockholders and participating securities | $ (8,633) | $ (22,387) | $ (2,066) | $ (48,240) |
Net loss per common share — basic (in dollars per share) | $ (1.44) | $ (3.71) | $ (0.35) | $ (8) |
Net loss per common share — diluted (in dollars per share) | $ (1.44) | $ (3.71) | $ (0.35) | $ (8) |
Consolidated Statements of Op_2
Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2023 | Jun. 30, 2022 | |
Interest expense | $ 36,212 | $ 33,342 | $ 72,714 | $ 64,701 |
Affiliated Entity | ||||
Interest expense | $ 3,265 | $ 3,476 | $ 6,583 | $ 6,919 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Equity - USD ($) $ in Thousands | Total | Total Stockholders' Equity | Common Stock Outstanding | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit) | Treasury Stock | Non-Controlling Interest |
Beginning balance (in shares) at Dec. 31, 2021 | 6,038,012 | ||||||
Beginning balance at Dec. 31, 2021 | $ 204,329 | $ 193,109 | $ 60 | $ 918,695 | $ (723,981) | $ (1,665) | $ 11,220 |
Increase (Decrease) in Stockholders' Equity | |||||||
Equity distribution | (14,768) | (14,768) | |||||
Vesting of restricted stock | 235 | 235 | 235 | ||||
Net income (loss) | (44,624) | (48,240) | (48,240) | 3,616 | |||
Dividends declared on non-controlling interest | (4) | (4) | |||||
Dividends declared on common stock | $ (4,830) | (4,830) | 44 | (4,874) | |||
Ending balance (in shares) at Jun. 30, 2022 | 60,380,105 | 6,038,012 | |||||
Ending balance at Jun. 30, 2022 | $ 140,338 | 140,274 | $ 60 | 918,974 | (777,095) | (1,665) | 64 |
Beginning balance (in shares) at Mar. 31, 2022 | 6,038,012 | ||||||
Beginning balance at Mar. 31, 2022 | 165,150 | 165,006 | $ 60 | 918,874 | (752,263) | (1,665) | 144 |
Increase (Decrease) in Stockholders' Equity | |||||||
Equity distribution | (78) | (78) | |||||
Vesting of restricted stock | 70 | 70 | 70 | ||||
Net income (loss) | (22,387) | (22,387) | (22,387) | ||||
Dividends declared on non-controlling interest | (2) | (2) | |||||
Dividends declared on common stock | $ (2,415) | (2,415) | 30 | (2,445) | |||
Ending balance (in shares) at Jun. 30, 2022 | 60,380,105 | 6,038,012 | |||||
Ending balance at Jun. 30, 2022 | $ 140,338 | 140,274 | $ 60 | 918,974 | (777,095) | (1,665) | 64 |
Beginning balance (in shares) at Dec. 31, 2022 | 6,038,012 | 6,038,012 | |||||
Beginning balance at Dec. 31, 2022 | $ 94,812 | 94,804 | $ 60 | 919,238 | (822,829) | (1,665) | 8 |
Increase (Decrease) in Stockholders' Equity | |||||||
Vesting of restricted stock | 201 | 201 | 201 | ||||
Net income (loss) | (2,062) | (2,066) | (2,066) | 4 | |||
Dividends declared on non-controlling interest | (4) | (4) | |||||
Dividends declared on common stock | $ (4,226) | (4,226) | 72 | (4,298) | |||
Ending balance (in shares) at Jun. 30, 2023 | 6,038,012 | 6,038,012 | |||||
Ending balance at Jun. 30, 2023 | $ 88,721 | 88,713 | $ 60 | 919,511 | (829,193) | (1,665) | 8 |
Beginning balance (in shares) at Mar. 31, 2023 | 6,038,012 | ||||||
Beginning balance at Mar. 31, 2023 | 99,365 | 99,358 | $ 60 | 919,368 | (818,405) | (1,665) | 7 |
Increase (Decrease) in Stockholders' Equity | |||||||
Vesting of restricted stock | 101 | 101 | 101 | ||||
Net income (loss) | (8,630) | (8,633) | (8,633) | 3 | |||
Dividends declared on non-controlling interest | (2) | (2) | |||||
Dividends declared on common stock | $ (2,113) | (2,113) | 42 | (2,155) | |||
Ending balance (in shares) at Jun. 30, 2023 | 6,038,012 | 6,038,012 | |||||
Ending balance at Jun. 30, 2023 | $ 88,721 | $ 88,713 | $ 60 | $ 919,511 | $ (829,193) | $ (1,665) | $ 8 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2023 | Jun. 30, 2022 | |
Cash flows from operating activities: | ||
Net loss | $ (2,062) | $ (44,624) |
Adjustments to reconcile net loss to net cash provided by operating activities: | ||
Premium amortization and (discount accretion), net | 640 | 2,599 |
Interest income earned added to principal of investments | (41) | (75) |
Amortization of deferred financing costs | 1,162 | 1,298 |
Amortization of discount on convertible senior unsecured notes | 343 | 439 |
Restricted stock amortization | 200 | 235 |
Premium on purchase of Residential Whole Loans | 0 | (6,619) |
Unrealized (gain) loss, net | (83,462) | 22,718 |
Realized loss on extinguishment of convertible senior notes | 0 | 132 |
Realized gain on sale of real estate owned ("REO") | 0 | (12,198) |
Unrealized gain on derivative instruments, net | (57) | (157) |
Realized loss on investments, net | 83,889 | 45,582 |
Gain on derivatives, net | 0 | (732) |
Changes in operating assets and liabilities: | ||
Interest receivable | 435 | (715) |
Other assets | 318 | (853) |
Interest payable | (2,578) | 468 |
Accounts payable and accrued expenses | 2,045 | (1,255) |
Payable to affiliate | (150) | 2,053 |
Other liabilities | (52) | 179 |
Net cash provided by operating activities | 630 | 8,475 |
Cash flows from investing activities: | ||
Purchase of securities | (4,714) | (39,952) |
Proceeds from sale of securities | 15,324 | 42,287 |
Proceeds from sale of REO | 0 | 54,681 |
Principal repayments and basis recovered on securities | 20,819 | 2,543 |
Purchase of Residential Whole Loans | 0 | (405,298) |
Principal repayments on Residential Whole Loans | 54,651 | 165,236 |
Proceeds from sale of Commercial Loans | 8,776 | 0 |
Principal repayments on Commercial Loans | 1,680 | 4 |
Principal repayments on Residential Bridge Loans | 1,370 | 366 |
Net settlements of TBAs | 0 | 732 |
Due from counterparties | 0 | 150 |
Net cash provided by (used in) investing activities | 97,906 | (179,251) |
Cash flows from financing activities: | ||
Payment of offering costs | 0 | (2) |
Payments on extinguishment of convertible senior unsecured notes | 0 | (10,690) |
Proceeds from repurchase agreement borrowings | 768,290 | 2,838,689 |
Repayments of repurchase agreement borrowings | (813,547) | (2,900,802) |
Proceeds from securitized debt | 0 | 397,934 |
Repayments of securitized debt | (54,355) | (156,843) |
Due from counterparties, net | 5,272 | (1,374) |
Due to counterparties, net | (300) | 360 |
Decrease in other liabilities | (248) | (4) |
Equity distributions to non-controlling interest | 0 | (14,768) |
Dividends paid on common stock | (4,528) | (6,038) |
Dividends paid to non-controlling interest | (4) | (4) |
Net cash (used in) provided by financing activities | (99,420) | 146,458 |
Net decrease in cash, cash equivalents and restricted cash | (884) | (24,318) |
Cash, cash equivalents and restricted cash, beginning of period | 18,259 | 40,453 |
Cash, cash equivalents and restricted cash, end of period | 17,375 | 16,135 |
Supplemental disclosure of operating cash flow information: | ||
Interest paid | 59,953 | 50,791 |
Income taxes paid | 24 | 0 |
Supplemental disclosure of non-cash financing/investing activities: | ||
Dividends and distributions declared, not paid | 2,113 | 2,415 |
Principal payments of Residential Whole Loans, not settled | 8,760 | 11,906 |
Principal payments of Residential Bridge Loans, not settled | 0 | 46 |
Reconciliation of cash, cash equivalents and restricted cash reported in the Consolidated Balance Sheets: | ||
Cash and cash equivalents | 17,375 | 15,878 |
Restricted cash | 0 | 257 |
Total cash, cash equivalents and restricted cash shown in the Consolidated Statements of Cash Flows | $ 17,375 | $ 16,135 |
Organization
Organization | 6 Months Ended |
Jun. 30, 2023 | |
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 portfolio of real estate related securities, Whole Loans and other financial assets. The Company’s current portfolio is comprised of Non-Qualified ("Non-QM") Residential Whole Loans, Non-Agency RMBS, Commercial Loans, Non-Agency CMBS and to a lesser extent Agency RMBS, GSE Risk Transfer Securities, Residential Bridge Loans, 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-qualified 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. On June 28, 2023, the Company announced that Terra Property Trust, Inc. (“TPT”), an externally managed real estate investment trust (“REIT”) that originates, invests in, and manages loans and assets secured by commercial real estate (“CRE”), and the Company entered into a definitive merger agreement (the “TPT Merger Agreement”) under which TPT and WMC agreed to combine. On August 8, 2023, the Company terminated the TPT Merger Agreement, and concurrently entered into an Agreement and Plan of Merger (the “MITT Merger Agreement”), dated August 8, 2023, by and among AG Mortgage Investment Trust, Inc., a Maryland corporation (“MITT”), AGMIT Merger Sub, LLC, a Delaware limited liability company (“Merger Sub”), the Company, and, solely for the purposes of Section 3.3(a), Section 3.3(i), Article V, Section 6.13, Section 7.2, Section 7.3 and Article IX therein, AG REIT Management, LLC, a Delaware limited liability company (“MITT Manager”), pursuant to which the Company will merge with and into Merger Sub, with Merger Sub surviving as a wholly owned subsidiary of MITT (the “Merger”). Pursuant to, and subject to the terms and conditions set forth in, the MITT Merger Agreement, each outstanding share of the Company’s common stock would be converted into the right to receive (i) shares of MITT common stock pursuant to a fixed exchange ratio of 1.5 shares of MITT common stock per share (subject to adjustment for transaction expenses) and (ii) the per share portion of a cash payment from the MITT Manager equal to the lesser of $7 million or approximately 9.9% of the aggregate per share merger consideration (any difference between $7 million and the 9.9% cap would be used to benefit the combined company post-closing by offsetting reimbursable expenses that would otherwise be payable to the MITT Manager). Additionally, the MITT Manager, which would be the manager of the combined company, would waive $2.4 million of management fees in the first year post-closing. The transaction has been approved by the Board of Directors of the Company and is subject to customary closing conditions. The transaction is expected to close during the fourth quarter of 2023. Due to the termination of the TPT Merger Agreement, the Company was obligated to pay or cause to be paid to TPT a termination fee of $3 million. Concurrently with the execution of the MITT Merger Agreement, MITT paid the $3 million termination fee directly to TPT on behalf of the Company on August 8, 2023. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2023 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | Basis of Presentation and Summary of Significant Accounting Policies Basis of Presentation and Consolidation The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split, which was effected on July 11, 2022. The results of operations for the period ended June 30, 2023 are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2022, filed with the SEC on March 13, 2023. The consolidated financial statements include the accounts of the Company, its wholly-owned and majority-owned subsidiaries, and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation. Reverse Stock Split Our amended and restated certificate of incorporation as of June 30, 2022, authorized the Company to issue a total of 600,000,000 shares of capital stock, consisting of 500,000,000 shares of common stock, par value $0.01 per share, and 100,000,000 shares of preferred stock, par value $0.01 per share. Following approval by the Company’s stockholders of a reverse stock split between a range of one-for-five and one-for-ten of currently outstanding shares of the Company’s common stock, on June 30, 2022, the Company's Board of Directors selected a one-for-ten reverse stock split ratio. The one-for-ten reverse stock split was effected on July 11, 2022, which reduced the total number of authorized shares of common stock from 500,000,000 to 50,000,000 and also reduced the total number of authorized shares of preferred stock from 100,000,000 to 10,000,000. The total number of issued and outstanding shares from 60,380,105 to 6,038,012. The par value per share of our common stock remained unchanged at $0.01. All per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. Our stockholders' equity, in the aggregate, remained unchanged. Per share net income or loss increased because there are fewer shares of common stock outstanding. The common stock held in treasury was reduced in proportion to the reverse stock split ratio. There were no other accounting consequences, including changes to the amount of stock-based compensation expense to be recognized in any period, that arose as a result of the reverse stock split. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock the business day prior to the effective date. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. 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. Significant Accounting Policies There have been no significant changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2022. 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, 2024 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 and disclosures due to the limited nature of such transactions. In March 2021, the FCA announced that the intended cessation date of the overnight 1-, 3-, 6-, and 12-month tenors of USD LIBOR would be June 30, 2023, which is beyond the current sunset date of Topic 848. Accordingly, during December 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASC Topic 848, Reference Rate Reform, which provides temporary optional relief in accounting for the impact of reference rate reform from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply to all entities that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of rate reform. December 31, 2024 With additional time granted to apply the relief in Topic 848 extended through December 31, 2024, Management monitored if any legacy LIBOR reference rate contracts remained outstanding as of June 30, 2023 in the investment portfolio, as either they they terminated prior to the June 30, 2023 LIBOR cessation date, or the Company elected to use the practical expedients per Topic 848 to account for modifications to contracts prospectively within the scope of Topics 310, Receivables, and 470, Debt, as a continuation of the existing contracts. The Company adjusted the effective interest rate of all contracts, hedging relationships, and other transactions that reference LIBOR to revised reference rates and spreads as they occured. The variable-rate and floating-rate note sectors have primarily transitioned away from LIBOR as the market has already adapted to the secured overnight financing rate (SOFR), as the primary index used by issuers. As of June 30, 2023, the Company has fully transitioned away from any contracts, hedging relationships, or other transactions that reference LIBOR, which did not have a material impact on its financial statements and disclosures. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 6 Months Ended |
Jun. 30, 2023 | |
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 June 30, 2023 and December 31, 2022, based upon the valuation hierarchy (dollars in thousands): June 30, 2023 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-only strips $ — $ — $ 60 $ 60 Agency RMBS Interest-only strips accounted for as derivatives, included in MBS — — 778 778 Subtotal Agency MBS — — 838 838 Non-Agency CMBS — 59,322 — 59,322 Non-Agency RMBS — 21,756 — 21,756 Non-Agency RMBS Interest-only strips — — 1,608 1,608 Subtotal Non-Agency MBS — 81,078 1,608 82,686 Other securities — 16,615 — 16,615 Total mortgage-backed securities and other securities — 97,693 2,446 100,139 Residential Whole Loans — — 1,037,381 1,037,381 Residential Bridge Loans — — 2,782 2,782 Securitized Commercial Loans — — 1,025,321 1,025,321 Commercial Loans — — 78,806 78,806 Total Assets $ — $ 97,693 $ 2,146,736 $ 2,244,429 Liabilities Derivative liabilities $ — $ 68 $ — $ 68 Securitized debt — 1,622,697 6,932 1,629,629 Total Liabilities $ — $ 1,622,765 $ 6,932 $ 1,629,697 December 31, 2022 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-only strips $ — $ — $ 53 $ 53 Agency RMBS Interest-only strips accounted for as derivatives, included in MBS — — 714 714 Subtotal Agency MBS — — 767 767 Non-Agency CMBS — 85,435 — 85,435 Non-Agency RMBS — 22,483 — 22,483 Non-Agency RMBS Interest-only strips — — 1,204 1,204 Subtotal Non-Agency MBS — 107,918 1,204 109,122 Other securities — 27,262 — 27,262 Total mortgage-backed securities and other securities — 135,180 1,971 137,151 Residential Whole Loans — — 1,091,145 1,091,145 Residential Bridge Loans — — 2,849 2,849 Securitized Commercial Loan — — 1,085,103 1,085,103 Commercial Loans — — 90,002 90,002 Derivative assets — 1 — 1 Total Assets $ — $ 135,181 $ 2,271,070 $ 2,406,251 Liabilities Derivative liabilities $ — $ 61 $ — $ 61 Securitized debt — 1,710,938 8,927 1,719,865 Total Liabilities $ — $ 1,710,999 $ 8,927 $ 1,719,926 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 the 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 and SOFR, the Constant Maturity Treasury rate, and the prime rate as a benchmark yield. In addition, the mode l 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 Residential 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 assumptions 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 and Residential Bridge 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 the 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 Whole Loans and Residential Bridge Loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. In addition, the fair values for the Company's Non-QM Residential Whole Loans held in Arroyo Trust 2022-1 and Arroyo Trust 2022-2 are measured using the fair value of the securitized debt based on the CFE valuation methodology. See Note 5, "Residential Whole Loans and Residential Bridge Loans" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q for additional details. Accordingly, the Company classifies its Residential Whole Loans and Residential Bridge Loans 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 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 lim ited 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, 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 periods ended June 30, 2023 and December 31, 2022. See Note 8, "Derivative Instruments" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q. 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 unobse rvable 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 June 30, 2023 and December 31, 2022 (dollars in thousands): Fair Value at Range June 30, 2023 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $ 1,037,381 Discounted Cash Flow Market Discount Rate 5.5 % 7.6 % 6.3 % Weighted Average Life 0.7 10.4 5.4 Residential Bridge Loans $ 2,782 Discounted Cash Flow Market Discount Rate 12.3 % 24.9 % 16.8 % Weighted Average Life 1.1 4.9 3.1 Securitized Commercial Loan $ 1,025,321 Market Comparables, Vendor Pricing Weighted Average Life 2.3 2.3 2.3 Commercial Loans $ 78,806 Discounted Cash Flow Market Discount Rate 8.9 % 11.4 % 10.3 % Weighted Average Life 0.1 1.9 1.6 Fair Value at Range December 31, 2022 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $ 1,091,145 Discounted Cash Flow Market Discount Rate 6.0 % 8.4 % 6.8 % Weighted Average Life 1.4 10.4 5.4 Residential Bridge Loans $ 2,849 Discounted Cash Flow Market Discount Rate 12.9 % 35.7 % (1) 22.4 % Weighted Average Life 0.4 4.1 2.0 Securitized Commercial Loan $ 1,085,103 Market Comparables, Vendor Pricing Weighted Average Life 2.7 2.7 2.7 Commercial Loans $ 90,002 Discounted Cash Flow Market Discount Rate 8.4 % 9.6 % 9.2 % Weighted Average Life 0.3 2.4 1.2 The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended June 30, 2023 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 837 $ 1,590 $ 1,074,417 $ 2,782 $ 79,182 $ 1,088,224 $ 7,972 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Loan modifications / capitalized interest — — 35 — — — — Principal repayments — — (28,278) — (750) — — Total net gains / losses included in net income Unrealized gains/(losses), net on assets (1) 1 122 (8,161) — 361 (70,014) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (4) Premium and discount amortization, net — (104) (632) — 13 7,111 (1,036) Ending balance $ 838 $ 1,608 $ 1,037,381 $ 2,782 $ 78,806 $ 1,025,321 $ 6,932 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 1 $ 122 $ (8,853) $ — $ 361 $ (70,014) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 4 Three months ended June 30, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 940 $ 6,659 $ 1,002,710 $ 5,350 $ 128,495 $ 1,288,943 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — (5,437) — — — — — Purchases — — 292,168 — — — — Loan modifications / capitalized interest — — 10 — — — — Principal repayments — — (60,548) (145) — — — Total net gains / losses included in net income Unrealized gains/(losses), net on assets (1) (110) 18 (37,165) (110) (74) (52,218) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 988 Premium and discount amortization, net (45) (59) (1,322) — — 6,646 (988) Ending balance $ 785 $ 1,181 $ 1,195,853 $ 5,095 $ 128,421 $ 1,243,371 $ 14,919 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (110) $ 89 $ (34,740) $ (33) $ (74) $ (52,218) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ (988) Six months ended June 30, 2023 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 767 $ 1,204 $ 1,091,145 $ 2,849 $ 90,002 $ 1,085,103 $ 8,927 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Sales and settlements — — — — (8,776) — — Loan modifications / capitalized interest — — 41 — — — — Principal repayments — — (58,792) (75) (1,680) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — — (81,223) — — Unrealized gains/(losses), net on assets (1) 67 611 6,433 8 80,417 (74,050) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (101) Premium and discount amortization, net 4 (207) (1,446) — 66 14,268 (1,894) Ending balance $ 838 $ 1,608 $ 1,037,381 $ 2,782 $ 78,806 $ 1,025,321 $ 6,932 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 67 $ 611 $ 4,056 $ — $ (806) $ (74,050) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 101 Six months ended June 30, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,172 $ 7,845 $ 1,023,502 $ 5,428 $ 130,572 $ 1,355,808 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — (5,437) — — — — — Purchases — — 409,853 — — — — Loan modifications / capitalized interest — — 75 — — — — Principal repayments — — (154,748) (250) (4) — — Total net gains / losses included in net income Unrealized gains/(losses), net on assets (1) (266) (1,086) (79,045) (83) (2,147) (125,782) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 1,799 Premium and discount amortization, net (121) (141) (3,784) — — 13,345 (1,799) Ending balance $ 785 $ 1,181 $ 1,195,853 $ 5,095 $ 128,421 $ 1,243,371 $ 14,919 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (266) $ (732) $ (73,658) $ (8) $ (2,147) $ (125,782) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ (1,799) (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 into the Level III category of the fair value hierarchy occur due to the above segmented classes of investments exhibiting indications of reduced levels of market transparency, including changes in observable transactions or executable quotes involving these investments or similar classes of investments. Changes in these indications could impact price transparency, and thereby cause a change in level designations. The Company did not have transfers between either Level I and Level II or Level I and Level III for the three and six months ended June 30, 2023 and June 30, 2022. Other Fair Value Disclosures The Company's repurchase agreement borrowings, convertible senior unsecured notes, and securitized debt from the Arroyo 2019-2 and Arroyo 2020-1 trusts are not carried at fair value in the consolidated financial statements. Borrowings Under Repurchase Agreements The fair values of the Company's repurchase agreements approximates the carrying value due to the floating interest rates that are based on an index plus a spread, which is typically consistent with those demanded in the market and the short-term maturities of generally one year or less. The Company's repurchase agreements are classified as Level II. Convertible Senior Unsecured Notes The fair values of the convertible senior unsecured notes are based on quoted market prices. Accordingly, the Company's convertible senior unsecured notes were classified as Level I. The following table presents the carrying value and estimated fair value of the Company’s convertible senior unsecured notes and securitized debt that are not carried at fair value as of June 30, 2023 and December 31, 2022 in the consolidated financial statements (dollars in thousands): June 30, 2023 December 31, 2022 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Convertible senior unsecured notes $ 84,341 $ 75,559 $ 83,522 $ 74,712 Securitized debt (1) 318,735 287,880 342,965 309,474 Total $ 403,076 $ 363,439 $ 426,487 $ 384,186 (1) Carrying value excludes $3.5 million and $4.1 million of deferred financing costs as of June 30, 2023 and December 31, 2022, respectively. "Due from counterparties" and "Due to counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value. |
Mortgage-Backed Securities and
Mortgage-Backed Securities and Other Securities | 6 Months Ended |
Jun. 30, 2023 | |
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 $ — $ 60 $ — $ — $ 60 Agency RMBS Interest-Only Strips accounted for as derivatives — 778 — — 778 Subtotal Agency — 838 — — 838 Non-Agency CMBS 39,054 10,117 10,151 — 59,322 Non-Agency RMBS — — 8,277 13,479 21,756 Non-Agency RMBS Interest-Only Strips — — 192 1,416 1,608 Subtotal Non-Agency 39,054 10,117 18,620 14,895 82,686 Other securities 2,948 — 6,835 6,832 16,615 Total $ 42,002 $ 10,955 $ 25,455 $ 21,727 $ 100,139 December 31, 2022 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ 53 $ — $ — $ 53 Agency RMBS Interest-Only Strips accounted for as derivatives — 714 — — 714 Subtotal Agency — 767 — — 767 Non-Agency CMBS 64,484 10,469 10,482 — 85,435 Non-Agency RMBS — — 8,667 13,816 22,483 Non-Agency RMBS Interest-Only Strips — — 230 974 1,204 Subtotal Non-Agency 64,484 10,469 19,379 14,790 109,122 Other securities 6,735 — 13,020 7,507 27,262 Total $ 71,219 $ 11,236 $ 32,399 $ 22,297 $ 137,151 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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 60 $ (5) 1 $ — $ — — $ 60 $ (5) 1 Subtotal Agency 60 (5) 1 — — — 60 (5) 1 Non-Agency CMBS — — — 50,145 (27,572) 10 50,145 (27,572) 10 Non-Agency RMBS 11,260 (752) 2 8,911 (3,255) 5 20,171 (4,007) 7 Non-Agency RMBS Interest-Only Strips — — — 1,608 (3,389) 4 1,608 (3,389) 4 Subtotal Non-Agency 11,260 (752) 2 60,664 (34,216) 19 71,924 (34,968) 21 Other securities — — — 7,535 (2,665) 2 7,535 (2,665) 2 Total $ 11,320 $ (757) 3 $ 68,199 $ (36,881) 21 $ 79,519 $ (37,638) 24 December 31, 2022 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 52 $ (5) 1 $ — $ — — $ 52 $ (5) 1 Subtotal Agency 52 (5) 1 — — — 52 (5) 1 Non-Agency CMBS — — — 76,365 (21,704) 11 76,365 (21,704) 11 Non-Agency RMBS 19,054 (2,794) 5 1,557 (1,101) 2 20,611 (3,895) 7 Non-Agency RMBS Interest-Only Strips — — — 1,203 (4,000) 4 1,203 (4,000) 4 Subtotal Non-Agency 19,054 (2,794) 5 79,125 (26,805) 17 98,179 (29,599) 22 Other securities 12,483 (2,425) 3 9,468 (1,968) 2 21,951 (4,393) 5 Total $ 31,589 $ (5,224) 9 $ 88,593 $ (28,773) 19 $ 120,182 $ (33,997) 28 The following tables present components of interest income on the Company’s MBS and other securities for the three and six months ended June 30, 2023 and June 30, 2022, respectively (dollars in thousands): Three months ended June 30, 2023 Three months ended June 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 3 $ 3 $ 5 $ (2) $ 3 Non-Agency CMBS 1,621 338 1,959 2,129 401 2,530 Non-Agency RMBS 615 (190) 425 813 (152) 661 Other securities 656 (99) 557 767 272 1,039 Total $ 2,892 $ 52 $ 2,944 $ 3,714 $ 519 $ 4,233 Six months ended June 30, 2023 Six months ended June 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 6 $ 6 $ 13 $ (6) $ 7 Non-Agency CMBS 3,577 655 4,232 5,101 (1) 5,100 Non-Agency RMBS 1,204 (345) 859 1,358 (167) 1,191 Other securities 1,496 (201) 1,295 1,655 38 1,693 Total $ 6,277 $ 115 $ 6,392 $ 8,127 $ (136) $ 7,991 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and six months ended June 30, 2023 and June 30, 2022, respectively (dollars in thousands): Three months ended June 30, 2023 Three months ended June 30, 2022 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ (1,237) $ (1,237) $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS — — (48) (48) 27,729 255 (1,425) (1,170) Other securities 8,694 649 (463) 186 4,406 — (478) (478) Total $ 8,694 $ 649 $ (1,748) $ (1,099) $ 42,287 $ 255 $ (45,837) $ (45,582) Six months ended June 30, 2023 Six months ended June 30, 2022 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ (1,239) $ (1,239) $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS — — (48) (48) 27,729 255 (1,425) (1,170) Other securities 15,324 649 (2,028) (1,379) 4,406 — (478) (478) Total $ 15,324 $ 649 $ (3,315) $ (2,666) $ 42,287 $ 255 $ (45,837) $ (45,582) 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 June 30, 2023 and December 31, 2022, the Company held two and two 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 June 30, 2023 and December 31, 2022, the " id="sjs-B4" xml:space="preserve">Mortgage-Backed Securities and Other Securities The following tables present certain information about the Company’s investment portfolio at June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency RMBS Interest-Only Strips (1)(2) N/A N/A $ 65 $ — $ (5) $ 60 — % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 778 0.9 % Total Agency MBS — — 65 — (5) 838 0.8 % Non-Agency RMBS 39,528 (14,414) 25,114 649 (4,007) 21,756 4.2 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 4,997 — (3,389) 1,608 0.3 % Subtotal Non-Agency RMBS 39,528 (14,414) 30,111 649 (7,396) 23,364 1.2 % Non-Agency CMBS 88,659 (2,087) 86,572 322 (27,572) 59,322 7.8 % Total Non-Agency MBS 128,187 (16,501) 116,683 971 (34,968) 82,686 3.4 % Other securities (3) 25,625 (7,901) 18,891 389 (2,665) 16,615 7.2 % Total $ 153,812 $ (24,402) $ 135,639 $ 1,360 $ (37,638) $ 100,139 3.6 % December 31, 2022 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 58 $ — $ (5) $ 53 — % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 714 0.1 % Total Agency MBS — — 58 — (5) 767 0.1 % Non-Agency RMBS 39,873 (14,423) 25,450 928 (3,895) 22,483 4.2 % Non-Agency RMBS Interest-Only Strips (1) N/A N/A 5,204 — (4,000) 1,204 0.3 % Subtotal Non-Agency RMBS 39,873 (14,423) 30,654 928 (7,895) 23,687 1.1 % Non-Agency CMBS 109,266 (2,763) 106,503 636 (21,704) 85,435 8.1 % Total Non-Agency MBS 149,139 (17,186) 137,157 1,564 (29,599) 109,122 3.8 % Other securities (3) 34,691 (8,581) 31,112 543 (4,393) 27,262 7.2 % Total $ 183,830 $ (25,767) $ 168,327 $ 2,107 $ (33,997) $ 137,151 3.9 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At June 30, 2023, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs, and IIO and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.2 million, $136.5 million, and $12.3 million, respectively. At December 31, 2022, 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 $2.4 million, $143.2 million, and $13.1 million, respectively. (2) Interest on these securities is reported as a component of "Gain on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in ABS which have no principal balance and an amortized cost of approximately $1.2 million and $5.0 million, as of June 30, 2023 and December 31, 2022, 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 June 30, 2023 and December 31, 2022, the weighted average expected remaining term of the MBS and other securities investment portfolio was 8.2 years and 6.7 years, respectively. The following tables present the fair value and contractual maturities of the Company’s investment securities at June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ 60 $ — $ — $ 60 Agency RMBS Interest-Only Strips accounted for as derivatives — 778 — — 778 Subtotal Agency — 838 — — 838 Non-Agency CMBS 39,054 10,117 10,151 — 59,322 Non-Agency RMBS — — 8,277 13,479 21,756 Non-Agency RMBS Interest-Only Strips — — 192 1,416 1,608 Subtotal Non-Agency 39,054 10,117 18,620 14,895 82,686 Other securities 2,948 — 6,835 6,832 16,615 Total $ 42,002 $ 10,955 $ 25,455 $ 21,727 $ 100,139 December 31, 2022 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ 53 $ — $ — $ 53 Agency RMBS Interest-Only Strips accounted for as derivatives — 714 — — 714 Subtotal Agency — 767 — — 767 Non-Agency CMBS 64,484 10,469 10,482 — 85,435 Non-Agency RMBS — — 8,667 13,816 22,483 Non-Agency RMBS Interest-Only Strips — — 230 974 1,204 Subtotal Non-Agency 64,484 10,469 19,379 14,790 109,122 Other securities 6,735 — 13,020 7,507 27,262 Total $ 71,219 $ 11,236 $ 32,399 $ 22,297 $ 137,151 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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 60 $ (5) 1 $ — $ — — $ 60 $ (5) 1 Subtotal Agency 60 (5) 1 — — — 60 (5) 1 Non-Agency CMBS — — — 50,145 (27,572) 10 50,145 (27,572) 10 Non-Agency RMBS 11,260 (752) 2 8,911 (3,255) 5 20,171 (4,007) 7 Non-Agency RMBS Interest-Only Strips — — — 1,608 (3,389) 4 1,608 (3,389) 4 Subtotal Non-Agency 11,260 (752) 2 60,664 (34,216) 19 71,924 (34,968) 21 Other securities — — — 7,535 (2,665) 2 7,535 (2,665) 2 Total $ 11,320 $ (757) 3 $ 68,199 $ (36,881) 21 $ 79,519 $ (37,638) 24 December 31, 2022 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 52 $ (5) 1 $ — $ — — $ 52 $ (5) 1 Subtotal Agency 52 (5) 1 — — — 52 (5) 1 Non-Agency CMBS — — — 76,365 (21,704) 11 76,365 (21,704) 11 Non-Agency RMBS 19,054 (2,794) 5 1,557 (1,101) 2 20,611 (3,895) 7 Non-Agency RMBS Interest-Only Strips — — — 1,203 (4,000) 4 1,203 (4,000) 4 Subtotal Non-Agency 19,054 (2,794) 5 79,125 (26,805) 17 98,179 (29,599) 22 Other securities 12,483 (2,425) 3 9,468 (1,968) 2 21,951 (4,393) 5 Total $ 31,589 $ (5,224) 9 $ 88,593 $ (28,773) 19 $ 120,182 $ (33,997) 28 The following tables present components of interest income on the Company’s MBS and other securities for the three and six months ended June 30, 2023 and June 30, 2022, respectively (dollars in thousands): Three months ended June 30, 2023 Three months ended June 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 3 $ 3 $ 5 $ (2) $ 3 Non-Agency CMBS 1,621 338 1,959 2,129 401 2,530 Non-Agency RMBS 615 (190) 425 813 (152) 661 Other securities 656 (99) 557 767 272 1,039 Total $ 2,892 $ 52 $ 2,944 $ 3,714 $ 519 $ 4,233 Six months ended June 30, 2023 Six months ended June 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 6 $ 6 $ 13 $ (6) $ 7 Non-Agency CMBS 3,577 655 4,232 5,101 (1) 5,100 Non-Agency RMBS 1,204 (345) 859 1,358 (167) 1,191 Other securities 1,496 (201) 1,295 1,655 38 1,693 Total $ 6,277 $ 115 $ 6,392 $ 8,127 $ (136) $ 7,991 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and six months ended June 30, 2023 and June 30, 2022, respectively (dollars in thousands): Three months ended June 30, 2023 Three months ended June 30, 2022 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ (1,237) $ (1,237) $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS — — (48) (48) 27,729 255 (1,425) (1,170) Other securities 8,694 649 (463) 186 4,406 — (478) (478) Total $ 8,694 $ 649 $ (1,748) $ (1,099) $ 42,287 $ 255 $ (45,837) $ (45,582) Six months ended June 30, 2023 Six months ended June 30, 2022 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ (1,239) $ (1,239) $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS — — (48) (48) 27,729 255 (1,425) (1,170) Other securities 15,324 649 (2,028) (1,379) 4,406 — (478) (478) Total $ 15,324 $ 649 $ (3,315) $ (2,666) $ 42,287 $ 255 $ (45,837) $ (45,582) 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 June 30, 2023 and December 31, 2022, the Company held two and two 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 June 30, 2023 and December 31, 2022, the |
Residential Whole Loans and Bri
Residential Whole Loans and Bridge Loans | 6 Months Ended |
Jun. 30, 2023 | |
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 June 30, 2023 and December 31, 2022, the RMI 2015 Trust owned six and six Non-QM Residential Whole Loans with a fair value of $3.4 million and $3.2 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. See Note 7, "Financings" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q for additional 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 complete its first residential mortgage-backed securitization comprised of $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 the intercompany Owner Certificates in consolidation. As of June 30, 2023 and December 31, 2022, the Arroyo Trust 2019 owned 711 and 766 Non-QM Residential Whole Loans with a fair value of $223.1 million and $237.6 million, respectively. Arroyo Mortgage Trust 2020-1 In June 2020, the Company formed Arroyo Mortgage Trust 2020-1 ("Arroyo Trust 2020"), a wholly-owned subsidiary of the Company, to complete 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. S ee Note 7, "Financings" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q for additional 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 the intercompany Owner Certificates. As of June 30, 2023 and December 31, 2022, the Arroyo Trust 2020 owned 415 and 432 No n-QM Residential Whole Loans with a fair value o f $131.7 million and $135.1 million, respect ively. Arroyo Mortgage Trust 2022-1 In February 2022, the Company formed Arroyo Mortgage Trust 2022-1 ("Arroyo Trust 2022-1"), a wholly-owned subsidiary of the Company, to complete its third residential mortgage-backed securitization comprised of $432.0 million of Non-QM Residential Whole Loans. The Arroyo Trust 2022-1 issued $398.9 million of mortgage-backed notes and retained all the subordinate and residual debt securities, which includes the required 5% eligible risk retention. S ee Note 7, "Financings" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q for additional 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 the intercompany Owners Certificates . As of June 30, 2023 and December 31, 2022, the Arroyo Trust 2022-1 owned 692 and 705 Non-QM Residential Whole Loans with a fair value of $343.1 million and $350.7 million, respectively. The Company has elected the fair value option for the securitized debt. The fair values for the Company’s Non-QM loans held in the Arroyo Trust 2022-1 are measured using the fair value of the securitized debt based on the CFE valuation methodology. The Company determined that the securitized debt is more actively traded and, therefore, more observable. Arroyo Mortgage Trust 2022-2 In July 2022, the Company formed Arroyo Mortgage Trust 2022-2 ("Arroyo Trust 2022-2"), a wholly-owned subsidiary of the Company, to complete its fourth residential mortgage-backed securitization comprised of $402.2 million of Non-QM Residential Whole Loans. The Arroyo Trust 2022-2 issued $351.9 million of mortgage-backed notes and retained all the subordinate and residual debt securities, which includes the required 5% eligible risk retention. S ee Note 7, "Financings" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q for additional 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 the intercompany Owners Certificates . As of June 30, 2023 and December 31, 2022, the Arroyo Trust 2022-2 owned 997 and 1,029 Non-QM Residential Whole Loans with a fair value of $335.2 million and $363.3 million, respectively. The Company has elected the fair value option for the securitized debt. The fair values for the Company’s Non-QM loans held in the Arroyo Trust 2022-2 are measured using the fair value of the securitized debt based on the CFE valuation methodology. The Company determined that the securitized debt is more actively traded and, therefore, more observable. 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 June 30, 2023, and December 31, 2022, there were four and five remaining Residential Bridge Loans in the RMI 2017 Trust with a fair value of $2.8 million and $2.8 million, respectively. As of June 30, 2023, and December 31, 2022, the trust also owned three and five investor fixed rate residential mortgages with a fair value of $1.0 million and $1.2 million, respectively, which are included in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets contained in this Quarterly Report on Form 10-Q. 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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) $ 1,037,381 $ 1,091,145 Residential Bridge Loans, at fair value 2,782 2,849 Investment related receivable 8,760 5,914 Interest receivable 4,648 4,871 Other assets — 509 Total assets $ 1,053,571 $ 1,105,288 Securitized debt, net $ 925,596 $ 981,073 Interest payable 2,976 3,139 Accounts payable and accrued expenses 51 34 Total liabilities $ 928,623 $ 984,246 The Residential Whole Loans held by the consolidated Arroyo Trust 2019, Arroyo Trust 2020, Arroyo Trust 2022-1, and Arroyo Trust 2022-2 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 trusts for the periods ended June 30, 2023 and December 31, 2022. The following table presents the components of the fair value of Residential Whole Loans and Residential Bridge Loans as of June 30, 2023 and December 31, 2022 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value June 30, 2023 December 31, 2022 June 30, 2023 December 31, 2022 Principal balance $ 1,106,551 $ 1,165,301 $ 3,091 $ 3,166 Unamortized premium 29,415 30,961 — — Unamortized discount (1,449) (1,536) — — Amortized cost 1,134,517 1,194,726 3,091 3,166 Gross unrealized gains 4,299 2,038 — — Gross unrealized losses (101,435) (105,619) (309) (317) Fair value $ 1,037,381 $ 1,091,145 $ 2,782 $ 2,849 Residential Whole Loans The Residential Whole Loans have low LTV's and are comprised of 2,824 adjustable and fixed rate Non-QM and investor mortgages. The following tables present certain information about the Company’s residential whole loan investment portfolio at June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Weighted Average Current Coupon Rate Number of Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 39 $ 22,018 66.3 % 758 8.9 27.8 2.9 % 3.01% – 4.00% 366 200,548 66.9 % 760 7.5 28.3 3.7 % 4.01% – 5.00% 1,236 417,820 64.5 % 750 5.7 25.7 4.6 % 5.01% – 6.00% 875 347,001 65.5 % 742 4.8 26.2 5.5 % 6.01% – 7.00% 282 110,986 68.1 % 742 3.6 27.2 6.4 % 7.01% - 8.00% 25 8,173 68.3 % 735 3.4 26.5 7.4 % 8.01% - 9.00% 1 5 65.0 % 693 3.8 23.9 8.5 % Total 2,824 $ 1,106,551 65.7 % 749 5.5 26.5 4.9 % (1) The original FICO score is not available for 219 loans with a principal balance of approximately $69.4 million at June 30, 2023. The Company has excluded these loans from the weighted average computations. December 31, 2022 Weighted Average Current Coupon Rate Number of Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 39 $ 22,277 66.3 % 758 8.9 28.3 2.9 % 3.01% – 4.00% 402 214,402 66.3 % 759 7.3 28.5 3.7 % 4.01% – 5.00% 1,337 453,811 64.1 % 749 5.5 26.0 4.6 % 5.01% – 6.00% 901 363,197 65.6 % 742 4.7 26.7 5.4 % 6.01% – 7.00% 249 105,933 69.9 % 742 3.6 28.4 6.4 % 7.01% - 8.00% 15 5,681 75.2 % 730 3.0 29.2 7.4 % Total 2,943 $ 1,165,301 65.6 % 748 5.5 27.0 4.8 % (1) The original FICO score is not available for 231 loans with a principal balance of approximately $76.6 million at December 31, 2022. The Company has excluded these loans from the weighted average computations. The following table presents geographic concentrations by U.S. state in which the collateral securing the Company’s Residential Whole Loans are located as of June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 State State Concentration Principal Balance State State Concentration Principal Balance California 67.4 % $ 745,643 California 66.8 % $ 778,732 New York 9.1 % 100,950 New York 9.3 % 108,108 Texas 4.8 % 52,905 Texas 4.8 % 56,126 Florida 4.0 % 44,003 Florida 4.1 % 47,681 Georgia 3.4 % 37,771 Georgia 3.5 % 40,845 Other 11.3 % 125,279 Other 11.5 % 133,809 Total 100.0 % $ 1,106,551 Total 100.0 % $ 1,165,301 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 which are non-performing in the Company's investment portfolio at June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % 0.0 8.7 % 9.01% – 11.00% 1 849 90.5 % 0.0 10.0 % 11.01% – 13.00% 1 420 70.0 % 0.0 11.3 % Total 4 $ 3,091 74.2 % 0.0 9.4 % December 31, 2022 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % 0.0 8.7 % 9.01% – 11.00% 1 849 90.5 % 0.0 10.0 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % Total 5 $ 3,166 74.0 % 0.0 9.5 % (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 geographic concentrations by U.S. state in which the collateral securing the Company’s Residential Bridge Loans are located as of June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 State Concentration Principal Balance State Concentration Principal Balance California 56.7 % $ 1,754 California 55.4 % $ 1,754 New York 43.3 % 1,337 New York 42.2 % 1,337 Total 100.0 % $ 3,091 New Jersey 2.4 % 75 Total 100.0 % $ 3,166 Loan Aging The following table presents the aging of the Residential Whole Loans and Residential Bridge Loans as of June 30, 2023 (dollars in thousands): Residential Whole Loans (1) Residential Bridge Loans (1) No of Loans Principal Fair Value No of Loans Principal Fair Value Current 2,779 $ 1,082,536 $ 1,014,645 — $ — $ — 1-30 days 20 10,339 9,984 — — — 31-60 days 10 4,546 4,231 — — — 61-90 days — — — — — — 90+ days 15 9,130 8,521 4 3,091 2,782 Total 2,824 $ 1,106,551 $ 1,037,381 4 $ 3,091 $ 2,782 (1) As of June 30, 2023, there were no loans in forbearance. Residential Whole Loans As of June 30, 2023, there were 15 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $9.1 million and a fair value of $8.5 million. These non-performing loans represent approximately 0.8% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 70.9%. As of December 31, 2022, there were 13 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $8.7 million and a fair value of approximately $8.0 million. These non-performing loans represent approximately 0.8% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.0%. 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 contained in this Quarterly Report on Form 10-Q. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Residential Bridge Loans As of June 30, 2023, the Company had four remaining Residential Bridge Loans in the portfolio. Of these, four were in non-accrual status with an unpaid principal balance of approximately $3.1 million and a fair value of $2.8 million. As of December 31, 2022, the Company had five remaining Residential Bridge Loans in the portfolio. Of these, five were in non-accrual status with an unpaid principal balance of approximately $3.2 million and a fair value of $2.8 million. These loans are collateral dependent. The Residential Bridge Loans were carried at fair value. No allowance for credit losses was recorded because the valuation adjustments as of June 30, 2023 and December 31, 2022, 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 June 30, 2023 and December 31, 2022, the Company had one residential REO property with a carrying value of $2.3 million and $2.3 million, respectively, related to a foreclosed Residential Whole Loan. The REO property held by the Company as of June 30, 2023 and December 31, 2022 was transferred to REO in December 2022. 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 contained in this Quarterly Report on Form 10-Q. |
Commercial Loans
Commercial Loans | 6 Months Ended |
Jun. 30, 2023 | |
Noncontrolling Interest [Abstract] | |
Commercial Loans | Commercial LoansCommercial 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. See Note 7, "Financing" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q. The following table presents information about the Commercial Loans owned by CRE LLC as of June 30, 2023 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 4 September 2019 Interest-Only First Mortgage $ 22,204 $ 22,053 63% 1-Month SOFR plus 3.38% 8/6/2025 (1) None Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 23,993 62% 1-Month SOFR plus 4.95% 11/6/2023 (2) One - 12 month extension Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,914 62% 1-Month SOFR plus 4.95% 11/6/2023 (2) One - 12 month extension Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,099 62% 1-Month SOFR plus 4.95% 11/6/2023 (2) One - 12 month extension Hotel $ 67,205 $ 66,059 (1) In August 2022, CRE 4 was extended three-years through August 6, 2025, with a principal paydown of $16.2 million . (2) In November 2022, CRE 5, 6, and 7 were each extended for one-year through November 6, 2023. Commercial Loan Sale On February 3, 2023, the CRE 3 loan was sold to an unaffiliated third party for its recorded fair value as of December 31, 2022 of $8.8 million. At the time of sale, the Company recognized a realized loss of $81.2 million and a related reversal of unrealized loss of the same amount. 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 June 30, 2023, there was one loan remaining in the trust. The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of June 30, 2023 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate (1) Maturity Date (1) Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 12,750 $ 12,747 49% 1-Month SOFR plus 5.50% 8/4/2023 One - 3 month extension Nursing Facilities $ 12,750 $ 12,747 (1) In January 2023, the SBC 3 loan was partially paid down by $862 thousand to bring the unpaid principal balance to $13.5 million, the maturity date was extended through May 5, 2023 for a 50 bps extension fee and the margin was increased from 4.47% to 5.00%. In May 2023, the SBC 3 loan was partially paid down by $750 thousand to bring the unpaid principal to $12.8 million, the maturity date was extended through August 4, 2023, and the margin was increased from 5.00% to 5.50%. In July 2023, the SBC 3 loan was partially paid down by $250 thousand to bring the unpaid principal balance to $12.5 million, and the maturity date was extended to October 4, 2023 for a 25 bps extension fee. The borrower under this loan may, at its option, extend the October 4, 2023 maturity date for an additional period of three months through December 31, 2023, with an additional required paydown of $250 thousand and a 25 bps extension fee. Securitized Commercial Loans Securitized Commercial Loans are comprised of Commercial Loans from consolidated third party sponsored CMBS VIE's. At June 30, 2023, the Company had a variable interest in one third party sponsored CMBS VIE, CSMC Trust 2014-USA, that it determined it was the primary beneficiary and was required to consolidate. The Commercial Loan that serves as collateral for the securitized debt issued by this VIE can only be used to settle the securitized debt. See Note 7, "Financings" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q 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. 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 June 30, 2023, 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 June 30, 2023. The loan has a stated maturity date of 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 Trust and Commercial Loan Trust The two commercial consolidated trusts, CSMC USA and RSBC Trust, collectively held two Commercial Loans as of June 30, 2023 . The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Restricted cash $ — $ 248 Securitized Commercial Loan, at fair value 1,025,321 1,085,103 Commercial Loans, at fair value 12,747 14,362 Interest receivable 5,150 5,311 Total assets $ 1,043,218 $ 1,105,024 Securitized debt, at fair value $ 1,019,310 $ 1,077,611 Interest payable 4,995 5,164 Accounts payable and accrued expenses 9 9 Other liabilities — 248 Total liabilities $ 1,024,314 $ 1,083,032 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 the trust can only be used to satisfy the obligations of the trust. The Company is not contractually required to provide, and has not provided any additional financial support to the securitized commercial loan trust for the three and six months ended June 30, 2023 and June 30, 2022. The following table presents the components of the fair value of the Securitized Commercial Loans and Commercial Loans as of June 30, 2023 and December 31, 2022 (dollars in thousands): CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value June 30, 2023 December 31, 2022 June 30, 2023 December 31, 2022 June 30, 2023 December 31, 2022 Principal balance $ 1,385,591 $ 1,385,591 $ 12,750 $ 14,362 $ 67,205 $ 157,205 Unamortized discount (69,863) (84,132) (1) — — — Amortized cost 1,315,728 1,301,459 12,749 14,362 67,205 157,205 Gross unrealized gains — — — — — — Gross unrealized losses (290,407) (216,356) (2) — (1,146) (81,565) Fair value $ 1,025,321 $ 1,085,103 $ 12,747 $ 14,362 $ 66,059 $ 75,640 Non-Performing Commercial Loans |
Financings
Financings | 6 Months Ended |
Jun. 30, 2023 | |
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, which 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. Residential Whole Loan Facility The facility was extended on November 9, 2022 and matures on October 25, 2023. It bears interest at a rate of 1-Month Term SOFR plus 2.25%, with a floor of 0.25%. The Company finances its non-securitized Non-QM residential whole loans under this facility. As of June 30, 2023, the Company had outstanding borrowings of $4.4 million under the facility. The borrowing is secured by Non-QM residential whole loans with a fair value of $3.4 million and one REO property with a carrying value of $2.3 million as of June 30, 2023. Non-Agency CMBS and Non-Agency RMBS facility The facility was paid off in full in May 2023 and replaced with a facility from a different counterparty which matures in May 2024. It bears a current weighted average interest rate of 1-Month Term SOFR plus 2.50%. As of June 30, 2023, the outstanding balance under this facility was $60.0 million. The borrowing is secured by investments with a fair market value of $95.0 million as of June 30, 2023. Commercial Whole Loan Facility The facility was extended on November 9, 2022 and matures on November 3, 2023. It bears interest at a rate of 1-Month Term SOFR plus 2.25%. As of June 30, 2023, the outstanding balance under this facility was $48.0 million. The borrowing is secured by the performing commercial loans with an estimated fair market value of $66.1 million as of June 30, 2023. 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, 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 June 30, 2023. As of June 30, 2023, the Company had borrowings under four of its master repurchase agreements. The following table summarizes certain characteristics of the Company’s repurchase agreements at June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Short-term borrowings: Agency RMBS $ 274 5.84 % 32 $ 293 4.78 % 32 Non-Agency RMBS (1) 35,105 8.24 % 25 48,237 7.50 % 26 Other securities — — % 0 1,776 7.09 % 17 Total short-term borrowings 35,379 8.22 % 25 50,306 7.47 % 26 Long-term borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS (1) 36,720 7.61 % 307 55,154 6.30 % 122 Non-Agency RMBS 14,467 7.60 % 307 19,129 6.30 % 122 Other securities 8,861 7.94 % 307 16,863 6.30 % 122 Subtotal 60,048 7.65 % 307 91,146 6.30 % 122 Residential Whole Loan Facility Residential Whole Loans (2) 4,401 7.32 % 117 3,633 6.66 % 298 Commercial Whole Loan Facility Commercial Loans 48,032 7.32 % 126 48,032 6.13 % 307 Total long-term borrowings 112,481 7.50 % 222 142,811 6.25 % 189 Repurchase agreements borrowings $ 147,860 7.67 % 175 $ 193,117 6.57 % 146 Less unamortized debt issuance costs — N/A N/A — N/A N/A Repurchase agreements borrowings, net $ 147,860 7.67 % 175 $ 193,117 6.57 % 146 (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 June 30, 2023 and December 31, 2022, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) June 30, 2023 December 31, 2022 1 to 29 days $ 35,105 $ 50,013 30 to 59 days 274 293 60 to 89 days — — Greater than or equal to 90 days 112,481 142,811 Total $ 147,860 $ 193,117 At June 30, 2023, 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): June 30, 2023 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Goldman Sachs Bank USA $ 35,288 306 39.8 % Credit Suisse AG, Cayman Islands Branch 25,574 25 28.8 % Atlas Securitized Products Investments 2, L.P. 18,334 126 20.7 % Collateral For Borrowings Under Repurchase Agreements The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 278 $ 2 $ 280 $ 249 $ — $ 249 Non-Agency CMBS, at fair value (1) 56,222 381 56,603 83,925 483 84,408 Non-Agency RMBS, at fair value 83,811 444 84,255 104,487 533 105,020 Residential Whole Loans, at fair value (2) 3,377 21 3,398 3,229 3 3,232 Commercial Loans, at fair value (2) 66,059 413 66,472 66,864 362 67,226 REO, at carrying value 2,255 — 2,255 2,255 — 2,255 Other securities, at fair value 15,375 70 15,445 27,262 78 27,340 Cash (3) 120 — 120 3,410 — 3,410 Total $ 227,497 $ 1,331 $ 228,828 $ 291,681 $ 1,459 $ 293,140 (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) 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 June 30, 2023 and December 31, 2022, investments held by counterparties as security for repurchase agreements totaled approximately $227.4 million and $288.3 million, respectively. Cash collateral held by counterparties at June 30, 2023 and December 31, 2022 was approximately $120 thousand and $3.4 million, respectively. Cash posted by repurchase agreement counterparties at both June 30, 2023 and December 31, 2022 was zero and $300 thousand, respectively. Convertible Senior Unsecured Notes 6.75% Convertible Senior Unsecured Notes due 2024 (the "2024 Notes") 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 post reverse stock split conversion rate is 33.7952 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $29.59 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. Securitized Debt Arroyo Trust 2019-2 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, so 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 2019-2's residential mortgage pass-through certificates at June 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 152,658 3.3% $ 152,658 4/25/2049 Class A-2 8,187 3.5% 8,187 4/25/2049 Class A-3 12,971 3.8% 12,971 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 198,871 $ 198,871 Less: Unamortized Deferred Financing Costs N/A 2,159 Total $ 198,871 $ 196,712 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 2019-2 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At June 30, 2023, Residential Whole Loans, with an outstanding principal balance of approximately $221.5 million, serve as collateral for the Arroyo Trust 2019-2'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 2020-1 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, so 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 2020-1's residential mortgage pass-through certificates at June 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 68,514 1.7% $ 68,514 3/25/2055 Class A-1B 8,130 2.1% 8,130 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 $ 119,864 $ 119,864 Less: Unamortized Deferred Financing Costs N/A 1,299 Total $ 119,864 $ 118,565 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 2020-1 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At June 30, 2023 , Residential Whole Loans with an outstanding principal balance of approximately $133.5 million serve as collateral for the Arroyo Trust 2020-1'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. Arroyo Trust 2022-1 In February 2022, the Company completed a residential-mortgage backed securitization comprised of $432.0 million of Non-QM Residential Whole Loans, issuing $398.9 million of mortgage-backed notes. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the bonds are recorded at fair value in the Consolidated Balance Sheets with 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." The following table summarizes the issued Arroyo Trust 2022-1's residential mortgage pass-through certificates at June 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1A $ 202,556 2.5% $ 182,262 12/25/2056 Class A-1B 82,942 3.3% 73,725 12/25/2056 Class A-2 21,168 3.6% 17,292 12/25/2056 Class A-3 28,079 3.7% 22,186 12/25/2056 Class M-1 17,928 3.7% 12,780 12/25/2056 Total $ 352,673 $ 308,245 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 2022-1 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At June 30, 2023, Residential Whole Loans with an outstanding principal balance of approximately $384.1 million serve as collateral for the Arroyo Trust 2022-1'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 fair value plus accrued interest. Arroyo Trust 2022-2 In July 2022, the Company completed a residential-mortgage backed securitization comprised of $402.2 million of Non-QM Residential Whole Loans, issuing $351.9 million of mortgage-backed notes. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the bonds are recorded at fair value in the Consolidated Balance Sheets with 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." The following table summarizes the issued Arroyo Trust 2022-2's residential mortgage pass-through certificates at June 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1 $ 250,394 5.0% $ 242,542 7/25/2057 Class A-2 21,314 5.0% 20,239 7/25/2057 Class A-3 25,972 5.0% 24,613 7/25/2057 Class M-1 17,694 5.0% 14,680 7/25/2057 Total $ 315,374 $ 302,074 The Company retained the non-offered securities in the securitization, which include the Class B-1, Class B-2, Class B-3, Class A-IO-S, and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2022-2 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At June 30, 2023, Residential Whole Loans with an outstanding principal balance of approximately $363.0 million serve as collateral for the Arroyo Trust 2022-2'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 fair 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 June 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 101,120 9/11/2025 Class A-2 531,700 4.0 % 458,329 9/11/2025 Class B 136,400 4.2 % 109,843 9/11/2025 Class C 94,500 4.3 % 72,535 9/11/2025 Class D 153,950 4.4 % 111,258 9/11/2025 Class E 180,150 4.4 % 97,328 9/11/2025 Class F 153,600 4.4 % 61,965 9/11/2025 Class X-1 (1) n/a 0.5 % 5,717 9/11/2025 Class X-2 (1) n/a — % 1,215 9/11/2025 $ 1,370,691 $ 1,019,310 (1) Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of June 30, 2023, respectively. At June 30, 2023, 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 $1.0 billion at June 30, 2023, and is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining outstanding principal balance of $1.4 billion, $180.3 million is owned by related parties and $1.2 billion is owned by |
Derivative Instruments
Derivative Instruments | 6 Months Ended |
Jun. 30, 2023 | |
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, A gency, 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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ — $ — $ 60,000 $ 1 Total derivative instruments, assets — 1 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 82,000 (68) 98,000 (61) Total derivative instruments, liabilities (68) (61) Total derivative instruments, net $ (68) $ (60) The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain on derivative instruments, net" in the Consolidated Statements of Operations for the three and six months ended June 30, 2023 and June 30, 2022 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements/ Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended June 30, 2023 Interest rate swaps $ — $ 184 $ — $ 53 $ 766 $ 1,003 Interest-Only Strips— accounted for as derivatives — — (4) 1 14 11 Total $ — $ 184 $ (4) $ 54 $ 780 $ 1,014 Three months ended June 30, 2022 Interest rate swaps $ — $ 5,781 $ — $ (671) $ (262) $ 4,848 Interest-Only Strips— accounted for as derivatives — — (43) (107) 55 (95) Credit default swaps 16 — — (2,103) — (2,087) TBAs 732 — — 1,383 — 2,115 Total $ 748 $ 5,781 $ (43) $ (1,498) $ (207) $ 4,781 Realized Gain (Loss), net Description Other Settlements/ Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Six months ended June 30, 2023 Interest rate swaps $ — $ (2,000) $ — $ (8) $ 1,986 $ (22) Interest-Only Strips— accounted for as derivatives — — (2) 65 23 86 Total $ — $ (2,000) $ (2) $ 57 $ 2,009 $ 64 Six months ended June 30, 2022 Interest rate swaps $ — $ 11,321 $ — $ (1,120) $ (553) $ 9,648 Interest-Only Strips— accounted for as derivatives — — (115) (216) 144 (187) Credit default swaps 31 — — 110 — 141 TBAs 732 — — 1,383 — 2,115 Total $ 763 $ 11,321 $ (115) $ 157 $ (409) $ 11,717 At June 30, 2023 and December 31, 2022, the Company had cash pledged as collateral for derivatives of approximately $1.2 million and $3.2 million, 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 on derivatives instruments, net" in the Consolidated Statements of Operations. The following tables provide additional information on the Company's fixed-pay interest rate swaps as of June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) 1 year or less $ 60,000 1.4 % 4.9 % 0.8 Greater than 5 years 22,000 1.2 % 4.4 % 8.3 Total $ 82,000 1.3 % 4.8 % 2.8 December 31, 2022 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) Greater than 1 year and less than 3 years $ 60,000 1.4 % 2.0 % 1.3 Greater than 3 years and less than 5 years 70,000 1.4 % 1.8 % 4.1 Greater than 5 years $ 28,000 1.7 % 3.6 % 9.0 Total $ 158,000 1.4 % 2.2 % 3.9 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 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 | 6 Months Ended |
Jun. 30, 2023 | |
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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 778 $ — $ 778 $ (217) $ — $ 561 Total assets $ 778 $ — $ 778 $ (217) $ — $ 561 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 68 $ — $ 68 $ — $ (68) $ — Repurchase Agreements (4) 147,860 — 147,860 (147,860) — — Total liability $ 147,928 $ — $ 147,928 $ (147,860) $ (68) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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, includes interest rate swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.2 million as of June 30, 2023. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $227.4 million as of June 30, 2023. December 31, 2022 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 714 $ — $ 714 $ (196) $ — $ 518 Derivative asset, at fair value (2) 1 — 1 (1) — — Total assets $ 715 $ — $ 715 $ (197) $ — $ 518 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 61 $ — $ 61 $ (1) $ (60) $ — Repurchase Agreements (4) 193,117 — 193,117 (193,073) (44) — Total liability $ 193,178 $ — $ 193,178 $ (193,074) $ (104) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 $3.2 million as of December 31, 2022. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $288.3 million as of December 31, 2022. 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 | 6 Months Ended |
Jun. 30, 2023 | |
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 controller. 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 15, 2024. It is automatically renewed for one-year terms on each May 15th unless previously terminated as described below. The Company’s independent directors review the Manager’s performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company’s independent directors, based upon: (i) the Manager’s unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company’s determination that any fees payable to the Manager are not fair, subject to the Manager’s right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company’s independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company’s Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company’s independent directors, which is defined as: (i) the Manager’s continued material breach of any provision of the Management Agreement (including the Manager’s failure to comply with the Company’s investment guidelines); (ii) the Manager’s fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager’s gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. In 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. For the three months ended June 30, 2023 and June 30, 2022, the Company incurred approximately $1.0 million and approximately $1.0 million in management fees, respectively. For the six months ended June 30, 2023 and June 30, 2022, the Company incurred approximately $1.9 million and approximately $2.1 million in management fees, respectively. |
Share-Based Payments
Share-Based Payments | 6 Months Ended |
Jun. 30, 2023 | |
Share-Based Payment Arrangement, Noncash Expense [Abstract] | |
Share-Based Payments | Share-Based Payments The Company's ability to grant equity-based awards under the Company's previous equity incentive plans expired on May 9, 2022. At the Annual Meeting of Stockholders held on June 24, 2022, the Company's stockholders approved the Western Asset Mortgage Capital Corporation 2022 Omnibus Incentive Plan and the Western Asset Mortgage Capital Corporation 2022 Manager Omnibus Incentive Plan (collectively, the “2022 Plans”). The 2022 Plans provide for the issuance of options (including non-statutory stock options and incentive stock options), stock appreciation rights (referred to as SARs), restricted stock, restricted stock units (referred to as RSUs), stock bonuses, other stock based awards and cash awards. The aggregate maximum number of shares of our common stock available for future issuances under the 2022 Plans is 1,000,000 shares, which was reduced to 100,000 shares following the completion of the reverse stock split. The Manager and the officers, employees, non-employee directors, independent contractors, and consultants of the Company or any affiliate of the Company, including any individuals who are employees of the Manager or one of the Manager’s affiliates, are eligible to participate in the 2022 Plans, provided that they have been selected by the Plan Administrator. On June 23, 2023, the Company granted a total of 31,184 restricted stock units (7,796 per each independent director), to each of the Company's four independent directors. These restricted stock units will vest in full on June 23, 2024, the first anniversary of the grant date, and will be settled in shares of the Company’s common stock upon each of the independent director’s separation from service with the Company. On June 24, 2022, the Company granted 21,704 restricted stock units (5,426 per each independent director) on a post reverse stock split basis, to each of the Company's 4 independent directors. These restricted stock units and associated dividend equivalent units vested in full on June 24, 2023, the one year anniversary of the grant date, and will be settled in shares of the Company's common stock upon each of the independent director's separation from service with the Company. On June 30, 2022, the Company grant ed 20,000 restricted stock units on a post reverse-stock-split basis under the Western Asset Mortgage Capital Corporation 2022 Omnibus Incentive Plan to the Company’s Chief Financial Officer. These restricted stock units and associated dividend equivalent units vest in equal installments on the first and second anniversary of the grant date. As of June 30, 2022, 10,000 of the 20,000 restricted stock units vested and will be settled with the Company's common stock. During the six months ended June 30, 2023 and June 30, 2022, 31,704 and 11,716 restricted stock units vested, respectively. The Company recognized stock-based compensation expense of approximately $100 thousand and approximately $70 thousand for the three months ended June 30, 2023 and June 30, 2022, respectively. The Company recognized stock-based compensation expense of approximately $200 thousand and approximately $235 thousand for the six months ended June 30, 2023 and June 30, 2022, respectively. In addition, the Company had unamortized compensation expense of $378 thousand and $298 thousand for equity awards at June 30, 2023 and December 31, 2022, 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 equity awards vesting dates as of June 30, 2023 and December 31, 2022: June 30, 2023 December 31, 2022 Vesting Date Shares Vesting Shares Vesting June 2023 — 31,704 June 2024 41,184 10,000 Total 41,184 41,704 The following table presents information with respect to shares issued under the Company’s Equity Incentive Plans for the six months ended June 30, 2023 and June 30, 2022: June 30, 2023 June 30, 2022 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 81,914 $ 31.21 32,943 $ 58.85 Granted (2) 37,625 9.10 43,577 12.74 Cancelled/forfeited — — — — Outstanding at end of period 119,539 24.25 76,520 32.59 Unvested at end of period 41,184 $ 9.74 41,704 $ 12.52 (1) The grant date fair value of the awards is based on the closing market price of the Company’s common stock at the grant date. (2) Includes 6,441 and 1,873 shares attributed to dividends on restricted stock under the Director Deferred Fee Plan for the six months ended June 30, 2023 and June 30, 2022, respectively. |
Stockholders' Equity
Stockholders' Equity | 6 Months Ended |
Jun. 30, 2023 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Reverse Stock Split On June 30, 2022, the Company announced that its Board of Directors approved a one-for-ten reverse stock split of the Company's outstanding shares of common stock. The one-for-ten reverse stock split was effected on July 11, 2022, which reduced the total number of authorized shares of common stock from 500,000,000 to 50,000,000 and also reduced the total number of authorized shares of preferred stock from 100,000,000 to 10,000,000. The number of common shares outstanding reducing from 60,380,105 to 6,038,012. The par value per share of our common stock remained unchanged at $0.01. All per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. The Company's stockholders' equity, in the aggregate, remains unchanged. Per share net income or loss increased because there are fewer shares of common stock outstanding. The common stock held in treasury was reduced in proportion to the Reverse Stock Split Ratio. There were no other accounting consequences, including changes to the amount of stock-based compensation expense to be recognized in any period, that arose as a result of the reverse stock split. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock the business day prior to the Effective Date. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. 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 million worth of shares of common stock in an At-The-Market equity offering. During the six months ended June 30, 2023, the Company did not sell any shares under the amended agreement. Stock Repurchase Program In December 2021, the Company extended its stock repurchase program as authorized by its Board of Directors. Under the extended program, the Company is permitted to repurchase up to 300,000 shares of its common stock, adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split, through December 31, 2023. The previous authorization expired 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. During the six months ended June 30, 2023, the Company did not repurchase any shares under the stock repurchase program. Dividends The following table presents cash dividends declared and paid by the Company on its common stock, not adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split to align with 1099-DIV per share amounts as reported. Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2023 June 21, 2023 July 3, 2023 July 26, 2023 $ 0.35 Not yet determined March 22, 2023 April 3, 2023 April 26, 2023 $ 0.35 Not yet determined 2022 December 21, 2022 January 3, 2023 January 26, 2023 $ 0.40 Not yet determined (1) September 22, 2022 October 3, 2022 October 26, 2022 $ 0.40 Ordinary income June 21, 2022 July 1, 2022 July 25, 2022 $ 0.04 Ordinary income March 23, 2022 April 4, 2022 April 26, 2022 $ 0.04 Ordinary income |
Net Loss per Common Share
Net Loss per Common Share | 6 Months Ended |
Jun. 30, 2023 | |
Earnings Per Share [Abstract] | |
Net Loss per Common Share | Net Loss per Common Share The table below presents basic and diluted net loss per share of common stock using the two-class method for the three and six months ended June 30, 2023 and June 30, 2022 (dollars, other than shares and per share amounts, in thousands), adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. For the three months ended June 30, 2023 For the three months ended June 30, 2022 For the six months ended June 30, 2023 For the six months ended June 30, 2022 Numerator : Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share $ (8,633) $ (22,387) $ (2,066) $ (48,240) Less: Dividends and undistributed earnings allocated to participating securities 32 15 62 30 Net loss allocable to common stockholders — basic and diluted $ (8,665) $ (22,402) $ (2,128) $ (48,270) Denominator : Weighted average common shares outstanding for basic earnings per share 6,038,012 6,038,012 6,038,012 6,036,300 Weighted average common shares outstanding for diluted earnings per share 6,038,012 6,038,012 6,038,012 6,036,300 Basic loss per common share $ (1.44) $ (3.71) $ (0.35) $ (8.00) Diluted loss per common share $ (1.44) $ (3.71) $ (0.35) $ (8.00) |
Income Taxes
Income Taxes | 6 Months Ended |
Jun. 30, 2023 | |
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 June 30, 2023. The Company files U.S. federal and state income tax returns. As of June 30, 2023, U.S. federal tax retur ns filed by the Company for 2021, 2020, and 2019 and state tax returns filed for 2021, 2020, 2019, 2018 and 2017 are open for examination pursuant to r elevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company’s policy is to classify them as a component of its provision for income taxes. Income Tax Provision Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more taxable REIT subsidiaries ("TRS"). Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. During the three months ended June 30, 2023 and June 30, 2022, the Company recorded a federal and state tax benefit of $12 thousand and tax benefit of $46 thousand, respectively, which is recorded in "Income tax provision" in the Consolidated Statements of Operations. During the six months ended June 30, 2023 and June 30, 2022, the Company recorded a federal and state tax provision of zero and a tax provision of $10 thousand respectively. Deferred Tax Asset As of June 30, 2023 and December 31, 2022, the Company recorded a deferred tax asset of approximately $14.3 million and $13.5 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 interest rate swap terminations, and for its California return a portion of the NOLs is apportioned to the TRS. The Company recorded a deferred tax asset relating to the NOLs of $14.5 million and $14.5 million in the REIT and $1.6 million and $1.6 million in the TRS as of June 30, 2023 and December 31, 2022, 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 June 30, 2023 and December 31, 2022, 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 $16.2 million and $16.1 million, respectively. Effective Tax Rate The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to its valuation allowance and the deduction of dividends distributions to be paid under Code Section 857(a). |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material commitments nor contingencies at June 30, 2023. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2023 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Financing Facility Subsequent to quarter end, the Company replaced an existing short-term repurchase financing facility facing Credit Suisse AG (UBS) with a new two-year term, $65 million fixed rate, non-mark-to-market, securitized funding vehicle. As a result, the Company no longer has any financing arrangements with Credit Suisse AG (UBS) as a counterparty. |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2023 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation and Consolidation The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split, which was effected on July 11, 2022. The results of operations for the period ended June 30, 2023 are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2022, filed with the SEC on March 13, 2023. |
Consolidation | The consolidated financial statements include the accounts of the Company, its wholly-owned and majority-owned subsidiaries, and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation. |
Variable Interest Entities | Variable Interest Entities VIEs are defined as entities, that by design, either lack sufficient equity for the entity to finance its activities without additional subordinated financial support, or are unable to direct the entity’s activities, or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers 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. |
Recently Issued Accounting Pronouncements | Significant Accounting Policies There have been no significant changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2022. 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, 2024 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 and disclosures due to the limited nature of such transactions. In March 2021, the FCA announced that the intended cessation date of the overnight 1-, 3-, 6-, and 12-month tenors of USD LIBOR would be June 30, 2023, which is beyond the current sunset date of Topic 848. Accordingly, during December 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASC Topic 848, Reference Rate Reform, which provides temporary optional relief in accounting for the impact of reference rate reform from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply to all entities that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of rate reform. December 31, 2024 With additional time granted to apply the relief in Topic 848 extended through December 31, 2024, Management monitored if any legacy LIBOR reference rate contracts remained outstanding as of June 30, 2023 in the investment portfolio, as either they they terminated prior to the June 30, 2023 LIBOR cessation date, or the Company elected to use the practical expedients per Topic 848 to account for modifications to contracts prospectively within the scope of Topics 310, Receivables, and 470, Debt, as a continuation of the existing contracts. The Company adjusted the effective interest rate of all contracts, hedging relationships, and other transactions that reference LIBOR to revised reference rates and spreads as they occured. The variable-rate and floating-rate note sectors have primarily transitioned away from LIBOR as the market has already adapted to the secured overnight financing rate (SOFR), as the primary index used by issuers. As of June 30, 2023, the Company has fully transitioned away from any contracts, hedging relationships, or other transactions that reference LIBOR, which did not have a material impact on its financial statements and disclosures. |
Basis of Presentation and Sum_3
Basis of Presentation and Summary of Significant Accounting Policies (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
Accounting Policies [Abstract] | |
Schedule of New Accounting Pronouncements and Changes in Accounting Principles | 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, 2024 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 and disclosures due to the limited nature of such transactions. In March 2021, the FCA announced that the intended cessation date of the overnight 1-, 3-, 6-, and 12-month tenors of USD LIBOR would be June 30, 2023, which is beyond the current sunset date of Topic 848. Accordingly, during December 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASC Topic 848, Reference Rate Reform, which provides temporary optional relief in accounting for the impact of reference rate reform from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply to all entities that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of rate reform. December 31, 2024 With additional time granted to apply the relief in Topic 848 extended through December 31, 2024, Management monitored if any legacy LIBOR reference rate contracts remained outstanding as of June 30, 2023 in the investment portfolio, as either they they terminated prior to the June 30, 2023 LIBOR cessation date, or the Company elected to use the practical expedients per Topic 848 to account for modifications to contracts prospectively within the scope of Topics 310, Receivables, and 470, Debt, as a continuation of the existing contracts. The Company adjusted the effective interest rate of all contracts, hedging relationships, and other transactions that reference LIBOR to revised reference rates and spreads as they occured. The variable-rate and floating-rate note sectors have primarily transitioned away from LIBOR as the market has already adapted to the secured overnight financing rate (SOFR), as the primary index used by issuers. As of June 30, 2023, the Company has fully transitioned away from any contracts, hedging relationships, or other transactions that reference LIBOR, which did not have a material impact on its financial statements and disclosures. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
Fair Value Disclosures [Abstract] | |
Schedule of the entity's Financial Instruments Carried at Fair Value Based Upon the Valuation Hierarchy | The following tables present the Company’s financial instruments carried at fair value as of June 30, 2023 and December 31, 2022, based upon the valuation hierarchy (dollars in thousands): June 30, 2023 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-only strips $ — $ — $ 60 $ 60 Agency RMBS Interest-only strips accounted for as derivatives, included in MBS — — 778 778 Subtotal Agency MBS — — 838 838 Non-Agency CMBS — 59,322 — 59,322 Non-Agency RMBS — 21,756 — 21,756 Non-Agency RMBS Interest-only strips — — 1,608 1,608 Subtotal Non-Agency MBS — 81,078 1,608 82,686 Other securities — 16,615 — 16,615 Total mortgage-backed securities and other securities — 97,693 2,446 100,139 Residential Whole Loans — — 1,037,381 1,037,381 Residential Bridge Loans — — 2,782 2,782 Securitized Commercial Loans — — 1,025,321 1,025,321 Commercial Loans — — 78,806 78,806 Total Assets $ — $ 97,693 $ 2,146,736 $ 2,244,429 Liabilities Derivative liabilities $ — $ 68 $ — $ 68 Securitized debt — 1,622,697 6,932 1,629,629 Total Liabilities $ — $ 1,622,765 $ 6,932 $ 1,629,697 December 31, 2022 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-only strips $ — $ — $ 53 $ 53 Agency RMBS Interest-only strips accounted for as derivatives, included in MBS — — 714 714 Subtotal Agency MBS — — 767 767 Non-Agency CMBS — 85,435 — 85,435 Non-Agency RMBS — 22,483 — 22,483 Non-Agency RMBS Interest-only strips — — 1,204 1,204 Subtotal Non-Agency MBS — 107,918 1,204 109,122 Other securities — 27,262 — 27,262 Total mortgage-backed securities and other securities — 135,180 1,971 137,151 Residential Whole Loans — — 1,091,145 1,091,145 Residential Bridge Loans — — 2,849 2,849 Securitized Commercial Loan — — 1,085,103 1,085,103 Commercial Loans — — 90,002 90,002 Derivative assets — 1 — 1 Total Assets $ — $ 135,181 $ 2,271,070 $ 2,406,251 Liabilities Derivative liabilities $ — $ 61 $ — $ 61 Securitized debt — 1,710,938 8,927 1,719,865 Total Liabilities $ — $ 1,710,999 $ 8,927 $ 1,719,926 |
Summary of the Available Quantitative Information about the Significant Unobservable Inputs Used in the Fair Value Measurement of Financial Instruments | The following tables present a summary of the available quantitative information about the significant unobse rvable 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 June 30, 2023 and December 31, 2022 (dollars in thousands): Fair Value at Range June 30, 2023 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $ 1,037,381 Discounted Cash Flow Market Discount Rate 5.5 % 7.6 % 6.3 % Weighted Average Life 0.7 10.4 5.4 Residential Bridge Loans $ 2,782 Discounted Cash Flow Market Discount Rate 12.3 % 24.9 % 16.8 % Weighted Average Life 1.1 4.9 3.1 Securitized Commercial Loan $ 1,025,321 Market Comparables, Vendor Pricing Weighted Average Life 2.3 2.3 2.3 Commercial Loans $ 78,806 Discounted Cash Flow Market Discount Rate 8.9 % 11.4 % 10.3 % Weighted Average Life 0.1 1.9 1.6 Fair Value at Range December 31, 2022 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $ 1,091,145 Discounted Cash Flow Market Discount Rate 6.0 % 8.4 % 6.8 % Weighted Average Life 1.4 10.4 5.4 Residential Bridge Loans $ 2,849 Discounted Cash Flow Market Discount Rate 12.9 % 35.7 % (1) 22.4 % Weighted Average Life 0.4 4.1 2.0 Securitized Commercial Loan $ 1,085,103 Market Comparables, Vendor Pricing Weighted Average Life 2.7 2.7 2.7 Commercial Loans $ 90,002 Discounted Cash Flow Market Discount Rate 8.4 % 9.6 % 9.2 % Weighted Average Life 0.3 2.4 1.2 |
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 3 inputs to determine fair value | The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended June 30, 2023 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 837 $ 1,590 $ 1,074,417 $ 2,782 $ 79,182 $ 1,088,224 $ 7,972 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Loan modifications / capitalized interest — — 35 — — — — Principal repayments — — (28,278) — (750) — — Total net gains / losses included in net income Unrealized gains/(losses), net on assets (1) 1 122 (8,161) — 361 (70,014) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (4) Premium and discount amortization, net — (104) (632) — 13 7,111 (1,036) Ending balance $ 838 $ 1,608 $ 1,037,381 $ 2,782 $ 78,806 $ 1,025,321 $ 6,932 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 1 $ 122 $ (8,853) $ — $ 361 $ (70,014) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 4 Three months ended June 30, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 940 $ 6,659 $ 1,002,710 $ 5,350 $ 128,495 $ 1,288,943 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — (5,437) — — — — — Purchases — — 292,168 — — — — Loan modifications / capitalized interest — — 10 — — — — Principal repayments — — (60,548) (145) — — — Total net gains / losses included in net income Unrealized gains/(losses), net on assets (1) (110) 18 (37,165) (110) (74) (52,218) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 988 Premium and discount amortization, net (45) (59) (1,322) — — 6,646 (988) Ending balance $ 785 $ 1,181 $ 1,195,853 $ 5,095 $ 128,421 $ 1,243,371 $ 14,919 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (110) $ 89 $ (34,740) $ (33) $ (74) $ (52,218) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ (988) Six months ended June 30, 2023 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 767 $ 1,204 $ 1,091,145 $ 2,849 $ 90,002 $ 1,085,103 $ 8,927 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Sales and settlements — — — — (8,776) — — Loan modifications / capitalized interest — — 41 — — — — Principal repayments — — (58,792) (75) (1,680) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — — (81,223) — — Unrealized gains/(losses), net on assets (1) 67 611 6,433 8 80,417 (74,050) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (101) Premium and discount amortization, net 4 (207) (1,446) — 66 14,268 (1,894) Ending balance $ 838 $ 1,608 $ 1,037,381 $ 2,782 $ 78,806 $ 1,025,321 $ 6,932 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 67 $ 611 $ 4,056 $ — $ (806) $ (74,050) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 101 Six months ended June 30, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,172 $ 7,845 $ 1,023,502 $ 5,428 $ 130,572 $ 1,355,808 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — (5,437) — — — — — Purchases — — 409,853 — — — — Loan modifications / capitalized interest — — 75 — — — — Principal repayments — — (154,748) (250) (4) — — Total net gains / losses included in net income Unrealized gains/(losses), net on assets (1) (266) (1,086) (79,045) (83) (2,147) (125,782) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 1,799 Premium and discount amortization, net (121) (141) (3,784) — — 13,345 (1,799) Ending balance $ 785 $ 1,181 $ 1,195,853 $ 5,095 $ 128,421 $ 1,243,371 $ 14,919 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (266) $ (732) $ (73,658) $ (8) $ (2,147) $ (125,782) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ (1,799) (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 Fair Value, by Balance Sheet Grouping | The following table presents the carrying value and estimated fair value of the Company’s convertible senior unsecured notes and securitized debt that are not carried at fair value as of June 30, 2023 and December 31, 2022 in the consolidated financial statements (dollars in thousands): June 30, 2023 December 31, 2022 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Convertible senior unsecured notes $ 84,341 $ 75,559 $ 83,522 $ 74,712 Securitized debt (1) 318,735 287,880 342,965 309,474 Total $ 403,076 $ 363,439 $ 426,487 $ 384,186 (1) Carrying value excludes $3.5 million and $4.1 million of deferred financing costs as of June 30, 2023 and December 31, 2022, respectively. |
Mortgage-Backed Securities an_2
Mortgage-Backed Securities and Other Securities (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency RMBS Interest-Only Strips (1)(2) N/A N/A $ 65 $ — $ (5) $ 60 — % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 778 0.9 % Total Agency MBS — — 65 — (5) 838 0.8 % Non-Agency RMBS 39,528 (14,414) 25,114 649 (4,007) 21,756 4.2 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 4,997 — (3,389) 1,608 0.3 % Subtotal Non-Agency RMBS 39,528 (14,414) 30,111 649 (7,396) 23,364 1.2 % Non-Agency CMBS 88,659 (2,087) 86,572 322 (27,572) 59,322 7.8 % Total Non-Agency MBS 128,187 (16,501) 116,683 971 (34,968) 82,686 3.4 % Other securities (3) 25,625 (7,901) 18,891 389 (2,665) 16,615 7.2 % Total $ 153,812 $ (24,402) $ 135,639 $ 1,360 $ (37,638) $ 100,139 3.6 % December 31, 2022 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 58 $ — $ (5) $ 53 — % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 714 0.1 % Total Agency MBS — — 58 — (5) 767 0.1 % Non-Agency RMBS 39,873 (14,423) 25,450 928 (3,895) 22,483 4.2 % Non-Agency RMBS Interest-Only Strips (1) N/A N/A 5,204 — (4,000) 1,204 0.3 % Subtotal Non-Agency RMBS 39,873 (14,423) 30,654 928 (7,895) 23,687 1.1 % Non-Agency CMBS 109,266 (2,763) 106,503 636 (21,704) 85,435 8.1 % Total Non-Agency MBS 149,139 (17,186) 137,157 1,564 (29,599) 109,122 3.8 % Other securities (3) 34,691 (8,581) 31,112 543 (4,393) 27,262 7.2 % Total $ 183,830 $ (25,767) $ 168,327 $ 2,107 $ (33,997) $ 137,151 3.9 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At June 30, 2023, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs, and IIO and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.2 million, $136.5 million, and $12.3 million, respectively. At December 31, 2022, 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 $2.4 million, $143.2 million, and $13.1 million, respectively. (2) Interest on these securities is reported as a component of "Gain on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in ABS which have no principal balance and an amortized cost of approximately $1.2 million and $5.0 million, as of June 30, 2023 and December 31, 2022, 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 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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ 60 $ — $ — $ 60 Agency RMBS Interest-Only Strips accounted for as derivatives — 778 — — 778 Subtotal Agency — 838 — — 838 Non-Agency CMBS 39,054 10,117 10,151 — 59,322 Non-Agency RMBS — — 8,277 13,479 21,756 Non-Agency RMBS Interest-Only Strips — — 192 1,416 1,608 Subtotal Non-Agency 39,054 10,117 18,620 14,895 82,686 Other securities 2,948 — 6,835 6,832 16,615 Total $ 42,002 $ 10,955 $ 25,455 $ 21,727 $ 100,139 December 31, 2022 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ 53 $ — $ — $ 53 Agency RMBS Interest-Only Strips accounted for as derivatives — 714 — — 714 Subtotal Agency — 767 — — 767 Non-Agency CMBS 64,484 10,469 10,482 — 85,435 Non-Agency RMBS — — 8,667 13,816 22,483 Non-Agency RMBS Interest-Only Strips — — 230 974 1,204 Subtotal Non-Agency 64,484 10,469 19,379 14,790 109,122 Other securities 6,735 — 13,020 7,507 27,262 Total $ 71,219 $ 11,236 $ 32,399 $ 22,297 $ 137,151 |
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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 60 $ (5) 1 $ — $ — — $ 60 $ (5) 1 Subtotal Agency 60 (5) 1 — — — 60 (5) 1 Non-Agency CMBS — — — 50,145 (27,572) 10 50,145 (27,572) 10 Non-Agency RMBS 11,260 (752) 2 8,911 (3,255) 5 20,171 (4,007) 7 Non-Agency RMBS Interest-Only Strips — — — 1,608 (3,389) 4 1,608 (3,389) 4 Subtotal Non-Agency 11,260 (752) 2 60,664 (34,216) 19 71,924 (34,968) 21 Other securities — — — 7,535 (2,665) 2 7,535 (2,665) 2 Total $ 11,320 $ (757) 3 $ 68,199 $ (36,881) 21 $ 79,519 $ (37,638) 24 December 31, 2022 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 52 $ (5) 1 $ — $ — — $ 52 $ (5) 1 Subtotal Agency 52 (5) 1 — — — 52 (5) 1 Non-Agency CMBS — — — 76,365 (21,704) 11 76,365 (21,704) 11 Non-Agency RMBS 19,054 (2,794) 5 1,557 (1,101) 2 20,611 (3,895) 7 Non-Agency RMBS Interest-Only Strips — — — 1,203 (4,000) 4 1,203 (4,000) 4 Subtotal Non-Agency 19,054 (2,794) 5 79,125 (26,805) 17 98,179 (29,599) 22 Other securities 12,483 (2,425) 3 9,468 (1,968) 2 21,951 (4,393) 5 Total $ 31,589 $ (5,224) 9 $ 88,593 $ (28,773) 19 $ 120,182 $ (33,997) 28 |
Summary of the Components of Interest Income on the Company's MBS and Other Securities | The following tables present components of interest income on the Company’s MBS and other securities for the three and six months ended June 30, 2023 and June 30, 2022, respectively (dollars in thousands): Three months ended June 30, 2023 Three months ended June 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 3 $ 3 $ 5 $ (2) $ 3 Non-Agency CMBS 1,621 338 1,959 2,129 401 2,530 Non-Agency RMBS 615 (190) 425 813 (152) 661 Other securities 656 (99) 557 767 272 1,039 Total $ 2,892 $ 52 $ 2,944 $ 3,714 $ 519 $ 4,233 Six months ended June 30, 2023 Six months ended June 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 6 $ 6 $ 13 $ (6) $ 7 Non-Agency CMBS 3,577 655 4,232 5,101 (1) 5,100 Non-Agency RMBS 1,204 (345) 859 1,358 (167) 1,191 Other securities 1,496 (201) 1,295 1,655 38 1,693 Total $ 6,277 $ 115 $ 6,392 $ 8,127 $ (136) $ 7,991 |
Schedule of Sales and Realized Gain (Loss) of the Company's MBS and Other Securities | The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and six months ended June 30, 2023 and June 30, 2022, respectively (dollars in thousands): Three months ended June 30, 2023 Three months ended June 30, 2022 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ (1,237) $ (1,237) $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS — — (48) (48) 27,729 255 (1,425) (1,170) Other securities 8,694 649 (463) 186 4,406 — (478) (478) Total $ 8,694 $ 649 $ (1,748) $ (1,099) $ 42,287 $ 255 $ (45,837) $ (45,582) Six months ended June 30, 2023 Six months ended June 30, 2022 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ (1,239) $ (1,239) $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS — — (48) (48) 27,729 255 (1,425) (1,170) Other securities 15,324 649 (2,028) (1,379) 4,406 — (478) (478) Total $ 15,324 $ 649 $ (3,315) $ (2,666) $ 42,287 $ 255 $ (45,837) $ (45,582) |
Residential Whole Loans and B_2
Residential Whole Loans and Bridge Loans (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) $ 1,037,381 $ 1,091,145 Residential Bridge Loans, at fair value 2,782 2,849 Investment related receivable 8,760 5,914 Interest receivable 4,648 4,871 Other assets — 509 Total assets $ 1,053,571 $ 1,105,288 Securitized debt, net $ 925,596 $ 981,073 Interest payable 2,976 3,139 Accounts payable and accrued expenses 51 34 Total liabilities $ 928,623 $ 984,246 two consolidated trusts included in the Consolidated Balance Sheets as of June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Restricted cash $ — $ 248 Securitized Commercial Loan, at fair value 1,025,321 1,085,103 Commercial Loans, at fair value 12,747 14,362 Interest receivable 5,150 5,311 Total assets $ 1,043,218 $ 1,105,024 Securitized debt, at fair value $ 1,019,310 $ 1,077,611 Interest payable 4,995 5,164 Accounts payable and accrued expenses 9 9 Other liabilities — 248 Total liabilities $ 1,024,314 $ 1,083,032 |
Schedule of Components of the Carrying Value of Residential Whole-Loans and Securitized Commercial Loan | The following table presents the components of the fair value of Residential Whole Loans and Residential Bridge Loans as of June 30, 2023 and December 31, 2022 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value June 30, 2023 December 31, 2022 June 30, 2023 December 31, 2022 Principal balance $ 1,106,551 $ 1,165,301 $ 3,091 $ 3,166 Unamortized premium 29,415 30,961 — — Unamortized discount (1,449) (1,536) — — Amortized cost 1,134,517 1,194,726 3,091 3,166 Gross unrealized gains 4,299 2,038 — — Gross unrealized losses (101,435) (105,619) (309) (317) Fair value $ 1,037,381 $ 1,091,145 $ 2,782 $ 2,849 |
Schedule of Certain Information about the Residential Whole Loans Investment Portfolio | The Residential Whole Loans have low LTV's and are comprised of 2,824 adjustable and fixed rate Non-QM and investor mortgages. The following tables present certain information about the Company’s residential whole loan investment portfolio at June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Weighted Average Current Coupon Rate Number of Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 39 $ 22,018 66.3 % 758 8.9 27.8 2.9 % 3.01% – 4.00% 366 200,548 66.9 % 760 7.5 28.3 3.7 % 4.01% – 5.00% 1,236 417,820 64.5 % 750 5.7 25.7 4.6 % 5.01% – 6.00% 875 347,001 65.5 % 742 4.8 26.2 5.5 % 6.01% – 7.00% 282 110,986 68.1 % 742 3.6 27.2 6.4 % 7.01% - 8.00% 25 8,173 68.3 % 735 3.4 26.5 7.4 % 8.01% - 9.00% 1 5 65.0 % 693 3.8 23.9 8.5 % Total 2,824 $ 1,106,551 65.7 % 749 5.5 26.5 4.9 % (1) The original FICO score is not available for 219 loans with a principal balance of approximately $69.4 million at June 30, 2023. The Company has excluded these loans from the weighted average computations. December 31, 2022 Weighted Average Current Coupon Rate Number of Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 39 $ 22,277 66.3 % 758 8.9 28.3 2.9 % 3.01% – 4.00% 402 214,402 66.3 % 759 7.3 28.5 3.7 % 4.01% – 5.00% 1,337 453,811 64.1 % 749 5.5 26.0 4.6 % 5.01% – 6.00% 901 363,197 65.6 % 742 4.7 26.7 5.4 % 6.01% – 7.00% 249 105,933 69.9 % 742 3.6 28.4 6.4 % 7.01% - 8.00% 15 5,681 75.2 % 730 3.0 29.2 7.4 % Total 2,943 $ 1,165,301 65.6 % 748 5.5 27.0 4.8 % (1) The original FICO score is not available for 231 loans with a principal balance of approximately $76.6 million at December 31, 2022. The Company has excluded these loans from the weighted average computations. |
Schedule of the U.S. States Concentration and Principal Balance of Collateral Securing Residential Whole Loans | The following table presents geographic concentrations by U.S. state in which the collateral securing the Company’s Residential Whole Loans are located as of June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 State State Concentration Principal Balance State State Concentration Principal Balance California 67.4 % $ 745,643 California 66.8 % $ 778,732 New York 9.1 % 100,950 New York 9.3 % 108,108 Texas 4.8 % 52,905 Texas 4.8 % 56,126 Florida 4.0 % 44,003 Florida 4.1 % 47,681 Georgia 3.4 % 37,771 Georgia 3.5 % 40,845 Other 11.3 % 125,279 Other 11.5 % 133,809 Total 100.0 % $ 1,106,551 Total 100.0 % $ 1,165,301 |
Schedule of 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 which are non-performing in the Company's investment portfolio at June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % 0.0 8.7 % 9.01% – 11.00% 1 849 90.5 % 0.0 10.0 % 11.01% – 13.00% 1 420 70.0 % 0.0 11.3 % Total 4 $ 3,091 74.2 % 0.0 9.4 % December 31, 2022 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % 0.0 8.7 % 9.01% – 11.00% 1 849 90.5 % 0.0 10.0 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % Total 5 $ 3,166 74.0 % 0.0 9.5 % (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 geographic concentrations by U.S. state in which the collateral securing the Company’s Residential Bridge Loans are located as of June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 State Concentration Principal Balance State Concentration Principal Balance California 56.7 % $ 1,754 California 55.4 % $ 1,754 New York 43.3 % 1,337 New York 42.2 % 1,337 Total 100.0 % $ 3,091 New Jersey 2.4 % 75 Total 100.0 % $ 3,166 |
Schedule of Financing Receivable, Past Due | The following table presents the aging of the Residential Whole Loans and Residential Bridge Loans as of June 30, 2023 (dollars in thousands): Residential Whole Loans (1) Residential Bridge Loans (1) No of Loans Principal Fair Value No of Loans Principal Fair Value Current 2,779 $ 1,082,536 $ 1,014,645 — $ — $ — 1-30 days 20 10,339 9,984 — — — 31-60 days 10 4,546 4,231 — — — 61-90 days — — — — — — 90+ days 15 9,130 8,521 4 3,091 2,782 Total 2,824 $ 1,106,551 $ 1,037,381 4 $ 3,091 $ 2,782 (1) As of June 30, 2023, there were no loans in forbearance. |
Commercial Loans (Tables)
Commercial Loans (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
Noncontrolling Interest [Abstract] | |
Schedule of Commercial Real Estate Loans Held | The following table presents information about the Commercial Loans owned by CRE LLC as of June 30, 2023 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 4 September 2019 Interest-Only First Mortgage $ 22,204 $ 22,053 63% 1-Month SOFR plus 3.38% 8/6/2025 (1) None Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 23,993 62% 1-Month SOFR plus 4.95% 11/6/2023 (2) One - 12 month extension Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,914 62% 1-Month SOFR plus 4.95% 11/6/2023 (2) One - 12 month extension Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,099 62% 1-Month SOFR plus 4.95% 11/6/2023 (2) One - 12 month extension Hotel $ 67,205 $ 66,059 (1) In August 2022, CRE 4 was extended three-years through August 6, 2025, with a principal paydown of $16.2 million . (2) In November 2022, CRE 5, 6, and 7 were each extended for one-year through November 6, 2023. The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of June 30, 2023 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate (1) Maturity Date (1) Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 12,750 $ 12,747 49% 1-Month SOFR plus 5.50% 8/4/2023 One - 3 month extension Nursing Facilities $ 12,750 $ 12,747 (1) In January 2023, the SBC 3 loan was partially paid down by $862 thousand to bring the unpaid principal balance to $13.5 million, the maturity date was extended through May 5, 2023 for a 50 bps extension fee and the margin was increased from 4.47% to 5.00%. In May 2023, the SBC 3 loan was partially paid down by $750 thousand to bring the unpaid principal to $12.8 million, the maturity date was extended through August 4, 2023, and the margin was increased from 5.00% to 5.50%. In July 2023, the SBC 3 loan was partially paid down by $250 thousand to bring the unpaid principal balance to $12.5 million, and the maturity date was extended to October 4, 2023 for a 25 bps extension fee. The borrower under this loan may, at its option, extend the October 4, 2023 maturity date for an additional period of three months through December 31, 2023, with an additional required paydown of $250 thousand and a 25 bps extension fee. |
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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) $ 1,037,381 $ 1,091,145 Residential Bridge Loans, at fair value 2,782 2,849 Investment related receivable 8,760 5,914 Interest receivable 4,648 4,871 Other assets — 509 Total assets $ 1,053,571 $ 1,105,288 Securitized debt, net $ 925,596 $ 981,073 Interest payable 2,976 3,139 Accounts payable and accrued expenses 51 34 Total liabilities $ 928,623 $ 984,246 two consolidated trusts included in the Consolidated Balance Sheets as of June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Restricted cash $ — $ 248 Securitized Commercial Loan, at fair value 1,025,321 1,085,103 Commercial Loans, at fair value 12,747 14,362 Interest receivable 5,150 5,311 Total assets $ 1,043,218 $ 1,105,024 Securitized debt, at fair value $ 1,019,310 $ 1,077,611 Interest payable 4,995 5,164 Accounts payable and accrued expenses 9 9 Other liabilities — 248 Total liabilities $ 1,024,314 $ 1,083,032 |
Schedule of Carrying Value of the Commercial Real Estate Loans | The following table presents the components of the fair value of the Securitized Commercial Loans and Commercial Loans as of June 30, 2023 and December 31, 2022 (dollars in thousands): CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value June 30, 2023 December 31, 2022 June 30, 2023 December 31, 2022 June 30, 2023 December 31, 2022 Principal balance $ 1,385,591 $ 1,385,591 $ 12,750 $ 14,362 $ 67,205 $ 157,205 Unamortized discount (69,863) (84,132) (1) — — — Amortized cost 1,315,728 1,301,459 12,749 14,362 67,205 157,205 Gross unrealized gains — — — — — — Gross unrealized losses (290,407) (216,356) (2) — (1,146) (81,565) Fair value $ 1,025,321 $ 1,085,103 $ 12,747 $ 14,362 $ 66,059 $ 75,640 |
Financings (Tables)
Financings (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Short-term borrowings: Agency RMBS $ 274 5.84 % 32 $ 293 4.78 % 32 Non-Agency RMBS (1) 35,105 8.24 % 25 48,237 7.50 % 26 Other securities — — % 0 1,776 7.09 % 17 Total short-term borrowings 35,379 8.22 % 25 50,306 7.47 % 26 Long-term borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS (1) 36,720 7.61 % 307 55,154 6.30 % 122 Non-Agency RMBS 14,467 7.60 % 307 19,129 6.30 % 122 Other securities 8,861 7.94 % 307 16,863 6.30 % 122 Subtotal 60,048 7.65 % 307 91,146 6.30 % 122 Residential Whole Loan Facility Residential Whole Loans (2) 4,401 7.32 % 117 3,633 6.66 % 298 Commercial Whole Loan Facility Commercial Loans 48,032 7.32 % 126 48,032 6.13 % 307 Total long-term borrowings 112,481 7.50 % 222 142,811 6.25 % 189 Repurchase agreements borrowings $ 147,860 7.67 % 175 $ 193,117 6.57 % 146 Less unamortized debt issuance costs — N/A N/A — N/A N/A Repurchase agreements borrowings, net $ 147,860 7.67 % 175 $ 193,117 6.57 % 146 (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. |
Schedule of Repurchase Agreements Collateralized by Investments | At June 30, 2023 and December 31, 2022, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) June 30, 2023 December 31, 2022 1 to 29 days $ 35,105 $ 50,013 30 to 59 days 274 293 60 to 89 days — — Greater than or equal to 90 days 112,481 142,811 Total $ 147,860 $ 193,117 |
Schedule of Amounts of Collateral at Risk Under its Repurchase Agreements Greater than 10% of the Company's Equity with any Counterparty | At June 30, 2023, 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): June 30, 2023 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Goldman Sachs Bank USA $ 35,288 306 39.8 % Credit Suisse AG, Cayman Islands Branch 25,574 25 28.8 % Atlas Securitized Products Investments 2, L.P. 18,334 126 20.7 % |
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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 278 $ 2 $ 280 $ 249 $ — $ 249 Non-Agency CMBS, at fair value (1) 56,222 381 56,603 83,925 483 84,408 Non-Agency RMBS, at fair value 83,811 444 84,255 104,487 533 105,020 Residential Whole Loans, at fair value (2) 3,377 21 3,398 3,229 3 3,232 Commercial Loans, at fair value (2) 66,059 413 66,472 66,864 362 67,226 REO, at carrying value 2,255 — 2,255 2,255 — 2,255 Other securities, at fair value 15,375 70 15,445 27,262 78 27,340 Cash (3) 120 — 120 3,410 — 3,410 Total $ 227,497 $ 1,331 $ 228,828 $ 291,681 $ 1,459 $ 293,140 (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) 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 2019-2's residential mortgage pass-through certificates at June 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 152,658 3.3% $ 152,658 4/25/2049 Class A-2 8,187 3.5% 8,187 4/25/2049 Class A-3 12,971 3.8% 12,971 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 198,871 $ 198,871 Less: Unamortized Deferred Financing Costs N/A 2,159 Total $ 198,871 $ 196,712 Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 68,514 1.7% $ 68,514 3/25/2055 Class A-1B 8,130 2.1% 8,130 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 $ 119,864 $ 119,864 Less: Unamortized Deferred Financing Costs N/A 1,299 Total $ 119,864 $ 118,565 The following table summarizes the issued Arroyo Trust 2022-1's residential mortgage pass-through certificates at June 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1A $ 202,556 2.5% $ 182,262 12/25/2056 Class A-1B 82,942 3.3% 73,725 12/25/2056 Class A-2 21,168 3.6% 17,292 12/25/2056 Class A-3 28,079 3.7% 22,186 12/25/2056 Class M-1 17,928 3.7% 12,780 12/25/2056 Total $ 352,673 $ 308,245 The following table summarizes the issued Arroyo Trust 2022-2's residential mortgage pass-through certificates at June 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1 $ 250,394 5.0% $ 242,542 7/25/2057 Class A-2 21,314 5.0% 20,239 7/25/2057 Class A-3 25,972 5.0% 24,613 7/25/2057 Class M-1 17,694 5.0% 14,680 7/25/2057 Total $ 315,374 $ 302,074 The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at June 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 101,120 9/11/2025 Class A-2 531,700 4.0 % 458,329 9/11/2025 Class B 136,400 4.2 % 109,843 9/11/2025 Class C 94,500 4.3 % 72,535 9/11/2025 Class D 153,950 4.4 % 111,258 9/11/2025 Class E 180,150 4.4 % 97,328 9/11/2025 Class F 153,600 4.4 % 61,965 9/11/2025 Class X-1 (1) n/a 0.5 % 5,717 9/11/2025 Class X-2 (1) n/a — % 1,215 9/11/2025 $ 1,370,691 $ 1,019,310 (1) Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of June 30, 2023, respectively. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Summary of the Entity's Derivative Instruments | The following table summarizes the Company’s derivative instruments at June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 December 31, 2022 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ — $ — $ 60,000 $ 1 Total derivative instruments, assets — 1 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 82,000 (68) 98,000 (61) Total derivative instruments, liabilities (68) (61) Total derivative instruments, net $ (68) $ (60) |
Summary of the effect of entity's Derivative Instruments Reported in Gain (Loss) on Derivative Instruments, Net on the Statements of Operations | The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain on derivative instruments, net" in the Consolidated Statements of Operations for the three and six months ended June 30, 2023 and June 30, 2022 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements/ Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended June 30, 2023 Interest rate swaps $ — $ 184 $ — $ 53 $ 766 $ 1,003 Interest-Only Strips— accounted for as derivatives — — (4) 1 14 11 Total $ — $ 184 $ (4) $ 54 $ 780 $ 1,014 Three months ended June 30, 2022 Interest rate swaps $ — $ 5,781 $ — $ (671) $ (262) $ 4,848 Interest-Only Strips— accounted for as derivatives — — (43) (107) 55 (95) Credit default swaps 16 — — (2,103) — (2,087) TBAs 732 — — 1,383 — 2,115 Total $ 748 $ 5,781 $ (43) $ (1,498) $ (207) $ 4,781 Realized Gain (Loss), net Description Other Settlements/ Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Six months ended June 30, 2023 Interest rate swaps $ — $ (2,000) $ — $ (8) $ 1,986 $ (22) Interest-Only Strips— accounted for as derivatives — — (2) 65 23 86 Total $ — $ (2,000) $ (2) $ 57 $ 2,009 $ 64 Six months ended June 30, 2022 Interest rate swaps $ — $ 11,321 $ — $ (1,120) $ (553) $ 9,648 Interest-Only Strips— accounted for as derivatives — — (115) (216) 144 (187) Credit default swaps 31 — — 110 — 141 TBAs 732 — — 1,383 — 2,115 Total $ 763 $ 11,321 $ (115) $ 157 $ (409) $ 11,717 |
Summary of Interest Rate Swaps or Interest Rate Swaptions | The following tables provide additional information on the Company's fixed-pay interest rate swaps as of June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) 1 year or less $ 60,000 1.4 % 4.9 % 0.8 Greater than 5 years 22,000 1.2 % 4.4 % 8.3 Total $ 82,000 1.3 % 4.8 % 2.8 December 31, 2022 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) Greater than 1 year and less than 3 years $ 60,000 1.4 % 2.0 % 1.3 Greater than 3 years and less than 5 years 70,000 1.4 % 1.8 % 4.1 Greater than 5 years $ 28,000 1.7 % 3.6 % 9.0 Total $ 158,000 1.4 % 2.2 % 3.9 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 778 $ — $ 778 $ (217) $ — $ 561 Total assets $ 778 $ — $ 778 $ (217) $ — $ 561 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 68 $ — $ 68 $ — $ (68) $ — Repurchase Agreements (4) 147,860 — 147,860 (147,860) — — Total liability $ 147,928 $ — $ 147,928 $ (147,860) $ (68) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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, includes interest rate swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.2 million as of June 30, 2023. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $227.4 million as of June 30, 2023. December 31, 2022 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 714 $ — $ 714 $ (196) $ — $ 518 Derivative asset, at fair value (2) 1 — 1 (1) — — Total assets $ 715 $ — $ 715 $ (197) $ — $ 518 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 61 $ — $ 61 $ (1) $ (60) $ — Repurchase Agreements (4) 193,117 — 193,117 (193,073) (44) — Total liability $ 193,178 $ — $ 193,178 $ (193,074) $ (104) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 $3.2 million as of December 31, 2022. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $288.3 million as of December 31, 2022. |
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 June 30, 2023 and December 31, 2022 (dollars in thousands): June 30, 2023 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 778 $ — $ 778 $ (217) $ — $ 561 Total assets $ 778 $ — $ 778 $ (217) $ — $ 561 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 68 $ — $ 68 $ — $ (68) $ — Repurchase Agreements (4) 147,860 — 147,860 (147,860) — — Total liability $ 147,928 $ — $ 147,928 $ (147,860) $ (68) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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, includes interest rate swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.2 million as of June 30, 2023. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $227.4 million as of June 30, 2023. December 31, 2022 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 714 $ — $ 714 $ (196) $ — $ 518 Derivative asset, at fair value (2) 1 — 1 (1) — — Total assets $ 715 $ — $ 715 $ (197) $ — $ 518 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 61 $ — $ 61 $ (1) $ (60) $ — Repurchase Agreements (4) 193,117 — 193,117 (193,073) (44) — Total liability $ 193,178 $ — $ 193,178 $ (193,074) $ (104) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 $3.2 million as of December 31, 2022. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $288.3 million as of December 31, 2022. |
Share-Based Payments (Tables)
Share-Based Payments (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
Share-Based Payment Arrangement, Noncash Expense [Abstract] | |
Summary of Restricted Common Stock Vesting Dates | The following is a summary of restricted equity awards vesting dates as of June 30, 2023 and December 31, 2022: June 30, 2023 December 31, 2022 Vesting Date Shares Vesting Shares Vesting June 2023 — 31,704 June 2024 41,184 10,000 Total 41,184 41,704 |
Schedule of Shares Issued Under the Company’s Equity Incentive Plans | The following table presents information with respect to shares issued under the Company’s Equity Incentive Plans for the six months ended June 30, 2023 and June 30, 2022: June 30, 2023 June 30, 2022 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 81,914 $ 31.21 32,943 $ 58.85 Granted (2) 37,625 9.10 43,577 12.74 Cancelled/forfeited — — — — Outstanding at end of period 119,539 24.25 76,520 32.59 Unvested at end of period 41,184 $ 9.74 41,704 $ 12.52 (1) The grant date fair value of the awards is based on the closing market price of the Company’s common stock at the grant date. (2) Includes 6,441 and 1,873 shares attributed to dividends on restricted stock under the Director Deferred Fee Plan for the six months ended June 30, 2023 and June 30, 2022, respectively. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
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, not adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split to align with 1099-DIV per share amounts as reported. Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2023 June 21, 2023 July 3, 2023 July 26, 2023 $ 0.35 Not yet determined March 22, 2023 April 3, 2023 April 26, 2023 $ 0.35 Not yet determined 2022 December 21, 2022 January 3, 2023 January 26, 2023 $ 0.40 Not yet determined (1) September 22, 2022 October 3, 2022 October 26, 2022 $ 0.40 Ordinary income June 21, 2022 July 1, 2022 July 25, 2022 $ 0.04 Ordinary income March 23, 2022 April 4, 2022 April 26, 2022 $ 0.04 Ordinary income |
Net Loss per Common Share (Tabl
Net Loss per Common Share (Tables) | 6 Months Ended |
Jun. 30, 2023 | |
Earnings Per Share [Abstract] | |
Schedule of Basic and Diluted Net Loss Per Share of Common Stock | The table below presents basic and diluted net loss per share of common stock using the two-class method for the three and six months ended June 30, 2023 and June 30, 2022 (dollars, other than shares and per share amounts, in thousands), adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. For the three months ended June 30, 2023 For the three months ended June 30, 2022 For the six months ended June 30, 2023 For the six months ended June 30, 2022 Numerator : Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share $ (8,633) $ (22,387) $ (2,066) $ (48,240) Less: Dividends and undistributed earnings allocated to participating securities 32 15 62 30 Net loss allocable to common stockholders — basic and diluted $ (8,665) $ (22,402) $ (2,128) $ (48,270) Denominator : Weighted average common shares outstanding for basic earnings per share 6,038,012 6,038,012 6,038,012 6,036,300 Weighted average common shares outstanding for diluted earnings per share 6,038,012 6,038,012 6,038,012 6,036,300 Basic loss per common share $ (1.44) $ (3.71) $ (0.35) $ (8.00) Diluted loss per common share $ (1.44) $ (3.71) $ (0.35) $ (8.00) |
Organization (Details)
Organization (Details) - Subsequent Event - MITT Merger Agreement $ in Millions | Aug. 08, 2023 USD ($) shares |
Business Acquisition [Line Items] | |
Right to receive per share | shares | 1.5 |
Cash payment | $ 7 |
Percentage of share consideration | 9.90% |
Payment of termination fee | $ 3 |
Management fee waived | $ 2.4 |
Basis of Presentation and Sum_4
Basis of Presentation and Summary of Significant Accounting Policies (Details) | 6 Months Ended | |||
Jul. 11, 2022 $ / shares shares | Jun. 30, 2022 $ / shares shares | Jun. 30, 2023 $ / shares shares | Dec. 31, 2022 $ / shares shares | |
Class of Stock [Line Items] | ||||
Capital stock reserved for issuance (in shares) | 600,000,000 | |||
Common stock, shares authorized (in shares) | 50,000,000 | 500,000,000 | 50,000,000 | 50,000,000 |
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 10,000,000 | 100,000,000 | 10,000,000 | 10,000,000 |
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |
Stockholders' equity note, stock split, conversion ratio | 0.1 | 0.1 | ||
Common stock, shares issued (in shares) | 6,038,012 | 60,380,105 | ||
Common stock, shares outstanding (in shares) | 6,038,012 | 60,380,105 | 6,038,012 | 6,038,012 |
Minimum | ||||
Class of Stock [Line Items] | ||||
Stockholders' equity note, stock split, conversion ratio | 0.2 | |||
Maximum | ||||
Class of Stock [Line Items] | ||||
Stockholders' equity note, stock split, conversion ratio | 0.1 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 |
Assets | ||
Derivative assets | $ 778 | $ 715 |
Liabilities | ||
Derivative liabilities | 68 | 61 |
Fair Value, Measurements, Recurring | ||
Assets | ||
Derivative assets | 1 | |
Total Assets | 2,244,429 | 2,406,251 |
Liabilities | ||
Derivative liabilities | 68 | 61 |
Securitized debt | 1,629,629 | 1,719,865 |
Total Liabilities | 1,629,697 | 1,719,926 |
Residential Whole Loans | ||
Assets | ||
Fair value | 1,037,381 | 1,091,145 |
Residential Whole Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 1,037,381 | 1,091,145 |
Residential Bridge Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 2,782 | 2,849 |
Securitized Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 1,025,321 | 1,085,103 |
Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 78,806 | 90,002 |
Agency RMBS Interest-only strips | ||
Assets | ||
Estimated Fair Value | 60 | 53 |
Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 60 | 53 |
Agency RMBS Interest-only strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 778 | 714 |
Agency RMBS Interest-only strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 778 | 714 |
Subtotal Agency MBS | ||
Assets | ||
Estimated Fair Value | 838 | 767 |
Subtotal Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 838 | 767 |
Non-Agency CMBS | ||
Assets | ||
Estimated Fair Value | 59,322 | 85,435 |
Non-Agency CMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 59,322 | 85,435 |
Non-Agency RMBS | ||
Assets | ||
Estimated Fair Value | 21,756 | 22,483 |
Non-Agency RMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 21,756 | 22,483 |
Non-Agency RMBS Interest-only strips | ||
Assets | ||
Estimated Fair Value | 1,608 | 1,204 |
Non-Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 1,608 | 1,204 |
Subtotal Non-Agency MBS | ||
Assets | ||
Estimated Fair Value | 82,686 | 109,122 |
Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 82,686 | 109,122 |
Other securities | ||
Assets | ||
Estimated Fair Value | 16,615 | 27,262 |
Other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 16,615 | 27,262 |
Total mortgage-backed securities and other securities | ||
Assets | ||
Estimated Fair Value | 100,139 | 137,151 |
Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 100,139 | 137,151 |
Level I | Fair Value, Measurements, Recurring | ||
Assets | ||
Derivative assets | 0 | |
Total Assets | 0 | 0 |
Liabilities | ||
Derivative liabilities | 0 | 0 |
Securitized debt | 0 | 0 |
Total Liabilities | 0 | 0 |
Level I | Residential Whole Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level I | Residential Bridge Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level I | Securitized Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level I | Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level I | Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Agency RMBS Interest-only strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Subtotal Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Non-Agency CMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Non-Agency RMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Non-Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Fair Value, Measurements, Recurring | ||
Assets | ||
Derivative assets | 1 | |
Total Assets | 97,693 | 135,181 |
Liabilities | ||
Derivative liabilities | 68 | 61 |
Securitized debt | 1,622,697 | 1,710,938 |
Total Liabilities | 1,622,765 | 1,710,999 |
Level II | Residential Whole Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level II | Residential Bridge Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level II | Securitized Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level II | Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level II | Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Agency RMBS Interest-only strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Subtotal Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Non-Agency CMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 59,322 | 85,435 |
Level II | Non-Agency RMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 21,756 | 22,483 |
Level II | Non-Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 81,078 | 107,918 |
Level II | Other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 16,615 | 27,262 |
Level II | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 97,693 | 135,180 |
Level III | Fair Value, Measurements, Recurring | ||
Assets | ||
Derivative assets | 0 | |
Total Assets | 2,146,736 | 2,271,070 |
Liabilities | ||
Derivative liabilities | 0 | 0 |
Securitized debt | 6,932 | 8,927 |
Total Liabilities | 6,932 | 8,927 |
Level III | Residential Whole Loans | ||
Assets | ||
Fair value | 1,037,381 | 1,091,145 |
Level III | Residential Whole Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 1,037,381 | 1,091,145 |
Level III | Residential Bridge Loans | ||
Assets | ||
Fair value | 2,782 | 2,849 |
Level III | Residential Bridge Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 2,782 | 2,849 |
Level III | Securitized Commercial Loans | ||
Assets | ||
Fair value | 1,025,321 | 1,085,103 |
Level III | Securitized Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 1,025,321 | 1,085,103 |
Level III | Commercial Loans | ||
Assets | ||
Fair value | 78,806 | 90,002 |
Level III | Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 78,806 | 90,002 |
Level III | Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 60 | 53 |
Level III | Agency RMBS Interest-only strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 778 | 714 |
Level III | Subtotal Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 838 | 767 |
Level III | Non-Agency CMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level III | Non-Agency RMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level III | Non-Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 1,608 | 1,204 |
Level III | Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 1,608 | 1,204 |
Level III | Other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level III | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | $ 2,446 | $ 1,971 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Summary of Quantitative Information (Details) $ in Thousands | Jun. 30, 2023 USD ($) | Dec. 31, 2022 USD ($) |
Residential Whole Loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 1,037,381 | $ 1,091,145 |
Residential Whole Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 1,037,381 | $ 1,091,145 |
Residential Whole Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.055 | 0.060 |
Residential Whole Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 8 months 12 days | 1 year 4 months 24 days |
Residential Whole Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.076 | 0.084 |
Residential Whole Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 10 years 4 months 24 days | 10 years 4 months 24 days |
Residential Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.063 | 0.068 |
Residential Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 5 years 4 months 24 days | 5 years 4 months 24 days |
Residential Bridge Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 2,782 | $ 2,849 |
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.123 | 0.129 |
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 1 month 6 days | 4 months 24 days |
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.249 | 0.357 |
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 4 years 10 months 24 days | 4 years 1 month 6 days |
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.168 | 0.224 |
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 3 years 1 month 6 days | 2 years |
Securitized Commercial Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 1,025,321 | $ 1,085,103 |
Securitized Commercial Loans | Minimum | Market Comparables, Vendor Pricing | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 3 months 18 days | 2 years 8 months 12 days |
Securitized Commercial Loans | Maximum | Market Comparables, Vendor Pricing | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 3 months 18 days | 2 years 8 months 12 days |
Securitized Commercial Loans | Weighted Average | Market Comparables, Vendor Pricing | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 3 months 18 days | 2 years 8 months 12 days |
Commercial Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 78,806 | $ 90,002 |
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.089 | 0.084 |
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 month 6 days | 3 months 18 days |
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.114 | 0.096 |
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 10 months 24 days | 2 years 4 months 24 days |
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.103 | 0.092 |
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 7 months 6 days | 1 year 2 months 12 days |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Financial Instruments Measured at Level III (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Feb. 03, 2023 | Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2023 | Jun. 30, 2022 | |
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | $ (640) | $ (2,599) | |||
Fair value asset recurring basis still held unrealized gain loss statement of income extensible list not disclosed flag | Unrealized gains/(losses), net on assets(1) | ||||
Level III | Fair Value, Measurements, Recurring | Securitized debt | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | $ 7,972 | $ 14,919 | 8,927 | 14,919 | |
Transfers into Level III from Level II | 0 | 0 | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | 0 | 0 | |
Purchases | 0 | 0 | |||
Sales and settlements | 0 | ||||
Loan modifications / capitalized interest | 0 | 0 | 0 | 0 | |
Principal repayments | 0 | 0 | 0 | 0 | |
Realized gains/(losses), net on assets | 0 | ||||
Unrealized gains/(losses), net on assets | 0 | 0 | 0 | 0 | |
Unrealized (gains)/losses, net on liabilities | (4) | 988 | (101) | 1,799 | |
Premium and discount amortization, net | (1,036) | (988) | (1,894) | (1,799) | |
Ending balance | 6,932 | 14,919 | 6,932 | 14,919 | |
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 4 | (988) | 101 | (1,799) | |
Level III | Fair Value, Measurements, Recurring | Securitized debt | Assets | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 0 | 0 | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Residential Whole Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 1,074,417 | 1,002,710 | 1,091,145 | 1,023,502 | |
Transfers into Level III from Level II | 0 | 0 | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | 0 | 0 | |
Purchases | 292,168 | 409,853 | |||
Sales and settlements | 0 | ||||
Loan modifications / capitalized interest | 35 | 10 | 41 | 75 | |
Principal repayments | (28,278) | (60,548) | (58,792) | (154,748) | |
Realized gains/(losses), net on assets | 0 | ||||
Unrealized gains/(losses), net on assets | (8,161) | (37,165) | 6,433 | (79,045) | |
Unrealized (gains)/losses, net on liabilities | 0 | 0 | 0 | 0 | |
Premium and discount amortization, net | (632) | (1,322) | (1,446) | (3,784) | |
Ending balance | 1,037,381 | 1,195,853 | 1,037,381 | 1,195,853 | |
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 0 | 0 | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Residential Whole Loans | Assets | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | (8,853) | (34,740) | 4,056 | (73,658) | |
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 2,782 | 5,350 | 2,849 | 5,428 | |
Transfers into Level III from Level II | 0 | 0 | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | 0 | 0 | |
Purchases | 0 | 0 | |||
Sales and settlements | 0 | ||||
Loan modifications / capitalized interest | 0 | 0 | 0 | 0 | |
Principal repayments | 0 | (145) | (75) | (250) | |
Realized gains/(losses), net on assets | 0 | ||||
Unrealized gains/(losses), net on assets | 0 | (110) | 8 | (83) | |
Unrealized (gains)/losses, net on liabilities | 0 | 0 | 0 | 0 | |
Premium and discount amortization, net | 0 | 0 | 0 | 0 | |
Ending balance | 2,782 | 5,095 | 2,782 | 5,095 | |
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 0 | 0 | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans | Assets | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 0 | (33) | 0 | (8) | |
Level III | Fair Value, Measurements, Recurring | Commercial Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 79,182 | 128,495 | 90,002 | 130,572 | |
Transfers into Level III from Level II | 0 | 0 | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | 0 | 0 | |
Purchases | 0 | 0 | |||
Sales and settlements | (8,776) | ||||
Loan modifications / capitalized interest | 0 | 0 | 0 | 0 | |
Principal repayments | (750) | 0 | (1,680) | (4) | |
Realized gains/(losses), net on assets | $ (81,200) | (81,223) | |||
Unrealized gains/(losses), net on assets | 361 | (74) | 80,417 | (2,147) | |
Unrealized (gains)/losses, net on liabilities | 0 | 0 | 0 | 0 | |
Premium and discount amortization, net | 13 | 0 | 66 | 0 | |
Ending balance | 78,806 | 128,421 | 78,806 | 128,421 | |
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 0 | 0 | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Commercial Loans | Assets | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 361 | (74) | (806) | (2,147) | |
Level III | Fair Value, Measurements, Recurring | Securitized Commercial Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 1,088,224 | 1,288,943 | 1,085,103 | 1,355,808 | |
Transfers into Level III from Level II | 0 | 0 | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | 0 | 0 | |
Purchases | 0 | 0 | |||
Sales and settlements | 0 | ||||
Loan modifications / capitalized interest | 0 | 0 | 0 | 0 | |
Principal repayments | 0 | 0 | 0 | 0 | |
Realized gains/(losses), net on assets | 0 | ||||
Unrealized gains/(losses), net on assets | (70,014) | (52,218) | (74,050) | (125,782) | |
Unrealized (gains)/losses, net on liabilities | 0 | 0 | 0 | 0 | |
Premium and discount amortization, net | 7,111 | 6,646 | 14,268 | 13,345 | |
Ending balance | 1,025,321 | 1,243,371 | 1,025,321 | 1,243,371 | |
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 0 | 0 | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Securitized Commercial Loans | Assets | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | (70,014) | (52,218) | (74,050) | (125,782) | |
Level III | Fair Value, Measurements, Recurring | Agency MBS | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 837 | 940 | 767 | 1,172 | |
Transfers into Level III from Level II | 0 | 0 | 0 | 0 | |
Transfers from Level III into Level II | 0 | 0 | 0 | 0 | |
Purchases | 0 | 0 | |||
Sales and settlements | 0 | ||||
Loan modifications / capitalized interest | 0 | 0 | 0 | 0 | |
Principal repayments | 0 | 0 | 0 | 0 | |
Realized gains/(losses), net on assets | 0 | ||||
Unrealized gains/(losses), net on assets | 1 | (110) | 67 | (266) | |
Unrealized (gains)/losses, net on liabilities | 0 | 0 | 0 | 0 | |
Premium and discount amortization, net | 0 | (45) | 4 | (121) | |
Ending balance | 838 | 785 | 838 | 785 | |
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 0 | 0 | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Agency MBS | Assets | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 1 | (110) | 67 | (266) | |
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 1,590 | 6,659 | 1,204 | 7,845 | |
Transfers into Level III from Level II | 0 | 0 | 0 | 0 | |
Transfers from Level III into Level II | 0 | (5,437) | 0 | (5,437) | |
Purchases | 0 | 0 | |||
Sales and settlements | 0 | ||||
Loan modifications / capitalized interest | 0 | 0 | 0 | 0 | |
Principal repayments | 0 | 0 | 0 | 0 | |
Realized gains/(losses), net on assets | 0 | ||||
Unrealized gains/(losses), net on assets | 122 | 18 | 611 | (1,086) | |
Unrealized (gains)/losses, net on liabilities | 0 | 0 | 0 | 0 | |
Premium and discount amortization, net | (104) | (59) | (207) | (141) | |
Ending balance | 1,608 | 1,181 | 1,608 | 1,181 | |
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | 0 | 0 | 0 | 0 | |
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS | Assets | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Unrealized gains/(losses), net on assets and liabilities held at the end of the period | $ 122 | $ 89 | $ 611 | $ (732) |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - Fair Value, Measurements, Recurring - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt | $ 1,629,629 | $ 1,719,865 |
Total Liabilities | 1,629,697 | 1,719,926 |
Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Convertible senior unsecured notes | 84,341 | 83,522 |
Securitized debt | 318,735 | 342,965 |
Total Liabilities | 403,076 | 426,487 |
Debt issuance costs | 3,500 | 4,100 |
Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Convertible senior unsecured notes | 75,559 | 74,712 |
Securitized debt | 287,880 | 309,474 |
Total Liabilities | $ 363,439 | $ 384,186 |
Mortgage-Backed Securities an_3
Mortgage-Backed Securities and Other Securities - Company's Investment Portfolio (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2023 | Dec. 31, 2022 | |
Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 65,000 | $ 58,000 |
Unrealized Gain | 0 | 0 |
Unrealized Loss | (5,000) | (5,000) |
Estimated Fair Value | $ 60,000 | $ 53,000 |
Net Weighted Average Coupon | 0% | 0% |
Notional balance | $ 2,200,000 | $ 2,400,000 |
Agency RMBS Interest-Only Strips, accounted for as derivatives | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 778,000 | $ 714,000 |
Net Weighted Average Coupon | 0.90% | 0.10% |
Notional balance | $ 12,300,000 | $ 13,100,000 |
Total Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 0 | 0 |
Unamortized Premium (Discount), net | 0 | 0 |
Amortized Cost | 65,000 | 58,000 |
Unrealized Gain | 0 | 0 |
Unrealized Loss | (5,000) | (5,000) |
Estimated Fair Value | $ 838,000 | $ 767,000 |
Net Weighted Average Coupon | 0.80% | 0.10% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 39,528,000 | $ 39,873,000 |
Unamortized Premium (Discount), net | (14,414,000) | (14,423,000) |
Amortized Cost | 25,114,000 | 25,450,000 |
Unrealized Gain | 649,000 | 928,000 |
Unrealized Loss | (4,007,000) | (3,895,000) |
Estimated Fair Value | $ 21,756,000 | $ 22,483,000 |
Net Weighted Average Coupon | 4.20% | 4.20% |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 4,997,000 | $ 5,204,000 |
Unrealized Gain | 0 | 0 |
Unrealized Loss | (3,389,000) | (4,000,000) |
Estimated Fair Value | $ 1,608,000 | $ 1,204,000 |
Net Weighted Average Coupon | 0.30% | 0.30% |
Notional balance | $ 136,500,000 | $ 143,200,000 |
Subtotal Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 39,528,000 | 39,873,000 |
Unamortized Premium (Discount), net | (14,414,000) | (14,423,000) |
Amortized Cost | 30,111,000 | 30,654,000 |
Unrealized Gain | 649,000 | 928,000 |
Unrealized Loss | (7,396,000) | (7,895,000) |
Estimated Fair Value | $ 23,364,000 | $ 23,687,000 |
Net Weighted Average Coupon | 1.20% | 1.10% |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 88,659,000 | $ 109,266,000 |
Unamortized Premium (Discount), net | (2,087,000) | (2,763,000) |
Amortized Cost | 86,572,000 | 106,503,000 |
Unrealized Gain | 322,000 | 636,000 |
Unrealized Loss | (27,572,000) | (21,704,000) |
Estimated Fair Value | $ 59,322,000 | $ 85,435,000 |
Net Weighted Average Coupon | 7.80% | 8.10% |
Total Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 128,187,000 | $ 149,139,000 |
Unamortized Premium (Discount), net | (16,501,000) | (17,186,000) |
Amortized Cost | 116,683,000 | 137,157,000 |
Unrealized Gain | 971,000 | 1,564,000 |
Unrealized Loss | (34,968,000) | (29,599,000) |
Estimated Fair Value | $ 82,686,000 | $ 109,122,000 |
Net Weighted Average Coupon | 3.40% | 3.80% |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 25,625,000 | $ 34,691,000 |
Unamortized Premium (Discount), net | (7,901,000) | (8,581,000) |
Amortized Cost | 18,891,000 | 31,112,000 |
Unrealized Gain | 389,000 | 543,000 |
Unrealized Loss | (2,665,000) | (4,393,000) |
Estimated Fair Value | $ 16,615,000 | $ 27,262,000 |
Net Weighted Average Coupon | 7.20% | 7.20% |
Total | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 153,812,000 | $ 183,830,000 |
Unamortized Premium (Discount), net | (24,402,000) | (25,767,000) |
Amortized Cost | 135,639,000 | 168,327,000 |
Unrealized Gain | 1,360,000 | 2,107,000 |
Unrealized Loss | (37,638,000) | (33,997,000) |
Estimated Fair Value | $ 100,139,000 | $ 137,151,000 |
Net Weighted Average Coupon | 3.60% | 3.90% |
Weighted average expected remaining term to the expected maturity of investment portfolio | 8 years 2 months 12 days | 6 years 8 months 12 days |
Residual interests in asset-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 0 | $ 0 |
Amortized Cost | $ 1,200,000 | $ 5,000,000 |
Mortgage-Backed Securities an_4
Mortgage-Backed Securities and Other Securities - Type of Security (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 |
Agency RMBS Interest-only strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 60 | $ 53 |
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 | 60 | 53 |
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 | 0 | 0 |
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 | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 778 | 714 |
Agency RMBS Interest-Only Strips accounted for as derivatives | 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 | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 778 | 714 |
Agency RMBS Interest-Only Strips accounted for as derivatives | 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 | 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 | 838 | 767 |
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 | 838 | 767 |
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 | 0 | 0 |
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 | 59,322 | 85,435 |
Non-Agency CMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 39,054 | 64,484 |
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 | 10,117 | 10,469 |
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 | 10,151 | 10,482 |
Non-Agency CMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 21,756 | 22,483 |
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 | 8,277 | 8,667 |
Non-Agency RMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 13,479 | 13,816 |
Non-Agency RMBS Interest-only strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,608 | 1,204 |
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 | 192 | 230 |
Non-Agency RMBS Interest-only strips | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,416 | 974 |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 82,686 | 109,122 |
Subtotal Non-Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 39,054 | 64,484 |
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 | 10,117 | 10,469 |
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 | 18,620 | 19,379 |
Subtotal Non-Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 14,895 | 14,790 |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 16,615 | 27,262 |
Other securities | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 2,948 | 6,735 |
Other securities | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Other securities | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 6,835 | 13,020 |
Other securities | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 6,832 | 7,507 |
Total | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 100,139 | 137,151 |
Total | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 42,002 | 71,219 |
Total | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 10,955 | 11,236 |
Total | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 25,455 | 32,399 |
Total | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 21,727 | $ 22,297 |
Mortgage-Backed Securities an_5
Mortgage-Backed Securities and Other Securities - FV and Unrealized Loss (Details) $ in Thousands | Jun. 30, 2023 USD ($) security | Dec. 31, 2022 USD ($) security |
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 11,320 | $ 31,589 |
Fair value, 12 months or more | 68,199 | 88,593 |
Fair Value | 79,519 | 120,182 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (757) | (5,224) |
Unrealized losses, 12 months or more | (36,881) | (28,773) |
Unrealized Losses | $ (37,638) | $ (33,997) |
Number of Securities | ||
Number of securities, less than 12 months | security | 3 | 9 |
Number of securities, 12 months or more | security | 21 | 19 |
Number of Securities | security | 24 | 28 |
Subtotal Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 60 | $ 52 |
Fair value, 12 months or more | 0 | 0 |
Fair Value | 60 | 52 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (5) | (5) |
Unrealized losses, 12 months or more | 0 | 0 |
Unrealized Losses | $ (5) | $ (5) |
Number of Securities | ||
Number of securities, less than 12 months | security | 1 | 1 |
Number of securities, 12 months or more | security | 0 | 0 |
Number of Securities | security | 1 | 1 |
Agency RMBS Interest-only strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 60 | $ 52 |
Fair value, 12 months or more | 0 | 0 |
Fair Value | 60 | 52 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (5) | (5) |
Unrealized losses, 12 months or more | 0 | 0 |
Unrealized Losses | $ (5) | $ (5) |
Number of Securities | ||
Number of securities, less than 12 months | security | 1 | 1 |
Number of securities, 12 months or more | security | 0 | 0 |
Number of Securities | security | 1 | 1 |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 11,260 | $ 19,054 |
Fair value, 12 months or more | 60,664 | 79,125 |
Fair Value | 71,924 | 98,179 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (752) | (2,794) |
Unrealized losses, 12 months or more | (34,216) | (26,805) |
Unrealized Losses | $ (34,968) | $ (29,599) |
Number of Securities | ||
Number of securities, less than 12 months | security | 2 | 5 |
Number of securities, 12 months or more | security | 19 | 17 |
Number of Securities | security | 21 | 22 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 0 | $ 0 |
Fair value, 12 months or more | 50,145 | 76,365 |
Fair Value | 50,145 | 76,365 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | 0 | 0 |
Unrealized losses, 12 months or more | (27,572) | (21,704) |
Unrealized Losses | $ (27,572) | $ (21,704) |
Number of Securities | ||
Number of securities, less than 12 months | security | 0 | 0 |
Number of securities, 12 months or more | security | 10 | 11 |
Number of Securities | security | 10 | 11 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 11,260 | $ 19,054 |
Fair value, 12 months or more | 8,911 | 1,557 |
Fair Value | 20,171 | 20,611 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (752) | (2,794) |
Unrealized losses, 12 months or more | (3,255) | (1,101) |
Unrealized Losses | $ (4,007) | $ (3,895) |
Number of Securities | ||
Number of securities, less than 12 months | security | 2 | 5 |
Number of securities, 12 months or more | security | 5 | 2 |
Number of Securities | security | 7 | 7 |
Non-Agency RMBS Interest-only strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 0 | $ 0 |
Fair value, 12 months or more | 1,608 | 1,203 |
Fair Value | 1,608 | 1,203 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | 0 | 0 |
Unrealized losses, 12 months or more | (3,389) | (4,000) |
Unrealized Losses | $ (3,389) | $ (4,000) |
Number of Securities | ||
Number of securities, less than 12 months | security | 0 | 0 |
Number of securities, 12 months or more | security | 4 | 4 |
Number of Securities | security | 4 | 4 |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 0 | $ 12,483 |
Fair value, 12 months or more | 7,535 | 9,468 |
Fair Value | 7,535 | 21,951 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | 0 | (2,425) |
Unrealized losses, 12 months or more | (2,665) | (1,968) |
Unrealized Losses | $ (2,665) | $ (4,393) |
Number of Securities | ||
Number of securities, less than 12 months | security | 0 | 3 |
Number of securities, 12 months or more | security | 2 | 2 |
Number of Securities | security | 2 | 5 |
Mortgage-Backed Securities an_6
Mortgage-Backed Securities and Other Securities - Financing Receivables (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2023 | Jun. 30, 2022 | |
Components of interest income | ||||
Net (Premium Amortization/Amortization Basis) Discount Accretion | $ (640) | $ (2,599) | ||
Interest Income | $ 40,222 | $ 39,577 | 81,079 | 75,219 |
Agency RMBS | ||||
Components of interest income | ||||
Coupon Interest | 0 | 5 | 0 | 13 |
Net (Premium Amortization/Amortization Basis) Discount Accretion | 3 | (2) | 6 | (6) |
Interest Income | 3 | 3 | 6 | 7 |
Non-Agency CMBS | ||||
Components of interest income | ||||
Coupon Interest | 1,621 | 2,129 | 3,577 | 5,101 |
Net (Premium Amortization/Amortization Basis) Discount Accretion | 338 | 401 | 655 | (1) |
Interest Income | 1,959 | 2,530 | 4,232 | 5,100 |
Non-Agency RMBS | ||||
Components of interest income | ||||
Coupon Interest | 615 | 813 | 1,204 | 1,358 |
Net (Premium Amortization/Amortization Basis) Discount Accretion | (190) | (152) | (345) | (167) |
Interest Income | 425 | 661 | 859 | 1,191 |
Other securities | ||||
Components of interest income | ||||
Coupon Interest | 656 | 767 | 1,496 | 1,655 |
Net (Premium Amortization/Amortization Basis) Discount Accretion | (99) | 272 | (201) | 38 |
Interest Income | 557 | 1,039 | 1,295 | 1,693 |
Total | ||||
Components of interest income | ||||
Coupon Interest | 2,892 | 3,714 | 6,277 | 8,127 |
Net (Premium Amortization/Amortization Basis) Discount Accretion | 52 | 519 | 115 | (136) |
Interest Income | $ 2,944 | $ 4,233 | $ 6,392 | $ 7,991 |
Mortgage-Backed Securities an_7
Mortgage-Backed Securities and Other Securities - Gross Gains and Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2023 | Jun. 30, 2022 | |
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Net Gain (Loss) | $ (1,099) | $ (45,661) | $ (83,917) | $ (33,516) |
Non-Agency CMBS | ||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Proceeds | 0 | 10,152 | 0 | 10,152 |
Gross Gains | 0 | 0 | 0 | 0 |
Gross Losses | (1,237) | (43,934) | (1,239) | (43,934) |
Net Gain (Loss) | (1,237) | (43,934) | (1,239) | (43,934) |
Non-Agency RMBS | ||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Proceeds | 0 | 27,729 | 0 | 27,729 |
Gross Gains | 0 | 255 | 0 | 255 |
Gross Losses | (48) | (1,425) | (48) | (1,425) |
Net Gain (Loss) | (48) | (1,170) | (48) | (1,170) |
Other securities | ||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Proceeds | 8,694 | 4,406 | 15,324 | 4,406 |
Gross Gains | 649 | 0 | 649 | 0 |
Gross Losses | (463) | (478) | (2,028) | (478) |
Net Gain (Loss) | 186 | (478) | (1,379) | (478) |
Total | ||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||||
Proceeds | 8,694 | 42,287 | 15,324 | 42,287 |
Gross Gains | 649 | 255 | 649 | 255 |
Gross Losses | (1,748) | (45,837) | (3,315) | (45,837) |
Net Gain (Loss) | $ (1,099) | $ (45,582) | $ (2,666) | $ (45,582) |
Mortgage-Backed Securities an_8
Mortgage-Backed Securities and Other Securities - Unconsolidated CMBS VIEs (Details) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2023 USD ($) loan trust | Dec. 31, 2022 USD ($) trust loan | |
Variable Interest Entity [Line Items] | ||
Number of commercial loans trusts | trust | (2) | (2) |
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ | $ 14.7 | $ 15.5 |
VIE, Non Primary | ||
Variable Interest Entity [Line Items] | ||
Number of commercial loans trusts | loan | 2 | 2 |
Residential Whole Loans and B_3
Residential Whole Loans and Bridge Loans - Narrative (Details) | 1 Months Ended | 6 Months Ended | 12 Months Ended | |||
May 31, 2019 USD ($) | Jun. 30, 2023 USD ($) trust loan property | Dec. 31, 2022 USD ($) loan trust | Jul. 31, 2022 USD ($) | Feb. 28, 2022 USD ($) | Jun. 30, 2020 USD ($) | |
Variable Interest Entity [Line Items] | ||||||
Securities sold under agreements to repurchase | $ 147,860,000 | $ 193,117,000 | ||||
Number of real estate properties owned | property | 1 | |||||
Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 2,824 | 2,943 | ||||
Fair value | $ 1,037,381,000 | $ 1,091,145,000 | ||||
Residential Whole Loans | Non-Qualifying Adjustable Rate Mortgage Loan | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 2,824 | |||||
Residential Bridge Loans | 90+ days | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 4 | |||||
Residential Bridge Loans | Non-Qualifying Adjustable Rate Mortgage Loan | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 4 | 5 | ||||
Fair value | $ 2,800,000 | $ 2,800,000 | ||||
Residential Bridge Loans | Investor Fixed Rate Mortgage Loan | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 3 | 5 | ||||
Residential Bridge Loans | Investor Fixed Rate Mortgage Loan | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value | $ 1,000,000 | $ 1,200,000 | ||||
Residential Bridge Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value | $ 2,782,000 | |||||
Number of loans | loan | 4 | |||||
Unpaid principal balance | $ 3,091,000 | |||||
Residential Bridge Loans | 90+ days | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value | $ 2,782,000 | |||||
Number of loans | loan | 4 | 5 | ||||
Unpaid principal balance | $ 3,091,000 | |||||
RMI 2015 Trust | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage Loan | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | trust | 6 | 6 | ||||
RMI 2015 Trust | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage Loan | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value | $ 3,400,000 | $ 3,200,000 | ||||
Arroyo Trust 2019 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage Loan | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 711,000 | 766,000 | ||||
Arroyo Trust 2019 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage Loan | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value | $ 223,100,000 | $ 237,600,000 | ||||
Arroyo Trust 2019 | Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Securities sold under agreements to repurchase | $ 919,000,000 | |||||
Arroyo Trust 2019 | Residential Whole Loans | Arroyo Trust | ||||||
Variable Interest Entity [Line Items] | ||||||
Transferred of non-qm residential whole loans | $ 945,500,000 | |||||
Arroyo Mortgage Trust 2020 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage Loan | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 415,000 | 432 | ||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Securities sold under agreements to repurchase | $ 341,700,000 | |||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans | Arroyo Trust | ||||||
Variable Interest Entity [Line Items] | ||||||
Line of credit facility, maximum borrowing capacity | $ 355,800,000 | |||||
Long-term debt, fair value | $ 131,700,000 | $ 135,100,000 | ||||
Arroyo Mortgage Trust 2022 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage Loan | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 692 | 705,000 | ||||
Arroyo Mortgage Trust 2022 | Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Securities sold under agreements to repurchase | $ 398,900,000 | |||||
Arroyo Mortgage Trust 2022 | Residential Whole Loans | Arroyo Trust | ||||||
Variable Interest Entity [Line Items] | ||||||
Securities sold under agreements to repurchase | $ 343,100,000 | $ 350,700,000 | ||||
Line of credit facility, maximum borrowing capacity | $ 432,000,000 | |||||
Arroyo Mortgage Trust 2022-2 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage Loan | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 997 | 1,029,000 | ||||
Arroyo Mortgage Trust 2022-2 | Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Securities sold under agreements to repurchase | $ 351,900,000 | |||||
Arroyo Mortgage Trust 2022-2 | Residential Whole Loans | Arroyo Trust | ||||||
Variable Interest Entity [Line Items] | ||||||
Securities sold under agreements to repurchase | $ 335,200,000 | $ 363,300,000 | ||||
Line of credit facility, maximum borrowing capacity | $ 402,200,000 | |||||
VIE | Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 15 | 13 | ||||
Mortgage loans on real estate, principal amount of delinquent loans | $ 9,100,000 | $ 8,700,000 | ||||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 0.80% | 0.80% | ||||
Original LTV, collateral dependent | 70.90% | 60% | ||||
VIE | Residential Whole Loans | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value | $ 8,500,000 | $ 8,000,000 | ||||
VIE | Residential Bridge Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans | loan | 4 | 5 | ||||
Unpaid principal balance | $ 3,100,000 | |||||
Investment in mortgage loans on real estate, principal amount at fair value of delinquent loan | $ 3,200,000 | |||||
Foreclosed other real estate owned | 2,300,000 | 2,300,000 | ||||
VIE | Residential Bridge Loans | Estimated Fair Value | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value | $ 2,800,000 | $ 2,800,000 |
Residential Whole Loans and B_4
Residential Whole Loans and Bridge Loans - Summary of the Assets and Liabilities of the Residential and Commercial Loan Trusts (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 | |
Variable Interest Entity [Line Items] | |||
Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) | $ 1,037,381 | $ 1,091,145 | |
Investment related receivable | 8,806 | 5,960 | |
Interest receivable | 10,895 | 11,330 | |
Other assets | 4,542 | 4,860 | |
Total assets | [1] | 2,287,349 | 2,453,234 |
Securitized debt, net | 1,944,906 | 2,058,684 | |
Interest payable | 10,216 | 12,794 | |
Accounts payable and accrued expenses | 5,246 | 3,201 | |
Total liabilities | [2] | 2,198,628 | 2,358,422 |
VIE | |||
Variable Interest Entity [Line Items] | |||
Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) | 1,037,381 | 1,091,145 | |
Investment related receivable | 8,760 | 5,914 | |
Interest receivable | 9,798 | 10,182 | |
Other assets | 0 | 509 | |
Total assets | 2,096,789 | 2,210,312 | |
Securitized debt, net | 1,944,906 | 2,058,684 | |
Interest payable | 7,971 | 8,303 | |
Accounts payable and accrued expenses | 60 | 43 | |
Total liabilities | 1,952,937 | 2,067,278 | |
Fair value of collateral, residential home loans | 1,036,385 | 1,089,914 | |
Residential Whole-Loan And Residential Bridge Loan | VIE | |||
Variable Interest Entity [Line Items] | |||
Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) | 1,037,381 | 1,091,145 | |
Residential Bridge Loans, at fair value | 2,782 | 2,849 | |
Investment related receivable | 8,760 | 5,914 | |
Interest receivable | 4,648 | 4,871 | |
Other assets | 0 | 509 | |
Total assets | 1,053,571 | 1,105,288 | |
Securitized debt, net | 925,596 | 981,073 | |
Interest payable | 2,976 | 3,139 | |
Accounts payable and accrued expenses | 51 | 34 | |
Total liabilities | $ 928,623 | $ 984,246 | |
[1] June 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) 1,037,381 1,091,145 Residential Bridge Loans, at fair value 2,782 2,849 Securitized Commercial Loan, at fair value 1,025,321 1,085,103 Commercial Loans, at fair value 12,747 14,362 Investment related receivable 8,760 5,914 Interest receivable 9,798 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,096,789 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,629,629 and $1,719,865 at fair value and $115,793 and $128,217 held by affiliates, respectively) $ 1,944,906 $ 2,058,684 Interest payable (includes $635 and $655 on securitized debt held by affiliates, respectively) 7,971 8,303 Accounts payable and accrued expenses 60 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,952,937 $ 2,067,278 June 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) 1,037,381 1,091,145 Residential Bridge Loans, at fair value 2,782 2,849 Securitized Commercial Loan, at fair value 1,025,321 1,085,103 Commercial Loans, at fair value 12,747 14,362 Investment related receivable 8,760 5,914 Interest receivable 9,798 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,096,789 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,629,629 and $1,719,865 at fair value and $115,793 and $128,217 held by affiliates, respectively) $ 1,944,906 $ 2,058,684 Interest payable (includes $635 and $655 on securitized debt held by affiliates, respectively) 7,971 8,303 Accounts payable and accrued expenses 60 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,952,937 $ 2,067,278 |
Residential Whole Loans and B_5
Residential Whole Loans and Bridge Loans - Components of the Fair Value of Residential Whole Loans (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 |
Residential Whole Loans, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 1,106,551 | $ 1,165,301 |
Unamortized premium | 29,415 | 30,961 |
Unamortized discount | (1,449) | (1,536) |
Amortized cost | 1,134,517 | 1,194,726 |
Gross unrealized gains | 4,299 | 2,038 |
Gross unrealized losses | (101,435) | (105,619) |
Fair value | 1,037,381 | 1,091,145 |
Residential Bridge Loans, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | 3,091 | 3,166 |
Unamortized premium | 0 | 0 |
Unamortized discount | 0 | 0 |
Amortized cost | 3,091 | 3,166 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | (309) | (317) |
Fair value | $ 2,782 | $ 2,849 |
Residential Whole Loans and B_6
Residential Whole Loans and Bridge Loans - Investment Portfolio (Details) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2023 USD ($) loan | Dec. 31, 2022 USD ($) loan | |
2.01% – 3.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 2.90% | 2.90% |
Number of Loans | loan | 39 | 39 |
Principal Balance | $ | $ 22,018 | $ 22,277 |
Original LTV | 66.30% | 66.30% |
Original FICO score | 758 | 758 |
Expected Life (years) | 8 years 10 months 24 days | 8 years 10 months 24 days |
Contractual Maturity (years) | 27 years 9 months 18 days | 28 years 3 months 18 days |
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% | 3% |
3.01% – 4.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 3.70% | 3.70% |
Number of Loans | loan | 366 | 402 |
Principal Balance | $ | $ 200,548 | $ 214,402 |
Original LTV | 66.90% | 66.30% |
Original FICO score | 760 | 759 |
Expected Life (years) | 7 years 6 months | 7 years 3 months 18 days |
Contractual Maturity (years) | 28 years 3 months 18 days | 28 years 6 months |
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% | 400% |
4.01% – 5.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 4.60% | 4.60% |
Number of Loans | loan | 1,236 | 1,337 |
Principal Balance | $ | $ 417,820 | $ 453,811 |
Original LTV | 64.50% | 64.10% |
Original FICO score | 750 | 749 |
Expected Life (years) | 5 years 8 months 12 days | 5 years 6 months |
Contractual Maturity (years) | 25 years 8 months 12 days | 26 years |
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% | 5% |
5.01% – 6.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 5.50% | 5.40% |
Number of Loans | loan | 875 | 901 |
Principal Balance | $ | $ 347,001 | $ 363,197 |
Original LTV | 65.50% | 65.60% |
Original FICO score | 742 | 742 |
Expected Life (years) | 4 years 9 months 18 days | 4 years 8 months 12 days |
Contractual Maturity (years) | 26 years 2 months 12 days | 26 years 8 months 12 days |
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% | 6% |
6.01% – 7.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 6.40% | 6.40% |
Number of Loans | loan | 282 | 249 |
Principal Balance | $ | $ 110,986 | $ 105,933 |
Original LTV | 68.10% | 69.90% |
Original FICO score | 742 | 742 |
Expected Life (years) | 3 years 7 months 6 days | 3 years 7 months 6 days |
Contractual Maturity (years) | 27 years 2 months 12 days | 28 years 4 months 24 days |
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% | 7% |
7.01% - 8.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 7.40% | 7.40% |
Number of Loans | loan | 25 | 15 |
Principal Balance | $ | $ 8,173 | $ 5,681 |
Original LTV | 68.30% | 75.20% |
Original FICO score | 735 | 730 |
Expected Life (years) | 3 years 4 months 24 days | 3 years |
Contractual Maturity (years) | 26 years 6 months | 29 years 2 months 12 days |
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% | 8% |
8.01% - 9.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 8.50% | |
Number of Loans | loan | 1 | |
Principal Balance | $ | $ 5 | |
Original LTV | 65% | |
Original FICO score | 693 | |
Expected Life (years) | 3 years 9 months 18 days | |
Contractual Maturity (years) | 23 years 10 months 24 days | |
8.01% - 9.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 8.01% | |
8.01% - 9.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9% | |
Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 4.90% | 4.80% |
Number of Loans | loan | 2,824 | 2,943 |
Principal Balance | $ | $ 1,106,551 | $ 1,165,301 |
Original LTV | 65.70% | 65.60% |
Original FICO score | 749 | 748 |
Expected Life (years) | 5 years 6 months | 5 years 6 months |
Contractual Maturity (years) | 26 years 6 months | 27 years |
Residential portfolio segment with no FICO score | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 219 | 231 |
Principal Balance | $ | $ 69,400 | $ 76,600 |
7.01% – 9.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 8.70% | 8.70% |
Number of Loans | loan | 2 | 2 |
Principal Balance | $ | $ 1,822 | $ 1,822 |
Original LTV | 67.50% | 67.50% |
Contractual Maturity (years) | 0 years | 0 years |
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% | 9% |
9.01% – 11.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 10% | 10% |
Number of Loans | loan | 1 | 1 |
Principal Balance | $ | $ 849 | $ 849 |
Original LTV | 90.50% | 90.50% |
Contractual Maturity (years) | 0 years | 0 years |
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% | 11% |
11.01% – 13.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 11.30% | 11.40% |
Number of Loans | loan | 1 | 2 |
Principal Balance | $ | $ 420 | $ 495 |
Original LTV | 70% | 69.70% |
Contractual Maturity (years) | 0 years | 0 years |
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% | 13% |
Residential Bridge Loans | VIE | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9.40% | 9.50% |
Number of Loans | loan | 4 | 5 |
Principal Balance | $ | $ 3,091 | $ 3,166 |
Original LTV | 74.20% | 74% |
Contractual Maturity (years) | 0 years | 0 years |
Residential Whole Loans and B_7
Residential Whole Loans and Bridge Loans - Collateral Securing (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2023 | Dec. 31, 2022 | |
Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 1,106,551 | $ 1,165,301 |
Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 100% | 100% |
Principal Balance | $ 1,106,551 | $ 1,165,301 |
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 100% | 100% |
Principal Balance | $ 3,091 | $ 3,166 |
California | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 67.40% | 66.80% |
Principal Balance | $ 745,643 | $ 778,732 |
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 56.70% | 55.40% |
Principal Balance | $ 1,754 | $ 1,754 |
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 9.10% | 9.30% |
Principal Balance | $ 100,950 | $ 108,108 |
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 43.30% | 42.20% |
Principal Balance | $ 1,337 | $ 1,337 |
Texas | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 4.80% | 4.80% |
Principal Balance | $ 52,905 | $ 56,126 |
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 4% | 4.10% |
Principal Balance | $ 44,003 | $ 47,681 |
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 3.40% | 3.50% |
Principal Balance | $ 37,771 | $ 40,845 |
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 11.30% | 11.50% |
Principal Balance | $ 125,279 | $ 133,809 |
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 2.40% | |
Principal Balance | $ 75 |
Residential Whole Loans and B_8
Residential Whole Loans and Bridge Loans - Aging of Delinquent Loans (Details) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2023 USD ($) loan | Dec. 31, 2022 loan | |
Residential whole-loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 2,824 | |
Principal | $ 1,106,551 | |
Fair value | $ 1,037,381 | |
Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 4 | |
Principal | $ 3,091 | |
Fair value | $ 2,782 | |
Non-QM Loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans in forbearance | loan | 0 | |
Current | Residential whole-loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 2,779 | |
Principal | $ 1,082,536 | |
Fair value | $ 1,014,645 | |
Current | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 0 | |
Principal | $ 0 | |
Fair value | $ 0 | |
1-30 days | Residential whole-loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 20 | |
Principal | $ 10,339 | |
Fair value | $ 9,984 | |
1-30 days | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 0 | |
Principal | $ 0 | |
Fair value | $ 0 | |
31-60 days | Residential whole-loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 10 | |
Principal | $ 4,546 | |
Fair value | $ 4,231 | |
31-60 days | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 0 | |
Principal | $ 0 | |
Fair value | $ 0 | |
61-90 days | Residential whole-loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 0 | |
Principal | $ 0 | |
Fair value | $ 0 | |
61-90 days | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 0 | |
Principal | $ 0 | |
Fair value | $ 0 | |
90+ days | Residential whole-loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 15 | |
Principal | $ 9,130 | |
Fair value | $ 8,521 | |
90+ days | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans | loan | 4 | 5 |
Principal | $ 3,091 | |
Fair value | $ 2,782 |
Commercial Loans - Commercial L
Commercial Loans - Commercial Loans Held (Details) $ in Thousands | 1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jul. 31, 2023 USD ($) | May 31, 2023 USD ($) | Jan. 31, 2023 USD ($) | Nov. 30, 2022 | Aug. 31, 2022 USD ($) | Dec. 31, 2023 USD ($) | Jun. 30, 2023 USD ($) loan | Jun. 30, 2022 USD ($) | Dec. 31, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||||
Principal repayments on commercial loan | $ 1,680 | $ 4 | |||||||
Repayments of secured debt | 54,355 | $ 156,843 | |||||||
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 | 67,205 | ||||||||
Fair Value | 66,059 | ||||||||
RSBC Trust | Securitized Commercial Loans | |||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||||
Principal Balance | 12,750 | ||||||||
Fair Value | 12,747 | ||||||||
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 | 22,204 | ||||||||
Fair Value | $ 22,053 | ||||||||
Coupon Rate | 63% | ||||||||
Option to extend term | 3 years | ||||||||
Principal repayments on commercial loan | $ 16,200 | ||||||||
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 | $ 23,993 | ||||||||
Coupon Rate | 62% | ||||||||
Option to extend term | 1 year | ||||||||
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 | $ 12,914 | ||||||||
Coupon Rate | 62% | ||||||||
Option to extend term | 1 year | ||||||||
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 | $ 7,099 | ||||||||
Coupon Rate | 62% | ||||||||
Option to extend term | 1 year | ||||||||
Nursing Facilities | RSBC Trust | 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 | $ 12,800 | $ 13,500 | $ 12,750 | ||||||
Fair Value | $ 12,747 | ||||||||
Coupon Rate | 49% | ||||||||
Number Of Commercial Loans | loan | 1 | ||||||||
Repayments of secured debt | $ 750 | $ 862 | |||||||
Nursing Facilities | RSBC Trust | Securitized Commercial Loans | Interest-Only First Mortgage | SBC 3 | Forecast | |||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||||
Repayments of secured debt | $ 250 | ||||||||
Nursing Facilities | RSBC Trust | Securitized Commercial Loans | Interest-Only First Mortgage | SBC 3 | Subsequent Event | |||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||||
Principal Balance | $ 12,500 | ||||||||
Repayments of secured debt | $ 250 | ||||||||
SOFR | 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 | 3.38% | ||||||||
SOFR | 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 | 4.95% | ||||||||
SOFR | 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 | 4.95% | ||||||||
SOFR | 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 | 4.95% | ||||||||
SOFR | Nursing Facilities | RSBC Trust | 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 | 5.50% | 5% | 5.50% | 4.47% | |||||
BPS extension fee | 5,000% | ||||||||
SOFR | Nursing Facilities | RSBC Trust | Securitized Commercial Loans | Interest-Only First Mortgage | SBC 3 | Forecast | |||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||||
BPS extension fee | 2,500% | ||||||||
SOFR | Nursing Facilities | RSBC Trust | Securitized Commercial Loans | Interest-Only First Mortgage | SBC 3 | Subsequent Event | |||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||||
BPS extension fee | 2,500% |
Commercial Loans - Narrative (D
Commercial Loans - Narrative (Details) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Feb. 03, 2023 USD ($) | Jun. 30, 2023 USD ($) trust entity | Dec. 31, 2022 USD ($) trust | |
Variable Interest Entity [Line Items] | |||
Variable interest entity, number of entity | entity | 1 | ||
Number of commercial loans trusts | trust | 2 | 2 | |
CSMC Trust | |||
Variable Interest Entity [Line Items] | |||
Variable interest entity, amount acquired, interest rate | 8.80% | ||
Debt instrument, basis spread on variable rate | 4.38% | ||
Securitized Commercial Loans | Level III | Fair Value, Measurements, Recurring | |||
Variable Interest Entity [Line Items] | |||
Realized gains/(losses), net on assets | $ 0 | ||
Securitized Commercial Loans | CRE 3 | |||
Variable Interest Entity [Line Items] | |||
Principal Balance | $ 8,800 | ||
Commercial Loans | |||
Variable Interest Entity [Line Items] | |||
Number of commercial loans trusts | trust | (2) | ||
Commercial Loans | Level III | Fair Value, Measurements, Recurring | |||
Variable Interest Entity [Line Items] | |||
Realized gains/(losses), net on assets | $ (81,200) | $ (81,223) | |
CSMC Trust | |||
Variable Interest Entity [Line Items] | |||
Principal | 1,385,591 | $ 1,385,591 | |
CSMC Trust | Class F | Secured Debt | |||
Variable Interest Entity [Line Items] | |||
Debt instrument, debt default, amount | 14,900 | ||
CSMC Trust | Securitized Commercial Loans | |||
Variable Interest Entity [Line Items] | |||
Principal | $ 1,400,000 |
Commercial Loans - Consolidated
Commercial Loans - Consolidated Commercial Loan Trusts Included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 | Jun. 30, 2022 | |
Noncontrolling Interest [Line Items] | ||||
Restricted cash | $ 0 | $ 248 | $ 257 | |
Securitized Commercial Loan, at fair value | 1,025,321 | 1,085,103 | ||
Commercial Loans, at fair value | 66,059 | 66,864 | ||
Interest receivable | 10,895 | 11,330 | ||
Total assets | [1] | 2,287,349 | 2,453,234 | |
Interest payable | 10,216 | 12,794 | ||
Accounts payable and accrued expenses | 5,246 | 3,201 | ||
Other liabilities | 0 | 300 | ||
Total liabilities | [2] | 2,198,628 | 2,358,422 | |
VIE | ||||
Noncontrolling Interest [Line Items] | ||||
Restricted cash | 0 | 248 | ||
Securitized Commercial Loan, at fair value | 1,025,321 | 1,085,103 | ||
Interest receivable | 9,798 | 10,182 | ||
Total assets | 2,096,789 | 2,210,312 | ||
Interest payable | 7,971 | 8,303 | ||
Accounts payable and accrued expenses | 60 | 43 | ||
Other liabilities | 0 | 248 | ||
Total liabilities | 1,952,937 | 2,067,278 | ||
Securitized Commercial Loans | VIE | ||||
Noncontrolling Interest [Line Items] | ||||
Restricted cash | 0 | 248 | ||
Securitized Commercial Loan, at fair value | 1,025,321 | 1,085,103 | ||
Commercial Loans, at fair value | 12,747 | 14,362 | ||
Interest receivable | 5,150 | 5,311 | ||
Total assets | 1,043,218 | 1,105,024 | ||
Securitized debt, at fair value | 1,019,310 | 1,077,611 | ||
Interest payable | 4,995 | 5,164 | ||
Accounts payable and accrued expenses | 9 | 9 | ||
Other liabilities | 0 | 248 | ||
Total liabilities | $ 1,024,314 | $ 1,083,032 | ||
[1] June 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) 1,037,381 1,091,145 Residential Bridge Loans, at fair value 2,782 2,849 Securitized Commercial Loan, at fair value 1,025,321 1,085,103 Commercial Loans, at fair value 12,747 14,362 Investment related receivable 8,760 5,914 Interest receivable 9,798 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,096,789 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,629,629 and $1,719,865 at fair value and $115,793 and $128,217 held by affiliates, respectively) $ 1,944,906 $ 2,058,684 Interest payable (includes $635 and $655 on securitized debt held by affiliates, respectively) 7,971 8,303 Accounts payable and accrued expenses 60 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,952,937 $ 2,067,278 June 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($1,036,385 and $1,089,914 pledged as collateral, at fair value, respectively) 1,037,381 1,091,145 Residential Bridge Loans, at fair value 2,782 2,849 Securitized Commercial Loan, at fair value 1,025,321 1,085,103 Commercial Loans, at fair value 12,747 14,362 Investment related receivable 8,760 5,914 Interest receivable 9,798 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,096,789 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,629,629 and $1,719,865 at fair value and $115,793 and $128,217 held by affiliates, respectively) $ 1,944,906 $ 2,058,684 Interest payable (includes $635 and $655 on securitized debt held by affiliates, respectively) 7,971 8,303 Accounts payable and accrued expenses 60 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,952,937 $ 2,067,278 |
Commercial Loans - Components o
Commercial Loans - Components of the Carrying Value of Commercial Real Estate Loans (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 |
Commercial Loans, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal | $ 67,205 | $ 157,205 |
Unamortized discount | 0 | 0 |
Amortized cost | 67,205 | 157,205 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | (1,146) | (81,565) |
Fair value | 66,059 | 75,640 |
CSMC USA Trust Securitized Commercial Loan, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal | 1,385,591 | 1,385,591 |
Unamortized discount | (69,863) | (84,132) |
Amortized cost | 1,315,728 | 1,301,459 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | (290,407) | (216,356) |
Fair value | 1,025,321 | 1,085,103 |
RSBC Trust Commercial Loans, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal | 12,750 | 14,362 |
Unamortized discount | (1) | 0 |
Amortized cost | 12,749 | 14,362 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | (2) | 0 |
Fair value | $ 12,747 | $ 14,362 |
Financings - Narrative (Details
Financings - Narrative (Details) | 1 Months Ended | 6 Months Ended | ||||||
Nov. 09, 2022 | Sep. 30, 2021 USD ($) | May 31, 2019 USD ($) | Jun. 30, 2023 USD ($) property agreement $ / shares | Dec. 31, 2022 USD ($) | Jul. 31, 2022 USD ($) | Feb. 28, 2022 USD ($) | Jun. 30, 2020 USD ($) | |
Debt Instrument [Line Items] | ||||||||
Number of real estate properties owned | property | 1 | |||||||
Commercial loans, at fair value | $ 66,059,000 | $ 66,864,000 | ||||||
Number of counterparties from whom entity borrowed under repurchase agreement | agreement | 4 | |||||||
Securities loaned, collateral, right to reclaim cash | $ 120,000 | 3,400,000 | ||||||
Securities purchased under agreements to resell, collateral, obligation to return cash | 0 | 300,000 | ||||||
Repurchase agreements, net | 147,860,000 | 193,117,000 | ||||||
Repurchase agreements | ||||||||
Debt Instrument [Line Items] | ||||||||
Assets Pledged | 227,400,000 | 288,300,000 | ||||||
Arroyo Mortgage Trust 2020 | Secured Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Fair value | 118,565,000 | |||||||
Debt instrument, face amount | 119,864,000 | |||||||
Arroyo Mortgage Trust 2022 | Secured Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, face amount | 352,673,000 | |||||||
Arroyo Mortgage Trust 2022-2 | Secured Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, face amount | $ 315,374,000 | |||||||
Redemption of offering notes period | 3 years | |||||||
Securitized debt, at fair value | $ 302,074,000 | |||||||
CSMC Trust | ||||||||
Debt Instrument [Line Items] | ||||||||
Trust certificates issued | 1,400,000,000 | |||||||
Principal | 1,385,591,000 | 1,385,591,000 | ||||||
CSMC Trust | Affiliated Entity | ||||||||
Debt Instrument [Line Items] | ||||||||
Trust certificates issued | 180,300,000 | |||||||
CSMC Trust | Third parties | ||||||||
Debt Instrument [Line Items] | ||||||||
Trust certificates issued | 1,200,000,000 | |||||||
CSMC Trust | Secured Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, face amount | 1,370,691,000 | |||||||
Securitized debt, at fair value | 1,019,310,000 | |||||||
Arroyo Trust | Secured Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Fair value | 196,712,000 | |||||||
Debt instrument, face amount | 198,871,000 | |||||||
Non-QM Loans | Arroyo Mortgage Trust 2020 | Arroyo Trust | ||||||||
Debt Instrument [Line Items] | ||||||||
Line of credit facility, remaining borrowing capacity | 3,400,000 | |||||||
Non-QM Loans | Arroyo Trust | ||||||||
Debt Instrument [Line Items] | ||||||||
Borrowing amount | 4,400,000 | |||||||
Non-QM Loans | SOFR | Arroyo Trust | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, basis spread on variable rate | 2.25% | |||||||
Residential Bridge Loans | VIE | ||||||||
Debt Instrument [Line Items] | ||||||||
Foreclosed other real estate owned | 2,300,000 | 2,300,000 | ||||||
Principal | 3,100,000 | |||||||
Residential Whole Loans | Arroyo Mortgage Trust 2020 | ||||||||
Debt Instrument [Line Items] | ||||||||
Repurchase agreements, net | $ 341,700,000 | |||||||
Residential Whole Loans | Arroyo Mortgage Trust 2020 | Secured Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Fair value | $ 133,500,000 | |||||||
Redemption of offering notes period | 3 years | |||||||
Maximum aggregate collateral balance over original principal balance percentage | 30% | |||||||
Residential Whole Loans | Arroyo Mortgage Trust 2020 | Arroyo Trust | ||||||||
Debt Instrument [Line Items] | ||||||||
Line of credit facility, maximum borrowing capacity | $ 355,800,000 | |||||||
Residential Whole Loans | Arroyo Trust 2019 | ||||||||
Debt Instrument [Line Items] | ||||||||
Repurchase agreements, net | $ 919,000,000 | |||||||
Residential Whole Loans | Arroyo Trust 2019 | Arroyo Trust | ||||||||
Debt Instrument [Line Items] | ||||||||
Transferred of non-qm residential whole loans | $ 945,500,000 | |||||||
Residential Whole Loans | Arroyo Mortgage Trust 2022 | ||||||||
Debt Instrument [Line Items] | ||||||||
Repurchase agreements, net | $ 398,900,000 | |||||||
Residential Whole Loans | Arroyo Mortgage Trust 2022 | Secured Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Fair value | $ 384,100,000 | |||||||
Redemption of offering notes period | 3 years | |||||||
Residential Whole Loans | Arroyo Mortgage Trust 2022 | Arroyo Trust | ||||||||
Debt Instrument [Line Items] | ||||||||
Repurchase agreements, net | $ 343,100,000 | 350,700,000 | ||||||
Line of credit facility, maximum borrowing capacity | $ 432,000,000 | |||||||
Residential Whole Loans | Arroyo Mortgage Trust 2022-2 | ||||||||
Debt Instrument [Line Items] | ||||||||
Fair value | $ 363,000,000 | |||||||
Repurchase agreements, net | $ 351,900,000 | |||||||
Residential Whole Loans | Arroyo Mortgage Trust 2022-2 | Secured Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Maximum aggregate collateral balance over original principal balance percentage | 30% | |||||||
Residential Whole Loans | Arroyo Mortgage Trust 2022-2 | Arroyo Trust | ||||||||
Debt Instrument [Line Items] | ||||||||
Repurchase agreements, net | $ 335,200,000 | 363,300,000 | ||||||
Line of credit facility, maximum borrowing capacity | $ 402,200,000 | |||||||
Residential Whole Loans | Arroyo Trust | Secured Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Fair value | $ 221,500,000 | |||||||
Redemption of offering notes period | 3 years | |||||||
Maximum aggregate collateral balance over original principal balance percentage | 20% | |||||||
Securitized Commercial Loans | CSMC Trust | ||||||||
Debt Instrument [Line Items] | ||||||||
Principal | $ 1,400,000,000 | |||||||
Securitized Commercial Loans | VIE | ||||||||
Debt Instrument [Line Items] | ||||||||
Commercial loans, at fair value | 12,747,000 | 14,362,000 | ||||||
Securitized debt, at fair value | 1,019,310,000 | $ 1,077,611,000 | ||||||
Non-Agency CMBS and Non-Agency RMBS Facility | ||||||||
Debt Instrument [Line Items] | ||||||||
Line of credit facility, remaining borrowing capacity | 60,000,000 | |||||||
Commercial loans, at fair value | $ 95,000,000 | |||||||
Non-Agency CMBS and Non-Agency RMBS Facility | SOFR | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, basis spread on variable rate | 2.50% | |||||||
Commercial Whole Loan Facility | Estimated Fair Value | ||||||||
Debt Instrument [Line Items] | ||||||||
Commercial loans, at fair value | $ 66,100,000 | |||||||
Commercial Whole Loan Facility | Repurchase agreements | ||||||||
Debt Instrument [Line Items] | ||||||||
Fair value | $ 48,000,000 | |||||||
Commercial Whole Loan Facility | SOFR | Repurchase agreements | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, basis spread on variable rate | 2.25% | |||||||
6.75% Convertible Senior Unsecured Notes | Convertible Senior Unsecured Notes due 2024 | ||||||||
Debt Instrument [Line Items] | ||||||||
Interest rate stated percentage | 6.75% | |||||||
Debt instrument, face amount | $ 86,300,000 | |||||||
Proceeds from notes payable | $ 83,300,000 | |||||||
Redemption price, percentage | 100% | |||||||
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares | $ 29.59 | |||||||
6.75% Convertible Senior Unsecured Notes | Convertible Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, convertible, conversion ratio | 0.0337952 | |||||||
Class F | CSMC Trust | Secured Debt | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, face amount | $ 153,600,000 | |||||||
Debt instrument, debt default, amount | 14,900,000 | |||||||
Securitized debt, at fair value | 61,965,000 | |||||||
Class F | CSMC Trust | Secured Debt | Estimated Fair Value | ||||||||
Debt Instrument [Line Items] | ||||||||
Securitized debt, at fair value | $ 1,000,000,000 | |||||||
Minimum | Non-QM Loans | SOFR | Arroyo Trust | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, basis spread on variable rate | 0.25% | |||||||
Minimum | Repurchase Agreements | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, term | 1 month | |||||||
Maximum | Repurchase Agreements | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, term | 12 months |
Financings - Borrowings Under R
Financings - Borrowings Under Repurchase Agreements (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2023 | Dec. 31, 2022 | |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 147,860 | $ 193,117 |
Less unamortized debt issuance costs | 0 | 0 |
Repurchase agreements, net | $ 147,860 | $ 193,117 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 7.67% | 6.57% |
Weighted average interest rate on borrowings outstanding at end of period, total | 7.67% | 6.57% |
Weighted Average Remaining Maturity (days) | 175 days | 146 days |
Repurchase agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 112,481 | $ 142,811 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 7.50% | 6.25% |
Weighted Average Remaining Maturity (days) | 222 days | 189 days |
Repurchase agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 14,467 | $ 19,129 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 7.60% | 6.30% |
Weighted Average Remaining Maturity (days) | 307 days | 122 days |
Repurchase agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 8,861 | $ 16,863 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 7.94% | 6.30% |
Weighted Average Remaining Maturity (days) | 307 days | 122 days |
Repurchase agreements | Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 36,720 | $ 55,154 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 7.61% | 6.30% |
Weighted Average Remaining Maturity (days) | 307 days | 122 days |
Repurchase agreements | Residential Whole Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 4,401 | $ 3,633 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 7.32% | 6.66% |
Weighted Average Remaining Maturity (days) | 117 days | 298 days |
Repurchase agreements | Non-Agency CMBS and Non-Agency RMBS Facility | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 60,048 | $ 91,146 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 7.65% | 6.30% |
Weighted Average Remaining Maturity (days) | 307 days | 122 days |
Repurchase agreements | Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 48,032 | $ 48,032 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 7.32% | 6.13% |
Weighted Average Remaining Maturity (days) | 126 days | 307 days |
Repurchase agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 35,379 | $ 50,306 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 8.22% | 7.47% |
Weighted Average Remaining Maturity (days) | 25 days | 26 days |
Repurchase agreements | Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 274 | $ 293 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 5.84% | 4.78% |
Weighted Average Remaining Maturity (days) | 32 days | 32 days |
Repurchase agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 35,105 | $ 48,237 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 8.24% | 7.50% |
Weighted Average Remaining Maturity (days) | 25 days | 26 days |
Repurchase agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 0 | $ 1,776 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 0% | 7.09% |
Weighted Average Remaining Maturity (days) | 0 days | 17 days |
Financings - Borrowings under_2
Financings - Borrowings under Repurchase Agreements Maturity Dates (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 147,860 | $ 193,117 |
1 to 29 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 35,105 | 50,013 |
30 to 59 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 274 | 293 |
60 to 89 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 0 | 0 |
Greater than or equal to 90 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 112,481 | $ 142,811 |
Financings - Borrowings under_3
Financings - Borrowings under Repurchase Agreements Risk by Counterparty (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2023 USD ($) | |
Goldman Sachs Bank USA | |
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 | $ 35,288 |
Weighted Average Remaining Maturity (days) | 306 days |
Percentage of Stockholders’ Equity | 39.80% |
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 | $ 25,574 |
Weighted Average Remaining Maturity (days) | 25 days |
Percentage of Stockholders’ Equity | 28.80% |
Atlas Securitized Products Investments 2, L.P. | |
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 | $ 18,334 |
Weighted Average Remaining Maturity (days) | 126 days |
Percentage of Stockholders’ Equity | 20.70% |
Financings - Collateral Positio
Financings - Collateral Positions (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets pledged- fair value | $ 227,497 | $ 291,681 |
Accrued Interest | 1,331 | 1,459 |
Assets Pledged and Accrued Interest | 228,828 | 293,140 |
Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 120 | 3,410 |
Accrued Interest | 0 | 0 |
Assets Pledged and Accrued Interest | 120 | 3,410 |
Repurchase agreements | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 227,400 | 288,300 |
Repurchase agreements | Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 278 | 249 |
Accrued Interest | 2 | 0 |
Assets Pledged and Accrued Interest | 280 | 249 |
Repurchase agreements | Non-Agency CMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 56,222 | 83,925 |
Accrued Interest | 381 | 483 |
Assets Pledged and Accrued Interest | 56,603 | 84,408 |
Repurchase agreements | Non-Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 83,811 | 104,487 |
Accrued Interest | 444 | 533 |
Assets Pledged and Accrued Interest | 84,255 | 105,020 |
Repurchase agreements | Residential Whole Loans, at fair value | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 3,377 | 3,229 |
Accrued Interest | 21 | 3 |
Assets Pledged and Accrued Interest | 3,398 | 3,232 |
Repurchase agreements | Commercial Loans, at fair value | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 66,059 | 66,864 |
Accrued Interest | 413 | 362 |
Assets Pledged and Accrued Interest | 66,472 | 67,226 |
Repurchase agreements | REO, at carrying value | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 2,255 | 2,255 |
Assets Pledged and Accrued Interest | 2,255 | 2,255 |
Repurchase agreements | Other securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 15,375 | 27,262 |
Accrued Interest | 70 | 78 |
Assets Pledged and Accrued Interest | $ 15,445 | $ 27,340 |
Financings - Commercial Mortgag
Financings - Commercial Mortgage Pass Through Certificates (Details) - Secured Debt $ in Thousands | 6 Months Ended |
Jun. 30, 2023 USD ($) | |
Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 198,871 |
Carrying Value | 198,871 |
Less: Unamortized Deferred Financing Costs | 2,159 |
Total | 196,712 |
Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | 119,864 |
Carrying Value | 119,864 |
Less: Unamortized Deferred Financing Costs | 1,299 |
Total | 118,565 |
Arroyo Mortgage Trust 2022 | |
Debt Instrument [Line Items] | |
Principal Balance | 352,673 |
Carrying Value | 308,245 |
Arroyo Mortgage Trust 2022-2 | |
Debt Instrument [Line Items] | |
Principal Balance | 315,374 |
Fair Value | 302,074 |
CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | 1,370,691 |
Fair Value | 1,019,310 |
Class A-1A | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 68,514 |
Coupon | 1.70% |
Carrying Value | $ 68,514 |
Class A-1A | Arroyo Mortgage Trust 2022 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 202,556 |
Coupon | 2.50% |
Carrying Value | $ 182,262 |
Class A-1B | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 8,130 |
Coupon | 2.10% |
Carrying Value | $ 8,130 |
Class A-1B | Arroyo Mortgage Trust 2022 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 82,942 |
Coupon | 3.30% |
Carrying Value | $ 73,725 |
Class A-1 | Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 152,658 |
Coupon | 3.30% |
Carrying Value | $ 152,658 |
Class A-1 | Arroyo Mortgage Trust 2022-2 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 250,394 |
Coupon | 5% |
Fair Value | $ 242,542 |
Class A-1 | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 120,391 |
Coupon | 3.30% |
Fair Value | $ 101,120 |
Class A-2 | Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 8,187 |
Coupon | 3.50% |
Carrying Value | $ 8,187 |
Class A-2 | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 13,518 |
Coupon | 2.90% |
Carrying Value | $ 13,518 |
Class A-2 | Arroyo Mortgage Trust 2022 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 21,168 |
Coupon | 3.60% |
Carrying Value | $ 17,292 |
Class A-2 | Arroyo Mortgage Trust 2022-2 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 21,314 |
Coupon | 5% |
Fair Value | $ 20,239 |
Class A-2 | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 531,700 |
Coupon | 4% |
Fair Value | $ 458,329 |
Class A-3 | Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 12,971 |
Coupon | 3.80% |
Carrying Value | $ 12,971 |
Class A-3 | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 17,963 |
Coupon | 3.30% |
Carrying Value | $ 17,963 |
Class A-3 | Arroyo Mortgage Trust 2022 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 28,079 |
Coupon | 3.70% |
Carrying Value | $ 22,186 |
Class A-3 | Arroyo Mortgage Trust 2022-2 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 25,972 |
Coupon | 5% |
Fair Value | $ 24,613 |
Class B | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 136,400 |
Coupon | 4.20% |
Fair Value | $ 109,843 |
Class C | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 94,500 |
Coupon | 4.30% |
Fair Value | $ 72,535 |
Class D | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 153,950 |
Coupon | 4.40% |
Fair Value | $ 111,258 |
Class E | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 180,150 |
Coupon | 4.40% |
Fair Value | $ 97,328 |
Class F | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 153,600 |
Coupon | 4.40% |
Fair Value | $ 61,965 |
Class M-1 | Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 25,055 |
Coupon | 4.80% |
Carrying Value | $ 25,055 |
Class M-1 | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 11,739 |
Coupon | 4.30% |
Carrying Value | $ 11,739 |
Class M-1 | Arroyo Mortgage Trust 2022 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 17,928 |
Coupon | 3.70% |
Carrying Value | $ 12,780 |
Class M-1 | Arroyo Mortgage Trust 2022-2 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 17,694 |
Coupon | 5% |
Fair Value | $ 14,680 |
Class X-1 | CSMC Trust | |
Debt Instrument [Line Items] | |
Coupon | 0.50% |
Fair Value | $ 5,717 |
Notional amount | $ 652,100 |
Class X-2 | CSMC Trust | |
Debt Instrument [Line Items] | |
Coupon | 0% |
Fair Value | $ 1,215 |
Notional amount | $ 733,500 |
Derivative Instruments - Summar
Derivative Instruments - Summary of Entity's Derivative Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 |
Fair Value | ||
Derivative assets | $ 778 | $ 715 |
Derivative liabilities | (68) | (61) |
Derivative instruments not accounted as hedges under GAAP | ||
Fair Value | ||
Derivative assets | 0 | 1 |
Derivative liabilities | (68) | (61) |
Total derivative instruments | (68) | (60) |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional amount, assets | 0 | 60,000 |
Notional amount, liabilities | 82,000 | 98,000 |
Fair Value | ||
Derivative assets | 0 | 1 |
Derivative liabilities | $ (68) | $ (61) |
Derivative Instruments - Gain o
Derivative Instruments - Gain or Loss (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2023 | Jun. 30, 2022 | |
Amounts recognized on the statements of operations related to the Company's derivatives | ||||
Return (Recovery) of Basis | $ 57 | $ 157 | ||
Total | $ 1,014 | $ 4,781 | 64 | 11,717 |
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 | 748 | 0 | 763 |
Variation Margin Settlement | 184 | 5,781 | (2,000) | 11,321 |
Return (Recovery) of Basis | (4) | (43) | (2) | (115) |
Mark-to-Market | 54 | (1,498) | 57 | 157 |
Contractual interest income (expense), net | 780 | (207) | 2,009 | (409) |
Total | 1,014 | 4,781 | 64 | 11,717 |
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 | 0 | 0 | 0 |
Variation Margin Settlement | 184 | 5,781 | (2,000) | 11,321 |
Return (Recovery) of Basis | 0 | 0 | 0 | 0 |
Mark-to-Market | 53 | (671) | (8) | (1,120) |
Contractual interest income (expense), net | 766 | (262) | 1,986 | (553) |
Total | 1,003 | 4,848 | (22) | 9,648 |
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 | 0 | 0 | 0 |
Variation Margin Settlement | 0 | 0 | 0 | 0 |
Return (Recovery) of Basis | (4) | (43) | (2) | (115) |
Mark-to-Market | 1 | (107) | 65 | (216) |
Contractual interest income (expense), net | 14 | 55 | 23 | 144 |
Total | $ 11 | (95) | $ 86 | (187) |
Credit default swaps | Derivative instruments not accounted as hedges under GAAP | ||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||
Other Settlements/ Expirations | 16 | 31 | ||
Variation Margin Settlement | 0 | 0 | ||
Return (Recovery) of Basis | 0 | 0 | ||
Mark-to-Market | (2,103) | 110 | ||
Contractual interest income (expense), net | 0 | 0 | ||
Total | (2,087) | 141 | ||
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 | 732 | 732 | ||
Variation Margin Settlement | 0 | 0 | ||
Return (Recovery) of Basis | 0 | 0 | ||
Mark-to-Market | 1,383 | 1,383 | ||
Contractual interest income (expense), net | 0 | 0 | ||
Total | $ 2,115 | $ 2,115 |
Derivative Instruments - Narrat
Derivative Instruments - Narrative (Details) - USD ($) $ in Millions | Jun. 30, 2023 | Dec. 31, 2022 |
Due From Counterparties | ||
Interest rate swaps and interest rate swaptions | ||
Collateral already posted, aggregate fair value | $ 1.2 | $ 3.2 |
Derivative Instruments - Swap o
Derivative Instruments - Swap of Terms (Details) - Interest rate swaps - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2023 | Dec. 31, 2022 | |
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 82,000,000 | $ 158,000,000 |
Average Fixed Pay Rate | 1.30% | 1.40% |
Average Variable Receive Rate | 4.80% | 2.20% |
Average Maturity (Years) | 2 years 9 months 18 days | 3 years 10 months 24 days |
1 year or less | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 60,000,000 | |
Average Fixed Pay Rate | 1.40% | |
Average Variable Receive Rate | 4.90% | |
Average Maturity (Years) | 9 months 18 days | |
Greater than 1 year and less than 3 years | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 60,000,000 | |
Average Fixed Pay Rate | 1.40% | |
Average Variable Receive Rate | 2% | |
Average Maturity (Years) | 1 year 3 months 18 days | |
Greater than 3 years and less than 5 years | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 70,000,000 | |
Average Fixed Pay Rate | 1.40% | |
Average Variable Receive Rate | 1.80% | |
Average Maturity (Years) | 4 years 1 month 6 days | |
Greater than 5 years | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 22,000,000 | $ 28,000,000 |
Average Fixed Pay Rate | 1.20% | 1.70% |
Average Variable Receive Rate | 4.40% | 3.60% |
Average Maturity (Years) | 8 years 3 months 18 days | 9 years |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022 |
Derivative Assets | ||
Gross Amounts | $ 778 | $ 715 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 778 | 715 |
Gross Amounts Not Offset in the Consolidated Balance Sheets , Financial Instruments | (217) | (197) |
Gross Amounts Not Offset in the Consolidated Balance Sheets , Cash Collateral | 0 | 0 |
Net Amount | 561 | 518 |
Derivative Liabilities and Repurchase Agreements | ||
Gross Amounts, Derivative liability, at fair value | 68 | 61 |
Gross Amounts Offset in the Consolidated Balance Sheets , Derivative liability, at fair value | 0 | 0 |
Derivative liability, at fair value | 68 | 61 |
Gross Amounts Not Offset in the Consolidated Balance Sheets , Financial Instruments, Derivative liability, at fair value | 0 | (1) |
Gross Amounts Not Offset in the Consolidated Balance Sheets , Cash collateral, Derivative liability, at fair value | (68) | (60) |
Derivative liability, at fair value, Net Amount | 0 | 0 |
Gross Amounts, Repurchase Agreements | 147,860 | 193,117 |
Gross Amounts Offset in the Consolidated Balance Sheets, Repurchase Agreements | 0 | 0 |
Repurchase agreements, net | 147,860 | 193,117 |
Gross Amounts Not Offset in the Consolidated Balance Sheets, Financial Instruments, Repurchase Agreements | (147,860) | (193,073) |
Gross Amounts Not Offset in the Consolidated Balance Sheets, Cash Collateral, Repurchase Agreements | 0 | (44) |
Repurchase Agreements, Net Amount | 0 | 0 |
Gross Amounts of Total Liabilities | 147,928 | 193,178 |
Gross Amounts Offset in the Consolidated Balance Sheets, Total liabilities | 0 | 0 |
Net Amounts of Assets Presented in Consolidated Balance Sheets, Total liabilities | 147,928 | 193,178 |
Gross Amounts Not Offset in the Consolidated Balance Sheets, Financial Instruments, Total liabilities | (147,860) | (193,074) |
Gross Amounts Not Offset in the Consolidated Balance Sheets, Cash Collateral, Total liability | (68) | (104) |
Net amount, Total liabilities | 0 | 0 |
Fair value of investments pledged against repurchase agreements | 227,400 | 288,300 |
Derivative Counterparties | ||
Derivative Liabilities and Repurchase Agreements | ||
Gross Amounts Not Offset in the Consolidated Balance Sheets, Cash Collateral, Total liability | (1,200) | (3,200) |
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | ||
Derivative Assets | ||
Gross Amounts | 778 | 714 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 778 | 714 |
Gross Amounts Not Offset in the Consolidated Balance Sheets , Financial Instruments | (217) | (196) |
Gross Amounts Not Offset in the Consolidated Balance Sheets , Cash Collateral | 0 | 0 |
Net Amount | $ 561 | 518 |
Derivative asset, at fair value | ||
Derivative Assets | ||
Gross Amounts | 1 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 1 | |
Gross Amounts Not Offset in the Consolidated Balance Sheets , Financial Instruments | (1) | |
Gross Amounts Not Offset in the Consolidated Balance Sheets , Cash Collateral | 0 | |
Net Amount | $ 0 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2023 | Jun. 30, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | |
Related Party Transactions | ||||||
Management fees | $ 958 | $ 1,002 | $ 1,934 | $ 2,102 | ||
Payable to affiliate | 3,878 | $ 3,878 | $ 4,028 | |||
Related Party | ||||||
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 fee waived, percent | 25% | |||||
Management fees | 1,000 | 1,000 | $ 1,900 | 2,100 | ||
Reimbursable employee costs | 59 | $ 296 | 150 | $ 447 | ||
Related Party | Management Fees | ||||||
Related Party Transactions | ||||||
Payable to affiliate | 3,800 | 3,800 | 3,900 | |||
Related Party | Reimbursable Costs | ||||||
Related Party Transactions | ||||||
Payable to affiliate | $ 103 | $ 103 | $ 86 | |||
Related Party | Minimum | ||||||
Related Party Transactions | ||||||
Proportion of affirmative votes by the entity's independent directors to terminate the management agreement percentage | 67% | |||||
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees percentage | 67% |
Share-Based Payments - Narrativ
Share-Based Payments - Narrative (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||||
Jun. 23, 2023 director shares | Jun. 30, 2022 shares | Jun. 24, 2022 director shares | Jun. 30, 2023 USD ($) | Jun. 30, 2022 USD ($) | Jun. 30, 2023 USD ($) shares | Jun. 30, 2022 USD ($) shares | Dec. 31, 2022 USD ($) | Jul. 11, 2022 shares | Jun. 28, 2022 shares | |
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||||||||||
Stock-based compensation expense recognized | $ | $ 100 | $ 70 | $ 200 | $ 235 | ||||||
Common Stock | ||||||||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||||||||||
Number of shares remained available for issuance (in shares) | 100,000 | 1,000,000 | ||||||||
Restricted stock units | ||||||||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||||||||||
Vested (in shares) | 31,704 | 11,716 | ||||||||
Restricted stock units | Scenario 1 | ||||||||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||||||||||
Granted (in shares) | 31,184 | 21,704 | ||||||||
Restricted stock units | Director | Scenario 1 | ||||||||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||||||||||
Number of independent directors to whom awards were granted | director | 4 | 4 | ||||||||
Granted (in shares) | 7,796 | 5,426 | ||||||||
Restricted stock units | Chief Financial Officer | ||||||||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||||||||||
Granted (in shares) | 20,000 | |||||||||
Vested (in shares) | 10,000 | |||||||||
Equity awards | ||||||||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||||||||||
Unamortized compensation expense | $ | $ 378 | $ 378 | $ 298 |
Share-Based Payments - Restrict
Share-Based Payments - Restricted Common Stock Vesting Dates (Details) - Restricted common stock - shares | 6 Months Ended | 12 Months Ended |
Jun. 30, 2023 | Dec. 31, 2022 | |
Summary of restricted common stock vesting dates | ||
Vested (in shares) | 41,184 | 41,704 |
June 2023 | ||
Summary of restricted common stock vesting dates | ||
Vested (in shares) | 0 | 31,704 |
June 2024 | ||
Summary of restricted common stock vesting dates | ||
Vested (in shares) | 41,184 | 10,000 |
Share-Based Payments - Shares I
Share-Based Payments - Shares Issued Under the Company’s Equity Incentive Plans (Details) - Restricted common stock | 6 Months Ended | |
Jun. 30, 2023 $ / shares shares | Jun. 30, 2022 $ / shares shares | |
Restricted Stock Units | ||
Outstanding, beginning of period (in shares) | 81,914 | 32,943 |
Granted (in shares) | 37,625 | 43,577 |
Cancelled/forfeited (in shares) | 0 | 0 |
Outstanding, end of period (in shares) | 119,539 | 76,520 |
Unvested at the end of period (in shares) | 41,184 | 41,704 |
Weighted Average Grant Date Fair Value | ||
Outstanding at beginning of period (in dollars per share) | $ / shares | $ 31.21 | $ 58.85 |
Granted (in dollars per share) | $ / shares | 9.10 | 12.74 |
Cancelled/forfeited (in dollars per share) | $ / shares | 0 | 0 |
Outstanding at end of year (in dollars per share) | $ / shares | 24.25 | 32.59 |
Weighted average grant date fair value, unvested at end of year (in dollars per share) | $ / shares | $ 9.74 | $ 12.52 |
Director Deferred Fee Plan | ||
Weighted Average Grant Date Fair Value | ||
Exchange of phantom stock to common stock (in shares) | 6,441 | 1,873 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) | 6 Months Ended | |||||||||||||||||||
Jul. 26, 2023 $ / shares | Jun. 21, 2023 $ / shares | Apr. 26, 2023 $ / shares | Mar. 22, 2023 $ / shares | Jan. 26, 2023 $ / shares | Dec. 21, 2022 $ / shares | Oct. 26, 2022 $ / shares | Sep. 22, 2022 $ / shares | Jul. 25, 2022 $ / shares | Jul. 11, 2022 $ / shares shares | Jun. 21, 2022 $ / shares | Apr. 26, 2022 $ / shares | Mar. 23, 2022 $ / shares | Jun. 30, 2023 $ / shares shares | Mar. 31, 2023 shares | Dec. 31, 2022 $ / shares shares | Jun. 30, 2022 $ / shares shares | Mar. 31, 2022 shares | Dec. 31, 2021 shares | Jun. 05, 2020 USD ($) | |
Shareholders equity | ||||||||||||||||||||
Common stock, shares authorized (in shares) | 50,000,000 | 50,000,000 | 50,000,000 | 500,000,000 | ||||||||||||||||
Common stock, shares issued (in shares) | 6,038,012 | 60,380,105 | ||||||||||||||||||
Common stock, shares outstanding (in shares) | 6,038,012 | 6,038,012 | 6,038,012 | 60,380,105 | ||||||||||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||||||
Shares authorized to be repurchased (in shares) | 300,000 | |||||||||||||||||||
Stock repurchased during period (in shares) | 0 | |||||||||||||||||||
Stockholders' equity note, stock split, conversion ratio | 0.1 | 0.1 | ||||||||||||||||||
Dividends, cash paid per share of common stock (in dollars per share) | $ / shares | $ 0.35 | $ 0.40 | $ 0.40 | $ 0.04 | $ 0.04 | |||||||||||||||
Dividends, declared per share of common stock (in dollars per share) | $ / shares | $ 0.35 | $ 0.35 | $ 0.40 | $ 0.40 | $ 0.04 | $ 0.04 | ||||||||||||||
Subsequent Event | ||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||
Dividends, cash paid per share of common stock (in dollars per share) | $ / shares | $ 0.35 | |||||||||||||||||||
Common Stock Outstanding | ||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||
Common stock, shares outstanding (in shares) | 6,038,012 | 6,038,012 | 6,038,012 | 6,038,012 | 6,038,012 | 6,038,012 | ||||||||||||||
Common Stock Outstanding | At The Market Offering | ||||||||||||||||||||
Shareholders equity | ||||||||||||||||||||
Equity offering amount, maximum | $ | $ 100,000,000 | |||||||||||||||||||
Sale of stock (in shares) | 0 |
Net Loss per Common Share (Deta
Net Loss per Common Share (Details) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jul. 11, 2022 | Jun. 30, 2023 USD ($) $ / shares shares | Jun. 30, 2022 USD ($) $ / shares shares | Jun. 30, 2023 USD ($) $ / shares shares | Jun. 30, 2022 USD ($) $ / shares shares | |
Earnings Per Share [Abstract] | |||||
Stockholders' equity note, stock split, conversion ratio | 0.1 | 0.1 | |||
Numerator: | |||||
Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share | $ (8,633) | $ (22,387) | $ (2,066) | $ (48,240) | |
Dividends and undistributed earnings allocated to participating securities | 32 | 15 | 62 | 30 | |
Dividends and undistributed earnings allocated to participating securities | 32 | 15 | 62 | 30 | |
Net loss allocable to common stockholders — basic | (8,665) | (22,402) | (2,128) | (48,270) | |
Net loss allocable to common stockholders — diluted | $ (8,665) | $ (22,402) | $ (2,128) | $ (48,270) | |
Denominator: | |||||
Weighted average common shares outstanding for basic earnings per share (in shares) | shares | 6,038,012 | 6,038,012 | 6,038,012 | 6,036,300 | |
Weighted average common shares outstanding for diluted earnings per share (in shares) | shares | 6,038,012 | 6,038,012 | 6,038,012 | 6,036,300 | |
Basic loss per common share (in dollars per share) | $ / shares | $ (1.44) | $ (3.71) | $ (0.35) | $ (8) | |
Diluted loss per common share (in dollars per share) | $ / shares | $ (1.44) | $ (3.71) | $ (0.35) | $ (8) |
Income Taxes (Details)
Income Taxes (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2023 | Jun. 30, 2022 | Dec. 31, 2022 | |
Valuation Allowance [Line Items] | |||||
Current federal, state and local, tax (benefit) expense | $ (12,000) | $ (46,000) | $ 0 | $ 10,000 | |
Operating Loss Carryforwards | |||||
Valuation Allowance [Line Items] | |||||
Valuation allowances balance | 16,200,000 | 16,200,000 | $ 16,100,000 | ||
Taxable REIT Subsidiary | |||||
Valuation Allowance [Line Items] | |||||
Deferred tax assets, capital loss carryforwards | 14,300,000 | 14,300,000 | 13,500,000 | ||
State Jurisdiction | |||||
Valuation Allowance [Line Items] | |||||
Deferred tax asset, net operating losses | 14,500,000 | 14,500,000 | 14,500,000 | ||
State Jurisdiction | Taxable REIT Subsidiary | |||||
Valuation Allowance [Line Items] | |||||
Deferred tax asset, net operating losses | $ 1,600,000 | $ 1,600,000 | $ 1,600,000 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ in Thousands | 1 Months Ended | ||
Aug. 08, 2023 | Jun. 30, 2023 | Dec. 31, 2022 | |
Subsequent Event [Line Items] | |||
Repurchase agreements, net | $ 147,860 | $ 193,117 | |
Subsequent Event | Repurchase agreements | Fixed Rate Repo Facility | |||
Subsequent Event [Line Items] | |||
Debt instrument, term | 2 years | ||
Repurchase agreements, net | $ 65,000 |