Cover Page
Cover Page - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Mar. 06, 2024 | Jun. 30, 2023 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2023 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 001-35151 | ||
Entity Registrant Name | AG MORTGAGE INVESTMENT TRUST, INC. | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Tax Identification Number | 27-5254382 | ||
Entity Address, Address Line One | 245 Park Avenue | ||
Entity Address, Address Line Two | 26th Floor | ||
Entity Address, City or Town | New York | ||
Entity Address, State or Province | NY | ||
Entity Address, Postal Zip Code | 10167 | ||
City Area Code | 212 | ||
Local Phone Number | 692-2000 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Small Business | true | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Document Financial Statement Error Correction [Flag] | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 117,208,563 | ||
Entity Common Stock, Shares Outstanding | 29,452,618 | ||
Documents Incorporated by Reference | Portions of the registrant’s definitive proxy statement relating to its 2024 annual meeting of stockholders, to be filed with the U.S. Securities and Exchange Commission within 120 days after the end of the registrant’s fiscal year, are incorporated by reference into Part III of this Annual Report on Form 10-K where indicated. | ||
Document Fiscal Year Focus | 2023 | ||
Document Fiscal Period Focus | FY | ||
Entity Central Index Key | 0001514281 | ||
Amendment Flag | false | ||
Common Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Common Stock, $0.01 par value per share | ||
Trading Symbol | MITT | ||
Security Exchange Name | NYSE | ||
8.25% Series A Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 8.25% Series A Cumulative Redeemable Preferred Stock | ||
Trading Symbol | MITT PrA | ||
Security Exchange Name | NYSE | ||
8.00% Series B Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 8.00% Series B Cumulative Redeemable Preferred Stock | ||
Trading Symbol | MITT PrB | ||
Security Exchange Name | NYSE | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | MITT PrC | ||
Security Exchange Name | NYSE | ||
Senior Notes due 2029 | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 9.500% Senior Notes due 2029 | ||
Trading Symbol | MITN | ||
Security Exchange Name | NYSE |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2023 | |
Audit Information [Abstract] | |
Auditor Firm ID | 238 |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | New York, New York |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |
Assets | |||
Real estate securities, at fair value - $155,115 and $41,653 pledged as collateral, respectively | $ 162,821 | $ 43,719 | |
Investments in debt and equity of affiliates | 55,103 | 71,064 | |
Cash and cash equivalents | 111,534 | 84,621 | |
Restricted cash | 14,039 | 14,182 | |
Other assets | 40,716 | 27,595 | |
Total Assets | 6,126,428 | 4,369,778 | |
Liabilities | |||
Securitized debt, at fair value | [1] | 4,711,623 | 3,262,352 |
Financing arrangements | 767,592 | 621,187 | |
Convertible senior unsecured notes | 85,266 | 0 | |
Dividend payable | 1,472 | 3,846 | |
Other liabilities (2) | [2] | 32,107 | 19,593 |
Total Liabilities | 5,598,060 | 3,906,978 | |
Commitments and Contingencies (Note 12) | |||
Stockholders' Equity | |||
Preferred stock - $227,991 aggregate liquidation preference | 220,472 | 220,472 | |
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 29,437 and 21,284 shares issued and outstanding at December 31, 2023 and December 31, 2022, respectively | 294 | 212 | |
Additional paid-in capital | 823,715 | 778,606 | |
Retained earnings/(deficit) | (516,113) | (536,490) | |
Total Stockholders' Equity | 528,368 | 462,800 | |
Total Liabilities & Stockholders' Equity | 6,126,428 | 4,369,778 | |
Investment, Affiliated Issuer | |||
Assets | |||
Investments in debt and equity of affiliates | 55,103 | 71,064 | |
Residential Mortgage | |||
Assets | |||
Residential mortgage loans held for sale, at fair value - $0 and $64,984 pledged as collateral, respectively | 0 | 64,984 | |
Commercial Loans | |||
Assets | |||
Mortgage loans | 66,303 | 0 | |
Real Estate Securities | |||
Assets | |||
Real estate securities, at fair value - $155,115 and $41,653 pledged as collateral, respectively | 162,821 | 43,719 | |
Securitized Residential Mortgage Loans | Residential Mortgage | |||
Assets | |||
Mortgage loans | [1] | 5,358,281 | 3,707,146 |
VIE, Not Primary Beneficiary | |||
Assets | |||
Real estate securities, at fair value - $155,115 and $41,653 pledged as collateral, respectively | 37,533 | 14,917 | |
VIE, Not Primary Beneficiary | Residential Mortgage | |||
Assets | |||
Mortgage loans | $ 317,631 | $ 356,467 | |
[1]These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these securitizations as the Company was determined to be the primary beneficiary. See Note 3 for additional details.[2]Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates. |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Preferred stock, liquidation preference | $ 227,991 | $ 227,991 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 |
Common stock, shares issued (in shares) | 29,437,000 | 21,284,000 |
Common stock, shares outstanding (in shares) | 29,437,000 | 21,284,000 |
Residential Portfolio Segment | ||
Fair Value | $ 5,675,912 | $ 4,128,597 |
Residential Mortgage | ||
Fair Value | 317,631 | 421,451 |
Loans held-for-sale, fair value | 0 | 64,984 |
Residential Mortgage | Residential Portfolio Segment | ||
Fair Value | 317,631 | 421,451 |
Residential Mortgage | Residential Portfolio Segment | Asset Pledged as Collateral | ||
Loans held-for-sale, fair value | 0 | 64,984,000 |
Residential Mortgage | Securitized Residential Mortgage Loans | ||
Fair Value | 5,358,281 | 3,707,146 |
Residential Mortgage | Securitized Residential Mortgage Loans | Residential Portfolio Segment | ||
Fair Value | 5,358,281 | 3,707,146 |
Residential Mortgage | Securitized Residential Mortgage Loans | Residential Portfolio Segment | Asset Pledged as Collateral | ||
Fair Value | 645,876 | 423,967 |
Residential Mortgage | VIE, Not Primary Beneficiary | Residential Portfolio Segment | Asset Pledged as Collateral | ||
Fair Value | 315,225 | 353,039 |
Commercial Loans | ||
Fair Value | 66,303 | |
Commercial Loans | Commercial Portfolio Segment | ||
Fair Value | 66,303 | |
Commercial Loans | Commercial Portfolio Segment | Asset Pledged as Collateral | ||
Fair Value | 66,303 | 0 |
Real Estate Securities | ||
Real estate securities, at fair value, pledged as collateral | $ 155,115 | $ 41,653 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | ||
Net Interest Income | |||
Interest income | $ 260,329 | $ 180,303 | |
Interest expense | 212,500 | 118,918 | |
Total Net Interest Income | 47,829 | 61,385 | |
Other Income/(Loss) | |||
Net interest component of interest rate swaps | 6,680 | (4,922) | |
Net realized gain/(loss) | 7,697 | 81,389 | |
Net unrealized gain/(loss) | 1,450 | (137,634) | |
Bargain purchase gain | 30,190 | 0 | |
Total Other Income/(Loss) | 46,017 | (61,167) | |
Expenses | |||
Non-investment related expenses | [1] | 10,077 | 9,292 |
Investment related expenses | [1] | 9,808 | 9,198 |
Transaction related expenses | [1] | 11,076 | 16,474 |
Total Expenses | 38,672 | 43,060 | |
Income/(loss) before equity in earnings/(loss) from affiliates | 55,174 | (42,842) | |
Equity in earnings/(loss) from affiliates | (1,390) | (10,258) | |
Net Income/(Loss) | 53,784 | (53,100) | |
Dividends on preferred stock | (18,344) | (18,344) | |
Net Income/(Loss) Available to Common Stockholders | $ 35,440 | $ (71,444) | |
Earnings/(Loss) Per Share of Common Stock | |||
Basic (in dollars per share) | $ 1.68 | $ (3.12) | |
Diluted (in dollars per share) | $ 1.68 | $ (3.12) | |
Weighted Average Number of Shares of Common Stock Outstanding | |||
Basic (in shares) | 21,095 | 22,890 | |
Diluted (in shares) | 21,097 | 22,890 | |
Affiliated Entity | |||
Expenses | |||
Management fee to affiliate | [1] | $ 7,711 | $ 8,096 |
[1]Refer to Note 10 for additional details on related party transactions. |
Consolidated Statements of Stoc
Consolidated Statements of Stockholders’ Equity - USD ($) shares in Thousands, $ in Thousands | Total | Common Stock | Preferred Stock | Additional Paid-in Capital | Retained Earnings/(Deficit) |
Beginning balance (in shares) at Dec. 31, 2021 | 23,908 | ||||
Beginning balance at Dec. 31, 2021 | $ 570,380 | $ 239 | $ 220,472 | $ 796,469 | $ (446,800) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Repurchase of common stock (in shares) | (2,671) | ||||
Repurchase of common stock | (18,217) | $ (27) | (18,190) | ||
Grant of restricted stock (in shares) | 47 | ||||
Grant of restricted stock | 327 | 327 | |||
Common dividends declared | (18,246) | (18,246) | |||
Preferred dividends declared | (18,344) | (18,344) | |||
Net Income/(Loss) | $ (53,100) | (53,100) | |||
Ending balance (in shares) at Dec. 31, 2022 | 21,284 | 21,284 | |||
Ending balance at Dec. 31, 2022 | $ 462,800 | $ 212 | 220,472 | 778,606 | (536,490) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Common stock issued pursuant to WMC Merger (in shares) | 9,202 | ||||
Common stock issued pursuant to WMC Merger | 51,163 | $ 92 | 51,071 | ||
Repurchase of common stock (in shares) | (1,110) | ||||
Repurchase of common stock | (6,352) | $ (11) | (6,341) | ||
Grant of restricted stock (in shares) | 61 | ||||
Grant of restricted stock | 380 | $ 1 | 379 | ||
Common dividends declared | (15,063) | (15,063) | |||
Preferred dividends declared | (18,344) | (18,344) | |||
Net Income/(Loss) | $ 53,784 | 53,784 | |||
Ending balance (in shares) at Dec. 31, 2023 | 29,437 | 29,437 | |||
Ending balance at Dec. 31, 2023 | $ 528,368 | $ 294 | $ 220,472 | $ 823,715 | $ (516,113) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Cash Flows from Operating Activities | ||
Net Income/(Loss) | $ 53,784 | $ (53,100) |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium/(discount) | 8,925 | 5,463 |
Net realized (gain)/loss | (7,697) | (81,389) |
Net unrealized (gain)/loss | (1,450) | 137,634 |
Grant of restricted stock and amortization of equity based compensation | 380 | 327 |
Equity in (earnings)/loss from affiliates | 1,390 | 10,258 |
Distributions of income from investments in debt and equity of affiliates | 814 | 2,224 |
Bargain purchase gain | (30,190) | 0 |
Change in operating assets/liabilities: | ||
Other assets | 2,186 | (6,791) |
Other liabilities | (8) | 7,894 |
Net cash provided by (used in) operating activities | 28,134 | 22,520 |
Cash Flows from Investing Activities | ||
Purchases of residential mortgage loans | (1,233,977) | (2,583,622) |
Purchases of real estate securities | (294,422) | (108,558) |
Investments in debt and equity of affiliates | (21,573) | (2,066) |
Proceeds from sales of residential mortgage loans | 418,415 | 53,259 |
Proceeds from sales of real estate securities | 286,356 | 526,813 |
Principal repayments on residential mortgage loans | 348,356 | 464,332 |
Principal repayments on real estate securities | 13,736 | 21,058 |
Principal repayments on commercial loans | 12,250 | 0 |
Distributions received in excess of income from investments in debt and equity of affiliates | 20,877 | 16,575 |
Net settlement of interest rate swaps and other instruments | 8,191 | 118,972 |
Net settlement of TBAs | (65) | 2,789 |
Cash and restricted cash provided by WMC Merger | 6,189 | 0 |
Cash flows provided by other investing activities | 4,144 | 2,878 |
Cash flows used in other investing activities | (1,982) | (2,781) |
Net cash provided by (used in) investing activities | (433,505) | (1,490,351) |
Cash Flows from Financing Activities | ||
Repurchase of common stock | (6,352) | (18,217) |
Net borrowings under (repayments of) financing arrangements | (24,673) | (1,156,556) |
Deferred financing costs paid | (9) | (317) |
Proceeds from issuance of securitized debt | 878,298 | 3,050,232 |
Principal repayments on securitized debt | (370,316) | (379,998) |
Net collateral received from (paid to) derivative counterparty | (9,026) | 9,026 |
Dividends paid on common stock | (17,437) | (19,421) |
Dividends paid on preferred stock | (18,344) | (18,344) |
Net cash provided by (used in) financing activities | 432,141 | 1,466,405 |
Net change in cash and cash equivalents and restricted cash | 26,770 | (1,426) |
Cash and cash equivalents and restricted cash, Beginning of Year | 98,803 | 100,229 |
Cash and cash equivalents and restricted cash, End of Year | 125,573 | 98,803 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on financing arrangements and securitized debt | 190,222 | 102,502 |
Cash paid for income taxes | 231 | 183 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Common stock dividends declared but not paid | 1,472 | 3,846 |
Common stock issued pursuant to WMC Merger | 51,163 | 0 |
Transfer from residential mortgage loans to other assets | 4,018 | 3,084 |
Transfer of Non-Agency RMBS from Investments in debt and equity of affiliates to real estate securities | $ 16,408 | $ 0 |
Consolidated Statements of Ca_2
Consolidated Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Statement of Cash Flows [Abstract] | ||
Cash and cash equivalents | $ 111,534 | $ 84,621 |
Restricted cash | 14,039 | 14,182 |
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ 125,573 | $ 98,803 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization AG Mortgage Investment Trust, Inc. (the "Company" or "MITT") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S. mortgage market. The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. The Company obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which the Company owns an approximate 44.6% interest, and through other third-party origination partners. During 2023, the Company acquired Western Asset Mortgage Capital Corporation ("WMC"), an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans. For more information, refer to the "WMC Acquisition" section below. The Company’s assets, excluding its ownership in Arc Home, include Residential Investments, Agency RMBS and Legacy WMC Commercial Investments. Currently, its Residential Investments primarily consist of newly originated Non-Agency Loans and Agency-Eligible Loans. The Company may invest in other types of residential mortgage loans and other mortgage related assets. The Company also invests in Residential Investments through its unconsolidated ownership interests in affiliates which are included in the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets. The Company's asset classes are primarily comprised of the following: Asset Class Description Residential Investments Non-Agency Loans (1) • Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau. Agency-Eligible Loans (1) • Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations. Re- and Non-Performing Loans (1) • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. Non-Agency RMBS (2) • Non-Agency Residential Mortgage-Backed Securities ("RMBS") represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. Agency RMBS (2) • Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. Legacy WMC Commercial Investments (3) Commercial Loans (4) • Commercial loans represent first lien commercial mortgage loans participations. CMBS (2) • Commercial Mortgage-Backed Securities ("CMBS") represent investments of fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. (1) These investments are included in the "Securitized residential mortgage loans, at fair value," "Residential mortgage loans, at fair value," and "Residential mortgage loans held for sale, at fair value" line items on the consolidated balance sheets. (2) These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets. (3) The Company's investments include commercial loans, CMBS and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. The Company expects to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments. (4) These investments are included in the "Commercial loans, at fair value" line item on the consolidated balance sheets. The Company conducts its business through one reportable segment, Loans and Securities, which reflects how the Company manages its business and analyzes and reports its results of operations. The Company was incorporated in the state of Maryland on March 1, 2011 and commenced operations in July 2011. The Company conducts its operations to qualify and be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. ("TPG Angelo Gordon"), a diversified credit and real estate investing platform within TPG Inc. ("TPG"). The Manager has delegated to TPG Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement. The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation. WMC Acquisition On December 6, 2023 (the "Closing Date"), the Company completed its acquisition of WMC, a Delaware corporation. WMC was an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans. On the Closing Date, WMC merged with and into AGMIT Merger Sub, LLC, a Delaware limited liability company and wholly owned subsidiary of the Company ("Merger Sub"), with Merger Sub continuing as the surviving company (the "Merger"). As contemplated by the Agreement and Plan of Merger, dated as of August 8, 2023 (the "Merger Agreement"), the certificate of merger was filed with the Secretary of State of the State of Delaware, and the Merger was effective at 8:15 a.m., Eastern Time, on the Closing Date (the "Effective Time"). Pursuant to the terms and subject to the conditions set forth in the Merger Agreement, at the Effective Time, each outstanding share of WMC common stock, par value $0.01 per share ("WMC Common Stock"), was converted into the right to receive the following (the "Per Share Merger Consideration"): (i) from MITT, 1.498 shares of MITT common stock; and (ii) from the Manager, a cash amount equal to $0.92 (the "Per Share Additional Manager Consideration"). No fractional shares of MITT common stock were issued in the Merger, and the value of any fractional interests to which a former holder of WMC Common Stock was otherwise entitled was paid in cash. Pursuant to the Merger Agreement, the amount of the Per Share Additional Manager Consideration was reduced by the smallest amount (rounded to the nearest cent) necessary to cause the Per Share Additional Manager Consideration to be less than 10% of the total value of the Per Share Merger Consideration received by a holder of WMC Common Stock under the Merger Agreement. Pursuant to the previously disclosed amendment to the Company's management agreement, dated as of August 8, 2023, by and between MITT and the Manager (the "MITT Management Agreement Amendment"), which became effective on the Closing Date and amends the existing management agreement, dated as of June 29, 2011 (as amended, the "Existing MITT Management Agreement"), (i) the Manager will waive its right to seek reimbursement from MITT for any expenses otherwise reimbursable by MITT under the Existing MITT Management Agreement in an amount equal to approximately $1.3 million, which is the excess of $7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement, and (ii) the Manager’s base management fee will be reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurred (i.e., resulting in an aggregate $2.4 million waiver of base management fees). Additionally, each outstanding share of WMC’s restricted common stock and each WMC restricted stock unit (each, a "WMC Equity Award") vested in full immediately prior to the Effective Time and, as of the Effective Time, was considered outstanding for all purposes of the Merger Agreement, including the right to receive the Per Share Merger Consideration, except that WMC Equity Awards granted to certain members of the WMC board of directors at WMC’s 2023 annual stockholders’ meeting (collectively, the "2023 WMC Director Awards") were treated as follows: (i) for M. Christian Mitchell and Lisa G. Quateman, who were appointed to the MITT board of directors as of the Effective Time, the 2023 WMC Director Awards were equitably adjusted effective as of the Effective Time into awards relating to shares of MITT common stock that have the same value, vesting terms and other terms and conditions as applied to the corresponding WMC restricted stock units immediately prior to the Effective Time and (ii) for the other members of the WMC board of directors, the 2023 WMC Director Awards accelerated and vested pro-rata effective as of immediately prior to the Effective Time based on a fraction, the numerator of which was 166 (the number of days between the grant date and the Closing Date) and the denominator of which was 365, and the remaining unvested portion of such 2023 WMC Director Awards was cancelled without any consideration. Pursuant to the Merger Agreement, approximately 9.2 million shares of MITT common stock were issued to former WMC common stockholders and, following the consummation of the Merger, former WMC common stockholders owned approximately 31% of the common equity of MITT. Purchase Price Allocation The Company completed the WMC acquisition in 2023 to support continued growth of the Company and to create efficiency and scale for stockholders. The Company accounted for this transaction in accordance with Accounting Standards Codification ("ASC") 805, "Business Combinations" using the acquisition method of accounting , which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. The following table summarizes the allocation of the total consideration paid to acquire the assets and assume the liabilities of WMC (in thousands, except exchange ratio and per share amounts). Consideration WMC shares outstanding at December 5, 2023 (1) 6,143 Exchange Ratio 1.498 Shares of MITT Common Stock Issued 9,202 MITT Common Stock Price as of December 5, 2023 $ 5.56 MITT Total Consideration (2) $ 51,163 Assets Securitized residential mortgage loans (3) $ 971,781 Residential mortgage loans (3) 6,046 Commercial loans 78,459 Non-Agency RMBS 48,200 CMBS 56,301 Other securities 1,159 Agency RMBS 745 Cash and cash equivalents 5,316 Restricted cash 873 Other assets 24,654 Total Assets $ 1,193,534 Liabilities Securitized debt $ 837,317 Financing arrangements 171,170 Convertible senior unsecured notes 85,172 Other liabilities 18,522 Total Liabilities $ 1,112,181 Net Assets Acquired $ 81,353 Bargain purchase gain $ 30,190 (1) For time-based restricted stock units granted by WMC that fully vested as of the Closing Date, the fair value of the Company’s common stock issued in the satisfaction of these units was included in equity consideration transferred as no post acquisition service was required. (2) MITT Total Consideration does not include the Per Share Additional Manager Consideration paid by the Manager to former holders of WMC Common Stock. (3) The unpaid principal balance of residential mortgage loans acquired in connection with the Merger was $1.1 billion. The fair value of the assets acquired and liabilities assumed required the use of significant assumptions and estimates. Critical estimates included, but were not limited to, future expected cash flows related to these assets and liabilities and the applicable discount rates. These estimates were based on assumptions that management believes to be reasonable; however, actual results may differ from these estimates. The assessment of fair value is based on information that was available to management at the time the consolidated financial statements were prepared. Those estimates and assumptions are subject to change as management obtains additional information related to those estimates during the applicable measurement period. The final determination must occur within one year of the acquisition date. Because the measurement period is still open, certain fair value estimates may differ materially once all information necessary to make a final fair value assessment has been received. Under the acquisition method of accounting, merger-related transaction costs (such as advisory, legal, valuation, and other professional fees) are not included as components of consideration transferred but are expensed in the periods in which the costs are incurred. The Company incurred transaction costs of $6.0 million during the year ended December 31, 2023 which were included in the "Transaction related expenses" line item in the consolidated statements of operations. At acquisition, the Company recognized a bargain purchase gain of $30.2 million which is separately recorded in the consolidated statements of operations. The bargain purchase gain represents the amount by which the fair value of the net assets acquired in the acquisition exceeds the fair value of the shares of MITT common stock issued as consideration at the Effective Time. As a result of macroeconomic factors and interest rate volatility, the prices per share of common stock of certain companies within the mortgage REIT industry have traded at discounts to book values per share in recent periods, which contributed to the bargain purchase gain recorded on the WMC acquisition. The results of WMC's operations have been included in the Company's consolidated statements of operations for the year ended December 31, 2023 from the Closing Date and represent $6.5 million of interest income and $49 thousand of net income/(loss) available to common stockholders. The results of WMC's operations exclude the bargain purchase gain and the Company's $6.0 million of transaction related expenses recognized in connection with the acquisition, however include the management fee and expense reimbursement waivers provided by the Manager pursuant to the MITT Management Agreement Amendment of $0.6 million and $0.3 million, respectively. Unaudited Supplemental Pro Forma Financial Information The following table presents unaudited pro forma combined interest income and net income/(loss) available to common stockholders for the years ended December 31, 2023 and 2022 prepared as if the Merger had been consummated on January 1, 2022 ($ in thousands). Year Ended December 31, 2023 December 31, 2022 Interest income $ 330,267 $ 254,853 Net Income/(Loss) Available to Common Stockholders 4,914 (158,152) |
Summary of significant accounti
Summary of significant accounting policies | 12 Months Ended |
Dec. 31, 2023 | |
Accounting Policies [Abstract] | |
Summary of significant accounting policies | Summary of significant accounting policies The accompanying 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"). In the opinion of management, all adjustments considered necessary for a fair presentation for the annual period of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. Use of estimates The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below: • Level 1 – Quoted prices in active markets for identical assets or liabilities. • Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar assets and liabilities in active markets. • Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. Transfers between levels are assumed to occur at the beginning of the reporting period. Accounting for loans Investments in loans are recorded in accordance with ASC 310-10, "Receivables" and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. Loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Loans held-for-sale are accounted for under ASC 948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets in the "Residential mortgage loans held for sale" line item. Estimated costs incurred to sell the loans are included within the fair value of the loans held for sale. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all loan activities will be recorded in a similar manner. As such, loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. Purchases and sales of loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30. Mortgage loans that are delinquent 60 or more days are considered non-performing for purposes of this determination. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults, and liquidations. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The Company accrues interest income on its loan portfolio. Loans are typically moved to non-accrual status and income recognition is suspended if the loan becomes 90 days or more delinquent. A loan is written off when it is no longer realizable and/or legally discharged. Accounting for real estate securities Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities" or ASC 325-40, "Beneficial Interests in Securitized Financial Assets." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date. Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." Substantially all of the Company’s investments held through affiliated entities are comprised of real estate securities, loans and its interest in AG Arc LLC ("AG Arc"). Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825; as such, the Company will treat these financial instruments and financing arrangements consistently with this election. Income or losses recognized by the Company from its investments in debt and equity of affiliates are recorded in the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes. Arc Home From time to time, the Company acquires newly originated residential mortgage loans from Arc Home. In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc. In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses. Additionally, the Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis. See the "Accounting for derivative financial instruments - Forward purchase commitments" policy below and Note 10 for additional detail. Investment consolidation An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of Accounting Standards Codification ("ASC") 810-10, "Consolidation" are required to be consolidated by their 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 from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances. A Special Purpose Entity ("SPE") is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Non-Agency VIEs and RPL/NPL VIEs. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all activities will be recorded in a similar manner. The Company applied the guidance under ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Non-Agency VIEs and RPL/NPL VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs. Transfers of financial assets The Company may periodically enter into transactions in which it transfers assets to a third-party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, "Transfers and Servicing" a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term "participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair value. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "Securitized residential mortgage loans, at fair value" on the consolidated balance sheets, depending upon the structure of the securitization transaction. ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." Accounting for business combinations When the assets acquired and liabilities assumed constitute a business, the acquisition is a business combination. Business combinations are accounted for under ASC 805, "Business Combinations" using the acquisition method which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. Goodwill is calculated as the excess of the consideration transferred over the net assets acquired that meet the criteria for separate recognition and represents the estimated future economic benefits arising from these and other assets acquired that could not be individually identified or do not qualify for recognition as a separate asset. Likewise, a bargain purchase gain is recognized in current earnings when the aggregate fair value of the consideration transferred is less than the fair value of the identifiable net assets acquired. Acquisition related costs recognized in connection with a business combination are expensed as incurred. The results of operations of acquired businesses are included from the date of acquisition. In a business combination, the initial allocation of the purchase price is considered preliminary and therefore subject to change until the end of the measurement period (up to one year from the acquisition date). If the initial accounting for a business combination is incomplete by the end of the reporting period in which the combination occurs, a measurement-period adjustment will be recognized during the period in which the amount of the adjustment is determined, including the effect on earnings of any amounts that would have been recorded in previous periods if the accounting had been completed at the acquisition date. Cash and cash equivalents Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. As of December 31, 2023 the Company held $111.5 million of cash and cash equivalents, of which $95.7 million were cash equivalents. As of December 31, 2022, the Company held $84.6 million of cash and cash equivalents, of which $0.4 million were cash equivalents. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and changes in cash held by the Company as collateral are included in cash flows from financing activities on the consolidated statement of cash flows. "Other liabilities" does not include variation margin received on centrally cleared derivatives. Refer to the "Accounting for derivative financial instruments" policy below for additional detail. Any cash due to the Company in the form of principal payments is included in the "Other assets" line item on the consolidated balance sheets and any changes in principal payments due to the Company are included in the cash flows from operating activities on the consolidated statement of cash flows. Restricted cash Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. Restricted cash is not available to the Company for general corporate purposes. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Restricted cash is carried at cost, which approximates fair value. Restricted cash also includes variation margin pledged on centrally cleared derivatives. Refer to the "Accounting for derivative financial instruments" policy below for additional detail. Accounting for real estate owned Real Estate Owned ("REO") represents real estate property acquired by the Company through foreclosure and classified as held for sale. Upon completion of a foreclosure, the Company initially records an REO at fair value less estimated costs to sell the property. In subsequent periods, REO is reported at the lower of the current carrying amount or fair value less estimated selling costs. REO is included in the "Other assets" line item on the consolidated balance sheets. Any gains or losses recognized on foreclosure as well as realized gains or losses on the disposition of REO are reported by the Company in "Net realized gain/(loss)" line item on the consolidated statements of operations. Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements primarily include repurchase agreements, but may also include revolving facilities. Repurchase agreements are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and revolving facilities approximates fair value. The Company pledges certain loans or securities as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the loans or securities pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance, and real estate industries. If the fair value of pledged assets declines due to changes in market conditions, lenders typically would require 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, referred to as margin calls. The fair value of financial instruments pledged as collateral on the Company’s financing arrangements represents the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties. The Company maintains a level of liquidity in order to meet these obligations. If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to the Company in the form of securities or cash or post additional collateral to the Company. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of December 31, 2023 and 2022, the Company had met all margin call requirements. Accounting for convertible senior unsecured notes Convertible senior unsecured notes ("Legacy WMC Convertible Notes") were assumed in connection with the WMC acquisition and initially recorded at fair value in accordance with ASC 805, "Business Combinations." The Legacy WMC Convertible Notes are carried at amortized cost on the Company’s consolidated balance sheets. Interest on the notes is payable semiannually until such time as the notes mature or are converted into shares of the Company’s common stock. The difference between the carrying value and the principal of the Legacy WMC Convertible Notes is amortized into interest expense over the life of the Legacy WMC Convertible Notes. Accounting for derivative financial instruments Derivative contracts The Company enters into derivative contracts as a means of mitigating interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value with corresponding changes in fair value recognized in the "Net unrealized gain/loss" line item in consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis with respect to its counterparties. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations. As of December 31, 2023 and 2022, the Company did not have any interest rate derivatives designated as hedges for accounting purposes. Interest rate swaps The Company uses interest rate swaps to mitigate its exposure to potential interest rate mismatches between the interest earned on its investments and its borrowing costs on financing arrangements caused by fluctuations in short-term interest rates. 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. Variation margin The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House, the central clearinghouses ("CCPs") through which those derivatives are cleared. In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts. Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets. The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. The daily receipt or payment is included as a settlement of the derivative in cash flows from investing activities on the consolidated statement of cash flows. The carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments. As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period. To-be-announced securities A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item "Net unrealized gain/(loss)." Forward purchase commitments The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price. Actual loan purchases are contingent upon successful loan closings. The counterparties deliver the committed loans on either a mandatory basis or best-efforts basis. These commitments to purchase mortgage loans are classified as derivatives and are therefore recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations. Derivatives with a positive fair value to the Company are reported as assets and derivatives with a negative fair value to the Company are reported as liabilities. Earnings/(Loss) per share In accordance with ASC 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units using the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. Potential dilutive shares are excluded from the calculation if they have an anti-dilutive effect in the period. Interest income recognition Interest income on the Company’s loan and securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans or securities. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all loans and securities accounted for under the fair value option in accordance with ASC 825, "Financial Instruments." As such, premiums and discounts are amortized or accreted into interest income over the lives of the loans or securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations. For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and anticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield retrospectively through the reporting date. Similarly, the Company also reassesses cash flows on at least a quarterly basis for the remaining loans and real estate securities recorded on its consolidated balance sheets. In estimating these cash flows, there are a number of assumptions made that are uncertain and subject to judgments and assumptions based on subjective and objective factors and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to |
Loans
Loans | 12 Months Ended |
Dec. 31, 2023 | |
Receivables [Abstract] | |
Loans | Loans Residential mortgage loans The tables below detail information regarding the Company’s residential mortgage loan portfolio as of December 31, 2023 and 2022 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2023 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency Loans (3) $ 5,599,960 $ (32,250) $ 5,567,710 $ 29,603 $ (422,144) $ 5,175,169 5.19 % 5.51 % 10.37 Re- and Non-Performing Loans 217,098 (17,465) 199,633 199 (16,720) 183,112 3.88 % 6.30 % 6.10 Total Securitized residential mortgage loans, at fair value $ 5,817,058 $ (49,715) $ 5,767,343 $ 29,802 $ (438,864) $ 5,358,281 5.14 % 5.54 % 10.21 Residential mortgage loans, at fair value Non-Agency Loans $ 92,033 $ 835 $ 92,868 $ 2,222 $ (574) $ 94,516 8.10 % 7.29 % 3.14 Agency-Eligible Loans 212,350 3,535 215,885 4,824 — 220,709 7.94 % 7.28 % 3.37 Re- and Non-Performing Loans 2,604 (1,630) 974 1,432 — 2,406 N/A 112.97 % 1.69 Total Residential mortgage loans, at fair value $ 306,987 $ 2,740 $ 309,727 $ 8,478 $ (574) $ 317,631 7.99 % 8.08 % 3.29 Total as of December 31, 2023 $ 6,124,045 $ (46,975) $ 6,077,070 $ 38,280 $ (439,438) $ 5,675,912 5.28% 5.68% 9.86 Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2022 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency Loans (3) $ 3,841,265 $ 63,576 $ 3,904,841 $ — $ (468,640) $ 3,436,201 4.82 % 4.65 % 10.20 Re- and Non-Performing Loans 325,120 (36,982) 288,138 1,972 (19,165) 270,945 3.68 % 6.66 % 6.33 Total Securitized residential mortgage loans, at fair value $ 4,166,385 $ 26,594 $ 4,192,979 $ 1,972 $ (487,805) $ 3,707,146 4.73 % 4.80 % 9.90 Residential mortgage loans, at fair value Non-Agency Loans (4) $ 406,294 $ (7,902) $ 398,392 $ 2,775 $ (30,006) $ 371,161 5.36 % 5.54 % 6.14 Agency-Eligible Loans (4) 48,657 18 48,675 94 (1,907) 46,862 6.00 % 5.99 % 4.73 Re- and Non-Performing Loans 3,520 (2,000) 1,520 1,908 — 3,428 N/A 72.78 % 1.87 Total Residential mortgage loans, at fair value $ 458,471 $ (9,884) $ 448,587 $ 4,777 $ (31,913) $ 421,451 5.43 % 6.13 % 5.96 Total as of December 31, 2022 $ 4,624,856 $ 16,710 $ 4,641,566 $ 6,749 $ (519,718) $ 4,128,597 4.80 % 4.93 % 9.51 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgage loans, periodic payments of principal, and prepayments of principal. (2) Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets. (3) Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization. (4) Includes fair value of $46.8 million and $18.2 million of Non-Agency Loans and Agency-Eligible Loans, respectively, classified as held for sale and presented in the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of December 31, 2022. The following tables present information regarding credit quality of the Company's residential mortgage loans ($ in thousands). Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3) December 31, 2023 Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days Securitized residential mortgage loans Non-Agency Loans $ 5,599,960 13,460 66.65 % 748 $ 5,446,631 $ 68,242 $ 30,873 $ 54,214 Re- and Non-Performing Loans 217,098 1,495 79.80 % 657 154,632 17,145 4,780 40,541 Total Securitized residential mortgage loans $ 5,817,058 14,955 67.14 % 744 $ 5,601,263 $ 85,387 $ 35,653 $ 94,755 Residential mortgage loans Non-Agency Loans $ 92,033 170 74.79 % 730 $ 83,582 $ 1,010 $ 615 $ 6,826 Agency-Eligible Loans 212,350 536 71.99 % 777 211,499 851 — — Re- and Non-Performing Loans (1) 2,604 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans $ 306,987 706 72.83 % 764 $ 295,081 $ 1,861 $ 615 $ 6,826 Total as of December 31, 2023 $ 6,124,045 15,661 67.42 % 745 $ 5,896,344 $ 87,248 $ 36,268 $ 101,581 Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3) December 31, 2022 Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days Securitized residential mortgage loans Non-Agency Loans $ 3,841,265 9,008 68.20 % 739 $ 3,789,748 $ 31,272 $ 8,661 $ 11,584 Re- and Non-Performing Loans 325,120 2,226 79.61 % 643 220,124 34,865 10,937 59,194 Total Securitized residential mortgage loans $ 4,166,385 11,234 69.09 % 731 $ 4,009,872 $ 66,137 $ 19,598 $ 70,778 Residential mortgage loans Non-Agency Loans $ 406,294 655 71.22 % 734 $ 399,036 $ 4,967 $ 1,404 $ 887 Agency-Eligible Loans 48,657 138 70.94 % 749 47,918 739 — — Re- and Non-Performing Loans (1) 3,520 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans $ 458,471 793 71.19 % 735 $ 446,954 $ 5,706 $ 1,404 $ 887 Total as of December 31, 2022 $ 4,624,856 12,027 69.29 % 731 $ 4,456,826 $ 71,843 $ 21,002 $ 71,665 (1) Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. (2) Amounts are weighted based on unpaid principal balance. (3) As of December 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $41.7 million and loans in the process of foreclosure with a fair value of $51.8 million. As of December 31, 2022, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $31.4 million and loans in the process of foreclosure with a fair value of $33.7 million. (4) Represents the original LTV or, for Re- and Non-Performing Loans and Non-Agency Loans acquired from WMC, the LTV at acquisition. (5) Weighted average current FICO excludes borrowers where FICO scores were not available. Data is as of November 30, 2023 and 2022, respectively. As of December 31, 2023 and 2022, 12.0% and 4.9%, respectively, of the unpaid principal balance of the Company's securitized residential mortgage loans and residential mortgage loans were adjustable rate mortgages. During the year ended December 31, 2023, the Company purchased residential mortgage loans as detailed below (in thousands). Unpaid Principal Balance Fair Value Residential mortgage loan purchases Non-Agency Loans $ 577,968 $ 587,643 Agency-Eligible Loans 640,798 642,010 Total $ 1,218,766 $ 1,229,653 Residential mortgage loans acquired from WMC (1) Securitized Non-Agency Loans $ 1,057,830 $ 971,781 Non-Agency Loans 6,566 6,046 Total $ 1,064,396 $ 977,827 (1) Refer to Note 1 for additional details on the WMC acquisition. During the years ended December 31, 2023 and 2022, the Company sold residential mortgage loans as detailed below ($ in thousands). Number of Loans Proceeds Realized Gains Realized Losses Year Ended December 31, 2023 Non-Agency Loans 587 $ 330,742 $ 1,960 $ (13,272) Agency-Eligible Loans 47 18,474 69 (85) Re- and Non-Performing Loans 560 68,693 3,729 (4,068) Year Ended December 31, 2022 Non-Agency Loans 18 $ 10,049 $ — $ (1,133) Agency-Eligible Loans 150 43,718 37 (2,623) The Company’s residential mortgage loan portfolio consists of mortgage loans on residential real estate located throughout the United States. The following is a summary of the geographic concentration of credit risk as of December 31, 2023 and 2022 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio. Geographic Concentration of Credit Risk (1) December 31, 2023 December 31, 2022 California 38 % 33 % New York 13 % 16 % Florida 10 % 11 % Texas 6 % 5 % New Jersey 5 % 6 % (1) Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. Variable interest entities The Company entered into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans, which are considered VIEs. The Company was determined to be the primary beneficiary of the VIEs and, as a result, consolidated the assets and liabilities of the VIEs on its consolidated balance sheets. In a securitization transaction, a pool of loans is transferred to a wholly-owned subsidiary of the Company and the loans are deposited into a newly created securitization trust. The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates"). As the sponsor of the securitization, the Company retains certain Certificates issued by the securitization trusts in order to satisfy risk retention rules, which generally require the sponsor to retain at least 5% of the fair value of the Certificates issued in the securitization . The Company's continuing involvement in these securitizations represents its retained Certificates and the ability to purchase all of the outstanding Certificates upon the occurrence of certain events through an optional redemption right held by the Company. The Company has also engaged a related party of the Manager and direct subsidiary of TPG Angelo Gordon to act as the servicing administrator of certain securitization trusts. The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 December 31, 2022 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value (2) $ 5,175,169 5.51 % 10.37 $ 3,436,201 4.65 % 10.20 Other assets 25,105 15,350 Total Assets $ 5,200,274 $ 3,451,551 Liabilities Securitized debt, at fair value (2) (3) $ 4,597,490 4.94 % 7.52 $ 3,078,593 4.18 % 7.49 Other liabilities 17,269 10,956 Total Liabilities $ 4,614,759 $ 3,089,549 Total Equity (4) $ 585,515 $ 362,002 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (2) Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization. (3) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs. (4) As of December 31, 2023 and 2022, the Company had outstanding financing arrangements of $301.2 million and $197.9 million, respectively, collateralized by $578.8 million and $357.6 million of the Company's retained interests in the Non-Agency VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 December 31, 2022 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value $ 183,112 6.30 % 6.10 $ 270,945 6.66 % 6.33 Restricted cash 10 1,194 Other assets 2,056 3,714 Total Assets $ 185,178 $ 275,853 Liabilities Securitized debt, at fair value (2) $ 114,133 3.25 % 3.77 $ 183,759 3.10 % 3.13 Other liabilities 328 386 Total Liabilities $ 114,461 $ 184,145 Total Equity (3) $ 70,717 $ 91,708 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (2) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the RPL/NPL VIEs. (3) As of December 31, 2023 and 2022, the Company had outstanding financing arrangements of $44.9 million and $34.2 million, respectively, collateralized by $67.1 million and $66.4 million of the Company's retained interests in the RPL/NPL VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. Revolving Mortgage Investment Trust 2015-1QR2 Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") was acquired in the WMC acquisition and holds Non-Agency Loans and REO. RMI 2015 Trust issued a trust certificate that is wholly-owned by the Company and represents the entire beneficial interest in Non-Agency Loans and REO held by the trust. The Company consolidates the trust since it meets the definition of a VIE and the Company was determined to be the primary beneficiary. The Company classifies the underlying Non-Agency Loans and REO owned by the trust in the "Residential mortgage loans, at fair value" and "Other assets" line items on the consolidated balance sheets, respectively, and has eliminated the intercompany trust certificate in consolidation. As of December 31, 2023, the RMI 2015 Trust holds Non-Agency Loans with a fair value of $6.6 million and REO with a carrying value of $3.4 million. The loans are financed through the Company's financing arrangements on Non-Agency Loans held outside of RMI 2015 Trust. The Company did not have an interest in RMI 2015 Trust as of December 31, 2022. Legacy WMC Commercial loans The table below details information regarding the Company's Legacy WMC Commercial loan portfolio as of December 31, 2023 ($ in thousands), which was acquired in the WMC acquisition. For additional information on the WMC acquisition, refer to Note 1. The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). The Company did not hold any commercial loans as of December 31, 2022. December 31, 2023 Premium / (Discount) Amortized Cost Gross Unrealized Gains Fair Value Weighted Average Maturity Date (5) LTV (6) Location Loan (1)(2)(3) Unpaid Principal Balance Coupon Yield Life (Years) (4) Loan A (7) $ 7,259 $ (137) $ 7,122 $ 12 $ 7,134 9.55 % 10.16 % 1.44 5/6/2025 61.63 % IL, FL Loan B (7) 13,206 (249) 12,957 22 12,979 9.55 % 10.16 % 1.44 5/6/2025 75.33 % CA Loan C (7) 24,535 (463) 24,072 40 24,112 9.55 % 10.16 % 1.44 5/6/2025 77.22 % NY Loan D (8) 22,204 (147) 22,057 21 22,078 8.72 % 8.17 % 1.69 8/6/2025 42.50 % CT Total $ 67,204 $ (996) $ 66,208 $ 95 $ 66,303 9.27 % 9.50 % 1.52 63.61 % (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Each commercial loan investment is a first mortgage loan. (3) Each commercial loan has a current payment status. (4) Actual maturities of commercial loans may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal. (5) Represents maturity date of the last possible extension option. (6) Represents the LTV at acquisition. (7) Loans A, B, and C have a floating rate coupon equal to 4.20% plus one-month SOFR and are collateralized by hotels. (8) Loan D has a floating rate coupon equal to 3.38% plus one-month SOFR and is collateralized by a retail property. |
Real Estate Securities
Real Estate Securities | 12 Months Ended |
Dec. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Real Estate Securities | Real Estate Securities The following tables detail the Company’s real estate securities portfolio as of December 31, 2023 and 2022 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average December 31, 2023 Gains Losses Fair Value Coupon (1) Yield Non-Agency RMBS GCAT Non-Agency RMBS (2) GCAT Non-Agency Securities $ 43,794 $ (2,281) $ 41,513 $ — $ (8,971) $ 32,542 4.67 % 5.99 % GCAT Non-Agency RMBS Interest Only (3) N/A N/A 2,541 2,450 — 4,991 — % 37.74 % Total GCAT Non-Agency RMBS 43,794 (2,281) 44,054 2,450 (8,971) 37,533 2.20 % 10.21 % Non-Agency Securities 82,390 (33,399) 48,991 2,139 (124) 51,006 4.99 % 9.11 % Non-Agency RMBS Interest Only (3) N/A N/A 1,116 1 (34) 1,083 0.35 % 16.04 % Total Non-Agency RMBS 126,184 (35,680) 94,161 4,590 (9,129) 89,622 2.17 % 9.66 % Legacy WMC CMBS 103,458 (46,925) 56,533 546 (730) 56,349 7.39 % 21.90 % Legacy WMC Other Securities (4) N/A N/A 1,174 — (18) 1,156 N/A 18.16 % Agency RMBS Interest Only (3) N/A N/A 16,714 115 (1,135) 15,694 3.74 % 10.20 % Total as of December 31, 2023 $ 229,642 $ (82,605) $ 168,582 $ 5,251 $ (11,012) $ 162,821 3.54 % 14.01 % Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average December 31, 2022 Gains Losses Fair Value Coupon (1) Yield Non-Agency RMBS GCAT Non-Agency RMBS (2) GCAT Non-Agency Securities $ 14,894 $ (201) $ 14,693 $ — $ (4,834) $ 9,859 4.34 % 4.60 % GCAT Non-Agency RMBS Interest Only (3) N/A N/A 2,838 2,220 — 5,058 0.38 % 34.42 % Total GCAT Non-Agency RMBS 14,894 (201) 17,531 2,220 (4,834) 14,917 1.23 % 14.71 % Non-Agency Securities 16,819 (6,674) 10,145 28 (495) 9,678 3.22 % 8.47 % Total Non-Agency RMBS 31,713 (6,875) 27,676 2,248 (5,329) 24,595 1.62 % 12.26 % Agency RMBS Interest Only (3) N/A N/A 19,771 28 (675) 19,124 2.87 % 7.54 % Total as of December 31, 2022 $ 31,713 $ (6,875) $ 47,447 $ 2,276 $ (6,004) $ 43,719 2.37 % 10.20 % (1) Equity residual investments with a zero coupon rate are excluded from this calculation. (2) GCAT Non-Agency RMBS are securities issued under Gold Creek Asset Trust ("GCAT"), which is the TPG Angelo Gordon securitization shelf under which the Company or private funds under the management of TPG Angelo Gordon securitize loans. Refer to the "Unconsolidated variable interest entities" section below for additional details on these securities. (3) Interest Only have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on the interest only classes of securities. As of December 31, 2023, the notional balances for GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $98.3 million, $128.8 million and $92.2 million, respectively. As of December 31, 2022, the notional balances for the GCAT Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $108.5 million and $127.4 million, respectively. (4) Legacy WMC Other securities include residual interests in asset-backed securities which have no principal balance. The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS Weighted Average Life (1) Fair Value Amortized Fair Value Amortized Cost Fair Value Amortized Cost Fair Value Amortized Less than or equal to one year $ — $ — $ 15,015 $ 15,010 $ — $ — $ — $ — Greater than one year and less than or equal to five years 4,631 4,669 41,334 41,523 — — 697 678 Greater than five years and less than or equal to ten years 38,792 40,539 — — 1,156 1,174 14,997 16,036 Greater than ten years 46,199 48,953 — — — — — — Total as of December 31, 2023 $ 89,622 $ 94,161 $ 56,349 $ 56,533 $ 1,156 $ 1,174 $ 15,694 $ 16,714 December 31, 2022 Non-Agency RMBS Agency RMBS Weighted Average Life (1) Fair Value Amortized Cost Fair Value Amortized Cost Greater than one year and less than or equal to five years $ 5,058 $ 2,838 $ — $ — Greater than five years and less than or equal to ten years — — 19,124 19,771 Greater than ten years 19,537 24,838 — — Total as of December 31, 2022 $ 24,595 $ 27,676 $ 19,124 $ 19,771 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. In connection with the WMC acquisition in 2023, the Company acquired $48.2 million of Non-Agency RMBS, $56.3 million of CMBS, $1.2 million of Other Securities, and $0.7 million of Agency RMBS. For additional information on the WMC acquisition, refer to Note 1. The Company sold real estate securities during the years ended December 31, 2023 and 2022, as detailed below ($ in thousands). Number of Securities Proceeds Realized Gains Realized Losses Year ended December 31, 2023 11 $ 286,356 $ 1,341 $ (2,899) Year ended December 31, 2022 18 526,258 736 (35,240) Unconsolidated variable interest entities The Company's Non-Agency RMBS includes certain securities retained from a rated Non-QM Loan securitization the Company participated in alongside a private fund under the management of TPG Angelo Gordon and issued under the GCAT shelf. Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust. The Company has a 40.9% interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust. During 2023, the Company purchased non-risk retention bonds from Mortgage Acquisition Holding I LLC ("MATH"), an entity the Company invests in alongside private funds under the management of TPG Angelo Gordon. Through its 44.6% investment in MATH, the Company participated in rated Non-QM Loan securitizations issued under the GCAT shelf. As of December 31, 2023, the Company's Non-Agency RMBS includes the non-risk retention bonds from these securitizations acquired from MATH. Upon evaluating its investment in these VIEs, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trusts sponsored by MATH. The Company has a 57.7% interest in the non-risk retention bonds recorded on its consolidated balance sheets and a 47.0% interest in the risk retention bonds through its investment in MATH which together represent its continuing involvement in the securitization trusts. See Note 10 for additional details on the MATH transaction. The following table summarizes the Company’s investment in unconsolidated VIEs as of December 31, 2023 and 2022 (in thousands). December 31, 2023 December 31, 2022 Current Face Fair Value Current Face Fair Value Retained interest in unconsolidated VIEs GCAT Non-Agency Securities $ 43,794 $ 32,542 $ 14,894 $ 9,859 GCAT Non-Agency RMBS Interest Only (1) N/A 4,991 N/A 5,058 Total retained interest in unconsolidated VIEs (2) (3) $ 43,794 $ 37,533 $ 14,894 $ 14,917 (1) Interest Only have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on the interest only classes of securities. As of December 31, 2023 and 2022, the notional balances for GCAT Non-Agency RMBS Interest Only line item were $98.3 million and $108.5 million, respectively. (2) Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs. The Company has no obligation to provide any other explicit or implicit support to the securitization trust. (3) As of December 31, 2023 and 2022, the Company held securities exposed to the first loss of the securitization with a fair value of $4.1 million and $4.1 million, respectively. The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of December 31, 2023 and 2022 ($ in thousands). Assets transferred to unconsolidated VIEs December 31, 2023 December 31, 2022 Total unpaid principal balance of loans outstanding (1) $ 450,366 $ 132,509 Weighted average coupon on loans outstanding 5.67 % 5.62 % Percent of unpaid principal balance greater than 90 days delinquent (2) 1.94 % 1.32 % (1) The Company contributed approximately 40.9% of the unpaid principal balance into one of the securitization trusts and, through the Company's investment in MATH, contributed approximately 44.6% of the unpaid principal balance into the remaining four securitization trusts. (2) |
Fair value measurements
Fair value measurements | 12 Months Ended |
Dec. 31, 2023 | |
Fair Value Disclosures [Abstract] | |
Fair value measurements | Fair value measurements The fair value of the Company's financial instruments is determined in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets. Level 3 inputs are significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used and reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2023 and 2022 (in thousands). Fair Value as of December 31, 2023 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 5,358,281 $ 5,358,281 Residential mortgage loans — 777 316,854 317,631 Legacy WMC Commercial loans — — 66,303 66,303 Non-Agency RMBS — 52,089 37,533 89,622 Legacy WMC CMBS — 50,553 5,796 56,349 Legacy WMC Other Securities — — 1,156 1,156 Agency RMBS — 15,694 — 15,694 Derivative assets (1) — 9,433 1,172 10,605 Cash equivalents (2) 95,749 — — 95,749 AG Arc (3) — — 33,574 33,574 Total Assets Measured at Fair Value $ 95,749 $ 128,546 $ 5,820,669 $ 6,044,964 Liabilities: Securitized debt $ — $ — $ (4,711,623) $ (4,711,623) Derivative liabilities (1) — (7,783) (7) (7,790) Total Liabilities Measured at Fair Value $ — $ (7,783) $ (4,711,630) $ (4,719,413) Fair value as of December 31, 2022 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 3,707,146 $ 3,707,146 Residential mortgage loans (4) — 754 420,697 421,451 Non-Agency RMBS — 9,678 14,917 24,595 Agency Interest Only — 19,124 — 19,124 Derivative assets (1) — 18,401 98 18,499 Cash equivalents (2) 442 — — 442 AG Arc (3) — — 39,680 39,680 Total Assets Measured at Fair Value $ 442 $ 47,957 $ 4,182,538 $ 4,230,937 Liabilities: Securitized debt $ — $ — $ (3,262,352) $ (3,262,352) Derivative liabilities (1) — — (9) (9) Total Liabilities Measured at Fair Value $ — $ — $ (3,262,361) $ (3,262,361) (1) As of December 31, 2023, the Company applied a reduction in fair value of $9.3 million and $7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2022, the Company applied a reduction in fair value of $17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 7 for more information on the Company's derivatives. (2) The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds and are carried at cost, which approximates fair value. (3) The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. (4) Includes Residential mortgage loans held for sale as of December 31, 2022. The valuation of the Company’s residential mortgage loans, securitized debt relating to the Non-Agency VIEs and RPL/NPL VIEs, commercial loans, certain securities, and forward purchase commitments is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing. Third-party pricing service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. The evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company also considers loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts, and valuations of the underlying properties. The variables considered most significant to the determination of the fair value of the Company's residential mortgage loans, securitized debt, commercial loans, certain securities, and forward purchase commitments include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, recovery rates, reperformance rates, timeline to liquidation, and, for forward purchase commitments, pull-through rates. The Company and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value. Because of the inherent uncertainty of such valuation, the fair value established for mortgage loans, securitized debt, commercial loans, certain securities, and forward purchase commitments held by the Company may differ from the fair value that would have been established if a ready market existed for these mortgage loans. Fair values for the Company’s securities and derivatives may be based upon prices obtained from third-party pricing services or broker quotations. The valuation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information. The Company's investment in Arc Home is evaluated on a periodic basis using a market approach. In applying the market approach, fair value is determined by multiplying Arc Home's book value by a relevant valuation multiple observed based on a range of comparable public entities or transactions, adjusted by management as appropriate for differences between the investment and the referenced comparables. The evaluation also considers the underlying financial performance of Arc Home, general economic conditions, and relevant trends within the mortgage banking industry. Changes in the market environment and other events that may occur over the life of these investments may cause the gains or losses ultimately realized to be different than the valuations currently estimated. The significant unobservable inputs used in the fair value measurement of the Company’s loans and securities are yields, prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. The significant unobservable input used in the fair value measurement of the Company’s investment in Arc Home is the book value multiple. Significant increases (decreases) in the multiple applied would result in a significantly higher (lower) fair value measurement. The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the years ended December 31, 2023 and 2022. The Company did not have any transfers between the Levels 2 and 3 of the fair value hierarchy during the years ended December 31, 2023 and 2022. Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods. The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value (in thousands). Year Ended December 31, 2023 Residential Legacy WMC Commercial Loans Non-Agency Legacy WMC CMBS Legacy WMC Other Securities Derivative Assets (2) AG Arc Securitized Derivative Liabilities (2) Beginning balance $ 4,127,843 $ — $ 14,917 $ — $ — $ 98 $ 39,680 $ (3,262,352) $ (9) Purchases 1,228,800 — 4,825 — — — — — — Transfers from MATH (3) — — 16,408 — — — — — — Assets acquired/liabilities assumed from WMC 977,827 78,459 — 5,588 1,159 — — (837,317) — Issuances of Securitized Debt — — — — — — — (874,407) — Capital distributions — — — — — — (626) — — Proceeds from sales or settlements (417,909) — — — — (5,289) — — 4,293 Principal repayments (342,996) (12,250) — — — — — 364,920 — Included in net income: Net premium and discount amortization (4) 3,631 (1) (217) 60 15 — — (13,098) — Net realized gain/(loss) (11,937) — — — — 5,289 — — (4,293) Net unrealized gain/(loss) 111,642 95 1,600 148 (18) 1,074 — (89,369) 2 Equity in earnings/(loss) from affiliates — — — — — — (5,480) — — Other (5) (1,766) — — — — — — — — Ending Balance $ 5,675,135 $ 66,303 $ 37,533 $ 5,796 $ 1,156 $ 1,172 $ 33,574 $ (4,711,623) $ (7) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2023: Net premium and discount amortization (4) 2,857 (1) (217) 60 15 — — (13,098) — Net unrealized gain/(loss) 101,037 95 1,600 148 (18) 1,172 — (87,578) (7) Equity in earnings/(loss) from affiliates — — — — — — (5,480) — — Year Ended December 31, 2022 Residential Non-Agency Derivative Assets (2) AG Arc Securitized Derivative Liabilities (2) Beginning balance $ 2,634,191 $ 18,757 $ — $ 53,435 $ (999,215) $ (79) Purchases 2,557,440 — — — — — Issuances of Securitized Debt — — — — (3,040,283) — Capital distributions — — — (6,053) — — Proceeds from sales or settlements (53,767) — — — — — Principal repayments (464,332) (664) (2,700) — 379,979 16,044 Included in net income: Net premium and discount amortization (4) (1,009) (662) — — (4,300) — Net realized gain/(loss) (3,520) — 2,700 — — (16,044) Net unrealized gain/(loss) (539,957) (2,514) 98 — 401,467 70 Equity in earnings/(loss) from affiliates — — — (7,702) — — Other (5) (1,203) — — — — — Ending Balance $ 4,127,843 $ 14,917 $ 98 $ 39,680 $ (3,262,352) $ (9) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2022: Net premium and discount amortization (4) (2,586) (653) — — (4,300) — Net unrealized gain/(loss) (540,043) (2,424) 98 — 401,467 (9) Equity in earnings/(loss) from affiliates — — — (7,702) — — (1) Includes Securitized residential mortgage loans, Securitized residential mortgage loans held for sale, and Residential mortgage loans held for sale. (2) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" lines, respectively, on the consolidated balance sheets. (3) Refer to "MATH Transaction" in Note 10 for additional information. (4) Included in the "Interest income" and "Interest expense" line items on the consolidated statement of operations for assets and liabilities, respectively. (5) Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances. The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 December 31, 2022 Valuation Technique Unobservable Input Fair Value Range Fair Value Range Securitized Residential Mortgage Loans Yield 5.67% - 9.47% (6.23%) 4.75% - 7.32% (6.40%) Discounted Cash Flow Projected Collateral Prepayments $ 5,358,281 3.02% - 10.47% (4.72%) $ 3,707,146 4.81% - 10.19% (6.44%) Projected Collateral Losses 0.02% - 1.88% (0.16%) 0.05% - 1.40% (0.22%) Projected Collateral Severities -13.44% - 26.00% (17.38%) -4.16% - 20.00% (15.40%) Residential Mortgage Loans (2) Yield 6.13% - 18.75% (6.64%) 6.29% - 9.82% (7.16%) Discounted Cash Flow Projected Collateral Prepayments $ 316,854 3.89% - 34.35% (24.88%) $ 418,023 1.38% - 31.28% (16.37%) Projected Collateral Losses 0.00% - 12.72% (0.15%) 0.00% - 14.44% (0.48%) Projected Collateral Severities -38.75% - 44.01% (9.62%) -2.64% - 10.19% (9.99%) Consensus Pricing Offered Quotes $ — N/A $ 2,674 93.46 - 107.05 (101.11) Legacy WMC Commercial Loans Yield 8.16% - 10.13% (9.47%) N/A Discounted Cash Flow Credit Spread $ 66,303 377 bps - 556 bps (496 bps) $ — N/A Recovery Percentage (3) 100.00% - 100.00% (100.00%) N/A Loan-to-Value 42.50% - 77.22% (63.61%) N/A Non-Agency RMBS Yield 6.23% - 14.00% (9.70%) 7.18% - 14.00% (10.59%) Discounted Cash Flow Projected Collateral Prepayments $ 37,533 4.55% - 5.26% (4.93%) $ 14,917 8.14% - 8.14% (8.14%) Projected Collateral Losses 0.17% - 0.28% (0.25%) 0.18% - 0.18% (0.18%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Legacy WMC CMBS Consensus Pricing Offered Quotes $ 5,796 55.20 - 55.20 (55.20) $ — N/A Legacy WMC Other Securities Consensus Pricing Offered Quotes $ 1,156 6,821.32 - 6,821.32 (6,821.32) $ — N/A Derivative Assets (4) Yield 6.29% - 8.32% (6.81%) 6.69% - 7.68% (7.54%) Discounted Cash Flow Projected Collateral Prepayments $ 1,172 18.20% - 33.78% (27.00%) $ 98 12.63% - 34.19% (26.71%) Projected Collateral Losses 0.00% - 0.82% (0.14%) 0.01% - 0.96% (0.39%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Pull Through Percentages 60.00% - 100.00% (92.21%) 55.00% - 100.00% (72.78%) AG Arc Comparable Multiple Book Value Multiple $ 33,574 0.89x - 0.89x (0.89x) $ 39,680 0.94x - 0.94x (0.94x) Securitized Debt Yield 4.92% - 15.00% (5.72%) 5.25% - 15.00% (6.07%) Discounted Cash Flow Projected Collateral Prepayments $ (4,711,623) 3.02% - 10.47% (4.66%) $ (3,262,352) 4.81% - 10.19% (6.36%) Projected Collateral Losses 0.02% - 0.40% (0.15%) 0.05% - 1.40% (0.19%) Projected Collateral Severities 3.71% - 26.00% (17.76%) -4.16% - 20.00% (15.81%) Derivative Liabilities (4) Yield 6.47% - 7.00% (6.51%) 7.29% - 7.61% (7.36%) Discounted Cash Flow Projected Collateral Prepayments $ (7) 27.36% - 34.44% (34.30%) $ (9) 21.51% - 31.31% (27.92%) Projected Collateral Losses 0.00% - 0.02% (0.00%) 0.01% - 0.46% (0.16%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Pull Through Percentages 60.00% - 100.00% (99.22%) 100.00% - 100.00% (100.00%) (1) Amounts are weighted based on fair value. (2) Includes Residential mortgage loans held for sale as of December 31, 2022. (3) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2023. (4) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets. Other Fair Value Disclosures Short-term financing arrangements The fair value of certain of the Company's financing arrangements 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. These financing agreements are classified as Level 2. Legacy WMC Convertible Notes and fixed-rate long-term financing arrangements The following table presents the carrying value and estimated fair value of the Company's Legacy WMC Convertible Notes and fixed-rate financing arrangements with contractual maturities of greater than one year as of December 31, 2023 (in thousands). The fair value of the Company's Legacy WMC Convertibles Notes may be based upon prices obtained from third-party pricing services or broker quotations and are classified as Level 2. The fair value of the Company's fixed-rate long-term financing arrangements may be based on a discounted cash flow valuation approach using valuation analyses of the underlying collateral sourced from third-party pricing service providers and is classified as Level 3. The Company did not hold the Legacy WMC Convertible Notes or have fixed-rate financing arrangements with contractual maturities of greater than one year outstanding as of December 31, 2022. December 31, 2023 Carrying Value (1) Estimated Fair Value Legacy WMC Convertible Notes $ 85,266 $ 84,525 Financing arrangements 62,972 63,175 (1) The convertible senior unsecured notes and fixed-rate long-term financing arrangements are recorded at amortized cost in the Company's consolidated balance sheets. |
Financing
Financing | 12 Months Ended |
Dec. 31, 2023 | |
Disclosure of Repurchase Agreements [Abstract] | |
Financing | Financing The following table presents a summary of the Company's financing as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 December 31, 2022 Weighted Average Collateral Fair Value (1)(2) Current Face Carrying Value Stated Maturity Funding Cost Life (Years) Carrying Value Financing Arrangements by Asset Type Securitized Residential Mortgage Loans (3) Non-Agency Loans (4) $ 298,750 $ 301,205 Jan 2024 - Jul 2025 7.57 % 0.42 $ 578,829 $ 197,937 Re- and Non-Performing Loans 44,928 44,928 Jan 2024 7.30 % 0.02 67,047 34,151 Residential Mortgage Loans (5) Non-Agency Loans 77,345 77,345 Mar 2024 - Jan 2025 7.30 % 0.66 94,516 277,797 Agency-Eligible Loans 200,617 200,617 Dec 2024 7.21 % 0.99 220,709 27,199 Residential Mortgage Loans Held for Sale — — N/A N/A N/A — 55,245 Legacy WMC Commercial Loans 48,032 48,032 Mar 2024 7.86 % 0.24 66,303 — Non-Agency RMBS 51,251 51,251 Jan 2024 - May 2024 7.19 % 0.08 89,622 14,695 Legacy WMC CMBS 31,620 31,620 Jan 2024 7.81 % 0.01 50,553 — Agency RMBS 12,594 12,594 Jan 2024 - Mar 2024 6.23 % 0.19 14,940 14,163 Total Financing Arrangements $ 765,137 $ 767,592 7.41 % 0.51 $ 1,182,519 $ 621,187 Securitized debt, at fair value (6) Non-Agency Loans (7) (8) $ 5,069,689 $ 4,597,490 N/A 4.94 % 7.52 N/A $ 3,078,593 Re- and Non-Performing Loans (9) 124,569 114,133 N/A 3.25 % 3.77 N/A 183,759 Total Securitized Debt $ 5,194,258 $ 4,711,623 4.90 % 7.43 N/A $ 3,262,352 Legacy WMC Convertible Notes $ 86,250 $ 85,266 Sept 2024 8.42 % 0.71 N/A — Total Financing $ 6,045,645 $ 5,564,481 5.30 % 6.48 $ 1,182,519 $ 3,883,539 (1) The Company also had $1.7 million and $3.4 million of cash pledged under repurchase agreements as of December 31, 2023 and 2022, respectively. (2) Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3) Amounts pledged as collateral under Securitized residential mortgage loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Non-Agency VIEs and RPL/NPL VIEs. (4) As of December 31, 2023, the weighted average stated rate on the financing arrangements on the Company's Securitized non-agency loans was 8.19%. (5) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $2.3 billion on facilities used to finance Non-Agency and Agency-Eligible Loans. (6) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs and RPL/NPL VIEs. (7) As of December 31, 2023, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $4.9 billion. (8) The current face on the Company's Securitized debt in the Company's Non-Agency VIEs excludes interest only classes which have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on the interest only classes of securities. As of December 31, 2023, the notional balance on interest only classes of Securitized debt was $133.8 million. (9) As of December 31, 2023, the amortized cost of Securitized debt in the Company's RPL/NPL VIEs was $122.7 million. In connection with the WMC acquisition in 2023, the Company assumed $171.2 million of financing arrangements, $837.3 million of securitized debt, and $85.2 million of Legacy WMC Convertible Notes. For additional information on the WMC acquisition, refer to Note 1. Legacy WMC Convertible Notes In connection with the WMC acquisition, the Merger Sub assumed, and the Company guaranteed, $86.25 million aggregate principal of Legacy WMC Convertible Notes. The Legacy WMC Convertible Notes have an interest rate of 6.75% and interest is paid semiannually. The Legacy WMC Convertible 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 further 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 Legacy WMC Convertible Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the Legacy WMC Convertible Notes. Immediately prior to the Effective Time of the WMC acquisition, holders of the Legacy WMC Convertible Notes had the right to convert each $1,000 principal amount into 33.7952 shares of WMC common stock. As a result of the WMC acquisition, and pursuant to the terms of the Legacy WMC Convertible Notes, the conversion rate was amended whereby each holder now has to the right to convert each $1,000 principal amount of Legacy WMC Convertible Notes into 50.6252 shares of common stock, representing a total conversion price of $19.75 per share. The total conversion price consists of common stock of $19.13 per share and cash of $0.62 per share. The Legacy WMC Convertible Notes can be redeemed at the Company's option on or after June 15, 2024, and mature on September 15, 2024, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms. For the year ended December 31, 2023, the total interest expense on the Legacy WMC Convertible Notes was $0.5 million, which included coupon interest expense of $0.4 million and amortization expense of $0.1 million. Contractual maturities The following table allocates the current face of the Company's borrowings under financing arrangements and the Legacy WMC Convertible Notes as of December 31, 2023 by contractual maturity (in thousands). Securitized debt is excluded from the below table as it does not have a contractual maturity. Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total Financing Arrangements by Asset Type Securitized Residential Mortgage Loans Non-Agency Loans $ 121,068 $ 84,244 $ 32,921 $ 60,517 $ 298,750 Re- and Non-Performing Loans 44,928 — — — 44,928 Residential Mortgage Loans Non-Agency Loans — 3,005 62,199 12,141 77,345 Agency-Eligible Loans — — 200,617 — 200,617 Legacy WMC Commercial Loans — 48,032 — — 48,032 Non-Agency RMBS 29,398 19,069 2,784 — 51,251 Legacy WMC CMBS 31,620 — — — 31,620 Agency RMBS 632 11,962 — — 12,594 Total Financing Arrangements $ 227,646 $ 166,312 $ 298,521 $ 72,658 $ 765,137 Legacy WMC Convertible Notes $ — $ — $ 86,250 $ — $ 86,250 Counterparties The Company had outstanding financing arrangements with seven and six counterparties as of December 31, 2023 and 2022, respectively. The following table presents information as of December 31, 2023 and 2022 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands). December 31, 2023 December 31, 2022 Counterparty Stockholders' Equity Weighted Average Percentage of Stockholders' Equity Weighted Average Percentage of BofA Securities, Inc $ 131,128 236 24.8 % $ 36,193 93 7.8 % Barclays Capital Inc. 81,047 85 15.3 % 81,445 113 17.6 % Goldman Sachs Bank USA 73,893 9 14.0 % (3) (3) (3) JP Morgan Securities, LLC 46,642 134 8.8 % (3) (3) (3) Various (1) 69,637 577 13.2 % (3) (3) (3) Credit Suisse AG, Cayman Islands Branch (2) (2) (2) 130,587 71 28.2 % (1) Certain retained interests in securitizations are held in WMC RR 2023-1 Trust, a wholly owned subsidiary of the Company. WMC RR 2023-1 Trust issued certificates which were sold to various third-party investors. (2) As of December 31, 2023, the Company did not have any equity at risk under financing arrangements with Credit Suisse AG, Cayman Islands Branch. (3) As of December 31, 2022, the Company had less than 5% of its equity at risk under financing arrangements with Goldman Sachs Bank USA, JP Morgan Securities, LLC, and Cantor Fitzgerald. Financial Covenants The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, 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. To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. Financings pursuant to financing arrangements are generally recourse to the Company. As of December 31, 2023, the Company is in compliance with all of its financial covenants. |
Other assets and liabilities
Other assets and liabilities | 12 Months Ended |
Dec. 31, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Other assets and liabilities | Other assets and liabilities The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheets as of December 31, 2023 and 2022 (in thousands). December 31, 2023 December 31, 2022 Other assets Interest receivable $ 30,315 $ 20,593 Real estate owned 5,644 2,698 Derivative assets, at fair value 1,321 1,218 Other assets 3,187 2,285 Due from broker 249 801 Total Other assets $ 40,716 $ 27,595 Other liabilities Due to affiliates (1) $ 3,252 $ 3,652 Interest payable 23,715 14,114 Derivative liabilities, at fair value 70 9 Accrued expenses 4,874 1,811 Due to broker 196 7 Total Other liabilities $ 32,107 $ 19,593 (1) Refer to Note 10 for more information. Derivatives The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of December 31, 2023 and 2022 (in thousands). All notional amounts are denominated in USD. Balance Sheet Location December 31, 2023 December 31, 2022 Derivatives and Other Instruments (1) Notional Fair Value Notional Fair Value Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other assets $ 165,000 $ 149 $ 335,000 $ 470 Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other liabilities 338,000 — — — Short TBAs Other assets — — 40,000 650 Short TBAs Other liabilities 9,000 (63) — — Forward Purchase Commitments Other assets 70,145 1,172 924 98 Forward Purchase Commitments Other liabilities 2,566 (7) 7,082 (9) (1) As of December 31, 2023 and 2022, no derivatives held by the Company were designated as hedges for accounting purposes. (2) As of December 31, 2023, the Company applied a reduction in fair value of $9.3 million and $7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2022, the Company applied a reduction in fair value of $17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. (3) As of December 31, 2023, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.65%, a weighted average receive-variable rate of 5.38%, and a weighted average years to maturity of 4.01 years. As of December 31, 2022, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 2.77%, a weighted average receive-variable rate of 4.30%, and a weighted average years to maturity of 4.77 years. Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of December 31, 2023 and 2022, if applicable. The Company has not offset or netted any derivatives or other instruments with any financial instruments or cash collateral posted or received. The Company must post cash or securities as collateral on its derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved. The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty must post collateral. As of December 31, 2023, the Company's restricted cash balance included $12.3 million of collateral related to certain derivatives, of which $10.7 million represents cash collateral posted by the Company and $1.6 million represents amounts related to variation margin. As of December 31, 2022, the Company's restricted cash balance included $9.6 million of collateral related to certain derivatives, of which $1.3 million represents cash collateral posted by the Company and $8.3 million represents amounts related to variation margin. The following table summarizes total income related to derivatives and other instruments for the years ended December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 Included within Net interest component of interest rate swaps Interest Rate Swaps $ 6,680 $ (4,922) Included within Net unrealized gain/(loss) Interest Rate Swaps (24,828) (2,955) Short TBAs (713) 663 Forward Purchase Commitments 1,076 168 (24,465) (2,124) Included within Net realized gain/(loss) Interest Rate Swaps 20,403 129,382 Long TBAs 5 (10,789) Short TBAs (70) 13,578 Forward Purchase Commitments 996 (13,344) 21,334 118,827 Total income/(loss) $ 3,549 $ 111,781 Derivative activity The following tables present information about the Company’s derivatives for the years ended December 31, 2023 and 2022 (in thousands). Beginning Buys or Covers (1) Sales or Shorts Ending Derivative Derivative Year Ended December 31, 2023 Long TBAs $ — $ 10,000 $ (10,000) $ — $ — $ — Short TBAs (2) (40,000) 100,000 (69,000) (9,000) — (63) Interest Rate Swaps 335,000 1,197,000 (1,029,000) 503,000 149 — Year Ended December 31, 2022 Long TBAs $ — $ 1,650,000 $ (1,650,000) $ — $ — $ — Short TBAs (2) (385,963) 1,320,852 (974,889) (40,000) 650 — Interest Rate Swaps 888,500 1,947,000 (2,500,500) 335,000 470 — (1) For the year ended December 31, 2023, interest rate swap buys include interest rate swaps with a notional balance of $82.0 million acquired in the WMC acquisition. (2) |
Earnings per share
Earnings per share | 12 Months Ended |
Dec. 31, 2023 | |
Earnings Per Share [Abstract] | |
Earnings per share | Earnings per share The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the years ended December 31, 2023 and 2022 (in thousands, except per share data). Year Ended December 31, 2023 December 31, 2022 Numerator: Net Income/(Loss) $ 53,784 $ (53,100) Dividends on preferred stock (18,344) (18,344) Net Income/(Loss) Available to Common Stockholders $ 35,440 $ (71,444) Denominator: Basic weighted average common shares outstanding 21,095 22,890 Diluted weighted average common shares outstanding 21,097 22,890 Earnings/(Loss) Per Share Basic $ 1.68 $ (3.12) Diluted $ 1.68 $ (3.12) For the year ended December 31, 2023, the Company excluded the potential effects of the Legacy WMC Convertible Notes from the computation of diluted earnings per share because the market value per share of the Company's common stock was below the conversion price of the Legacy WMC Convertible Notes. Dividends The following tables detail the Company's common stock dividends declared during the years ended December 31, 2023 and 2022. Year Ended December 31, 2023 Year Ended December 31, 2022 Declaration Date Record Date Payment Date Cash Dividend Per Share Declaration Date Record Date Payment Date Cash Dividend Per Share 3/15/2023 3/31/2023 4/28/2023 $ 0.18 3/18/2022 3/31/2022 4/29/2022 $ 0.21 6/15/2023 6/30/2023 7/31/2023 0.18 6/15/2022 6/30/2022 7/29/2022 0.21 9/15/2023 9/29/2023 10/31/2023 0.18 9/15/2022 9/30/2022 10/31/2022 0.21 10/24/2023 11/3/2023 11/8/2023 0.08 12/19/2022 12/30/2022 1/31/2023 0.18 11/20/2023 11/30/2023 1/2/2024 0.05 12/15/2023 12/29/2023 1/31/2024 0.05 Total $ 0.72 Total $ 0.81 The following tables detail the Company's preferred stock dividends declared and paid during the years ended December 31, 2023 and 2022. 2023 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/16/2023 2/28/2023 3/17/2023 $ 0.51563 $ 0.50 $ 0.50 5/4/2023 5/31/2023 6/20/2023 0.51563 0.50 0.50 7/31/2023 8/31/2023 9/18/2023 0.51563 0.50 0.50 11/3/2023 11/30/2023 12/18/2023 0.51563 0.50 0.50 Total $ 2.06252 $ 2.00 $ 2.00 2022 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/18/2022 2/28/2022 3/17/2022 $ 0.51563 $ 0.50 $ 0.50 5/2/2022 5/31/2022 6/17/2022 0.51563 0.50 0.50 8/3/2022 8/31/2022 9/19/2022 0.51563 0.50 0.50 11/3/2022 11/30/2022 12/19/2022 0.51563 0.50 0.50 Total $ 2.06252 $ 2.00 $ 2.00 |
Income taxes
Income taxes | 12 Months Ended |
Dec. 31, 2023 | |
Income Tax Disclosure [Abstract] | |
Income taxes | Income taxes The Company conducts its operations to qualify and be taxed as a REIT. As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution, and stock ownership tests. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise, or business taxes. On December 6, 2023, the Company acquired WMC, an externally managed mortgage REIT. Refer to "WMC Acquisition" in Note 1 for additional information related to the Merger. The Merger is intended to qualify as a reorganization within the meaning of Section 368(a) of the Internal Revenue Code. Excise Tax Excise tax represents a non-deductible 4% tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The expense is calculated in accordance with applicable tax regulations. For the years ended December 31, 2023 and 2022, the Company did not recognize any excise tax. REIT Net Operating Loss and Net Capital Loss Carryforwards As of December 31, 2023 and 2022, the Company had federal net operating loss ("NOL") carryforwards of $2.1 million and $2.1 million, respectively, that can be used to offset future taxable ordinary income and reduce its REIT distribution requirements. These NOL carryforwards (which exclude NOLs acquired from WMC) do not have an expiration date and can be carried forward indefinitely. In connection with the Merger, the Company obtained NOL carryforwards of $321.6 million, of which $223.8 million do not have an expiration date and can be carried forward indefinitely. However, the Company’s use of these obtained NOLs is limited under Section 382 of the Internal Revenue Code. As of December 31, 2023 and 2022, the Company had estimated net capital loss ("NCL") carryforwards of $292.6 million and $286.6 million, respectively, the majority of which were generated during the year ended December 31, 2020 and will expire in 2025. These NCL carryforwards (which exclude the NCLs acquired from WMC) can be utilized to offset future net gains from the sale of capital assets. In connection with the Merger, the Company obtained NCL carryforwards of $143.1 million, of which a majority expire between 2027 and 2028. However, the Company’s use of these obtained NCLs is limited under Sections 382 and 383 of the Internal Revenue Code. Taxable REIT Subsidiaries The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs"). The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. Currently, the Company has wholly owned domestic TRSs that are taxable as corporations and subject to U.S. federal, state, and local income tax on net income at the applicable corporate rates. The federal statutory rate for the years ended December 31, 2023 and 2022 was 21%. The Company’s effective tax rate differs from its combined U.S. federal, state, and local corporate statutory tax rate primarily due to income earned at the REIT, which is not subject to tax, due to the deduction for qualifying distributions made by the Company, and any change in the valuation allowance as disclosed in further detail below. The tax expense attributable to its TRSs is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations. The below table details the tax expense attributable to its TRSs for the years ended December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 Income Tax Expense $ 250 $ 163 Deferred income taxes reflect the net tax effects of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax reporting purposes at the TRS level. The following table discloses the components of the Company’s deferred tax assets and deferred tax liabilities, if applicable, as of December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 Deferred tax assets Net operating loss carryforwards $ 28,142 $ 26,961 Capital loss carryforwards (1) 8,367 298 GAAP/tax basis differences 744 2,980 Total deferred tax assets $ 37,253 $ 30,239 Less: valuation allowance (37,253) (30,239) Net deferred tax assets $ — $ — (1) The capital loss carryforwards outstanding as of December 31, 2023 expire between 2024 and 2028. As of December 31, 2023 and 2022, the Company’s TRSs had an estimated gross NOL carryforward of $134.0 million and $128.4 million, respectively. This includes NOL carryforwards generated prior to 2018 of $7.8 million which will expire between 2033 and 2037. The remaining net operating losses can be carried forward indefinitely. In assessing the realizability of deferred tax assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during periods in which temporary differences become deductible. The Company concluded it is more likely than not the deferred tax asset will not be realized and established a valuation allowance of $37.3 million and $30.2 million as of December 31, 2023 and 2022, respectively. Uncertain Income Tax Positions |
Related party transactions
Related party transactions | 12 Months Ended |
Dec. 31, 2023 | |
Related Party Transactions [Abstract] | |
Related party transactions | Related party transactions Manager The Company has entered into a management agreement with the Manager, which provided for an initial term and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, which became effective July 6, 2011 (upon the consummation of the Company’s initial public offering (the "IPO")), the Manager provides the Company with its management team, including its officers, along with appropriate support personnel. Each of the Company’s officers is an employee of TPG Angelo Gordon. The Company does not have any employees. The Manager has delegated to TPG Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the Company’s management agreement. Below is a description of the fees and reimbursements provided in the management agreement. On November 1, 2023, TPG completed the previously announced acquisition of TPG Angelo Gordon (the "TPG Transaction"), pursuant to which TPG Angelo Gordon, including the Manager, became indirect subsidiaries of TPG. Pursuant to the management agreement with the Manager, the closing of the TPG Transaction resulted in an assignment of the management agreement. The independent directors of the Company's Board of Directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing. There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction. In connection with the Merger with WMC, which was completed on December 6, 2023, and contemporaneously with the execution of the Merger Agreement, on August 8, 2023, the Company and the Manager entered into the MITT Management Agreement Amendment, pursuant to which (i) the Manager’s base management fee will be reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs (i.e., resulting in an aggregate $2.4 million waiver of base management fees), and (ii) the Manager will waive its right to seek reimbursement from the Company for any expenses otherwise reimbursable by the Company under the management agreement in an amount equal to approximately $1.3 million, which is the excess of $7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement. The MITT Management Agreement Amendment became effective automatically upon the closing of the Merger. Management fee The Manager is entitled to a management fee equal to 1.50% per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity. For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s 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. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements. The below table details the management fees incurred during the years ended December 31, 2023 and 2022 (in thousands). Year Ended Consolidated statements of operations line item: December 31, 2023 December 31, 2022 Management fee to affiliate (1) $ 7,711 $ 8,096 (1) For the year ended December 31, 2023, the Manager agreed to waive its right to receive management fees of $0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. As of December 31, 2023 and 2022, the Company recorded management fees payable of $1.5 million and $2.1 million, respectively. The management fee payable is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets. Incentive fee The Manager is entitled to an annual incentive fee with respect to each applicable fiscal year, which will be equal to 15% of the amount by which the Company's cumulative adjusted net income from November 22, 2021 exceeds the cumulative hurdle amount, which represents an 8% return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) $341.5 million and (ii) the gross proceeds of any subsequent public or private common stock offerings by the Company. The annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares. The Manager waived the annual incentive fee with respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee would first be payable with respect to the fiscal year ending December 31, 2023. During the year ended December 31, 2023, the Company did not incur any incentive fee expense. Termination fee Upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of December 31, 2023 and 2022, no event of termination of the management agreement had occurred. Expense reimbursement The Company is required to reimburse the Manager or its affiliates for operating expenses which are incurred by the Manager or its affiliates on behalf of the Company, including expenses relating to legal, accounting, due diligence, and other services. The Company’s reimbursement obligation is not subject to any dollar limitation; however, the reimbursement is subject to an annual budget process which combines guidelines from the management agreement with oversight by the Company’s Board of Directors. The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes, and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance, and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs. In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business. The below table details the expense reimbursement incurred during the years ended December 31, 2023 and 2022 (in thousands). Year Ended Consolidated statements of operations line item: December 31, 2023 December 31, 2022 Non-investment related expenses (1) $ 5,095 $ 4,646 Investment related expenses 467 755 Transaction related expenses 896 2,757 Expense reimbursements to Manager or its affiliates $ 6,458 $ 8,158 (1) For the years ended December 31, 2023 and 2022, the Manager agreed to waive its right to receive expense reimbursements of $1.7 million and $1.5 million, respectively. As of December 31, 2023 and 2022, the Company recorded a reimbursement payable to the Manager or its affiliates of $1.5 million and $1.3 million, respectively. The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets. Restricted stock grants Equity Incentive Plans Effective on April 15, 2020 upon the approval of the Company's stockholders at its 2020 annual meeting of stockholders, the 2020 Equity Incentive Plan provides for a maximum of 666,666 shares of common stock to be issued. The maximum number of shares of common stock granted during a single fiscal year to any non-employee director, taken together with any cash fees paid to such non-employee director during any fiscal year, shall not exceed $300,000 in total value (calculating the value of any such awards based on the grant date fair value). As of December 31, 2023, 464,234 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan. Since inception of the 2020 Equity Incentive Plan and through December 31, 2023, the Company has granted an aggregate of 176,470 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested. On December 6, 2023, in connection with the WMC acquisition, the Company granted an aggregate 25,962 restricted stock units to the Company's two independent directors added to the Company's Board of Directors who previously served on WMC's board of directors. These restricted stock units and associated dividend equivalent units will vest in full on June 23, 2024, 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. Manager Equity Incentive Plans Following approval of the Company's stockholders at its 2021 annual meeting of stockholders, the AG Mortgage Investment Trust, Inc. 2021 Manager Equity Incentive Plan (the "2021 Manager Plan") became effective on April 7, 2021 and provides for a maximum of 573,425 shares of common stock that may be subject to awards thereunder to the Manager. As of December 31, 2023, there were no shares or awards issued under the 2021 Manager Plan. Following the execution of the Third Amendment to the management agreement in November 2021 related to the incentive fee, the Company's compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Equity Incentive Plan. Restricted Stock Awards and Restricted Stock Units The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2023 and 2022. Year Ended December 31, 2023 Year Ended December 31, 2022 Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Shares of Restricted Stock Weighted Average Grant Date Fair Value Unvested at beginning of year — $ — — $ — Granted (1)(2) 87,711 5.63 47,367 6.75 Vested (61,749) 5.67 (47,367) 6.75 Forfeited — — — — Unvested at end of year 25,962 $ 5.55 — $ — (1) The grant date fair value of restricted stock awards is established as the average of the high and low prices of the Company's common stock at the grant date. (2) The grant date fair value of restricted stock units issued in connection with the WMC acquisition is based on the closing market price of the Company's common stock at the grant date. Equity based compensation of $0.4 million and $0.3 million was expensed during the years ended December 31, 2023 and 2022, respectively. Compensation costs related to restricted stock awards represent the grant date fair value of the restricted stock vested. Compensation costs related to restricted stock units issued in connection with the WMC acquisition to certain of the Company’s independent directors are amortized into expense over the vesting period on a straight-line basis. Director compensation As of December 31, 2023, the Company's Board of Directors consisted of six independent directors. The annual base director's fee for each independent director is $150,000, $70,000 of which is payable on a quarterly basis in cash and $80,000 of which is payable on a quarterly basis in shares of restricted common stock. The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter. To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares. All directors’ fees are paid pro rata (and restricted common stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable. These shares may not be sold or transferred by such director during the time of their service as an independent member of the Company’s Board of Directors. In addition to the annual base director's fee, the non-executive chair of the Board receives an annual fee of $60,000, of which $30,000 is payable in cash and $30,000 is payable in shares of restricted common stock, the chair of the Audit Committee receives an annual fee of $25,000, and the chairs of the Compensation and Nominating and Corporate Governance Committees each receive an annual fee of $10,000. As part of the WMC acquisition, two independent board members who previously served on WMC's board of directors were appointed to the Company's board of directors. Investments in debt and equity of affiliates The Company invests in credit sensitive residential assets through affiliated entities which hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by affiliates of TPG Angelo Gordon, in such entities and has applied the equity method of accounting for such investments. Arc Home On December 9, 2015, the Company, alongside private funds managed by TPG Angelo Gordon, through AG Arc, one of the Company’s indirect affiliates, formed Arc Home. The Company has an approximate 44.6% interest in AG Arc. Arc Home originates residential mortgage loans and retains the mortgage servicing rights associated with certain loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary. MATH On August 29, 2017, the Company, alongside private funds managed by TPG Angelo Gordon, formed MATH to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans. MATT made an election to be treated as a REIT beginning with the 2018 tax year. As of December 31, 2023, the Company has an approximate 47.0% interest in MATH. Refer to the "MATH Transaction" section below for additional details on the Company's increase in ownership interest during 2023. As of December 31, 2023, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments. LOTS On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by TPG Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS"). The Company has an approximate 47.5% and 50.0% interest in LOT SP I LLC and LOT SP II LLC, respectively. LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing"). During the year ended December 31, 2023, the Land Related Financing assets held within LOTS paid off in full. Summary of investments in debt and equity of affiliates and related earnings The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of December 31, 2023 and 2022 and the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2023 and 2022 (in thousands). December 31, 2023 December 31, 2022 Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss) Non-QM Securities (1) $ 15,257 $ — $ 15,257 $ 3,992 $ 31,067 $ (16,409) $ 14,658 $ 1,261 Land Related Financing — — — 758 10,688 — 10,688 1,621 Re/Non-Performing Securities 7,569 (3,605) 3,964 782 7,854 (4,406) 3,448 594 Residential investments - Fair value / Net income /(loss) $ 22,826 $ (3,605) $ 19,221 $ 5,532 $ 49,609 $ (20,815) $ 28,794 $ 3,476 AG Arc - Fair value / Net income/(loss) 33,574 — 33,574 (6,922) 39,680 — 39,680 (13,734) Cash and Other assets/(liabilities) 2,361 (53) 2,308 — 3,290 (700) 2,590 — Investments in debt and equity of affiliates / Equity in earnings/(loss) from affiliates $ 58,761 $ (3,658) $ 55,103 $ (1,390) $ 92,579 $ (21,515) $ 71,064 $ (10,258) (1) As of December 31, 2023, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments. Transactions with affiliates Transactions with Red Creek Asset Management LLC In connection with the Company’s investments in residential mortgage loans, the Company engages asset managers to provide advisory, consultation, asset management, and other services. The Company engaged Red Creek Asset Management LLC (the "Asset Manager"), a related party of the Manager and direct subsidiary of TPG Angelo Gordon, as the asset manager for certain of its residential mortgage loans. The Company pays the Asset Manager asset management fees which are assessed periodically by a third-party valuation firm. The below details the fees paid by the Company to the Asset Manager during the years ended December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 Fees paid to Asset Manager $ 2,833 $ 2,742 As of December 31, 2023 and 2022, the Company recorded asset management fees payable of $0.2 million and $0.2 million, respectively. Asset management fees payable are included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets. Transactions with Arc Home Arc Home may sell loans to the Company, third-parties, or affiliates of the Manager. The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and private funds under the management of TPG Angelo Gordon during the years ended December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 Residential mortgage loans sold by Arc Home to the Company $ 674,955 $ 1,086,937 Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon 331,382 212,341 In connection with the sale of loans from Arc Home to the Company, the Company eliminates any intra-entity profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses on the underlying loans. The table below summarizes intra-entity profits eliminated during the years ended December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 Intra-Entity Profits Eliminated $ 1,442 $ 6,032 As of December 31, 2022, the Company recorded a $0.5 million receivable from Arc Home related to certain loans purchased from Arc Home which was recorded within the "Other assets" line item on the consolidated balance sheets. The Company received payment for the full amount from Arc Home during year ended December 31, 2023. The Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives. From time to time, the Company may determine that certain loans it has previously committed to purchase will be sold to third parties and, as a result, the derivative will be settled on a net basis with Arc Home. See Note 7 and Note 12 for more detail. During the year ended December 31, 2022, the Company determined that certain loans that it had previously committed to purchase from Arc Home would be sold to third parties. The Company net settled its commitment to purchase these loans with Arc Home for $0.8 million, which represented the difference between the Company's committed price and the ultimate sale price, inclusive of costs to sell the loans. The settlement of these derivatives was recorded within the "Net realized gain/(loss)" and "Transaction related expenses" line items on the consolidated statement of operations. Transactions under the Company's Affiliated Transaction Policy The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager ($ in millions). The transactions were executed in accordance with the Company's Affiliated Transaction Policy. Refer to the "Transactions with Arc Home" section above for additional information related to transactions with Arc Home, which are excluded from the table below. Date Transaction Fair Value (1) Pricing Methodology June 2023 Purchase of Real Estate Securities $ 0.3 Competitive bidding process (2) November 2023 Purchase of Real Estate Securities (4) 4.8 Third party pricing vendors (3) November 2023 Purchase of MATH (4) 0.9 Third party pricing vendors (3) (1) As of the transaction date. (2) The Company submitted an offer to purchase the securities from an affiliate in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution. (3) Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy. (4) Refer to the "MATH Transaction" below. MATH Transaction In November 2023, the Company's 44.6% allocation of certain bonds retained from past securitizations and held through its investment in MATH was transferred directly to the Company and the Company purchased an additional 13.1% of these bonds from other funds managed by TPG Angelo Gordon who were invested in MATH alongside the Company. These bonds are currently recorded in the Company's "Real estate securities, at fair value" line item on the consolidated balance sheets. Additionally, the Company purchased an additional interest in MATH from other funds managed by TPG Angelo Gordon, increasing its ownership interest in MATH from 44.6% to 47.0%. Subsequent to this transaction, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments. |
Equity
Equity | 12 Months Ended |
Dec. 31, 2023 | |
Equity [Abstract] | |
Equity | Equity Stock repurchase programs On November 3, 2015, the Company’s Board of Directors authorized a stock repurchase program to repurchase up to $25.0 million of the Company's outstanding common stock (the "2015 Repurchase Program"). As of June 30, 2022, the $25.0 million maximum repurchase amount authorized under the 2015 Repurchase Program was fully utilized. The table below details the Company's share repurchases under the 2015 Repurchase Program during the year ended December 31, 2022. Three Months Ended (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2) March 31, 2022 — $ — — $ 11,043,506 June 30, 2022 1,433,851 7.70 1,433,851 — 2022 Total 1,433,851 $ 7.70 1,433,851 $ — (1) Based on trade date. (2) Includes brokerage commissions and clearing fees. On August 3, 2022, the Company's Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2015 Repurchase Program. The 2022 Repurchase Program does not have an expiration date and permits the Company to repurchase its shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans. The Company may repurchase shares of its common stock from time to time in compliance with SEC regulations and other legal requirements. The extent to which the Company repurchases its shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by the Company’s management, as well as the limits of the 2022 Repurchase Program and the Company's liquidity and business strategy. The 2022 Repurchase Program does not obligate the Company to acquire any particular amount of shares and may be modified or discontinued at any time. As of December 31, 2023, approximately $1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program. The table below details the Company's share repurchases under the 2022 Repurchase Program during the years ended December 31, 2023 and 2022. Three Months Ended (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2) 2023 March 31, 2023 923,261 $ 5.68 923,261 $ 2,569,940 June 30, 2023 187,020 5.93 187,020 1,461,810 September 30, 2023 — — — 1,461,810 December 31, 2023 — — — 1,461,810 2023 Total 1,110,281 $ 5.72 1,110,281 $ 1,461,810 2022 September 30, 2022 384,587 $ 6.08 384,587 $ 12,660,645 December 31, 2022 852,927 5.68 852,927 7,817,003 2022 Total 1,237,514 $ 5.81 1,237,514 $ 7,817,003 (1) Based on trade date. (2) Includes brokerage commissions and clearing fees. On May 4, 2023, the Company's Board of Directors authorized a stock repurchase program (the "2023 Repurchase Program") to repurchase up to $15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2022 Repurchase Program. As of December 31, 2023, the full $15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program. This authorization is in addition to the amount remaining under the 2022 Repurchase Program. On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $20.0 million. No share repurchases under the Preferred Repurchase Program have been made since its authorization. Shares of stock repurchased by the Company under any repurchase program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its stock as required by Maryland law. The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings. Equity distribution agreements The Company has entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933. The Company did not issue any shares of common stock under the Equity Distribution Agreements during the years ended December 31, 2023 and 2022. Since inception of the program, the Company has issued approximately 2.2 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $48.3 million. Shelf registration statement On May 7, 2021, the Company filed a new shelf registration statement, registering up to $1.0 billion of its securities, including capital stock (the "2021 Registration Statement"). The 2021 Registration Statement became effective on May 26, 2021 and will expire on May 28, 2024. Upon effectiveness of the 2021 Registration Statement, the Company's previous registration statement filed in 2018 was terminated. Preferred stock The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $0.01 per share, in one or more classes or series. As of December 31, 2023 and 2022, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding. The following table includes a summary of preferred stock issued and outstanding as of December 31, 2023 ($ and shares in thousands). Preferred Stock Series Issuance Date Shares Outstanding Carrying Value Aggregate Liquidation Preference (1) Optional Redemption Rate (3)(4) Series A Preferred Stock August 3, 2012 1,663 $ 40,110 $ 41,580 August 3, 2017 8.25 % Series B Preferred Stock September 27, 2012 3,728 90,187 93,191 September 17, 2017 8.00 % Series C Preferred Stock September 17, 2019 3,729 90,175 93,220 September 17, 2024 8.000 % Total 9,120 $ 220,472 $ 227,991 (1) The Company's Preferred Stock has a liquidation preference of $25.00 per share. (2) Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. Shares of the Company’s Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option. Shares of the Company's Series C Preferred Stock may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for Federal income tax purposes. (3) The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000% per annum of the $25.00 per share liquidation preference. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by the existing LIBOR cessation fallback language) plus a spread of 6.476% per annum. (4) Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective stated rate per annum before holders of common stock are entitled to receive any cash dividends. The Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, holders of the Company's Series A Preferred Stock, Series B |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 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. As of December 31, 2023, the Company was not involved in any material legal proceedings. The below table details the Company's outstanding commitments as of December 31, 2023 (in thousands). Commitment Type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Non-Agency and Agency-Eligible Loans (1) Various $ 74,198 $ — $ 74,198 (1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of December 31, 2023. Refer to Note 10 "Transactions with affiliates" for more information. |
Investments in unconsolidated e
Investments in unconsolidated equity method affiliates | 12 Months Ended |
Dec. 31, 2023 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Investments in unconsolidated equity method affiliates | Investments in unconsolidated equity method affiliates The following table details the summarized balance sheets for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2023 and 2022 (in thousands). December 31, 2023 December 31, 2022 AG Arc (1) Non-QM Loans (2) Re/Non-Performing Securities (3) Total Assets Loans and real estate securities, at fair value $ 152,536 $ 32,463 $ 33,400 $ 218,399 $ 174,858 Mortgage servicing rights, at fair value 84,980 — — 84,980 91,569 Cash and cash equivalents 13,930 2,743 3,653 20,326 27,127 Restricted cash 337 — — 337 459 Other assets (4) 38,322 548 104 38,974 46,607 Total Assets $ 290,105 $ 35,754 $ 37,157 $ 363,016 $ 340,620 Liabilities Financing arrangements $ 169,476 $ — $ 15,910 $ 185,386 $ 120,010 Other liabilities (4) 45,332 31 168 45,531 54,031 Total Liabilities 214,808 31 16,078 230,917 174,041 Total Members' Equity Total Member's equity 75,297 35,723 21,079 132,099 166,579 Total Liabilities & Members' Equity $ 290,105 $ 35,754 $ 37,157 $ 363,016 $ 340,620 The Company's Investments in debt and equity of affiliates $ 33,574 $ 16,750 $ 4,779 $ 55,103 $ 71,064 (1) As of December 31, 2023, the Company has an approximate 44.6% interest in AG Arc. (2) As of December 31, 2023, the Company has an approximate 47.0% interest in MATH. (3) As of December 31, 2023, the Company has an approximate 22.7% interest in the entity which holds Re/Non-Performing Securities. (4) Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due). When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability. As of December 31, 2023 and 2022, Other assets and Other liabilities included loans eligible to be repurchased in the amount of $31.5 million and $36.7 million, respectively. The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method for the years ended December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 AG Arc (1) Non-QM Loans (2) Land Related Financing (3) Re/Non-Performing Securities (4) Total Net Interest Income Interest income $ 12,008 $ 9,195 $ 2,069 $ 4,295 $ 27,567 $ 27,958 Interest expense 13,017 1,400 — 1,270 15,687 11,912 Total Net Interest Income (1,009) 7,795 2,069 3,025 11,880 16,046 Other Income/(Loss) Net realized gain/(loss) 14,177 (8,845) — — 5,332 22,897 Net unrealized gain/(loss) (13,059) 10,628 — 621 (1,810) (11,434) Other income/(loss), net (5) 24,490 — — — 24,490 22,404 Total Other Income 25,608 1,783 — 621 28,012 33,867 Expenses 36,886 488 521 194 38,089 58,544 Net Income/(Loss) $ (12,287) $ 9,090 $ 1,548 $ 3,452 $ 1,803 $ (8,631) The Company's Equity in earnings/(loss) from affiliates $ (6,922) $ 3,992 $ 758 $ 782 $ (1,390) $ (10,258) (1) The Company has an approximate 44.6% interest in AG Arc. The Company's equity in earnings/(loss) from AG Arc does not include $1.4 million and $6.0 million of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company for the years ended December 31, 2023 and 2022, respectively. Refer to Note 2 and Note 10 for more information on this accounting policy. (2) As of December 31, 2023, the Company has an approximate 47.0% interest in MATH. During 2023, the Company increased its ownership in MATH from 44.6% to 47.0%. See Note 10 for more information on this transaction. (3) The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. (4) The Company has an approximate 22.7% interest in the entity which holds Re/Non-Performing Securities. (5) "Other income/(loss), net" at AG Arc includes servicing revenue. Refer to Note 2 and Note 10 for more detail on the Company’s investments in unconsolidated equity method affiliates. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2023 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On January 26, 2024, the Company completed the issuance of $34.5 million aggregate principal amount of its 9.500% Senior Notes due 2029 for net proceeds of approximately $32.8 million in a public offering pursuant to the Company’s effective registration statement on Form S-3 (File No. 333-255931) filed with the SEC pursuant to Rule 424(b) under the Securities Act. The Company repurchased $7.1 million of aggregate principal amount of its outstanding Legacy WMC Convertible Notes. The Company executed a rated Non-Agency securitization, in which loans with a total unpaid principal balance of $377.5 million were securitized, converting financing from recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls. The Company announced that on February 16, 2024 its Board of Directors declared first quarter 2024 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $0.51563, $0.50 and $0.50 per share, respectively. The dividends will be paid on March 18, 2024 to holders of record on February 29, 2024. |
Summary of significant accoun_2
Summary of significant accounting policies (Policies) | 12 Months Ended |
Dec. 31, 2023 | |
Accounting Policies [Abstract] | |
Use of estimates | Use of estimates The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. |
Valuation of financial instruments | Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below: • Level 1 – Quoted prices in active markets for identical assets or liabilities. • Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar assets and liabilities in active markets. • Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. Transfers between levels are assumed to occur at the beginning of the reporting period. The fair value of the Company's financial instruments is determined in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets. Level 3 inputs are significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used and reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. |
Accounting for loans | Accounting for loans Investments in loans are recorded in accordance with ASC 310-10, "Receivables" and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. Loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Loans held-for-sale are accounted for under ASC 948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets in the "Residential mortgage loans held for sale" line item. Estimated costs incurred to sell the loans are included within the fair value of the loans held for sale. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all loan activities will be recorded in a similar manner. As such, loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. Purchases and sales of loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30. Mortgage loans that are delinquent 60 or more days are considered non-performing for purposes of this determination. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults, and liquidations. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The Company accrues interest income on its loan portfolio. Loans are typically moved to non-accrual status and income recognition is suspended if the loan becomes 90 days or more delinquent. A loan is written off when it is no longer realizable and/or legally discharged. |
Accounting for real estate securities | Accounting for real estate securities Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities" or ASC 325-40, "Beneficial Interests in Securitized Financial Assets." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date. |
Investments in debt and equity of affiliates | Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." Substantially all of the Company’s investments held through affiliated entities are comprised of real estate securities, loans and its interest in AG Arc LLC ("AG Arc"). Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825; as such, the Company will treat these financial instruments and financing arrangements consistently with this election. Income or losses recognized by the Company from its investments in debt and equity of affiliates are recorded in the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes. Arc Home From time to time, the Company acquires newly originated residential mortgage loans from Arc Home. In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc. In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses. |
Investment consolidation | Investment consolidation An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of Accounting Standards Codification ("ASC") 810-10, "Consolidation" are required to be consolidated by their 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 from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances. A Special Purpose Entity ("SPE") is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Non-Agency VIEs and RPL/NPL VIEs. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all activities will be recorded in a similar manner. The Company applied the guidance under ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Non-Agency VIEs and RPL/NPL VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs. Transfers of financial assets The Company may periodically enter into transactions in which it transfers assets to a third-party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, "Transfers and Servicing" a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term "participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair value. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "Securitized residential mortgage loans, at fair value" on the consolidated balance sheets, depending upon the structure of the securitization transaction. ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." |
Accounting for business combinations | Accounting for business combinations When the assets acquired and liabilities assumed constitute a business, the acquisition is a business combination. Business combinations are accounted for under ASC 805, "Business Combinations" using the acquisition method which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. Goodwill is calculated as the excess of the consideration transferred over the net assets acquired that meet the criteria for separate recognition and represents the estimated future economic benefits arising from these and other assets acquired that could not be individually identified or do not qualify for recognition as a separate asset. Likewise, a bargain purchase gain is recognized in current earnings when the aggregate fair value of the consideration transferred is less than the fair value of the identifiable net assets acquired. Acquisition related costs recognized in connection with a business combination are expensed as incurred. The results of operations of acquired businesses are included from the date of acquisition. In a business combination, the initial allocation of the purchase price is considered preliminary and therefore subject to change until the end of the measurement period (up to one year from the acquisition date). If the initial accounting for a business combination is incomplete by the end of the reporting period in which the combination occurs, a measurement-period adjustment will be recognized during the period in which the amount of the adjustment is determined, including the effect on earnings of any amounts that would have been recorded in previous periods if the accounting had been completed at the acquisition date. |
Cash and cash equivalents | Cash and cash equivalents Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. As of December 31, 2023 the Company held $111.5 million of cash and cash equivalents, of which $95.7 million were cash equivalents. As of December 31, 2022, the Company held $84.6 million of cash and cash equivalents, of which $0.4 million were cash equivalents. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and changes in cash held by the Company as collateral are included in cash flows from financing activities on the consolidated statement of cash flows. "Other liabilities" does not include variation margin received on centrally cleared derivatives. Refer to the "Accounting for derivative financial instruments" policy below for additional detail. Any cash due to the Company in the form of principal payments is included in the "Other assets" line item on the consolidated balance sheets and any changes in principal payments due to the Company are included in the cash flows from operating activities on the consolidated statement of cash flows. |
Restricted cash | Restricted cash |
Accounting for real estate owned | Accounting for real estate ownedReal Estate Owned ("REO") represents real estate property acquired by the Company through foreclosure and classified as held for sale. Upon completion of a foreclosure, the Company initially records an REO at fair value less estimated costs to sell the property. In subsequent periods, REO is reported at the lower of the current carrying amount or fair value less estimated selling costs. REO is included in the "Other assets" line item on the consolidated balance sheets. Any gains or losses recognized on foreclosure as well as realized gains or losses on the disposition of REO are reported by the Company in "Net realized gain/(loss)" line item on the consolidated statements of operations. |
Financing arrangements and Accounting for convertible senior unsecured notes | Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements primarily include repurchase agreements, but may also include revolving facilities. Repurchase agreements are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and revolving facilities approximates fair value. The Company pledges certain loans or securities as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the loans or securities pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance, and real estate industries. If the fair value of pledged assets declines due to changes in market conditions, lenders typically would require 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, referred to as margin calls. The fair value of financial instruments pledged as collateral on the Company’s financing arrangements represents the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties. The Company maintains a level of liquidity in order to meet these obligations. If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to the Company in the form of securities or cash or post additional collateral to the Company. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of December 31, 2023 and 2022, the Company had met all margin call requirements. Accounting for convertible senior unsecured notes Convertible senior unsecured notes ("Legacy WMC Convertible Notes") were assumed in connection with the WMC acquisition and initially recorded at fair value in accordance with ASC 805, "Business Combinations." The Legacy WMC Convertible Notes are carried at amortized cost on the Company’s consolidated balance sheets. Interest on the notes is payable semiannually until such time as the notes mature or are converted into shares of the Company’s common stock. The difference between the carrying value and the principal of the Legacy WMC Convertible Notes is amortized into interest expense over the life of the Legacy WMC Convertible Notes. |
Accounting for derivative financial instruments | Accounting for derivative financial instruments Derivative contracts The Company enters into derivative contracts as a means of mitigating interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value with corresponding changes in fair value recognized in the "Net unrealized gain/loss" line item in consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis with respect to its counterparties. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations. As of December 31, 2023 and 2022, the Company did not have any interest rate derivatives designated as hedges for accounting purposes. Interest rate swaps The Company uses interest rate swaps to mitigate its exposure to potential interest rate mismatches between the interest earned on its investments and its borrowing costs on financing arrangements caused by fluctuations in short-term interest rates. 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. Variation margin The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House, the central clearinghouses ("CCPs") through which those derivatives are cleared. In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts. Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets. The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. The daily receipt or payment is included as a settlement of the derivative in cash flows from investing activities on the consolidated statement of cash flows. The carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments. As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period. To-be-announced securities A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item "Net unrealized gain/(loss)." Forward purchase commitments The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price. Actual loan purchases are contingent upon successful loan closings. The counterparties deliver the committed loans on either a mandatory basis or best-efforts basis. These commitments to purchase mortgage loans are classified as derivatives and are therefore recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations. Derivatives with a positive fair value to the Company are reported as assets and derivatives with a negative fair value to the Company are reported as liabilities. |
Earnings/(Loss) per share | Earnings/(Loss) per share In accordance with ASC 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units using the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. Potential dilutive shares are excluded from the calculation if they have an anti-dilutive effect in the period. |
Interest income recognition | Interest income recognition Interest income on the Company’s loan and securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans or securities. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all loans and securities accounted for under the fair value option in accordance with ASC 825, "Financial Instruments." As such, premiums and discounts are amortized or accreted into interest income over the lives of the loans or securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations. For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and anticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield retrospectively through the reporting date. Similarly, the Company also reassesses cash flows on at least a quarterly basis for the remaining loans and real estate securities recorded on its consolidated balance sheets. In estimating these cash flows, there are a number of assumptions made that are uncertain and subject to judgments and assumptions based on subjective and objective factors and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment. |
Manager compensation | Manager compensation |
Transaction related expenses | Transaction related expenses |
Income taxes | Income taxes The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company generally will not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles. Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend. Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other subsidiaries as TRSs. In general, a TRS is utilized to hold assets and engage in activities that the Company cannot hold or engage in directly. Generally, a TRS may engage in any real estate or non-real estate-related business. A domestic TRS may declare dividends to the Company which will be included in the Company’s taxable income/(loss) which may necessitate a distribution to stockholders. Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state and local corporate income taxes. The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. The Company evaluates uncertain income tax positions, if any, in accordance with ASC 740, "Income Taxes." The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. |
Dividends on Preferred Stock | Dividends on Preferred Stock |
Offering costs | Offering costs The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings, and exchanges. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings. |
Recent accounting pronouncements | Recent accounting pronouncements Reference rate reform In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting and may be elected over time as reference rate reform activities occur. This ASU is effective as of March 12, 2020 and was amended by ASU 2022-06 to sunset on December 31, 2024. The ASU applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued. However, it cannot be applied to contract modifications that occur after December 31, 2024. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date. The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance. The Company has transitioned from LIBOR to an alternative benchmark. The adoption of ASU 2020-04 and the LIBOR transition did not have a material impact on the consolidated financial statements. The Company's primary exposure to LIBOR has historically included its financing arrangements and derivative contracts. In addition, the Company's Series C Preferred Stock is set to transition to a floating rate in September of 2024. At the time of transition, the Company no longer had derivative contracts indexed to LIBOR and all LIBOR-based financing arrangements transitioned to alternative benchmark rates. The Company does not currently intend to amend the Series C Preferred Stock to change the existing LIBOR cessation fallback language. Debt with conversion and other options In August 2020, 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. This ASU is effective for the year ended December 31, 2024. The Company has evaluated the impact this standard will have on its consolidated financial statement and does not believe the adoption of this standard will have a material impact on its consolidated financial statements. |
Organization (Tables)
Organization (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Summary of Investment Groups | The Company's asset classes are primarily comprised of the following: Asset Class Description Residential Investments Non-Agency Loans (1) • Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau. Agency-Eligible Loans (1) • Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations. Re- and Non-Performing Loans (1) • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. Non-Agency RMBS (2) • Non-Agency Residential Mortgage-Backed Securities ("RMBS") represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. Agency RMBS (2) • Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. Legacy WMC Commercial Investments (3) Commercial Loans (4) • Commercial loans represent first lien commercial mortgage loans participations. CMBS (2) • Commercial Mortgage-Backed Securities ("CMBS") represent investments of fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. (1) These investments are included in the "Securitized residential mortgage loans, at fair value," "Residential mortgage loans, at fair value," and "Residential mortgage loans held for sale, at fair value" line items on the consolidated balance sheets. (2) These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets. (3) The Company's investments include commercial loans, CMBS and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. The Company expects to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments. (4) These investments are included in the "Commercial loans, at fair value" line item on the consolidated balance sheets. |
Schedule of Recognized Identified Assets Acquired and Liabilities Assumed | The following table summarizes the allocation of the total consideration paid to acquire the assets and assume the liabilities of WMC (in thousands, except exchange ratio and per share amounts). Consideration WMC shares outstanding at December 5, 2023 (1) 6,143 Exchange Ratio 1.498 Shares of MITT Common Stock Issued 9,202 MITT Common Stock Price as of December 5, 2023 $ 5.56 MITT Total Consideration (2) $ 51,163 Assets Securitized residential mortgage loans (3) $ 971,781 Residential mortgage loans (3) 6,046 Commercial loans 78,459 Non-Agency RMBS 48,200 CMBS 56,301 Other securities 1,159 Agency RMBS 745 Cash and cash equivalents 5,316 Restricted cash 873 Other assets 24,654 Total Assets $ 1,193,534 Liabilities Securitized debt $ 837,317 Financing arrangements 171,170 Convertible senior unsecured notes 85,172 Other liabilities 18,522 Total Liabilities $ 1,112,181 Net Assets Acquired $ 81,353 Bargain purchase gain $ 30,190 (1) For time-based restricted stock units granted by WMC that fully vested as of the Closing Date, the fair value of the Company’s common stock issued in the satisfaction of these units was included in equity consideration transferred as no post acquisition service was required. (2) MITT Total Consideration does not include the Per Share Additional Manager Consideration paid by the Manager to former holders of WMC Common Stock. (3) The unpaid principal balance of residential mortgage loans acquired in connection with the Merger was $1.1 billion. |
Business Acquisition, Pro Forma Information | Unaudited Supplemental Pro Forma Financial Information The following table presents unaudited pro forma combined interest income and net income/(loss) available to common stockholders for the years ended December 31, 2023 and 2022 prepared as if the Merger had been consummated on January 1, 2022 ($ in thousands). Year Ended December 31, 2023 December 31, 2022 Interest income $ 330,267 $ 254,853 Net Income/(Loss) Available to Common Stockholders 4,914 (158,152) |
Loans (Tables)
Loans (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Receivables [Abstract] | |
Schedule of Company's Residential Mortgage Loan Portfolio and Commercial Loan Portfolio | The tables below detail information regarding the Company’s residential mortgage loan portfolio as of December 31, 2023 and 2022 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2023 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency Loans (3) $ 5,599,960 $ (32,250) $ 5,567,710 $ 29,603 $ (422,144) $ 5,175,169 5.19 % 5.51 % 10.37 Re- and Non-Performing Loans 217,098 (17,465) 199,633 199 (16,720) 183,112 3.88 % 6.30 % 6.10 Total Securitized residential mortgage loans, at fair value $ 5,817,058 $ (49,715) $ 5,767,343 $ 29,802 $ (438,864) $ 5,358,281 5.14 % 5.54 % 10.21 Residential mortgage loans, at fair value Non-Agency Loans $ 92,033 $ 835 $ 92,868 $ 2,222 $ (574) $ 94,516 8.10 % 7.29 % 3.14 Agency-Eligible Loans 212,350 3,535 215,885 4,824 — 220,709 7.94 % 7.28 % 3.37 Re- and Non-Performing Loans 2,604 (1,630) 974 1,432 — 2,406 N/A 112.97 % 1.69 Total Residential mortgage loans, at fair value $ 306,987 $ 2,740 $ 309,727 $ 8,478 $ (574) $ 317,631 7.99 % 8.08 % 3.29 Total as of December 31, 2023 $ 6,124,045 $ (46,975) $ 6,077,070 $ 38,280 $ (439,438) $ 5,675,912 5.28% 5.68% 9.86 Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2022 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency Loans (3) $ 3,841,265 $ 63,576 $ 3,904,841 $ — $ (468,640) $ 3,436,201 4.82 % 4.65 % 10.20 Re- and Non-Performing Loans 325,120 (36,982) 288,138 1,972 (19,165) 270,945 3.68 % 6.66 % 6.33 Total Securitized residential mortgage loans, at fair value $ 4,166,385 $ 26,594 $ 4,192,979 $ 1,972 $ (487,805) $ 3,707,146 4.73 % 4.80 % 9.90 Residential mortgage loans, at fair value Non-Agency Loans (4) $ 406,294 $ (7,902) $ 398,392 $ 2,775 $ (30,006) $ 371,161 5.36 % 5.54 % 6.14 Agency-Eligible Loans (4) 48,657 18 48,675 94 (1,907) 46,862 6.00 % 5.99 % 4.73 Re- and Non-Performing Loans 3,520 (2,000) 1,520 1,908 — 3,428 N/A 72.78 % 1.87 Total Residential mortgage loans, at fair value $ 458,471 $ (9,884) $ 448,587 $ 4,777 $ (31,913) $ 421,451 5.43 % 6.13 % 5.96 Total as of December 31, 2022 $ 4,624,856 $ 16,710 $ 4,641,566 $ 6,749 $ (519,718) $ 4,128,597 4.80 % 4.93 % 9.51 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgage loans, periodic payments of principal, and prepayments of principal. (2) Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets. (3) Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization. (4) Includes fair value of $46.8 million and $18.2 million of Non-Agency Loans and Agency-Eligible Loans, respectively, classified as held for sale and presented in the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of December 31, 2022. During the year ended December 31, 2023, the Company purchased residential mortgage loans as detailed below (in thousands). Unpaid Principal Balance Fair Value Residential mortgage loan purchases Non-Agency Loans $ 577,968 $ 587,643 Agency-Eligible Loans 640,798 642,010 Total $ 1,218,766 $ 1,229,653 Residential mortgage loans acquired from WMC (1) Securitized Non-Agency Loans $ 1,057,830 $ 971,781 Non-Agency Loans 6,566 6,046 Total $ 1,064,396 $ 977,827 (1) Refer to Note 1 for additional details on the WMC acquisition. During the years ended December 31, 2023 and 2022, the Company sold residential mortgage loans as detailed below ($ in thousands). Number of Loans Proceeds Realized Gains Realized Losses Year Ended December 31, 2023 Non-Agency Loans 587 $ 330,742 $ 1,960 $ (13,272) Agency-Eligible Loans 47 18,474 69 (85) Re- and Non-Performing Loans 560 68,693 3,729 (4,068) Year Ended December 31, 2022 Non-Agency Loans 18 $ 10,049 $ — $ (1,133) Agency-Eligible Loans 150 43,718 37 (2,623) The table below details information regarding the Company's Legacy WMC Commercial loan portfolio as of December 31, 2023 ($ in thousands), which was acquired in the WMC acquisition. For additional information on the WMC acquisition, refer to Note 1. The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). The Company did not hold any commercial loans as of December 31, 2022. December 31, 2023 Premium / (Discount) Amortized Cost Gross Unrealized Gains Fair Value Weighted Average Maturity Date (5) LTV (6) Location Loan (1)(2)(3) Unpaid Principal Balance Coupon Yield Life (Years) (4) Loan A (7) $ 7,259 $ (137) $ 7,122 $ 12 $ 7,134 9.55 % 10.16 % 1.44 5/6/2025 61.63 % IL, FL Loan B (7) 13,206 (249) 12,957 22 12,979 9.55 % 10.16 % 1.44 5/6/2025 75.33 % CA Loan C (7) 24,535 (463) 24,072 40 24,112 9.55 % 10.16 % 1.44 5/6/2025 77.22 % NY Loan D (8) 22,204 (147) 22,057 21 22,078 8.72 % 8.17 % 1.69 8/6/2025 42.50 % CT Total $ 67,204 $ (996) $ 66,208 $ 95 $ 66,303 9.27 % 9.50 % 1.52 63.61 % (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Each commercial loan investment is a first mortgage loan. (3) Each commercial loan has a current payment status. (4) Actual maturities of commercial loans may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal. (5) Represents maturity date of the last possible extension option. (6) Represents the LTV at acquisition. (7) Loans A, B, and C have a floating rate coupon equal to 4.20% plus one-month SOFR and are collateralized by hotels. (8) |
Summary of Credit Quality Information on Residential Mortgage Loans | The following tables present information regarding credit quality of the Company's residential mortgage loans ($ in thousands). Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3) December 31, 2023 Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days Securitized residential mortgage loans Non-Agency Loans $ 5,599,960 13,460 66.65 % 748 $ 5,446,631 $ 68,242 $ 30,873 $ 54,214 Re- and Non-Performing Loans 217,098 1,495 79.80 % 657 154,632 17,145 4,780 40,541 Total Securitized residential mortgage loans $ 5,817,058 14,955 67.14 % 744 $ 5,601,263 $ 85,387 $ 35,653 $ 94,755 Residential mortgage loans Non-Agency Loans $ 92,033 170 74.79 % 730 $ 83,582 $ 1,010 $ 615 $ 6,826 Agency-Eligible Loans 212,350 536 71.99 % 777 211,499 851 — — Re- and Non-Performing Loans (1) 2,604 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans $ 306,987 706 72.83 % 764 $ 295,081 $ 1,861 $ 615 $ 6,826 Total as of December 31, 2023 $ 6,124,045 15,661 67.42 % 745 $ 5,896,344 $ 87,248 $ 36,268 $ 101,581 Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3) December 31, 2022 Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days Securitized residential mortgage loans Non-Agency Loans $ 3,841,265 9,008 68.20 % 739 $ 3,789,748 $ 31,272 $ 8,661 $ 11,584 Re- and Non-Performing Loans 325,120 2,226 79.61 % 643 220,124 34,865 10,937 59,194 Total Securitized residential mortgage loans $ 4,166,385 11,234 69.09 % 731 $ 4,009,872 $ 66,137 $ 19,598 $ 70,778 Residential mortgage loans Non-Agency Loans $ 406,294 655 71.22 % 734 $ 399,036 $ 4,967 $ 1,404 $ 887 Agency-Eligible Loans 48,657 138 70.94 % 749 47,918 739 — — Re- and Non-Performing Loans (1) 3,520 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans $ 458,471 793 71.19 % 735 $ 446,954 $ 5,706 $ 1,404 $ 887 Total as of December 31, 2022 $ 4,624,856 12,027 69.29 % 731 $ 4,456,826 $ 71,843 $ 21,002 $ 71,665 (1) Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. (2) Amounts are weighted based on unpaid principal balance. (3) As of December 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $41.7 million and loans in the process of foreclosure with a fair value of $51.8 million. As of December 31, 2022, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $31.4 million and loans in the process of foreclosure with a fair value of $33.7 million. (4) Represents the original LTV or, for Re- and Non-Performing Loans and Non-Agency Loans acquired from WMC, the LTV at acquisition. (5) |
Schedule of Certain Concentrations of Credit Risk Within the Company's Mortgage Loan Portfolio | The following is a summary of the geographic concentration of credit risk as of December 31, 2023 and 2022 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio. Geographic Concentration of Credit Risk (1) December 31, 2023 December 31, 2022 California 38 % 33 % New York 13 % 16 % Florida 10 % 11 % Texas 6 % 5 % New Jersey 5 % 6 % (1) Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. |
Schedule of Variable Interest Entities | The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 December 31, 2022 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value (2) $ 5,175,169 5.51 % 10.37 $ 3,436,201 4.65 % 10.20 Other assets 25,105 15,350 Total Assets $ 5,200,274 $ 3,451,551 Liabilities Securitized debt, at fair value (2) (3) $ 4,597,490 4.94 % 7.52 $ 3,078,593 4.18 % 7.49 Other liabilities 17,269 10,956 Total Liabilities $ 4,614,759 $ 3,089,549 Total Equity (4) $ 585,515 $ 362,002 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (2) Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization. (3) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs. (4) As of December 31, 2023 and 2022, the Company had outstanding financing arrangements of $301.2 million and $197.9 million, respectively, collateralized by $578.8 million and $357.6 million of the Company's retained interests in the Non-Agency VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 December 31, 2022 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value $ 183,112 6.30 % 6.10 $ 270,945 6.66 % 6.33 Restricted cash 10 1,194 Other assets 2,056 3,714 Total Assets $ 185,178 $ 275,853 Liabilities Securitized debt, at fair value (2) $ 114,133 3.25 % 3.77 $ 183,759 3.10 % 3.13 Other liabilities 328 386 Total Liabilities $ 114,461 $ 184,145 Total Equity (3) $ 70,717 $ 91,708 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (2) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the RPL/NPL VIEs. (3) As of December 31, 2023 and 2022, the Company had outstanding financing arrangements of $44.9 million and $34.2 million, respectively, collateralized by $67.1 million and $66.4 million of the Company's retained interests in the RPL/NPL VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table summarizes the Company’s investment in unconsolidated VIEs as of December 31, 2023 and 2022 (in thousands). December 31, 2023 December 31, 2022 Current Face Fair Value Current Face Fair Value Retained interest in unconsolidated VIEs GCAT Non-Agency Securities $ 43,794 $ 32,542 $ 14,894 $ 9,859 GCAT Non-Agency RMBS Interest Only (1) N/A 4,991 N/A 5,058 Total retained interest in unconsolidated VIEs (2) (3) $ 43,794 $ 37,533 $ 14,894 $ 14,917 (1) Interest Only have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on the interest only classes of securities. As of December 31, 2023 and 2022, the notional balances for GCAT Non-Agency RMBS Interest Only line item were $98.3 million and $108.5 million, respectively. (2) Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs. The Company has no obligation to provide any other explicit or implicit support to the securitization trust. (3) As of December 31, 2023 and 2022, the Company held securities exposed to the first loss of the securitization with a fair value of $4.1 million and $4.1 million, respectively. The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of December 31, 2023 and 2022 ($ in thousands). Assets transferred to unconsolidated VIEs December 31, 2023 December 31, 2022 Total unpaid principal balance of loans outstanding (1) $ 450,366 $ 132,509 Weighted average coupon on loans outstanding 5.67 % 5.62 % Percent of unpaid principal balance greater than 90 days delinquent (2) 1.94 % 1.32 % (1) The Company contributed approximately 40.9% of the unpaid principal balance into one of the securitization trusts and, through the Company's investment in MATH, contributed approximately 44.6% of the unpaid principal balance into the remaining four securitization trusts. (2) |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Real Estate Securities Portfolio | The following tables detail the Company’s real estate securities portfolio as of December 31, 2023 and 2022 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average December 31, 2023 Gains Losses Fair Value Coupon (1) Yield Non-Agency RMBS GCAT Non-Agency RMBS (2) GCAT Non-Agency Securities $ 43,794 $ (2,281) $ 41,513 $ — $ (8,971) $ 32,542 4.67 % 5.99 % GCAT Non-Agency RMBS Interest Only (3) N/A N/A 2,541 2,450 — 4,991 — % 37.74 % Total GCAT Non-Agency RMBS 43,794 (2,281) 44,054 2,450 (8,971) 37,533 2.20 % 10.21 % Non-Agency Securities 82,390 (33,399) 48,991 2,139 (124) 51,006 4.99 % 9.11 % Non-Agency RMBS Interest Only (3) N/A N/A 1,116 1 (34) 1,083 0.35 % 16.04 % Total Non-Agency RMBS 126,184 (35,680) 94,161 4,590 (9,129) 89,622 2.17 % 9.66 % Legacy WMC CMBS 103,458 (46,925) 56,533 546 (730) 56,349 7.39 % 21.90 % Legacy WMC Other Securities (4) N/A N/A 1,174 — (18) 1,156 N/A 18.16 % Agency RMBS Interest Only (3) N/A N/A 16,714 115 (1,135) 15,694 3.74 % 10.20 % Total as of December 31, 2023 $ 229,642 $ (82,605) $ 168,582 $ 5,251 $ (11,012) $ 162,821 3.54 % 14.01 % Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average December 31, 2022 Gains Losses Fair Value Coupon (1) Yield Non-Agency RMBS GCAT Non-Agency RMBS (2) GCAT Non-Agency Securities $ 14,894 $ (201) $ 14,693 $ — $ (4,834) $ 9,859 4.34 % 4.60 % GCAT Non-Agency RMBS Interest Only (3) N/A N/A 2,838 2,220 — 5,058 0.38 % 34.42 % Total GCAT Non-Agency RMBS 14,894 (201) 17,531 2,220 (4,834) 14,917 1.23 % 14.71 % Non-Agency Securities 16,819 (6,674) 10,145 28 (495) 9,678 3.22 % 8.47 % Total Non-Agency RMBS 31,713 (6,875) 27,676 2,248 (5,329) 24,595 1.62 % 12.26 % Agency RMBS Interest Only (3) N/A N/A 19,771 28 (675) 19,124 2.87 % 7.54 % Total as of December 31, 2022 $ 31,713 $ (6,875) $ 47,447 $ 2,276 $ (6,004) $ 43,719 2.37 % 10.20 % (1) Equity residual investments with a zero coupon rate are excluded from this calculation. (2) GCAT Non-Agency RMBS are securities issued under Gold Creek Asset Trust ("GCAT"), which is the TPG Angelo Gordon securitization shelf under which the Company or private funds under the management of TPG Angelo Gordon securitize loans. Refer to the "Unconsolidated variable interest entities" section below for additional details on these securities. (3) Interest Only have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on the interest only classes of securities. As of December 31, 2023, the notional balances for GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $98.3 million, $128.8 million and $92.2 million, respectively. As of December 31, 2022, the notional balances for the GCAT Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $108.5 million and $127.4 million, respectively. (4) Legacy WMC Other securities include residual interests in asset-backed securities which have no principal balance. The Company sold real estate securities during the years ended December 31, 2023 and 2022, as detailed below ($ in thousands). Number of Securities Proceeds Realized Gains Realized Losses Year ended December 31, 2023 11 $ 286,356 $ 1,341 $ (2,899) Year ended December 31, 2022 18 526,258 736 (35,240) |
Schedule of Weighted Average Life of Real Estate Securities | The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS Weighted Average Life (1) Fair Value Amortized Fair Value Amortized Cost Fair Value Amortized Cost Fair Value Amortized Less than or equal to one year $ — $ — $ 15,015 $ 15,010 $ — $ — $ — $ — Greater than one year and less than or equal to five years 4,631 4,669 41,334 41,523 — — 697 678 Greater than five years and less than or equal to ten years 38,792 40,539 — — 1,156 1,174 14,997 16,036 Greater than ten years 46,199 48,953 — — — — — — Total as of December 31, 2023 $ 89,622 $ 94,161 $ 56,349 $ 56,533 $ 1,156 $ 1,174 $ 15,694 $ 16,714 December 31, 2022 Non-Agency RMBS Agency RMBS Weighted Average Life (1) Fair Value Amortized Cost Fair Value Amortized Cost Greater than one year and less than or equal to five years $ 5,058 $ 2,838 $ — $ — Greater than five years and less than or equal to ten years — — 19,124 19,771 Greater than ten years 19,537 24,838 — — Total as of December 31, 2022 $ 24,595 $ 27,676 $ 19,124 $ 19,771 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
Schedule of Variable Interest Entities | The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 December 31, 2022 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value (2) $ 5,175,169 5.51 % 10.37 $ 3,436,201 4.65 % 10.20 Other assets 25,105 15,350 Total Assets $ 5,200,274 $ 3,451,551 Liabilities Securitized debt, at fair value (2) (3) $ 4,597,490 4.94 % 7.52 $ 3,078,593 4.18 % 7.49 Other liabilities 17,269 10,956 Total Liabilities $ 4,614,759 $ 3,089,549 Total Equity (4) $ 585,515 $ 362,002 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (2) Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization. (3) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs. (4) As of December 31, 2023 and 2022, the Company had outstanding financing arrangements of $301.2 million and $197.9 million, respectively, collateralized by $578.8 million and $357.6 million of the Company's retained interests in the Non-Agency VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 December 31, 2022 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value $ 183,112 6.30 % 6.10 $ 270,945 6.66 % 6.33 Restricted cash 10 1,194 Other assets 2,056 3,714 Total Assets $ 185,178 $ 275,853 Liabilities Securitized debt, at fair value (2) $ 114,133 3.25 % 3.77 $ 183,759 3.10 % 3.13 Other liabilities 328 386 Total Liabilities $ 114,461 $ 184,145 Total Equity (3) $ 70,717 $ 91,708 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (2) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the RPL/NPL VIEs. (3) As of December 31, 2023 and 2022, the Company had outstanding financing arrangements of $44.9 million and $34.2 million, respectively, collateralized by $67.1 million and $66.4 million of the Company's retained interests in the RPL/NPL VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table summarizes the Company’s investment in unconsolidated VIEs as of December 31, 2023 and 2022 (in thousands). December 31, 2023 December 31, 2022 Current Face Fair Value Current Face Fair Value Retained interest in unconsolidated VIEs GCAT Non-Agency Securities $ 43,794 $ 32,542 $ 14,894 $ 9,859 GCAT Non-Agency RMBS Interest Only (1) N/A 4,991 N/A 5,058 Total retained interest in unconsolidated VIEs (2) (3) $ 43,794 $ 37,533 $ 14,894 $ 14,917 (1) Interest Only have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on the interest only classes of securities. As of December 31, 2023 and 2022, the notional balances for GCAT Non-Agency RMBS Interest Only line item were $98.3 million and $108.5 million, respectively. (2) Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs. The Company has no obligation to provide any other explicit or implicit support to the securitization trust. (3) As of December 31, 2023 and 2022, the Company held securities exposed to the first loss of the securitization with a fair value of $4.1 million and $4.1 million, respectively. The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of December 31, 2023 and 2022 ($ in thousands). Assets transferred to unconsolidated VIEs December 31, 2023 December 31, 2022 Total unpaid principal balance of loans outstanding (1) $ 450,366 $ 132,509 Weighted average coupon on loans outstanding 5.67 % 5.62 % Percent of unpaid principal balance greater than 90 days delinquent (2) 1.94 % 1.32 % (1) The Company contributed approximately 40.9% of the unpaid principal balance into one of the securitization trusts and, through the Company's investment in MATH, contributed approximately 44.6% of the unpaid principal balance into the remaining four securitization trusts. (2) |
Fair value measurements (Tables
Fair value measurements (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Fair Value Disclosures [Abstract] | |
Schedule of Financial Instruments Measured at Fair Value | The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2023 and 2022 (in thousands). Fair Value as of December 31, 2023 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 5,358,281 $ 5,358,281 Residential mortgage loans — 777 316,854 317,631 Legacy WMC Commercial loans — — 66,303 66,303 Non-Agency RMBS — 52,089 37,533 89,622 Legacy WMC CMBS — 50,553 5,796 56,349 Legacy WMC Other Securities — — 1,156 1,156 Agency RMBS — 15,694 — 15,694 Derivative assets (1) — 9,433 1,172 10,605 Cash equivalents (2) 95,749 — — 95,749 AG Arc (3) — — 33,574 33,574 Total Assets Measured at Fair Value $ 95,749 $ 128,546 $ 5,820,669 $ 6,044,964 Liabilities: Securitized debt $ — $ — $ (4,711,623) $ (4,711,623) Derivative liabilities (1) — (7,783) (7) (7,790) Total Liabilities Measured at Fair Value $ — $ (7,783) $ (4,711,630) $ (4,719,413) Fair value as of December 31, 2022 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 3,707,146 $ 3,707,146 Residential mortgage loans (4) — 754 420,697 421,451 Non-Agency RMBS — 9,678 14,917 24,595 Agency Interest Only — 19,124 — 19,124 Derivative assets (1) — 18,401 98 18,499 Cash equivalents (2) 442 — — 442 AG Arc (3) — — 39,680 39,680 Total Assets Measured at Fair Value $ 442 $ 47,957 $ 4,182,538 $ 4,230,937 Liabilities: Securitized debt $ — $ — $ (3,262,352) $ (3,262,352) Derivative liabilities (1) — — (9) (9) Total Liabilities Measured at Fair Value $ — $ — $ (3,262,361) $ (3,262,361) (1) As of December 31, 2023, the Company applied a reduction in fair value of $9.3 million and $7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2022, the Company applied a reduction in fair value of $17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 7 for more information on the Company's derivatives. (2) The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds and are carried at cost, which approximates fair value. (3) The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. (4) |
Schedule of Assets and Liabilities Measured on a Recurring Basis | The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value (in thousands). Year Ended December 31, 2023 Residential Legacy WMC Commercial Loans Non-Agency Legacy WMC CMBS Legacy WMC Other Securities Derivative Assets (2) AG Arc Securitized Derivative Liabilities (2) Beginning balance $ 4,127,843 $ — $ 14,917 $ — $ — $ 98 $ 39,680 $ (3,262,352) $ (9) Purchases 1,228,800 — 4,825 — — — — — — Transfers from MATH (3) — — 16,408 — — — — — — Assets acquired/liabilities assumed from WMC 977,827 78,459 — 5,588 1,159 — — (837,317) — Issuances of Securitized Debt — — — — — — — (874,407) — Capital distributions — — — — — — (626) — — Proceeds from sales or settlements (417,909) — — — — (5,289) — — 4,293 Principal repayments (342,996) (12,250) — — — — — 364,920 — Included in net income: Net premium and discount amortization (4) 3,631 (1) (217) 60 15 — — (13,098) — Net realized gain/(loss) (11,937) — — — — 5,289 — — (4,293) Net unrealized gain/(loss) 111,642 95 1,600 148 (18) 1,074 — (89,369) 2 Equity in earnings/(loss) from affiliates — — — — — — (5,480) — — Other (5) (1,766) — — — — — — — — Ending Balance $ 5,675,135 $ 66,303 $ 37,533 $ 5,796 $ 1,156 $ 1,172 $ 33,574 $ (4,711,623) $ (7) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2023: Net premium and discount amortization (4) 2,857 (1) (217) 60 15 — — (13,098) — Net unrealized gain/(loss) 101,037 95 1,600 148 (18) 1,172 — (87,578) (7) Equity in earnings/(loss) from affiliates — — — — — — (5,480) — — Year Ended December 31, 2022 Residential Non-Agency Derivative Assets (2) AG Arc Securitized Derivative Liabilities (2) Beginning balance $ 2,634,191 $ 18,757 $ — $ 53,435 $ (999,215) $ (79) Purchases 2,557,440 — — — — — Issuances of Securitized Debt — — — — (3,040,283) — Capital distributions — — — (6,053) — — Proceeds from sales or settlements (53,767) — — — — — Principal repayments (464,332) (664) (2,700) — 379,979 16,044 Included in net income: Net premium and discount amortization (4) (1,009) (662) — — (4,300) — Net realized gain/(loss) (3,520) — 2,700 — — (16,044) Net unrealized gain/(loss) (539,957) (2,514) 98 — 401,467 70 Equity in earnings/(loss) from affiliates — — — (7,702) — — Other (5) (1,203) — — — — — Ending Balance $ 4,127,843 $ 14,917 $ 98 $ 39,680 $ (3,262,352) $ (9) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2022: Net premium and discount amortization (4) (2,586) (653) — — (4,300) — Net unrealized gain/(loss) (540,043) (2,424) 98 — 401,467 (9) Equity in earnings/(loss) from affiliates — — — (7,702) — — (1) Includes Securitized residential mortgage loans, Securitized residential mortgage loans held for sale, and Residential mortgage loans held for sale. (2) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" lines, respectively, on the consolidated balance sheets. (3) Refer to "MATH Transaction" in Note 10 for additional information. (4) Included in the "Interest income" and "Interest expense" line items on the consolidated statement of operations for assets and liabilities, respectively. (5) Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances. |
Schedule of Valuation Techniques | The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 December 31, 2022 Valuation Technique Unobservable Input Fair Value Range Fair Value Range Securitized Residential Mortgage Loans Yield 5.67% - 9.47% (6.23%) 4.75% - 7.32% (6.40%) Discounted Cash Flow Projected Collateral Prepayments $ 5,358,281 3.02% - 10.47% (4.72%) $ 3,707,146 4.81% - 10.19% (6.44%) Projected Collateral Losses 0.02% - 1.88% (0.16%) 0.05% - 1.40% (0.22%) Projected Collateral Severities -13.44% - 26.00% (17.38%) -4.16% - 20.00% (15.40%) Residential Mortgage Loans (2) Yield 6.13% - 18.75% (6.64%) 6.29% - 9.82% (7.16%) Discounted Cash Flow Projected Collateral Prepayments $ 316,854 3.89% - 34.35% (24.88%) $ 418,023 1.38% - 31.28% (16.37%) Projected Collateral Losses 0.00% - 12.72% (0.15%) 0.00% - 14.44% (0.48%) Projected Collateral Severities -38.75% - 44.01% (9.62%) -2.64% - 10.19% (9.99%) Consensus Pricing Offered Quotes $ — N/A $ 2,674 93.46 - 107.05 (101.11) Legacy WMC Commercial Loans Yield 8.16% - 10.13% (9.47%) N/A Discounted Cash Flow Credit Spread $ 66,303 377 bps - 556 bps (496 bps) $ — N/A Recovery Percentage (3) 100.00% - 100.00% (100.00%) N/A Loan-to-Value 42.50% - 77.22% (63.61%) N/A Non-Agency RMBS Yield 6.23% - 14.00% (9.70%) 7.18% - 14.00% (10.59%) Discounted Cash Flow Projected Collateral Prepayments $ 37,533 4.55% - 5.26% (4.93%) $ 14,917 8.14% - 8.14% (8.14%) Projected Collateral Losses 0.17% - 0.28% (0.25%) 0.18% - 0.18% (0.18%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Legacy WMC CMBS Consensus Pricing Offered Quotes $ 5,796 55.20 - 55.20 (55.20) $ — N/A Legacy WMC Other Securities Consensus Pricing Offered Quotes $ 1,156 6,821.32 - 6,821.32 (6,821.32) $ — N/A Derivative Assets (4) Yield 6.29% - 8.32% (6.81%) 6.69% - 7.68% (7.54%) Discounted Cash Flow Projected Collateral Prepayments $ 1,172 18.20% - 33.78% (27.00%) $ 98 12.63% - 34.19% (26.71%) Projected Collateral Losses 0.00% - 0.82% (0.14%) 0.01% - 0.96% (0.39%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Pull Through Percentages 60.00% - 100.00% (92.21%) 55.00% - 100.00% (72.78%) AG Arc Comparable Multiple Book Value Multiple $ 33,574 0.89x - 0.89x (0.89x) $ 39,680 0.94x - 0.94x (0.94x) Securitized Debt Yield 4.92% - 15.00% (5.72%) 5.25% - 15.00% (6.07%) Discounted Cash Flow Projected Collateral Prepayments $ (4,711,623) 3.02% - 10.47% (4.66%) $ (3,262,352) 4.81% - 10.19% (6.36%) Projected Collateral Losses 0.02% - 0.40% (0.15%) 0.05% - 1.40% (0.19%) Projected Collateral Severities 3.71% - 26.00% (17.76%) -4.16% - 20.00% (15.81%) Derivative Liabilities (4) Yield 6.47% - 7.00% (6.51%) 7.29% - 7.61% (7.36%) Discounted Cash Flow Projected Collateral Prepayments $ (7) 27.36% - 34.44% (34.30%) $ (9) 21.51% - 31.31% (27.92%) Projected Collateral Losses 0.00% - 0.02% (0.00%) 0.01% - 0.46% (0.16%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Pull Through Percentages 60.00% - 100.00% (99.22%) 100.00% - 100.00% (100.00%) (1) Amounts are weighted based on fair value. (2) Includes Residential mortgage loans held for sale as of December 31, 2022. (3) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2023. (4) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets. |
Schedule of Carrying Values and Estimated Fair Values of Debt Instruments | The following table presents the carrying value and estimated fair value of the Company's Legacy WMC Convertible Notes and fixed-rate financing arrangements with contractual maturities of greater than one year as of December 31, 2023 (in thousands). The fair value of the Company's Legacy WMC Convertibles Notes may be based upon prices obtained from third-party pricing services or broker quotations and are classified as Level 2. The fair value of the Company's fixed-rate long-term financing arrangements may be based on a discounted cash flow valuation approach using valuation analyses of the underlying collateral sourced from third-party pricing service providers and is classified as Level 3. The Company did not hold the Legacy WMC Convertible Notes or have fixed-rate financing arrangements with contractual maturities of greater than one year outstanding as of December 31, 2022. December 31, 2023 Carrying Value (1) Estimated Fair Value Legacy WMC Convertible Notes $ 85,266 $ 84,525 Financing arrangements 62,972 63,175 (1) The convertible senior unsecured notes and fixed-rate long-term financing arrangements are recorded at amortized cost in the Company's consolidated balance sheets. |
Financing (Tables)
Financing (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Financing Arrangements | The following table presents a summary of the Company's financing as of December 31, 2023 and 2022 ($ in thousands). December 31, 2023 December 31, 2022 Weighted Average Collateral Fair Value (1)(2) Current Face Carrying Value Stated Maturity Funding Cost Life (Years) Carrying Value Financing Arrangements by Asset Type Securitized Residential Mortgage Loans (3) Non-Agency Loans (4) $ 298,750 $ 301,205 Jan 2024 - Jul 2025 7.57 % 0.42 $ 578,829 $ 197,937 Re- and Non-Performing Loans 44,928 44,928 Jan 2024 7.30 % 0.02 67,047 34,151 Residential Mortgage Loans (5) Non-Agency Loans 77,345 77,345 Mar 2024 - Jan 2025 7.30 % 0.66 94,516 277,797 Agency-Eligible Loans 200,617 200,617 Dec 2024 7.21 % 0.99 220,709 27,199 Residential Mortgage Loans Held for Sale — — N/A N/A N/A — 55,245 Legacy WMC Commercial Loans 48,032 48,032 Mar 2024 7.86 % 0.24 66,303 — Non-Agency RMBS 51,251 51,251 Jan 2024 - May 2024 7.19 % 0.08 89,622 14,695 Legacy WMC CMBS 31,620 31,620 Jan 2024 7.81 % 0.01 50,553 — Agency RMBS 12,594 12,594 Jan 2024 - Mar 2024 6.23 % 0.19 14,940 14,163 Total Financing Arrangements $ 765,137 $ 767,592 7.41 % 0.51 $ 1,182,519 $ 621,187 Securitized debt, at fair value (6) Non-Agency Loans (7) (8) $ 5,069,689 $ 4,597,490 N/A 4.94 % 7.52 N/A $ 3,078,593 Re- and Non-Performing Loans (9) 124,569 114,133 N/A 3.25 % 3.77 N/A 183,759 Total Securitized Debt $ 5,194,258 $ 4,711,623 4.90 % 7.43 N/A $ 3,262,352 Legacy WMC Convertible Notes $ 86,250 $ 85,266 Sept 2024 8.42 % 0.71 N/A — Total Financing $ 6,045,645 $ 5,564,481 5.30 % 6.48 $ 1,182,519 $ 3,883,539 (1) The Company also had $1.7 million and $3.4 million of cash pledged under repurchase agreements as of December 31, 2023 and 2022, respectively. (2) Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3) Amounts pledged as collateral under Securitized residential mortgage loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Non-Agency VIEs and RPL/NPL VIEs. (4) As of December 31, 2023, the weighted average stated rate on the financing arrangements on the Company's Securitized non-agency loans was 8.19%. (5) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $2.3 billion on facilities used to finance Non-Agency and Agency-Eligible Loans. (6) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs and RPL/NPL VIEs. (7) As of December 31, 2023, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $4.9 billion. (8) The current face on the Company's Securitized debt in the Company's Non-Agency VIEs excludes interest only classes which have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on the interest only classes of securities. As of December 31, 2023, the notional balance on interest only classes of Securitized debt was $133.8 million. (9) |
Schedule of Total Borrowings Under Repurchase Agreements | Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total Financing Arrangements by Asset Type Securitized Residential Mortgage Loans Non-Agency Loans $ 121,068 $ 84,244 $ 32,921 $ 60,517 $ 298,750 Re- and Non-Performing Loans 44,928 — — — 44,928 Residential Mortgage Loans Non-Agency Loans — 3,005 62,199 12,141 77,345 Agency-Eligible Loans — — 200,617 — 200,617 Legacy WMC Commercial Loans — 48,032 — — 48,032 Non-Agency RMBS 29,398 19,069 2,784 — 51,251 Legacy WMC CMBS 31,620 — — — 31,620 Agency RMBS 632 11,962 — — 12,594 Total Financing Arrangements $ 227,646 $ 166,312 $ 298,521 $ 72,658 $ 765,137 Legacy WMC Convertible Notes $ — $ — $ 86,250 $ — $ 86,250 |
Schedule of Repurchase Agreement Counterparty | The following table presents information as of December 31, 2023 and 2022 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands). December 31, 2023 December 31, 2022 Counterparty Stockholders' Equity Weighted Average Percentage of Stockholders' Equity Weighted Average Percentage of BofA Securities, Inc $ 131,128 236 24.8 % $ 36,193 93 7.8 % Barclays Capital Inc. 81,047 85 15.3 % 81,445 113 17.6 % Goldman Sachs Bank USA 73,893 9 14.0 % (3) (3) (3) JP Morgan Securities, LLC 46,642 134 8.8 % (3) (3) (3) Various (1) 69,637 577 13.2 % (3) (3) (3) Credit Suisse AG, Cayman Islands Branch (2) (2) (2) 130,587 71 28.2 % (1) Certain retained interests in securitizations are held in WMC RR 2023-1 Trust, a wholly owned subsidiary of the Company. WMC RR 2023-1 Trust issued certificates which were sold to various third-party investors. (2) As of December 31, 2023, the Company did not have any equity at risk under financing arrangements with Credit Suisse AG, Cayman Islands Branch. (3) |
Other assets and liabilities (T
Other assets and liabilities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Other Assets and Other Liabilities | The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheets as of December 31, 2023 and 2022 (in thousands). December 31, 2023 December 31, 2022 Other assets Interest receivable $ 30,315 $ 20,593 Real estate owned 5,644 2,698 Derivative assets, at fair value 1,321 1,218 Other assets 3,187 2,285 Due from broker 249 801 Total Other assets $ 40,716 $ 27,595 Other liabilities Due to affiliates (1) $ 3,252 $ 3,652 Interest payable 23,715 14,114 Derivative liabilities, at fair value 70 9 Accrued expenses 4,874 1,811 Due to broker 196 7 Total Other liabilities $ 32,107 $ 19,593 (1) Refer to Note 10 for more information. |
Schedule of Company's Derivative and Other Instruments and their Balance Sheet Location | The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of December 31, 2023 and 2022 (in thousands). All notional amounts are denominated in USD. Balance Sheet Location December 31, 2023 December 31, 2022 Derivatives and Other Instruments (1) Notional Fair Value Notional Fair Value Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other assets $ 165,000 $ 149 $ 335,000 $ 470 Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other liabilities 338,000 — — — Short TBAs Other assets — — 40,000 650 Short TBAs Other liabilities 9,000 (63) — — Forward Purchase Commitments Other assets 70,145 1,172 924 98 Forward Purchase Commitments Other liabilities 2,566 (7) 7,082 (9) (1) As of December 31, 2023 and 2022, no derivatives held by the Company were designated as hedges for accounting purposes. (2) As of December 31, 2023, the Company applied a reduction in fair value of $9.3 million and $7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2022, the Company applied a reduction in fair value of $17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. (3) |
Schedule of Total Income Related to Derivatives and Other Instruments | The following table summarizes total income related to derivatives and other instruments for the years ended December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 Included within Net interest component of interest rate swaps Interest Rate Swaps $ 6,680 $ (4,922) Included within Net unrealized gain/(loss) Interest Rate Swaps (24,828) (2,955) Short TBAs (713) 663 Forward Purchase Commitments 1,076 168 (24,465) (2,124) Included within Net realized gain/(loss) Interest Rate Swaps 20,403 129,382 Long TBAs 5 (10,789) Short TBAs (70) 13,578 Forward Purchase Commitments 996 (13,344) 21,334 118,827 Total income/(loss) $ 3,549 $ 111,781 |
Schedule of to be Announced Securities Activity | The following tables present information about the Company’s derivatives for the years ended December 31, 2023 and 2022 (in thousands). Beginning Buys or Covers (1) Sales or Shorts Ending Derivative Derivative Year Ended December 31, 2023 Long TBAs $ — $ 10,000 $ (10,000) $ — $ — $ — Short TBAs (2) (40,000) 100,000 (69,000) (9,000) — (63) Interest Rate Swaps 335,000 1,197,000 (1,029,000) 503,000 149 — Year Ended December 31, 2022 Long TBAs $ — $ 1,650,000 $ (1,650,000) $ — $ — $ — Short TBAs (2) (385,963) 1,320,852 (974,889) (40,000) 650 — Interest Rate Swaps 888,500 1,947,000 (2,500,500) 335,000 470 — (1) For the year ended December 31, 2023, interest rate swap buys include interest rate swaps with a notional balance of $82.0 million acquired in the WMC acquisition. (2) |
Earnings per share (Tables)
Earnings per share (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Earnings Per Share [Abstract] | |
Schedule of Basic and Diluted Earnings Per Share | The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the years ended December 31, 2023 and 2022 (in thousands, except per share data). Year Ended December 31, 2023 December 31, 2022 Numerator: Net Income/(Loss) $ 53,784 $ (53,100) Dividends on preferred stock (18,344) (18,344) Net Income/(Loss) Available to Common Stockholders $ 35,440 $ (71,444) Denominator: Basic weighted average common shares outstanding 21,095 22,890 Diluted weighted average common shares outstanding 21,097 22,890 Earnings/(Loss) Per Share Basic $ 1.68 $ (3.12) Diluted $ 1.68 $ (3.12) |
Schedule of Dividends Declared and Paid | The following tables detail the Company's common stock dividends declared during the years ended December 31, 2023 and 2022. Year Ended December 31, 2023 Year Ended December 31, 2022 Declaration Date Record Date Payment Date Cash Dividend Per Share Declaration Date Record Date Payment Date Cash Dividend Per Share 3/15/2023 3/31/2023 4/28/2023 $ 0.18 3/18/2022 3/31/2022 4/29/2022 $ 0.21 6/15/2023 6/30/2023 7/31/2023 0.18 6/15/2022 6/30/2022 7/29/2022 0.21 9/15/2023 9/29/2023 10/31/2023 0.18 9/15/2022 9/30/2022 10/31/2022 0.21 10/24/2023 11/3/2023 11/8/2023 0.08 12/19/2022 12/30/2022 1/31/2023 0.18 11/20/2023 11/30/2023 1/2/2024 0.05 12/15/2023 12/29/2023 1/31/2024 0.05 Total $ 0.72 Total $ 0.81 The following tables detail the Company's preferred stock dividends declared and paid during the years ended December 31, 2023 and 2022. 2023 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/16/2023 2/28/2023 3/17/2023 $ 0.51563 $ 0.50 $ 0.50 5/4/2023 5/31/2023 6/20/2023 0.51563 0.50 0.50 7/31/2023 8/31/2023 9/18/2023 0.51563 0.50 0.50 11/3/2023 11/30/2023 12/18/2023 0.51563 0.50 0.50 Total $ 2.06252 $ 2.00 $ 2.00 2022 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/18/2022 2/28/2022 3/17/2022 $ 0.51563 $ 0.50 $ 0.50 5/2/2022 5/31/2022 6/17/2022 0.51563 0.50 0.50 8/3/2022 8/31/2022 9/19/2022 0.51563 0.50 0.50 11/3/2022 11/30/2022 12/19/2022 0.51563 0.50 0.50 Total $ 2.06252 $ 2.00 $ 2.00 |
Income taxes (Tables)
Income taxes (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Income Tax Disclosure [Abstract] | |
Schedule of Components of Income Tax Expense | The below table details the tax expense attributable to its TRSs for the years ended December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 Income Tax Expense $ 250 $ 163 |
Schedule of Deferred Tax Assets and Liabilities | The following table discloses the components of the Company’s deferred tax assets and deferred tax liabilities, if applicable, as of December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 Deferred tax assets Net operating loss carryforwards $ 28,142 $ 26,961 Capital loss carryforwards (1) 8,367 298 GAAP/tax basis differences 744 2,980 Total deferred tax assets $ 37,253 $ 30,239 Less: valuation allowance (37,253) (30,239) Net deferred tax assets $ — $ — (1) The capital loss carryforwards outstanding as of December 31, 2023 expire between 2024 and 2028. |
Related party transactions (Tab
Related party transactions (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The below table details the management fees incurred during the years ended December 31, 2023 and 2022 (in thousands). Year Ended Consolidated statements of operations line item: December 31, 2023 December 31, 2022 Management fee to affiliate (1) $ 7,711 $ 8,096 (1) For the year ended December 31, 2023, the Manager agreed to waive its right to receive management fees of $0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. The below table details the expense reimbursement incurred during the years ended December 31, 2023 and 2022 (in thousands). Year Ended Consolidated statements of operations line item: December 31, 2023 December 31, 2022 Non-investment related expenses (1) $ 5,095 $ 4,646 Investment related expenses 467 755 Transaction related expenses 896 2,757 Expense reimbursements to Manager or its affiliates $ 6,458 $ 8,158 (1) For the years ended December 31, 2023 and 2022, the Manager agreed to waive its right to receive expense reimbursements of $1.7 million and $1.5 million, respectively. Year Ended December 31, 2023 December 31, 2022 Fees paid to Asset Manager $ 2,833 $ 2,742 Year Ended December 31, 2023 December 31, 2022 Residential mortgage loans sold by Arc Home to the Company $ 674,955 $ 1,086,937 Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon 331,382 212,341 Date Transaction Fair Value (1) Pricing Methodology June 2023 Purchase of Real Estate Securities $ 0.3 Competitive bidding process (2) November 2023 Purchase of Real Estate Securities (4) 4.8 Third party pricing vendors (3) November 2023 Purchase of MATH (4) 0.9 Third party pricing vendors (3) (1) As of the transaction date. (2) The Company submitted an offer to purchase the securities from an affiliate in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution. (3) Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy. (4) Refer to the "MATH Transaction" below. |
Schedule of Nonvested Restricted Stock and Restricted Stock Units Activity | The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2023 and 2022. Year Ended December 31, 2023 Year Ended December 31, 2022 Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Shares of Restricted Stock Weighted Average Grant Date Fair Value Unvested at beginning of year — $ — — $ — Granted (1)(2) 87,711 5.63 47,367 6.75 Vested (61,749) 5.67 (47,367) 6.75 Forfeited — — — — Unvested at end of year 25,962 $ 5.55 — $ — (1) The grant date fair value of restricted stock awards is established as the average of the high and low prices of the Company's common stock at the grant date. (2) The grant date fair value of restricted stock units issued in connection with the WMC acquisition is based on the closing market price of the Company's common stock at the grant date. |
Schedule of Investments in Debt and Equity of Affiliates | December 31, 2023 and 2022 and the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2023 and 2022 (in thousands). December 31, 2023 December 31, 2022 Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss) Non-QM Securities (1) $ 15,257 $ — $ 15,257 $ 3,992 $ 31,067 $ (16,409) $ 14,658 $ 1,261 Land Related Financing — — — 758 10,688 — 10,688 1,621 Re/Non-Performing Securities 7,569 (3,605) 3,964 782 7,854 (4,406) 3,448 594 Residential investments - Fair value / Net income /(loss) $ 22,826 $ (3,605) $ 19,221 $ 5,532 $ 49,609 $ (20,815) $ 28,794 $ 3,476 AG Arc - Fair value / Net income/(loss) 33,574 — 33,574 (6,922) 39,680 — 39,680 (13,734) Cash and Other assets/(liabilities) 2,361 (53) 2,308 — 3,290 (700) 2,590 — Investments in debt and equity of affiliates / Equity in earnings/(loss) from affiliates $ 58,761 $ (3,658) $ 55,103 $ (1,390) $ 92,579 $ (21,515) $ 71,064 $ (10,258) (1) As of December 31, 2023, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments. Year Ended December 31, 2023 December 31, 2022 Intra-Entity Profits Eliminated $ 1,442 $ 6,032 |
Equity (Tables)
Equity (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Equity [Abstract] | |
Summary of Stock | The table below details the Company's share repurchases under the 2015 Repurchase Program during the year ended December 31, 2022. Three Months Ended (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2) March 31, 2022 — $ — — $ 11,043,506 June 30, 2022 1,433,851 7.70 1,433,851 — 2022 Total 1,433,851 $ 7.70 1,433,851 $ — (1) Based on trade date. (2) Includes brokerage commissions and clearing fees. Three Months Ended (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2) 2023 March 31, 2023 923,261 $ 5.68 923,261 $ 2,569,940 June 30, 2023 187,020 5.93 187,020 1,461,810 September 30, 2023 — — — 1,461,810 December 31, 2023 — — — 1,461,810 2023 Total 1,110,281 $ 5.72 1,110,281 $ 1,461,810 2022 September 30, 2022 384,587 $ 6.08 384,587 $ 12,660,645 December 31, 2022 852,927 5.68 852,927 7,817,003 2022 Total 1,237,514 $ 5.81 1,237,514 $ 7,817,003 (1) Based on trade date. (2) Includes brokerage commissions and clearing fees. The following table includes a summary of preferred stock issued and outstanding as of December 31, 2023 ($ and shares in thousands). Preferred Stock Series Issuance Date Shares Outstanding Carrying Value Aggregate Liquidation Preference (1) Optional Redemption Rate (3)(4) Series A Preferred Stock August 3, 2012 1,663 $ 40,110 $ 41,580 August 3, 2017 8.25 % Series B Preferred Stock September 27, 2012 3,728 90,187 93,191 September 17, 2017 8.00 % Series C Preferred Stock September 17, 2019 3,729 90,175 93,220 September 17, 2024 8.000 % Total 9,120 $ 220,472 $ 227,991 (1) The Company's Preferred Stock has a liquidation preference of $25.00 per share. (2) Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. Shares of the Company’s Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option. Shares of the Company's Series C Preferred Stock may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for Federal income tax purposes. (3) The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000% per annum of the $25.00 per share liquidation preference. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by the existing LIBOR cessation fallback language) plus a spread of 6.476% per annum. (4) Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective stated rate per annum before holders of common stock are entitled to receive any cash dividends. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Outstanding Commitments | The below table details the Company's outstanding commitments as of December 31, 2023 (in thousands). Commitment Type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Non-Agency and Agency-Eligible Loans (1) Various $ 74,198 $ — $ 74,198 (1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of December 31, 2023. Refer to Note 10 "Transactions with affiliates" for more information. |
Investments in unconsolidated_2
Investments in unconsolidated equity method affiliates (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule of Equity Method Investments | The following table details the summarized balance sheets for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2023 and 2022 (in thousands). December 31, 2023 December 31, 2022 AG Arc (1) Non-QM Loans (2) Re/Non-Performing Securities (3) Total Assets Loans and real estate securities, at fair value $ 152,536 $ 32,463 $ 33,400 $ 218,399 $ 174,858 Mortgage servicing rights, at fair value 84,980 — — 84,980 91,569 Cash and cash equivalents 13,930 2,743 3,653 20,326 27,127 Restricted cash 337 — — 337 459 Other assets (4) 38,322 548 104 38,974 46,607 Total Assets $ 290,105 $ 35,754 $ 37,157 $ 363,016 $ 340,620 Liabilities Financing arrangements $ 169,476 $ — $ 15,910 $ 185,386 $ 120,010 Other liabilities (4) 45,332 31 168 45,531 54,031 Total Liabilities 214,808 31 16,078 230,917 174,041 Total Members' Equity Total Member's equity 75,297 35,723 21,079 132,099 166,579 Total Liabilities & Members' Equity $ 290,105 $ 35,754 $ 37,157 $ 363,016 $ 340,620 The Company's Investments in debt and equity of affiliates $ 33,574 $ 16,750 $ 4,779 $ 55,103 $ 71,064 (1) As of December 31, 2023, the Company has an approximate 44.6% interest in AG Arc. (2) As of December 31, 2023, the Company has an approximate 47.0% interest in MATH. (3) As of December 31, 2023, the Company has an approximate 22.7% interest in the entity which holds Re/Non-Performing Securities. (4) Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due). When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability. As of December 31, 2023 and 2022, Other assets and Other liabilities included loans eligible to be repurchased in the amount of $31.5 million and $36.7 million, respectively. The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method for the years ended December 31, 2023 and 2022 (in thousands). Year Ended December 31, 2023 December 31, 2022 AG Arc (1) Non-QM Loans (2) Land Related Financing (3) Re/Non-Performing Securities (4) Total Net Interest Income Interest income $ 12,008 $ 9,195 $ 2,069 $ 4,295 $ 27,567 $ 27,958 Interest expense 13,017 1,400 — 1,270 15,687 11,912 Total Net Interest Income (1,009) 7,795 2,069 3,025 11,880 16,046 Other Income/(Loss) Net realized gain/(loss) 14,177 (8,845) — — 5,332 22,897 Net unrealized gain/(loss) (13,059) 10,628 — 621 (1,810) (11,434) Other income/(loss), net (5) 24,490 — — — 24,490 22,404 Total Other Income 25,608 1,783 — 621 28,012 33,867 Expenses 36,886 488 521 194 38,089 58,544 Net Income/(Loss) $ (12,287) $ 9,090 $ 1,548 $ 3,452 $ 1,803 $ (8,631) The Company's Equity in earnings/(loss) from affiliates $ (6,922) $ 3,992 $ 758 $ 782 $ (1,390) $ (10,258) (1) The Company has an approximate 44.6% interest in AG Arc. The Company's equity in earnings/(loss) from AG Arc does not include $1.4 million and $6.0 million of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company for the years ended December 31, 2023 and 2022, respectively. Refer to Note 2 and Note 10 for more information on this accounting policy. (2) As of December 31, 2023, the Company has an approximate 47.0% interest in MATH. During 2023, the Company increased its ownership in MATH from 44.6% to 47.0%. See Note 10 for more information on this transaction. (3) The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. (4) The Company has an approximate 22.7% interest in the entity which holds Re/Non-Performing Securities. (5) |
Organization - Narrative (Detai
Organization - Narrative (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | 12 Months Ended | |||
Dec. 06, 2023 USD ($) qtr $ / shares shares | Aug. 08, 2023 USD ($) qtr | Dec. 31, 2023 USD ($) $ / shares | Dec. 31, 2023 USD ($) segment $ / shares | Dec. 31, 2022 USD ($) $ / shares | |
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Number of reportable segments | segment | 1 | ||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | ||
Bargain purchase gain | $ 30,190 | $ 0 | |||
AG Mortgage Investment Trust, Inc. | Western Asset Mortgage Capital Corporation Stockholders | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Ownership percentage | 31% | ||||
M I T T Management Agreement Amendment | Related Party | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Amount to be waived | $ 1,300 | $ 1,300 | |||
Maximum cash consideration threshold | 7,000 | 7,000 | |||
Base management fee reduction | $ 600 | $ 600 | |||
Number of quarters management fee reduction is effective | qtr | 4 | 4 | |||
Management fee waived | $ 2,400 | $ 2,400 | |||
Western Asset Mortgage Capital Corporation | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | ||||
Common stock, number of shares issued per acquiree share (in shares) | shares | 1.498 | ||||
Per share cash payment ( usd per share) | $ / shares | $ 0.92 | ||||
Number of shares issued (in shares) | shares | 9,202,000 | ||||
Transaction costs | $ 6,000 | 6,000 | |||
Bargain purchase gain | $ 30,190 | ||||
Interest income since acquisition | 6,500 | ||||
Earnings (loss) since acquisition | $ 49 | ||||
Western Asset Mortgage Capital Corporation | M I T T Management Agreement Amendment | Related Party | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Management fee | 600 | ||||
Expense reimbursement waived | $ 300 | ||||
ARC Home | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Loan securitization, ownership interest | 44.60% | 44.60% | |||
ARC Home | Related Party | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Loan securitization, ownership interest | 44.60% | 44.60% |
Organization - Allocation of Th
Organization - Allocation of The Total Consideration (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |||
Dec. 06, 2023 | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 05, 2023 | |
Consideration | ||||
Common stock, shares outstanding (in shares) | 29,437,000 | 21,284,000 | ||
Liabilities | ||||
Bargain purchase gain | $ 30,190 | $ 0 | ||
Western Asset Mortgage Capital Corporation | ||||
Consideration | ||||
Common stock, number of shares issued per acquiree share (in shares) | 1.498 | |||
Number of shares issued (in shares) | 9,202,000 | |||
Share price (in dollars per share) | $ 5.56 | |||
MITT Total Consideration | $ 51,163 | |||
Assets | ||||
Cash and cash equivalents | 5,316 | |||
Restricted cash | 873 | |||
Other assets | 24,654 | |||
Total Assets | 1,193,534 | |||
Liabilities | ||||
Securitized debt | 837,317 | |||
Financing arrangements | 171,170 | |||
Convertible senior unsecured notes | 85,172 | |||
Other liabilities | 18,522 | |||
Total Liabilities | 1,112,181 | |||
Net Assets Acquired | 81,353 | |||
Bargain purchase gain | 30,190 | |||
Western Asset Mortgage Capital Corporation | Residential Mortgage | ||||
Assets | ||||
Financing arrangements | 6,046 | |||
Western Asset Mortgage Capital Corporation | Residential Mortgage | Securitized Residential Mortgage Loans | ||||
Assets | ||||
Financing arrangements | 971,781 | |||
Western Asset Mortgage Capital Corporation | Commercial Loans | ||||
Assets | ||||
Financing arrangements | 78,459 | |||
Western Asset Mortgage Capital Corporation | Non-Agency RMBS | ||||
Assets | ||||
Securities | 48,200 | |||
Western Asset Mortgage Capital Corporation | Legacy WMC CMBS | ||||
Assets | ||||
Securities | 56,301 | |||
Western Asset Mortgage Capital Corporation | Legacy WMC Other Securities | ||||
Assets | ||||
Securities | 1,159 | |||
Western Asset Mortgage Capital Corporation | Agency RMBS | ||||
Assets | ||||
Securities | 745 | |||
Western Asset Mortgage Capital Corporation | Residential and Securitized Residential Mortgage Loans | ||||
Liabilities | ||||
Unpaid Principal Balance | $ 1,100,000 | |||
Western Asset Mortgage Capital Corporation | Western Asset Mortgage Capital Corporation | ||||
Consideration | ||||
Common stock, shares outstanding (in shares) | 6,143,000 |
Organization - Pro Forma Inform
Organization - Pro Forma Information (Details) - Western Asset Mortgage Capital Corporation - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | ||
Interest income | $ 330,267 | $ 254,853 |
Net Income/(Loss) Available to Common Stockholders | $ 4,914 | $ (158,152) |
Summary of significant accoun_3
Summary of significant accounting policies - Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Investments in and Advances to Affiliates, Activity [Line Items] | ||
Cash and cash equivalents | $ 111,534 | $ 84,621 |
Cash equivalents | $ 95,700 | $ 400 |
8.25% Series A Cumulative Redeemable Preferred Stock | ||
Investments in and Advances to Affiliates, Activity [Line Items] | ||
Preferred stock dividend percentage | 8.25% | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Investments in and Advances to Affiliates, Activity [Line Items] | ||
Preferred stock dividend percentage | 8% | |
Liquidation preference (in dollars per share) | $ 25 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | London Interbank Offered Rate (LIBOR) | ||
Investments in and Advances to Affiliates, Activity [Line Items] | ||
Preferred stock dividend percentage | 6.476% | |
Series B Cumulative Reedmable Preferred Stock | ||
Investments in and Advances to Affiliates, Activity [Line Items] | ||
Preferred stock dividend percentage | 8% |
Loans - Summary of company's re
Loans - Summary of company's residential mortgage loan portfolio (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | $ 317,631 | $ 421,451 |
Loans held-for-sale, fair value | 0 | 64,984 |
Residential Mortgage | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | 5,358,281 | 3,707,146 |
Residential Portfolio Segment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 6,124,045 | 4,624,856 |
Premium (Discount) | (46,975) | 16,710 |
Amortized Cost | 6,077,070 | 4,641,566 |
Gross Unrealized Gains | 38,280 | 6,749 |
Gross Unrealized Losses | (439,438) | (519,718) |
Fair Value | $ 5,675,912 | $ 4,128,597 |
Weighted Average Coupon | 5.28% | 4.80% |
Weighted Average Yield | 5.68% | 4.93% |
Weighted Average Life (Years) | 9 years 10 months 9 days | 9 years 6 months 3 days |
Residential Portfolio Segment | Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 306,987 | $ 458,471 |
Premium (Discount) | 2,740 | (9,884) |
Amortized Cost | 309,727 | 448,587 |
Gross Unrealized Gains | 8,478 | 4,777 |
Gross Unrealized Losses | (574) | (31,913) |
Fair Value | $ 317,631 | $ 421,451 |
Weighted Average Coupon | 7.99% | 5.43% |
Weighted Average Yield | 8.08% | 6.13% |
Weighted Average Life (Years) | 3 years 3 months 14 days | 5 years 11 months 15 days |
Residential Portfolio Segment | Residential Mortgage | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,817,058 | $ 4,166,385 |
Premium (Discount) | (49,715) | 26,594 |
Amortized Cost | 5,767,343 | 4,192,979 |
Gross Unrealized Gains | 29,802 | 1,972 |
Gross Unrealized Losses | (438,864) | (487,805) |
Fair Value | $ 5,358,281 | $ 3,707,146 |
Weighted Average Coupon | 5.14% | 4.73% |
Weighted Average Yield | 5.54% | 4.80% |
Weighted Average Life (Years) | 10 years 2 months 15 days | 9 years 10 months 24 days |
Residential Portfolio Segment | Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 92,033 | $ 406,294 |
Premium (Discount) | 835 | (7,902) |
Amortized Cost | 92,868 | 398,392 |
Gross Unrealized Gains | 2,222 | 2,775 |
Gross Unrealized Losses | (574) | (30,006) |
Fair Value | $ 94,516 | $ 371,161 |
Weighted Average Coupon | 8.10% | 5.36% |
Weighted Average Yield | 7.29% | 5.54% |
Weighted Average Life (Years) | 3 years 1 month 20 days | 6 years 1 month 20 days |
Loans held-for-sale, fair value | $ 46,800 | |
Residential Portfolio Segment | Non-Agency Loans | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,599,960 | 3,841,265 |
Premium (Discount) | (32,250) | 63,576 |
Amortized Cost | 5,567,710 | 3,904,841 |
Gross Unrealized Gains | 29,603 | 0 |
Gross Unrealized Losses | (422,144) | (468,640) |
Fair Value | $ 5,175,169 | $ 3,436,201 |
Weighted Average Coupon | 5.19% | 4.82% |
Weighted Average Yield | 5.51% | 4.65% |
Weighted Average Life (Years) | 10 years 4 months 13 days | 10 years 2 months 12 days |
Residential Portfolio Segment | Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 212,350 | $ 48,657 |
Premium (Discount) | 3,535 | 18 |
Amortized Cost | 215,885 | 48,675 |
Gross Unrealized Gains | 4,824 | 94 |
Gross Unrealized Losses | 0 | (1,907) |
Fair Value | $ 220,709 | $ 46,862 |
Weighted Average Coupon | 7.94% | 6% |
Weighted Average Yield | 7.28% | 5.99% |
Weighted Average Life (Years) | 3 years 4 months 13 days | 4 years 8 months 23 days |
Loans held-for-sale, fair value | $ 18,200 | |
Residential Portfolio Segment | Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 2,604 | 3,520 |
Premium (Discount) | (1,630) | (2,000) |
Amortized Cost | 974 | 1,520 |
Gross Unrealized Gains | 1,432 | 1,908 |
Gross Unrealized Losses | 0 | 0 |
Fair Value | $ 2,406 | $ 3,428 |
Weighted Average Yield | 112.97% | 72.78% |
Weighted Average Life (Years) | 1 year 8 months 8 days | 1 year 10 months 13 days |
Residential Portfolio Segment | Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 217,098 | $ 325,120 |
Premium (Discount) | (17,465) | (36,982) |
Amortized Cost | 199,633 | 288,138 |
Gross Unrealized Gains | 199 | 1,972 |
Gross Unrealized Losses | (16,720) | (19,165) |
Fair Value | $ 183,112 | $ 270,945 |
Weighted Average Coupon | 3.88% | 3.68% |
Weighted Average Yield | 6.30% | 6.66% |
Weighted Average Life (Years) | 6 years 1 month 6 days | 6 years 3 months 29 days |
Loans - Summary of credit quali
Loans - Summary of credit quality information on residential mortgage loans (Details) - Residential Portfolio Segment $ in Thousands | Dec. 31, 2023 USD ($) loan | Dec. 31, 2022 USD ($) loan |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 6,124,045 | $ 4,624,856 |
Loan count | loan | 15,661 | 12,027 |
Weighted Average, Original LTV Ratio | 67.42% | 69.29% |
Weighted Average, Current FICO | 745 | 731 |
Mortgage loans 90+ days delinquent | $ 41,700 | $ 31,400 |
Mortgage loans in process of foreclosure | 51,800 | 33,700 |
Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 5,896,344 | 4,456,826 |
30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 87,248 | 71,843 |
60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 36,268 | 21,002 |
90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 101,581 | 71,665 |
Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 306,987 | $ 458,471 |
Loan count | loan | 706 | 793 |
Weighted Average, Original LTV Ratio | 72.83% | 71.19% |
Weighted Average, Current FICO | 764 | 735 |
Residential Mortgage | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 295,081 | $ 446,954 |
Residential Mortgage | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,861 | 5,706 |
Residential Mortgage | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 615 | 1,404 |
Residential Mortgage | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 6,826 | 887 |
Residential Mortgage | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,817,058 | $ 4,166,385 |
Loan count | loan | 14,955 | 11,234 |
Weighted Average, Original LTV Ratio | 67.14% | 69.09% |
Weighted Average, Current FICO | 744 | 731 |
Residential Mortgage | Securitized Residential Mortgage Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,601,263 | $ 4,009,872 |
Residential Mortgage | Securitized Residential Mortgage Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 85,387 | 66,137 |
Residential Mortgage | Securitized Residential Mortgage Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 35,653 | 19,598 |
Residential Mortgage | Securitized Residential Mortgage Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 94,755 | 70,778 |
Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 92,033 | $ 406,294 |
Loan count | loan | 170 | 655 |
Weighted Average, Original LTV Ratio | 74.79% | 71.22% |
Weighted Average, Current FICO | 730 | 734 |
Non-Agency Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 83,582 | $ 399,036 |
Non-Agency Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,010 | 4,967 |
Non-Agency Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 615 | 1,404 |
Non-Agency Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 6,826 | 887 |
Non-Agency Loans | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,599,960 | $ 3,841,265 |
Loan count | loan | 13,460 | 9,008 |
Weighted Average, Original LTV Ratio | 66.65% | 68.20% |
Weighted Average, Current FICO | 748 | 739 |
Non-Agency Loans | Securitized Residential Mortgage Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,446,631 | $ 3,789,748 |
Non-Agency Loans | Securitized Residential Mortgage Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 68,242 | 31,272 |
Non-Agency Loans | Securitized Residential Mortgage Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 30,873 | 8,661 |
Non-Agency Loans | Securitized Residential Mortgage Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 54,214 | 11,584 |
Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 212,350 | $ 48,657 |
Loan count | loan | 536 | 138 |
Weighted Average, Original LTV Ratio | 71.99% | 70.94% |
Weighted Average, Current FICO | 777 | 749 |
Agency-Eligible Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 211,499 | $ 47,918 |
Agency-Eligible Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 851 | 739 |
Agency-Eligible Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Agency-Eligible Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 2,604 | 3,520 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 217,098 | $ 325,120 |
Loan count | loan | 1,495 | 2,226 |
Weighted Average, Original LTV Ratio | 79.80% | 79.61% |
Weighted Average, Current FICO | 657 | 643 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 154,632 | $ 220,124 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 17,145 | 34,865 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 4,780 | 10,937 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 40,541 | $ 59,194 |
Loans - Narrative (Details)
Loans - Narrative (Details) - USD ($) $ in Thousands | 1 Months Ended | ||
Dec. 31, 2023 | Dec. 06, 2023 | Dec. 31, 2022 | |
Gain (Loss) on Securities [Line Items] | |||
Required percentage of fair value of certificates issued in the securitization | 5% | ||
Real estate owned | $ 5,644 | $ 2,698 | |
Variable Interest Entity, Primary Beneficiary | Revolving Mortgage Investment Trust 2015-1QR2 | |||
Gain (Loss) on Securities [Line Items] | |||
Real estate owned | $ 3,400 | ||
Residential Portfolio Segment | |||
Gain (Loss) on Securities [Line Items] | |||
Percentage of unpaid principal balance with adjustable rate mortgages | 12% | 4.90% | |
Fair Value | $ 5,675,912 | $ 4,128,597 | |
Non-Agency Loans | Residential Portfolio Segment | |||
Gain (Loss) on Securities [Line Items] | |||
Fair Value | 94,516 | 371,161 | |
Non-Agency Loans | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | |||
Gain (Loss) on Securities [Line Items] | |||
Fair Value | 5,175,169 | $ 3,436,201 | |
Non-Agency Loans | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | Revolving Mortgage Investment Trust 2015-1QR2 | |||
Gain (Loss) on Securities [Line Items] | |||
Fair Value | 6,600 | ||
Commercial Loans | |||
Gain (Loss) on Securities [Line Items] | |||
Fair Value | 66,303 | ||
Proceeds from loans receivable | $ 12,300 | ||
Western Asset Mortgage Capital Corporation | Commercial Loans | |||
Gain (Loss) on Securities [Line Items] | |||
Financing arrangements | $ 78,459 |
Loans - Summary of loans purcha
Loans - Summary of loans purchased (Details) - Residential Portfolio Segment $ in Thousands | 12 Months Ended |
Dec. 31, 2023 USD ($) | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 1,218,766 |
Fair Value | 1,229,653 |
Western Asset Mortgage Capital Corporation | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 1,064,396 |
Fair Value | 977,827 |
Non-Agency Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 577,968 |
Fair Value | 587,643 |
Non-Agency Loans | Western Asset Mortgage Capital Corporation | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 6,566 |
Fair Value | 6,046 |
Non-Agency Loans | Western Asset Mortgage Capital Corporation | Securitized Residential Mortgage Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 1,057,830 |
Fair Value | 971,781 |
Agency-Eligible Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 640,798 |
Fair Value | $ 642,010 |
Loans - Summary of loans sold (
Loans - Summary of loans sold (Details) - Residential Portfolio Segment $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 USD ($) loan | Dec. 31, 2022 USD ($) loan | |
Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 587 | 18 |
Proceeds | $ 330,742 | $ 10,049 |
Realized Gains | 1,960 | 0 |
Realized Losses | $ (13,272) | $ (1,133) |
Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 47 | 150 |
Proceeds | $ 18,474 | $ 43,718 |
Realized Gains | 69 | 37 |
Realized Losses | $ (85) | $ (2,623) |
Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 560 | |
Proceeds | $ 68,693 | |
Realized Gains | 3,729 | |
Realized Losses | $ (4,068) |
Loans - Summary of concentratio
Loans - Summary of concentrations of credit risk (Details) - Residential Portfolio Segment - Geographic Concentration Risk - Accounts Receivable | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 38% | 33% |
New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 13% | 16% |
Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 10% | 11% |
Texas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 6% | 5% |
New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 5% | 6% |
Loans - Summary of assets and l
Loans - Summary of assets and liabilities related to VIEs (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Assets | ||||
Restricted cash | $ 14,039 | $ 14,182 | ||
Other Assets | 40,716 | 27,595 | ||
Total Assets | 6,126,428 | 4,369,778 | ||
Liabilities | ||||
Securitized debt, at fair value | [1] | 4,711,623 | 3,262,352 | |
Other liabilities (2) | [2] | 32,107 | 19,593 | |
Total Liabilities | 5,598,060 | 3,906,978 | ||
Total Equity | 528,368 | 462,800 | $ 570,380 | |
Carrying Value | 5,564,481 | 3,883,539 | ||
Asset Pledged as Collateral | ||||
Assets | ||||
Securitized residential mortgage loans, at fair value | 1,182,519 | |||
Securitized Residential Mortgage Loans | Non-Agency Loans | Residential Portfolio Segment | ||||
Assets | ||||
Securitized residential mortgage loans, at fair value | 5,175,169 | 3,436,201 | ||
Other Assets | 25,105 | 15,350 | ||
Total Assets | $ 5,200,274 | $ 3,451,551 | ||
Weighted average yield | 5.51% | 4.65% | ||
Weighted average life (Year) | 10 years 4 months 13 days | 10 years 2 months 12 days | ||
Liabilities | ||||
Securitized debt, at fair value | $ 4,597,490 | $ 3,078,593 | ||
Other liabilities (2) | 17,269 | 10,956 | ||
Total Liabilities | $ 4,614,759 | $ 3,089,549 | ||
Weighted average yield | 4.94% | 4.18% | ||
Weighted average useful life | 7 years 6 months 7 days | 7 years 5 months 26 days | ||
Total Equity | $ 585,515 | $ 362,002 | ||
Carrying Value | 301,200 | 197,900 | ||
Securitized Residential Mortgage Loans | Non-Agency Loans | Residential Portfolio Segment | Asset Pledged as Collateral | ||||
Assets | ||||
Securitized residential mortgage loans, at fair value | 578,800 | 357,600 | ||
Securitized Residential Mortgage Loans | Re- and Non-Performing Loans | Residential Portfolio Segment | ||||
Assets | ||||
Securitized residential mortgage loans, at fair value | 183,112 | 270,945 | ||
Restricted cash | 10 | 1,194 | ||
Other Assets | 2,056 | 3,714 | ||
Total Assets | $ 185,178 | $ 275,853 | ||
Weighted average yield | 6.30% | 6.66% | ||
Weighted average life (Year) | 6 years 1 month 6 days | 6 years 3 months 29 days | ||
Liabilities | ||||
Securitized debt, at fair value | $ 114,133 | $ 183,759 | ||
Other liabilities (2) | 328 | 386 | ||
Total Liabilities | $ 114,461 | $ 184,145 | ||
Weighted average yield | 3.25% | 3.10% | ||
Weighted average useful life | 3 years 9 months 7 days | 3 years 1 month 17 days | ||
Total Equity | $ 70,717 | $ 91,708 | ||
Carrying Value | 44,900 | 34,200 | ||
Securitized Residential Mortgage Loans | Residential Mortgage | ||||
Assets | ||||
Securitized residential mortgage loans, at fair value | [1] | 5,358,281 | 3,707,146 | |
Securitized Residential Mortgage Loans | Residential Mortgage | Residential Portfolio Segment | Asset Pledged as Collateral | ||||
Assets | ||||
Securitized residential mortgage loans, at fair value | $ 67,100 | $ 66,400 | ||
[1]These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these securitizations as the Company was determined to be the primary beneficiary. See Note 3 for additional details.[2]Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates. |
Loans - Summary of Commercial l
Loans - Summary of Commercial loans portfolio (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2023 USD ($) | |
Commercial Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Fair Value | $ 66,303 |
Loan A | Secured Overnight Financing Rate | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Floating coupon rate | 4.20% |
Loan B | Secured Overnight Financing Rate | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Floating coupon rate | 4.20% |
Loan C | Secured Overnight Financing Rate | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Floating coupon rate | 4.20% |
Loan D | Secured Overnight Financing Rate | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Floating coupon rate | 3.38% |
Commercial Portfolio Segment | Commercial Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 67,204 |
Premium (Discount) | (996) |
Amortized Cost | 66,208 |
Gross Unrealized Gains | 95 |
Fair Value | $ 66,303 |
Weighted Average Coupon | 9.27% |
Weighted Average Yield | 9.50% |
Weighted Average Life (Years) | 1 year 6 months 7 days |
LTV (6) | 63.61% |
Commercial Portfolio Segment | Loan A | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 7,259 |
Premium (Discount) | (137) |
Amortized Cost | 7,122 |
Gross Unrealized Gains | 12 |
Fair Value | $ 7,134 |
Weighted Average Coupon | 9.55% |
Weighted Average Yield | 10.16% |
Weighted Average Life (Years) | 1 year 5 months 8 days |
LTV (6) | 61.63% |
Commercial Portfolio Segment | Loan B | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 13,206 |
Premium (Discount) | (249) |
Amortized Cost | 12,957 |
Gross Unrealized Gains | 22 |
Fair Value | $ 12,979 |
Weighted Average Coupon | 9.55% |
Weighted Average Yield | 10.16% |
Weighted Average Life (Years) | 1 year 5 months 8 days |
LTV (6) | 75.33% |
Commercial Portfolio Segment | Loan C | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 24,535 |
Premium (Discount) | (463) |
Amortized Cost | 24,072 |
Gross Unrealized Gains | 40 |
Fair Value | $ 24,112 |
Weighted Average Coupon | 9.55% |
Weighted Average Yield | 10.16% |
Weighted Average Life (Years) | 1 year 5 months 8 days |
LTV (6) | 77.22% |
Commercial Portfolio Segment | Loan D | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 22,204 |
Premium (Discount) | (147) |
Amortized Cost | 22,057 |
Gross Unrealized Gains | 21 |
Fair Value | $ 22,078 |
Weighted Average Coupon | 8.72% |
Weighted Average Yield | 8.17% |
Weighted Average Life (Years) | 1 year 8 months 8 days |
LTV (6) | 42.50% |
Real Estate Securities - Summar
Real Estate Securities - Summary of real estate securities portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 229,642 | $ 31,713 |
Premium / (Discount) | (82,605) | (6,875) |
Amortized Cost | 168,582 | 47,447 |
Gross Unrealized Gains | 5,251 | 2,276 |
Gross Unrealized Losses | (11,012) | (6,004) |
Fair Value | $ 162,821 | $ 43,719 |
Weighted Average Coupon | 3.54% | 2.37% |
Weighted Average Yield | 14.01% | 10.20% |
VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 43,794 | $ 14,894 |
Fair Value | $ 37,533 | $ 14,917 |
Weighted Average Coupon | 5.67% | 5.62% |
Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 126,184 | $ 31,713 |
Premium / (Discount) | (35,680) | (6,875) |
Amortized Cost | 94,161 | 27,676 |
Gross Unrealized Gains | 4,590 | 2,248 |
Gross Unrealized Losses | (9,129) | (5,329) |
Fair Value | $ 89,622 | $ 24,595 |
Weighted Average Coupon | 2.17% | 1.62% |
Weighted Average Yield | 9.66% | 12.26% |
Residential Portfolio Segment | VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 43,794 | $ 14,894 |
Premium / (Discount) | (2,281) | (201) |
Amortized Cost | 44,054 | 17,531 |
Gross Unrealized Gains | 2,450 | 2,220 |
Gross Unrealized Losses | (8,971) | (4,834) |
Fair Value | $ 37,533 | $ 14,917 |
Weighted Average Coupon | 2.20% | 1.23% |
Weighted Average Yield | 10.21% | 14.71% |
Non-Agency Securities | VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 43,794 | $ 14,894 |
Fair Value | 32,542 | 9,859 |
Non-Agency Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 82,390 | 16,819 |
Premium / (Discount) | (33,399) | (6,674) |
Amortized Cost | 48,991 | 10,145 |
Gross Unrealized Gains | 2,139 | 28 |
Gross Unrealized Losses | (124) | (495) |
Fair Value | $ 51,006 | $ 9,678 |
Weighted Average Coupon | 4.99% | 3.22% |
Weighted Average Yield | 9.11% | 8.47% |
Non-Agency Securities | Residential Portfolio Segment | VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 43,794 | $ 14,894 |
Premium / (Discount) | (2,281) | (201) |
Amortized Cost | 41,513 | 14,693 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized Losses | (8,971) | (4,834) |
Fair Value | $ 32,542 | $ 9,859 |
Weighted Average Coupon | 4.67% | 4.34% |
Weighted Average Yield | 5.99% | 4.60% |
Non-Agency RMBS Interest Only | VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | $ 4,991 | $ 5,058 |
Non-Agency RMBS Interest Only | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 1,116 | |
Gross Unrealized Gains | 1 | |
Gross Unrealized Losses | (34) | |
Fair Value | $ 1,083 | |
Weighted Average Coupon | 0.35% | |
Weighted Average Yield | 16.04% | |
Real estate securities notional amount | $ 128,800 | |
Non-Agency RMBS Interest Only | Residential Portfolio Segment | VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 2,541 | 2,838 |
Gross Unrealized Gains | 2,450 | 2,220 |
Gross Unrealized Losses | 0 | 0 |
Fair Value | $ 4,991 | $ 5,058 |
Weighted Average Coupon | 0% | 0.38% |
Weighted Average Yield | 37.74% | 34.42% |
Real estate securities notional amount | $ 98,300 | $ 108,500 |
Legacy WMC CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 103,458 | |
Premium / (Discount) | (46,925) | |
Amortized Cost | 56,533 | |
Gross Unrealized Gains | 546 | |
Gross Unrealized Losses | (730) | |
Fair Value | $ 56,349 | |
Weighted Average Coupon | 7.39% | |
Weighted Average Yield | 21.90% | |
Legacy WMC Other Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 1,174 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (18) | |
Fair Value | $ 1,156 | |
Weighted Average Yield | 18.16% | |
Agency Interest Only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 16,714 | 19,771 |
Gross Unrealized Gains | 115 | 28 |
Gross Unrealized Losses | (1,135) | (675) |
Fair Value | $ 15,694 | $ 19,124 |
Weighted Average Coupon | 3.74% | 2.87% |
Weighted Average Yield | 10.20% | 7.54% |
Real estate securities notional amount | $ 92,200 | $ 127,400 |
Real Estate Securities - Narrat
Real Estate Securities - Narrative (Details) - Western Asset Mortgage Capital Corporation $ in Thousands | Dec. 06, 2023 USD ($) |
Non-Agency RMBS | |
Debt Securities, Available-for-sale [Line Items] | |
Securities acquired | $ 48,200 |
Legacy WMC CMBS | |
Debt Securities, Available-for-sale [Line Items] | |
Securities acquired | 56,301 |
Legacy WMC Other Securities | |
Debt Securities, Available-for-sale [Line Items] | |
Securities acquired | 1,159 |
Agency RMBS | |
Debt Securities, Available-for-sale [Line Items] | |
Securities acquired | $ 745 |
Real Estate Securities - Summ_2
Real Estate Securities - Summary of weighted average life of real estate securities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Non-Agency RMBS | ||
Fair Value | ||
Less than or equal to one year | $ 0 | |
Greater than one year and less than or equal to five years | 4,631 | $ 5,058 |
Greater than five years and less than or equal to ten years | 38,792 | 0 |
Greater than ten years | 46,199 | 19,537 |
Total as of December | 89,622 | 24,595 |
Amortized Cost | ||
Less than or equal to one year | 0 | |
Greater than one year and less than or equal to five years | 4,669 | 2,838 |
Greater than five years and less than or equal to ten years | 40,539 | 0 |
Greater than ten years | 48,953 | 24,838 |
Total as of December | 94,161 | 27,676 |
Legacy WMC CMBS | ||
Fair Value | ||
Less than or equal to one year | 15,015 | |
Greater than one year and less than or equal to five years | 41,334 | |
Greater than five years and less than or equal to ten years | 0 | |
Greater than ten years | 0 | |
Total as of December | 56,349 | |
Amortized Cost | ||
Less than or equal to one year | 15,010 | |
Greater than one year and less than or equal to five years | 41,523 | |
Greater than five years and less than or equal to ten years | 0 | |
Greater than ten years | 0 | |
Total as of December | 56,533 | |
Legacy WMC Other Securities | ||
Fair Value | ||
Less than or equal to one year | 0 | |
Greater than one year and less than or equal to five years | 0 | |
Greater than five years and less than or equal to ten years | 1,156 | |
Greater than ten years | 0 | |
Total as of December | 1,156 | |
Amortized Cost | ||
Less than or equal to one year | 0 | |
Greater than one year and less than or equal to five years | 0 | |
Greater than five years and less than or equal to ten years | 1,174 | |
Greater than ten years | 0 | |
Total as of December | 1,174 | |
Agency RMBS | ||
Fair Value | ||
Less than or equal to one year | 0 | |
Greater than one year and less than or equal to five years | 697 | 0 |
Greater than five years and less than or equal to ten years | 14,997 | 19,124 |
Greater than ten years | 0 | 0 |
Total as of December | 15,694 | 19,124 |
Amortized Cost | ||
Less than or equal to one year | 0 | |
Greater than one year and less than or equal to five years | 678 | 0 |
Greater than five years and less than or equal to ten years | 16,036 | 19,771 |
Greater than ten years | 0 | 0 |
Total as of December | $ 16,714 | $ 19,771 |
Real Estate Securities - Sale o
Real Estate Securities - Sale of real estate securities (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 USD ($) security | Dec. 31, 2022 USD ($) security | |
Debt Securities, Available-for-sale [Line Items] | ||
Proceeds from sales of real estate securities | $ 286,356 | $ 526,813 |
Settled Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of Securities | security | 11 | 18 |
Proceeds from sales of real estate securities | $ 286,356 | $ 526,258 |
Realized Gains | 1,341 | 736 |
Realized Losses | $ (2,899) | $ (35,240) |
Real Estate Securities - Uncons
Real Estate Securities - Unconsolidated variable interest entities (Details) - VIE, Not Primary Beneficiary | Dec. 31, 2023 |
TPG Angelo Gordon | |
Debt Securities, Available-for-sale [Line Items] | |
Ownership interest in retained subordinate tranche | 40.90% |
Mortgage Acquisition Trust I LLC, Four Securitizations | |
Debt Securities, Available-for-sale [Line Items] | |
Ownership interest in retained subordinate tranche | 44.60% |
Mortgage Acquisition Trust I LLC, Non-Risk Retention Bonds | |
Debt Securities, Available-for-sale [Line Items] | |
Ownership interest in retained subordinate tranche | 57.70% |
MATH | |
Debt Securities, Available-for-sale [Line Items] | |
Ownership interest in retained subordinate tranche | 47% |
Real Estate Securities - Schedu
Real Estate Securities - Schedule of Unconsolidated variable interest entities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 229,642 | $ 31,713 |
Fair Value | 162,821 | 43,719 |
Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 126,184 | 31,713 |
Fair Value | 89,622 | 24,595 |
Non-Agency Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 82,390 | 16,819 |
Fair Value | 51,006 | 9,678 |
Non-Agency RMBS Interest Only | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 1,083 | |
Real estate securities notional amount | 128,800 | |
VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 43,794 | 14,894 |
Fair Value | 37,533 | 14,917 |
Available for sale securities debt securities FVO first loss exposure | 4,100 | 4,100 |
VIE, Not Primary Beneficiary | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 43,794 | 14,894 |
Fair Value | 37,533 | 14,917 |
VIE, Not Primary Beneficiary | Non-Agency Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 43,794 | 14,894 |
Fair Value | 32,542 | 9,859 |
VIE, Not Primary Beneficiary | Non-Agency Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 43,794 | 14,894 |
Fair Value | 32,542 | 9,859 |
VIE, Not Primary Beneficiary | Non-Agency RMBS Interest Only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 4,991 | 5,058 |
VIE, Not Primary Beneficiary | Non-Agency RMBS Interest Only | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 4,991 | 5,058 |
Real estate securities notional amount | $ 98,300 | $ 108,500 |
Real Estate Securities - Sche_2
Real Estate Securities - Schedule of unconsolidated VIEs (Details) $ in Thousands | Dec. 31, 2023 USD ($) trust | Dec. 31, 2022 USD ($) |
Debt Securities, Available-for-sale [Line Items] | ||
Weighted average coupon | 3.54% | 2.37% |
VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Unpaid Principal Balance | $ | $ 450,366 | $ 132,509 |
Weighted average coupon | 5.67% | 5.62% |
Mortgage loans in excess of 90 days delinquent percent | 1.94% | 1.32% |
Mortgage loans in excess of 90 days delinquent not in process of foreclosure percent | 0.0070 | 0.0132 |
Mortgage loans in excess of 90 days delinquent in process of foreclosure percent | 0.0124 | 0 |
VIE, Not Primary Beneficiary | TPG Angelo Gordon, One Securitization | ||
Debt Securities, Available-for-sale [Line Items] | ||
Ownership interest in retained subordinate tranche | 40.90% | |
Number of securitization trusts | 1 | |
VIE, Not Primary Beneficiary | Mortgage Acquisition Trust I LLC, Four Securitizations | ||
Debt Securities, Available-for-sale [Line Items] | ||
Ownership interest in retained subordinate tranche | 44.60% | |
Number of securitization trusts | 4 |
Fair value measurements - Summa
Fair value measurements - Summary of financial instruments measured at fair value (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Assets: | ||
Derivative Asset, Statement of Financial Position [Extensible Enumeration] | Other Assets | Other Assets |
Derivative assets | $ 10,605 | $ 18,499 |
Cash equivalents | 95,749 | 442 |
AG Arc | 33,574 | 39,680 |
Total Assets Measured at Fair Value | 6,044,964 | 4,230,937 |
Liabilities: | ||
Securitized debt | (4,711,623) | (3,262,352) |
Derivative liabilities | (7,790) | (9) |
Total Liabilities Measured at Fair Value | (4,719,413) | (3,262,361) |
Interest Rate Swaps | ||
Assets: | ||
Derivative assets | 149 | 470 |
Liabilities: | ||
Derivative asset, reduction in fair value related to variation margin | 9,300 | 17,300 |
Derivative liabilities, reduction related to variation margin | 7,700 | |
Residential Mortgage | ||
Assets: | ||
Fair Value | 317,631 | 421,451 |
Residential Mortgage | Securitized Residential Mortgage Loans | ||
Assets: | ||
Fair Value | 5,358,281 | 3,707,146 |
Legacy WMC Commercial loans | ||
Assets: | ||
Fair Value | 66,303 | |
Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 89,622 | 24,595 |
Legacy WMC CMBS | ||
Assets: | ||
Debt securities, available for sale | 56,349 | |
Legacy WMC Other Securities | ||
Assets: | ||
Debt securities, available for sale | 1,156 | |
Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 15,694 | |
Agency Interest Only | ||
Assets: | ||
Debt securities, available for sale | 19,124 | |
Level 1 | ||
Assets: | ||
Derivative assets | 0 | 0 |
Cash equivalents | 95,749 | 442 |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 95,749 | 442 |
Liabilities: | ||
Securitized debt | 0 | 0 |
Derivative liabilities | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
Level 1 | Residential Mortgage | ||
Assets: | ||
Fair Value | 0 | 0 |
Level 1 | Residential Mortgage | Securitized Residential Mortgage Loans | ||
Assets: | ||
Fair Value | 0 | 0 |
Level 1 | Legacy WMC Commercial loans | ||
Assets: | ||
Fair Value | 0 | |
Level 1 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Legacy WMC CMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 1 | Legacy WMC Other Securities | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 1 | Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 1 | Agency Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 2 | ||
Assets: | ||
Derivative assets | 9,433 | 18,401 |
Cash equivalents | 0 | 0 |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 128,546 | 47,957 |
Liabilities: | ||
Securitized debt | 0 | 0 |
Derivative liabilities | (7,783) | 0 |
Total Liabilities Measured at Fair Value | (7,783) | 0 |
Level 2 | Residential Mortgage | ||
Assets: | ||
Fair Value | 777 | 754 |
Level 2 | Residential Mortgage | Securitized Residential Mortgage Loans | ||
Assets: | ||
Fair Value | 0 | 0 |
Level 2 | Legacy WMC Commercial loans | ||
Assets: | ||
Fair Value | 0 | |
Level 2 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 52,089 | 9,678 |
Level 2 | Legacy WMC CMBS | ||
Assets: | ||
Debt securities, available for sale | 50,553 | |
Level 2 | Legacy WMC Other Securities | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 2 | Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 15,694 | |
Level 2 | Agency Interest Only | ||
Assets: | ||
Debt securities, available for sale | 19,124 | |
Level 3 | ||
Assets: | ||
Derivative assets | 1,172 | 98 |
Cash equivalents | 0 | 0 |
AG Arc | 33,574 | 39,680 |
Total Assets Measured at Fair Value | 5,820,669 | 4,182,538 |
Liabilities: | ||
Securitized debt | (4,711,623) | (3,262,352) |
Derivative liabilities | (7) | (9) |
Total Liabilities Measured at Fair Value | (4,711,630) | (3,262,361) |
Level 3 | Residential Mortgage | ||
Assets: | ||
Fair Value | 316,854 | 420,697 |
Level 3 | Residential Mortgage | Securitized Residential Mortgage Loans | ||
Assets: | ||
Fair Value | 5,358,281 | 3,707,146 |
Level 3 | Legacy WMC Commercial loans | ||
Assets: | ||
Fair Value | 66,303 | |
Level 3 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 37,533 | 14,917 |
Level 3 | Legacy WMC CMBS | ||
Assets: | ||
Debt securities, available for sale | 5,796 | |
Level 3 | Legacy WMC Other Securities | ||
Assets: | ||
Debt securities, available for sale | 1,156 | |
Level 3 | Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | $ 0 | |
Level 3 | Agency Interest Only | ||
Assets: | ||
Debt securities, available for sale | $ 0 |
Fair value measurements - Sum_2
Fair value measurements - Summary of assets measured on a recurring basis (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Securitized Debt | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | $ (3,262,352) | $ (999,215) |
Purchases | 0 | 0 |
Transfers from MATH | 0 | |
Issuances of Securitized Debt | (874,407) | (3,040,283) |
Capital distributions | 0 | 0 |
Proceeds from sales or settlements | 0 | 0 |
Principal repayments | 364,920 | 379,979 |
Total net gains/(losses) | ||
Other | 0 | 0 |
Ending Balance | (4,711,623) | (3,262,352) |
Securitized Debt | Western Asset Mortgage Capital Corporation | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets acquired/liabilities assumed from WMC | (837,317) | |
Securitized Debt | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability, gain (loss) included in earnings | (13,098) | (4,300) |
Securitized Debt | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability, gain (loss) included in earnings | 0 | 0 |
Securitized Debt | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability, gain (loss) included in earnings | (89,369) | 401,467 |
Securitized Debt | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability, gain (loss) included in earnings | 0 | 0 |
Derivative liabilities | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | (9) | (79) |
Purchases | 0 | 0 |
Transfers from MATH | 0 | |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales or settlements | 4,293 | 0 |
Principal repayments | 0 | 16,044 |
Total net gains/(losses) | ||
Other | 0 | 0 |
Ending Balance | (7) | (9) |
Derivative liabilities | Western Asset Mortgage Capital Corporation | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets acquired/liabilities assumed from WMC | 0 | |
Derivative liabilities | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability, gain (loss) included in earnings | 0 | 0 |
Derivative liabilities | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability, gain (loss) included in earnings | (4,293) | (16,044) |
Derivative liabilities | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability, gain (loss) included in earnings | 2 | 70 |
Derivative liabilities | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, liability, gain (loss) included in earnings | 0 | 0 |
Level 3 | Securitized Debt | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (13,098) | (4,300) |
Level 3 | Securitized Debt | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (87,578) | 401,467 |
Level 3 | Securitized Debt | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Level 3 | Derivative liabilities | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Level 3 | Derivative liabilities | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (7) | (9) |
Level 3 | Derivative liabilities | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Residential Mortgage | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 4,127,843 | 2,634,191 |
Purchases | 1,228,800 | 2,557,440 |
Transfers from MATH | 0 | |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales or settlements | (417,909) | (53,767) |
Principal repayments | (342,996) | (464,332) |
Total net gains/(losses) | ||
Other | (1,766) | (1,203) |
Ending Balance | 5,675,135 | 4,127,843 |
Residential Mortgage | Western Asset Mortgage Capital Corporation | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets acquired/liabilities assumed from WMC | 977,827 | |
Residential Mortgage | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 3,631 | (1,009) |
Residential Mortgage | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | (11,937) | (3,520) |
Residential Mortgage | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 111,642 | (539,957) |
Residential Mortgage | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | 0 |
Residential Mortgage | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 2,857 | (2,586) |
Residential Mortgage | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 101,037 | (540,043) |
Residential Mortgage | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 0 | 0 |
Legacy WMC Commercial loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 0 | |
Purchases | 0 | |
Transfers from MATH | 0 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales or settlements | 0 | |
Principal repayments | (12,250) | |
Total net gains/(losses) | ||
Other | 0 | |
Ending Balance | 66,303 | 0 |
Legacy WMC Commercial loans | Western Asset Mortgage Capital Corporation | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets acquired/liabilities assumed from WMC | 78,459 | |
Legacy WMC Commercial loans | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | (1) | |
Legacy WMC Commercial loans | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | |
Legacy WMC Commercial loans | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 95 | |
Legacy WMC Commercial loans | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | |
Legacy WMC Commercial loans | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | (1) | |
Legacy WMC Commercial loans | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 95 | |
Legacy WMC Commercial loans | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 0 | |
Non-Agency RMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 14,917 | 18,757 |
Purchases | 4,825 | 0 |
Transfers from MATH | 16,408 | |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales or settlements | 0 | 0 |
Principal repayments | 0 | (664) |
Total net gains/(losses) | ||
Other | 0 | 0 |
Ending Balance | 37,533 | 14,917 |
Non-Agency RMBS | Western Asset Mortgage Capital Corporation | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets acquired/liabilities assumed from WMC | 0 | |
Non-Agency RMBS | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | (217) | (662) |
Non-Agency RMBS | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | 0 |
Non-Agency RMBS | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 1,600 | (2,514) |
Non-Agency RMBS | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | 0 |
Non-Agency RMBS | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | (217) | (653) |
Non-Agency RMBS | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 1,600 | (2,424) |
Non-Agency RMBS | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 0 | 0 |
Legacy WMC CMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 0 | |
Purchases | 0 | |
Transfers from MATH | 0 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales or settlements | 0 | |
Principal repayments | 0 | |
Total net gains/(losses) | ||
Other | 0 | |
Ending Balance | 5,796 | 0 |
Legacy WMC CMBS | Western Asset Mortgage Capital Corporation | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets acquired/liabilities assumed from WMC | 5,588 | |
Legacy WMC CMBS | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 60 | |
Legacy WMC CMBS | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | |
Legacy WMC CMBS | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 148 | |
Legacy WMC CMBS | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | |
Legacy WMC CMBS | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 60 | |
Legacy WMC CMBS | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 148 | |
Legacy WMC CMBS | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 0 | |
Legacy WMC Other Securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 0 | |
Purchases | 0 | |
Transfers from MATH | 0 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales or settlements | 0 | |
Principal repayments | 0 | |
Total net gains/(losses) | ||
Other | 0 | |
Ending Balance | 1,156 | 0 |
Legacy WMC Other Securities | Western Asset Mortgage Capital Corporation | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets acquired/liabilities assumed from WMC | 1,159 | |
Legacy WMC Other Securities | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 15 | |
Legacy WMC Other Securities | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | |
Legacy WMC Other Securities | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | (18) | |
Legacy WMC Other Securities | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | |
Legacy WMC Other Securities | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 15 | |
Legacy WMC Other Securities | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | (18) | |
Legacy WMC Other Securities | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 0 | |
Derivative assets | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 98 | 0 |
Purchases | 0 | 0 |
Transfers from MATH | 0 | |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales or settlements | (5,289) | 0 |
Principal repayments | 0 | (2,700) |
Total net gains/(losses) | ||
Other | 0 | 0 |
Ending Balance | 1,172 | 98 |
Derivative assets | Western Asset Mortgage Capital Corporation | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets acquired/liabilities assumed from WMC | 0 | |
Derivative assets | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | 0 |
Derivative assets | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 5,289 | 2,700 |
Derivative assets | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 1,074 | 98 |
Derivative assets | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | 0 |
Derivative assets | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 0 | 0 |
Derivative assets | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 1,172 | 98 |
Derivative assets | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 0 | 0 |
AG Arc | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 39,680 | 53,435 |
Purchases | 0 | 0 |
Transfers from MATH | 0 | |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | (626) | (6,053) |
Proceeds from sales or settlements | 0 | 0 |
Principal repayments | 0 | 0 |
Total net gains/(losses) | ||
Other | 0 | 0 |
Ending Balance | 33,574 | 39,680 |
AG Arc | Western Asset Mortgage Capital Corporation | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Assets acquired/liabilities assumed from WMC | 0 | |
AG Arc | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | 0 |
AG Arc | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | 0 |
AG Arc | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | 0 | 0 |
AG Arc | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Fair value, measurement with unobservable inputs reconciliation, recurring basis, asset, gain (loss) included in earnings | (5,480) | (7,702) |
AG Arc | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 0 | 0 |
AG Arc | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | 0 | 0 |
AG Arc | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Unrealized gains/(losses) recorded in the consolidated statement of operations | $ (5,480) | $ (7,702) |
Fair value measurements - Sum_3
Fair value measurements - Summary of valuation techniques (Details) $ in Thousands | Dec. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) $ / shares |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 162,821 | $ 43,719 |
Derivative Asset | 10,605 | 18,499 |
Derivative Liability | (70) | (9) |
Residential Mortgage | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 0 | 64,984 |
Legacy WMC CMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | 56,349 | |
Legacy WMC Other Securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | 1,156 | |
Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative Asset | 1,172 | 98 |
Level 3 | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative Asset | 1,172 | 98 |
Derivative Liability | $ (7) | $ (9) |
Level 3 | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0629 | 0.0669 |
Derivative liability, measurement input | 0.0647 | 0.0729 |
Level 3 | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0832 | 0.0768 |
Derivative liability, measurement input | 0.0700 | 0.0761 |
Level 3 | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0681 | 0.0754 |
Derivative liability, measurement input | 0.0651 | 0.0736 |
Level 3 | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1820 | 0.1263 |
Derivative liability, measurement input | 0.2736 | 0.2151 |
Level 3 | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.3378 | 0.3419 |
Derivative liability, measurement input | 0.3444 | 0.3131 |
Level 3 | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.2700 | 0.2671 |
Derivative liability, measurement input | 0.3430 | 0.2792 |
Level 3 | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0 | 0.0001 |
Derivative liability, measurement input | 0 | 0.0001 |
Level 3 | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0082 | 0.0096 |
Derivative liability, measurement input | 0.0002 | 0.0046 |
Level 3 | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0014 | 0.0039 |
Derivative liability, measurement input | 0 | 0.0016 |
Level 3 | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1000 | 0.1000 |
Derivative liability, measurement input | 0.1000 | 0.1000 |
Level 3 | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1000 | 0.1000 |
Derivative liability, measurement input | 0.1000 | 0.1000 |
Level 3 | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1000 | 0.1000 |
Derivative liability, measurement input | 0.1000 | 0.1000 |
Level 3 | Pull Through Percentages | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.6000 | 0.5500 |
Derivative liability, measurement input | 0.6000 | 1 |
Level 3 | Pull Through Percentages | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 1 | 1 |
Derivative liability, measurement input | 1 | 1 |
Level 3 | Pull Through Percentages | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.9221 | 0.7278 |
Derivative liability, measurement input | 0.9922 | 1 |
Level 3 | Residential Mortgage | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 316,854 | $ 418,023 |
Level 3 | Residential Mortgage | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 0 | 2,674 |
Level 3 | Residential Mortgage | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 5,358,281 | $ 3,707,146 |
Level 3 | Residential Mortgage | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0613 | 0.0629 |
Level 3 | Residential Mortgage | Yield | Minimum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0567 | 0.0475 |
Level 3 | Residential Mortgage | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1875 | 0.0982 |
Level 3 | Residential Mortgage | Yield | Maximum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0947 | 0.0732 |
Level 3 | Residential Mortgage | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0664 | 0.0716 |
Level 3 | Residential Mortgage | Yield | Weighted Average | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0623 | 0.0640 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0389 | 0.0138 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Minimum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0302 | 0.0481 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.3435 | 0.3128 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Maximum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1047 | 0.1019 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2488 | 0.1637 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Weighted Average | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0472 | 0.0644 |
Level 3 | Residential Mortgage | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0 | 0 |
Level 3 | Residential Mortgage | Projected Collateral Losses | Minimum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0002 | 0.0005 |
Level 3 | Residential Mortgage | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1272 | 0.1444 |
Level 3 | Residential Mortgage | Projected Collateral Losses | Maximum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0188 | 0.0140 |
Level 3 | Residential Mortgage | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0015 | 0.0048 |
Level 3 | Residential Mortgage | Projected Collateral Losses | Weighted Average | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0016 | 0.0022 |
Level 3 | Residential Mortgage | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.3875) | (0.0264) |
Level 3 | Residential Mortgage | Projected Collateral Severities | Minimum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.1344) | (0.0416) |
Level 3 | Residential Mortgage | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.4401 | 0.1019 |
Level 3 | Residential Mortgage | Projected Collateral Severities | Maximum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2600 | 0.2000 |
Level 3 | Residential Mortgage | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0962 | 0.0999 |
Level 3 | Residential Mortgage | Projected Collateral Severities | Weighted Average | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1738 | 0.1540 |
Level 3 | Residential Mortgage | Offered Quotes | Minimum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 93.46 | |
Level 3 | Residential Mortgage | Offered Quotes | Maximum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 107.05 | |
Level 3 | Residential Mortgage | Offered Quotes | Weighted Average | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 101.11 | |
Level 3 | Legacy WMC Commercial loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 66,303 | $ 0 |
Level 3 | Legacy WMC Commercial loans | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0816 | |
Level 3 | Legacy WMC Commercial loans | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1013 | |
Level 3 | Legacy WMC Commercial loans | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0947 | |
Level 3 | Legacy WMC Commercial loans | Credit Spread | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0377 | |
Level 3 | Legacy WMC Commercial loans | Credit Spread | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0556 | |
Level 3 | Legacy WMC Commercial loans | Credit Spread | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0496 | |
Level 3 | Legacy WMC Commercial loans | Recovery Percentage | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | |
Level 3 | Legacy WMC Commercial loans | Recovery Percentage | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | |
Level 3 | Legacy WMC Commercial loans | Recovery Percentage | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | |
Level 3 | Legacy WMC Commercial loans | Loan-to-Value | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.4250 | |
Level 3 | Legacy WMC Commercial loans | Loan-to-Value | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.7722 | |
Level 3 | Legacy WMC Commercial loans | Loan-to-Value | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.6361 | |
Level 3 | Non-Agency RMBS | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 37,533 | $ 14,917 |
Level 3 | Non-Agency RMBS | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0623 | 0.0718 |
Level 3 | Non-Agency RMBS | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1400 | 0.1400 |
Level 3 | Non-Agency RMBS | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0970 | 0.1059 |
Level 3 | Non-Agency RMBS | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0455 | 0.0814 |
Level 3 | Non-Agency RMBS | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0526 | 0.0814 |
Level 3 | Non-Agency RMBS | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0493 | 0.0814 |
Level 3 | Non-Agency RMBS | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0017 | 0.0018 |
Level 3 | Non-Agency RMBS | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0028 | 0.0018 |
Level 3 | Non-Agency RMBS | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0025 | 0.0018 |
Level 3 | Non-Agency RMBS | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1000 | 0.1000 |
Level 3 | Non-Agency RMBS | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1000 | 0.1000 |
Level 3 | Non-Agency RMBS | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1000 | 0.1000 |
Level 3 | Legacy WMC CMBS | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 5,796 | $ 0 |
Level 3 | Legacy WMC CMBS | Offered Quotes | Minimum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 55.20 | |
Level 3 | Legacy WMC CMBS | Offered Quotes | Maximum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 55.20 | |
Level 3 | Legacy WMC CMBS | Offered Quotes | Weighted Average | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 55.20 | |
Level 3 | Legacy WMC Other Securities | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 1,156 | 0 |
Level 3 | Legacy WMC Other Securities | Offered Quotes | Minimum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 6,821.32 | |
Level 3 | Legacy WMC Other Securities | Offered Quotes | Maximum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 6,821.32 | |
Level 3 | Legacy WMC Other Securities | Offered Quotes | Weighted Average | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 6,821.32 | |
Level 3 | AG Arc | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 33,574 | $ 39,680 |
Level 3 | AG Arc | Book Value Multiple | Minimum | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.89 | 0.94 |
Level 3 | AG Arc | Book Value Multiple | Maximum | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.89 | 0.94 |
Level 3 | AG Arc | Book Value Multiple | Weighted Average | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.89 | 0.94 |
Level 3 | Securitized Debt | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, fair value | $ (4,711,623) | $ (3,262,352) |
Level 3 | Securitized Debt | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0492 | 0.0525 |
Level 3 | Securitized Debt | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1500 | 0.1500 |
Level 3 | Securitized Debt | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0572 | 0.0607 |
Level 3 | Securitized Debt | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0302 | 0.0481 |
Level 3 | Securitized Debt | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1047 | 0.1019 |
Level 3 | Securitized Debt | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0466 | 0.0636 |
Level 3 | Securitized Debt | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0002 | 0.0005 |
Level 3 | Securitized Debt | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0040 | 0.0140 |
Level 3 | Securitized Debt | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0015 | 0.0019 |
Level 3 | Securitized Debt | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0371 | (0.0416) |
Level 3 | Securitized Debt | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.2600 | 0.2000 |
Level 3 | Securitized Debt | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1776 | 0.1581 |
Fair Value Measurements - Sched
Fair Value Measurements - Schedule of other fair value disclosures (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financing arrangements | $ 4,711,623 | $ 3,262,352 |
Carrying Value | Fair Value, Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Legacy WMC Convertible Notes | 85,266 | |
Financing arrangements | 62,972 | |
Estimated Fair Value | Fair Value, Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Legacy WMC Convertible Notes | 84,525 | |
Financing arrangements | $ 63,175 |
Financing - Summary of financin
Financing - Summary of financing arrangements (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Repurchase Agreements [Abstract] | ||
Current Face | $ 6,045,645 | |
Carrying Value | $ 5,564,481 | $ 3,883,539 |
Weighted Average Funding Cost | 5.30% | |
Weighted Average Life (in years) | 6 years 5 months 23 days | |
Cash pledged (i.e., restricted cash) under repurchase agreements | $ 1,700 | 3,400 |
Asset Pledged as Collateral | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | 1,182,519 | |
Securitized Residential Mortgage Loans | Securitized Debt | ||
Repurchase Agreements [Abstract] | ||
Current Face | 5,194,258 | |
Carrying Value | $ 4,711,623 | 3,262,352 |
Weighted Average Funding Cost | 4.90% | |
Weighted Average Life (in years) | 7 years 5 months 4 days | |
Total Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | $ 765,137 | |
Total Financing Arrangements | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 765,137 | |
Carrying Value | $ 767,592 | 621,187 |
Weighted Average Funding Cost | 7.41% | |
Weighted Average Life (in years) | 6 months 3 days | |
Total Financing Arrangements | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 1,182,519 | |
Non-Agency Loans | ||
Repurchase Agreements [Abstract] | ||
Current Face | 77,345 | |
Non-Agency Loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 77,345 | |
Carrying Value | $ 77,345 | 277,797 |
Weighted Average Funding Cost | 7.30% | |
Weighted Average Life (in years) | 7 months 28 days | |
Non-Agency Loans | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 94,516 | |
Non-Agency Loans | Securitized Residential Mortgage Loans | ||
Repurchase Agreements [Abstract] | ||
Current Face | 298,750 | |
Non-Agency Loans | Securitized Residential Mortgage Loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 298,750 | |
Carrying Value | $ 301,205 | 197,937 |
Weighted Average Funding Cost | 7.57% | |
Weighted Average Life (in years) | 5 months 1 day | |
Weighted average coupon rate | 8.19% | |
Non-Agency Loans | Securitized Residential Mortgage Loans | Securitized Debt | ||
Repurchase Agreements [Abstract] | ||
Current Face | $ 5,069,689 | |
Carrying Value | $ 4,597,490 | 3,078,593 |
Weighted Average Funding Cost | 4.94% | |
Weighted Average Life (in years) | 7 years 6 months 7 days | |
Amortized cost of debt | $ 4,900,000 | |
Non-Agency Loans | Securitized Residential Mortgage Loans | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | 578,829 | |
Non-Agency Loans | Counterparty One and Two | ||
Repurchase Agreements [Abstract] | ||
Line of credit facility, maximum borrowing capacity | 2,300,000 | |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | ||
Repurchase Agreements [Abstract] | ||
Current Face | 44,928 | |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 44,928 | |
Carrying Value | $ 44,928 | 34,151 |
Weighted Average Funding Cost | 7.30% | |
Weighted Average Life (in years) | 7 days | |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | Securitized Debt | ||
Repurchase Agreements [Abstract] | ||
Current Face | $ 124,569 | |
Carrying Value | $ 114,133 | 183,759 |
Weighted Average Funding Cost | 3.25% | |
Weighted Average Life (in years) | 3 years 9 months 7 days | |
Amortized cost of debt | $ 122,700 | |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | 67,047 | |
Agency-Eligible Loans | ||
Repurchase Agreements [Abstract] | ||
Current Face | 200,617 | |
Agency-Eligible Loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 200,617 | |
Carrying Value | $ 200,617 | 27,199 |
Weighted Average Funding Cost | 7.21% | |
Weighted Average Life (in years) | 11 months 26 days | |
Agency-Eligible Loans | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 220,709 | |
Residential Mortgage Loans Held for Sale | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 0 | |
Carrying Value | 0 | 55,245 |
Residential Mortgage Loans Held for Sale | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | 0 | |
Legacy WMC Commercial loans | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | 66,303 | 0 |
Legacy WMC Commercial loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 48,032 | |
Carrying Value | $ 48,032 | 0 |
Weighted Average Funding Cost | 7.86% | |
Weighted Average Life (in years) | 2 months 26 days | |
Legacy WMC Commercial loans | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 66,303 | |
Non-Agency RMBS | ||
Repurchase Agreements [Abstract] | ||
Current Face | 51,251 | |
Non-Agency RMBS | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 51,251 | |
Carrying Value | $ 51,251 | 14,695 |
Weighted Average Funding Cost | 7.19% | |
Weighted Average Life (in years) | 29 days | |
Non-Agency RMBS | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 89,622 | |
Legacy WMC CMBS | ||
Repurchase Agreements [Abstract] | ||
Current Face | 31,620 | |
Legacy WMC CMBS | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 31,620 | |
Carrying Value | $ 31,620 | 0 |
Weighted Average Funding Cost | 7.81% | |
Weighted Average Life (in years) | 3 days | |
Legacy WMC CMBS | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 50,553 | |
Agency RMBS | ||
Repurchase Agreements [Abstract] | ||
Current Face | 12,594 | |
Agency RMBS | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 12,594 | |
Carrying Value | $ 12,594 | 14,163 |
Weighted Average Funding Cost | 6.23% | |
Weighted Average Life (in years) | 2 months 8 days | |
Agency RMBS | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 14,940 | |
Legacy WMC Convertible Notes | ||
Repurchase Agreements [Abstract] | ||
Current Face | 86,250 | |
Carrying Value | $ 85,266 | $ 0 |
Weighted Average Funding Cost | 8.42% | |
Weighted Average Life (in years) | 8 months 15 days | |
Interest Only | Securitized Residential Mortgage Loans | ||
Repurchase Agreements [Abstract] | ||
Notional balance | $ 133,800 |
Financing - Summary of repurcha
Financing - Summary of repurchase agreements (Details) $ in Thousands | Dec. 31, 2023 USD ($) |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | $ 6,045,645 |
Total Financing Arrangements | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 765,137 |
Total Financing Arrangements | Within 30 Days | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 227,646 |
Total Financing Arrangements | Over 30 Days to 3 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 166,312 |
Total Financing Arrangements | Over 3 Months to 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 298,521 |
Total Financing Arrangements | Over 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 72,658 |
Non-Agency Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 77,345 |
Non-Agency Loans | Securitized Residential Mortgage Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 298,750 |
Non-Agency Loans | Within 30 Days | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Non-Agency Loans | Within 30 Days | Securitized Residential Mortgage Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 121,068 |
Non-Agency Loans | Over 30 Days to 3 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 3,005 |
Non-Agency Loans | Over 30 Days to 3 Months | Securitized Residential Mortgage Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 84,244 |
Non-Agency Loans | Over 3 Months to 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 62,199 |
Non-Agency Loans | Over 3 Months to 12 Months | Securitized Residential Mortgage Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 32,921 |
Non-Agency Loans | Over 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 12,141 |
Non-Agency Loans | Over 12 Months | Securitized Residential Mortgage Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 60,517 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 44,928 |
Re- and Non-Performing Loans | Within 30 Days | Securitized Residential Mortgage Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 44,928 |
Re- and Non-Performing Loans | Over 30 Days to 3 Months | Securitized Residential Mortgage Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Re- and Non-Performing Loans | Over 3 Months to 12 Months | Securitized Residential Mortgage Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Re- and Non-Performing Loans | Over 12 Months | Securitized Residential Mortgage Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Agency-Eligible Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 200,617 |
Agency-Eligible Loans | Within 30 Days | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Agency-Eligible Loans | Over 30 Days to 3 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Agency-Eligible Loans | Over 3 Months to 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 200,617 |
Agency-Eligible Loans | Over 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Legacy WMC Commercial Loans | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 48,032 |
Legacy WMC Commercial Loans | Within 30 Days | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Legacy WMC Commercial Loans | Over 30 Days to 3 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 48,032 |
Legacy WMC Commercial Loans | Over 3 Months to 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Legacy WMC Commercial Loans | Over 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Non-Agency RMBS | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 51,251 |
Non-Agency RMBS | Within 30 Days | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 29,398 |
Non-Agency RMBS | Over 30 Days to 3 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 19,069 |
Non-Agency RMBS | Over 3 Months to 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 2,784 |
Non-Agency RMBS | Over 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Legacy WMC CMBS | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 31,620 |
Legacy WMC CMBS | Within 30 Days | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 31,620 |
Legacy WMC CMBS | Over 30 Days to 3 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Legacy WMC CMBS | Over 3 Months to 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Legacy WMC CMBS | Over 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Agency RMBS | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 12,594 |
Agency RMBS | Within 30 Days | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 632 |
Agency RMBS | Over 30 Days to 3 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 11,962 |
Agency RMBS | Over 3 Months to 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Agency RMBS | Over 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Legacy WMC Convertible Notes | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 86,250 |
Legacy WMC Convertible Notes | Within 30 Days | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Legacy WMC Convertible Notes | Over 30 Days to 3 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 0 |
Legacy WMC Convertible Notes | Over 3 Months to 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | 86,250 |
Legacy WMC Convertible Notes | Over 12 Months | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Current Face | $ 0 |
Financing - Narrative (Details)
Financing - Narrative (Details) | 12 Months Ended | |||
Dec. 06, 2023 USD ($) $ / shares | Dec. 05, 2023 | Dec. 31, 2023 USD ($) counterparty | Dec. 31, 2022 counterparty | |
Debt Instrument [Line Items] | ||||
Number of counterparties with outstanding debt | counterparty | 7 | 6 | ||
Western Asset Mortgage Capital Corporation | ||||
Debt Instrument [Line Items] | ||||
Financing arrangements | $ 171,170,000 | |||
Securitized debt | 837,317,000 | |||
Convertible senior unsecured notes | 85,172,000 | |||
Western Asset Mortgage Capital Corporation | Convertible Senior Unsecured Notes Due in September 2024 | Convertible Debt | ||||
Debt Instrument [Line Items] | ||||
Debt face amount | $ 86,250,000 | |||
Debt interest rate | 6.75% | |||
Redemption price, percentage | 100% | |||
Conversion ratio | 0.0506252 | 0.0337952 | ||
Conversion price (in dollars per share) | $ / shares | $ 19.75 | |||
Conversion price, common stock component (in dollars per share) | $ / shares | 19.13 | |||
Conversion price, cash component (in dollars per share) | $ / shares | $ 0.62 | |||
Interest expense | $ 500,000 | |||
Coupon interest expense | 400,000 | |||
Amortization expense | $ 100,000 |
Financing - Summary of repurc_2
Financing - Summary of repurchase agreement counterparty (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
BofA Securities, Inc | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 131,128 | $ 36,193 |
Weighted Average Maturity (days) | 236 days | 93 days |
Percentage of Stockholders' Equity | 24.80% | 7.80% |
Barclays Capital Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 81,047 | $ 81,445 |
Weighted Average Maturity (days) | 85 days | 113 days |
Percentage of Stockholders' Equity | 15.30% | 17.60% |
Goldman Sachs Bank USA | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 73,893 | |
Weighted Average Maturity (days) | 9 days | |
Percentage of Stockholders' Equity | 14% | |
Goldman Sachs Bank USA | Maximum | ||
Repurchase Agreement Counterparty [Line Items] | ||
Percentage of Stockholders' Equity | 5% | |
JP Morgan Securities, LLC | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 46,642 | |
Weighted Average Maturity (days) | 134 days | |
Percentage of Stockholders' Equity | 8.80% | |
JP Morgan Securities, LLC | Maximum | ||
Repurchase Agreement Counterparty [Line Items] | ||
Percentage of Stockholders' Equity | 5% | |
Various | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 69,637 | |
Weighted Average Maturity (days) | 577 days | |
Percentage of Stockholders' Equity | 13.20% | |
Various | Maximum | ||
Repurchase Agreement Counterparty [Line Items] | ||
Percentage of Stockholders' Equity | 5% | |
Credit Suisse AG, Cayman Islands Branch | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 130,587 | |
Weighted Average Maturity (days) | 71 days | |
Percentage of Stockholders' Equity | 0% | 28.20% |
Other assets and liabilities -
Other assets and liabilities - Summary of other assets and liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |
Other assets | |||
Interest receivable | $ 30,315 | $ 20,593 | |
Real estate owned | 5,644 | 2,698 | |
Derivative assets, at fair value | 1,321 | 1,218 | |
Other assets | 3,187 | 2,285 | |
Due from broker | 249 | 801 | |
Total Other assets | 40,716 | 27,595 | |
Other liabilities | |||
Interest payable | 23,715 | 14,114 | |
Derivative liabilities, at fair value | 70 | 9 | |
Accrued expenses | 4,874 | 1,811 | |
Due to broker | 196 | 7 | |
Total Other liabilities | [1] | 32,107 | 19,593 |
Related Party | |||
Other liabilities | |||
Due to affiliates | $ 3,252 | $ 3,652 | |
[1]Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates. |
Other assets and liabilities _2
Other assets and liabilities - Summary of company's derivatives and other instruments and their balance sheet location (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Derivatives, Fair Value [Line Items] | |||
Derivative pay interest rate | 3.65% | 2.77% | |
Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount | $ 503,000 | $ 335,000 | $ 888,500 |
Derivative asset, reduction related to variation margin | 9,300 | 17,300 | |
Derivative liabilities, reduction related to variation margin | 7,700 | ||
Interest Rate Swaps | Other assets | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount | 165,000 | 335,000 | |
Derivative assets, at fair value | 149 | 470 | |
Interest Rate Swaps | Other liabilities | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount | 338,000 | 0 | |
Derivative liabilities, at fair value | 0 | 0 | |
Forward Purchase Commitments | Other assets | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount | 70,145 | 924 | |
Derivative assets, at fair value | 1,172 | 98 | |
Forward Purchase Commitments | Other liabilities | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount | 2,566 | 7,082 | |
Derivative liabilities, at fair value | (7) | (9) | |
Short | Short TBAs | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount | 9,000 | 40,000 | $ 385,963 |
Short | Short TBAs | Other assets | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount | 0 | 40,000 | |
Derivative assets, at fair value | 0 | 650 | |
Short | Short TBAs | Other liabilities | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount | 9,000 | 0 | |
Derivative liabilities, at fair value | $ (63) | $ 0 |
Other assets and liabilities _3
Other assets and liabilities - Summary of information related to derivatives and other instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 |
Derivative [Line Items] | |||
Derivative pay interest rate | 3.65% | 2.77% | |
Derivative receivable interest rate | 5.38% | 4.30% | |
Derivative, remaining maturity | 4 years 3 days | 4 years 9 months 7 days | |
Interest Rate Swaps | |||
Derivative [Line Items] | |||
Notional amount | $ 503,000 | $ 335,000 | $ 888,500 |
Long | TBAs | |||
Derivative [Line Items] | |||
Notional amount | 0 | 0 | 0 |
Short | TBAs | |||
Derivative [Line Items] | |||
Notional amount | $ 9,000 | $ 40,000 | $ 385,963 |
Other assets and liabilities _4
Other assets and liabilities - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash as collateral for certain derivatives | $ 12.3 | $ 9.6 |
Cash posted as collateral by company | 10.7 | 1.3 |
Cash pledged as collateral against derivatives related to variation margin | $ 1.6 | $ 8.3 |
Other assets and liabilities _5
Other assets and liabilities - Summary of gains/(losses) related to derivatives and other instruments (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net interest component of interest rate swaps | $ (6,680) | $ 4,922 |
Included within Net unrealized gain/(loss) | (24,465) | (2,124) |
Included within Net realized gain/(loss) | 21,334 | 118,827 |
Total income/(loss) | 3,549 | 111,781 |
Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net interest component of interest rate swaps | 6,680 | (4,922) |
Included within Net unrealized gain/(loss) | (24,828) | (2,955) |
Included within Net realized gain/(loss) | 20,403 | 129,382 |
TBA | Short | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net unrealized gain/(loss) | (713) | 663 |
Included within Net realized gain/(loss) | (70) | 13,578 |
TBA | Long | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net realized gain/(loss) | 5 | (10,789) |
Forward Purchase Commitments | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net unrealized gain/(loss) | 1,076 | 168 |
Included within Net realized gain/(loss) | $ 996 | $ (13,344) |
Other assets and liabilities _6
Other assets and liabilities - Summary of derivative activity (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
To Be Announced Securities [Roll Forward] | ||
Derivative Asset | $ 10,605 | $ 18,499 |
Derivative Liability | (70) | (9) |
Due from broker | 249 | 801 |
Interest Rate Swaps | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | (335,000) | (888,500) |
Buys or Covers | 1,197,000 | 1,947,000 |
Sales or Shorts | (1,029,000) | (2,500,500) |
Ending Notional Amount | (503,000) | (335,000) |
Derivative Asset | 149 | 470 |
Derivative Liability | 0 | 0 |
Interest Rate Swaps | Western Asset Mortgage Capital Corporation | ||
To Be Announced Securities [Roll Forward] | ||
Ending Notional Amount | (82,000) | |
Long | TBA | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | 0 | 0 |
Buys or Covers | 10,000 | 1,650,000 |
Sales or Shorts | (10,000) | (1,650,000) |
Ending Notional Amount | 0 | 0 |
Derivative Asset | 0 | 0 |
Derivative Liability | 0 | 0 |
Short | TBA | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | (40,000) | (385,963) |
Buys or Covers | 100,000 | 1,320,852 |
Sales or Shorts | (69,000) | (974,889) |
Ending Notional Amount | (9,000) | (40,000) |
Derivative Asset | 0 | 650 |
Derivative Liability | (63) | 0 |
Due from broker | 9,200 | 39,200 |
Derivative, fair value | $ (9,200) | $ (38,600) |
Earnings per share - Summary of
Earnings per share - Summary of earnings per share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Numerator: | ||
Net Income/(Loss) | $ 53,784 | $ (53,100) |
Dividends on preferred stock | (18,344) | (18,344) |
Net Income/(Loss) Available to Common Stockholders | $ 35,440 | $ (71,444) |
Denominator: | ||
Basic weighted average common shares outstanding (in shares) | 21,095 | 22,890 |
Diluted weighted average common shares outstanding (in shares) | 21,097 | 22,890 |
Earnings/(Loss) Per Share | ||
Basic (in dollars per share) | $ 1.68 | $ (3.12) |
Diluted (in dollars per share) | $ 1.68 | $ (3.12) |
Earnings per share - Summary _2
Earnings per share - Summary of common stock dividends (Details) - $ / shares | 12 Months Ended | |||||||||||
Dec. 15, 2023 | Nov. 20, 2023 | Oct. 24, 2023 | Sep. 15, 2023 | Jun. 15, 2023 | Mar. 15, 2023 | Dec. 19, 2022 | Sep. 15, 2022 | Jun. 15, 2022 | Mar. 18, 2022 | Dec. 31, 2023 | Dec. 31, 2022 | |
Earnings Per Share [Abstract] | ||||||||||||
Dividends declared per share (in dollars per share) | $ 0.05 | $ 0.05 | $ 0.08 | $ 0.18 | $ 0.18 | $ 0.18 | $ 0.18 | $ 0.21 | $ 0.21 | $ 0.21 | $ 0.72 | $ 0.81 |
Earnings per share - Summary _3
Earnings per share - Summary of preferred stock dividends (Details) - $ / shares | 12 Months Ended | |||||||||
Dec. 31, 2023 | Nov. 03, 2023 | Jul. 31, 2023 | May 04, 2023 | Feb. 16, 2023 | Dec. 31, 2022 | Nov. 03, 2022 | Aug. 03, 2022 | May 02, 2022 | Feb. 18, 2022 | |
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||
Dividend per share (in dollars per share) | $ 2.06252 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 2.06252 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 |
Preferred stock dividend percentage | 8.25% | |||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | ||||||||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||
Dividend per share (in dollars per share) | $ 2 | 0.50 | 0.50 | 0.50 | 0.50 | 2 | 0.50 | 0.50 | 0.50 | 0.50 |
Preferred stock dividend percentage | 8% | |||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||
Dividend per share (in dollars per share) | $ 2 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | $ 2 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 |
Preferred stock dividend percentage | 8% |
Income taxes - Narrative (Detai
Income taxes - Narrative (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 06, 2023 | |
Operating Loss Carryforwards [Line Items] | |||
Excise tax expense | $ 0 | $ 0 | |
Operating loss carryforwards | 2,100,000 | 2,100,000 | |
Operating loss carryforward subject to expiration | 7,800,000 | ||
Less: valuation allowance | 37,253,000 | 30,239,000 | |
Uncertain tax position, interest and penalties expense | 0 | 0 | |
Capital Loss Carryforward | |||
Operating Loss Carryforwards [Line Items] | |||
Tax credit carryforward | 292,600,000 | 286,600,000 | |
Western Asset Mortgage Capital Corporation | |||
Operating Loss Carryforwards [Line Items] | |||
Operating loss carryforwards | $ 321,600,000 | ||
Operating loss carryforwards, not subject to expiration | 223,800,000 | ||
Western Asset Mortgage Capital Corporation | Capital Loss Carryforward | |||
Operating Loss Carryforwards [Line Items] | |||
Tax credit carryforward | $ 143,100,000 | ||
Subsidiaries | |||
Operating Loss Carryforwards [Line Items] | |||
Operating loss carryforwards | $ 134,000,000 | $ 128,400,000 |
Income taxes - Schedule of comp
Income taxes - Schedule of components of income tax expense (benefit) (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Income Tax Disclosure [Abstract] | ||
Income Tax Expense | $ 250 | $ 163 |
Income taxes - Schedule of defe
Income taxes - Schedule of deferred tax assets and liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Income Tax Disclosure [Abstract] | ||
Net operating loss carryforwards | $ 28,142 | $ 26,961 |
Capital loss carryforwards (1) | 8,367 | 298 |
GAAP/tax basis differences | 744 | 2,980 |
Total deferred tax assets | 37,253 | 30,239 |
Less: valuation allowance | (37,253) | (30,239) |
Net deferred tax assets | $ 0 | $ 0 |
Related party transactions - Ma
Related party transactions - Manager (Details) | 12 Months Ended | ||||
Dec. 06, 2023 USD ($) qtr | Aug. 08, 2023 USD ($) qtr | Nov. 22, 2021 USD ($) | Dec. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) | |
Related Party | |||||
Related Party Transaction [Line Items] | |||||
Renewal term | 1 year | ||||
Management fee percentage | 1.50% | ||||
Related Party | M I T T Management Agreement Amendment | |||||
Related Party Transaction [Line Items] | |||||
Base management fee reduction | $ 600,000 | $ 600,000 | |||
Number of quarters management fee reduction is effective | qtr | 4 | 4 | |||
Management fee waived | $ 2,400,000 | $ 2,400,000 | |||
Amount to be waived | 1,300,000 | 1,300,000 | |||
Base management fee maximum cash consideration threshold | $ 7,000,000 | $ 7,000,000 | |||
Related Party | Termination Fee with Manager | |||||
Related Party Transaction [Line Items] | |||||
Termination fee multiplier | 3 | ||||
Termination fee multiplier, measurement period | 24 months | ||||
Affiliated Entity | |||||
Related Party Transaction [Line Items] | |||||
Management fee payable | $ 1,500,000 | $ 2,100,000 | |||
Affiliated Entity | Reimbursement to Manager | |||||
Related Party Transaction [Line Items] | |||||
Due to affiliates | 1,500,000 | $ 1,300,000 | |||
Limited Liability Company | Incentive Fee to Manager | |||||
Related Party Transaction [Line Items] | |||||
Annual incentive fee | 15% | ||||
Cumulative hurdle percentage | 8% | ||||
Equity hurdle base amount | $ 341,500,000 | ||||
Incentive fee expense | $ 0 |
Related party transactions - _2
Related party transactions - Management fee (Details) - Affiliated Entity - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | ||
Related Party Transaction [Line Items] | |||
Management fee to affiliate | [1] | $ 7,711 | $ 8,096 |
Western Asset Mortgage Capital Corporation | |||
Related Party Transaction [Line Items] | |||
Management fee amount waived | $ 600 | ||
[1]Refer to Note 10 for additional details on related party transactions. |
Related party transactions - Ex
Related party transactions - Expense reimbursement to manager or its affiliates (Details) - Related Party - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Expense reimbursements to Manager or its affiliates | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | $ 6,458 | $ 8,158 |
Expense reimbursements to Manager or its affiliates | Non-investment related expenses | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | 5,095 | 4,646 |
Expense reimbursements to Manager or its affiliates | Investment related expenses | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | 467 | 755 |
Expense reimbursements to Manager or its affiliates | Transaction related expenses | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | 896 | 2,757 |
Reimbursement to Manager Waived | ||
Related Party Transaction [Line Items] | ||
Amount of related party transaction | $ 1,700 | $ 1,500 |
Related party transactions - Re
Related party transactions - Restricted stock grants (Details) | 12 Months Ended | 33 Months Ended | 45 Months Ended | ||||
Dec. 06, 2023 director shares | Apr. 07, 2021 shares | Apr. 15, 2020 shares | Dec. 31, 2023 USD ($) shares | Dec. 31, 2022 USD ($) shares | Dec. 31, 2023 shares | Dec. 31, 2023 shares | |
Western Asset Mortgage Capital Corporation | |||||||
Related Party Transaction [Line Items] | |||||||
Number of directors added to the company's board of directors | director | 2 | ||||||
Restricted Stock | |||||||
Related Party Transaction [Line Items] | |||||||
Shares of restricted common stock under equity incentive plans (in shares) | 47,367 | ||||||
Capitalized equity based compensation expense | $ | $ 400,000 | $ 300,000 | |||||
Director | Restricted Stock | Western Asset Mortgage Capital Corporation | |||||||
Related Party Transaction [Line Items] | |||||||
Shares of restricted common stock under equity incentive plans (in shares) | 25,962 | ||||||
Manager Equity Incentive Plan | Related Party | |||||||
Related Party Transaction [Line Items] | |||||||
Shares of common stock company can award (in shares) | 666,666 | ||||||
Shares available to be awarded under equity incentive plans (in shares) | 464,234 | 464,234 | 464,234 | ||||
Manager Equity Incentive Plan | Related Party | Maximum | |||||||
Related Party Transaction [Line Items] | |||||||
Value of shares granted in fiscal year | $ | $ 300,000 | ||||||
2020 Equity Incentive Plan | Director | Restricted Stock | |||||||
Related Party Transaction [Line Items] | |||||||
Shares of restricted common stock under equity incentive plans (in shares) | 176,470 | ||||||
2021 Equity Incentive Plan | Related Party | |||||||
Related Party Transaction [Line Items] | |||||||
Shares of common stock company can award (in shares) | 573,425 | ||||||
Shares of restricted common stock under equity incentive plans (in shares) | 0 |
Related party transactions - Sc
Related party transactions - Schedule of restricted stock awards and restricted stock units activity (Details) - $ / shares | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Restricted Stock and Restricted Stock Units | ||
Shares of Restricted Stock and Restricted Stock Units | ||
Unvested at beginning of year (in shares) | 0 | |
Granted (in shares) | 87,711 | |
Vested (in shares) | (61,749) | |
Forfeited (in shares) | 0 | |
Unvested at end of year (in shares) | 25,962 | 0 |
Weighted Average Grant Date Fair Value | ||
Outstanding at beginning of year (in dollars per share) | $ 0 | |
Granted (in dollars per share) | 5.63 | |
Vested (in dollars per share) | 5.67 | |
Forfeited (in dollars per share) | 0 | |
Outstanding at end of year (in dollars per share) | $ 5.55 | $ 0 |
Restricted Stock | ||
Shares of Restricted Stock and Restricted Stock Units | ||
Unvested at beginning of year (in shares) | 0 | 0 |
Granted (in shares) | 47,367 | |
Vested (in shares) | (47,367) | |
Forfeited (in shares) | 0 | |
Unvested at end of year (in shares) | 0 | |
Weighted Average Grant Date Fair Value | ||
Outstanding at beginning of year (in dollars per share) | $ 0 | $ 0 |
Granted (in dollars per share) | 6.75 | |
Vested (in dollars per share) | 6.75 | |
Forfeited (in dollars per share) | 0 | |
Outstanding at end of year (in dollars per share) | $ 0 |
Related party transactions - Di
Related party transactions - Director compensation (Details) $ in Thousands | 12 Months Ended | |
Dec. 06, 2023 director | Dec. 31, 2023 USD ($) director | |
Western Asset Mortgage Capital Corporation | ||
Related Party Transaction [Line Items] | ||
Number of directors added to the company's board of directors | director | 2 | |
Related Party | ||
Related Party Transaction [Line Items] | ||
Number of independent directors | director | 6 | |
Director's fee | $ 150 | |
Directors fees paid in cash | 70 | |
Directors fees paid in common stock | 80 | |
Related Party | Non-Executive Chair | ||
Related Party Transaction [Line Items] | ||
Director's fee | 60 | |
Directors fees paid in cash | 30 | |
Directors fees paid in common stock | 30 | |
Related Party | Audit Committee Chairman | ||
Related Party Transaction [Line Items] | ||
Additional annual fees | 25 | |
Related Party | Compensation And Nomination Committee Chairman | ||
Related Party Transaction [Line Items] | ||
Additional annual fees | 10 | |
Related Party | Corporate Governance Committee Chairman | ||
Related Party Transaction [Line Items] | ||
Additional annual fees | $ 10 |
Related party transactions - In
Related party transactions - Investments in debt and equity affiliates (Details) | Dec. 31, 2023 | Nov. 30, 2023 | Dec. 31, 2022 | Nov. 14, 2019 | May 15, 2019 |
LOTS I | |||||
Related Party Transaction [Line Items] | |||||
Loan securitization, ownership interest | 47.50% | ||||
LOTS II | |||||
Related Party Transaction [Line Items] | |||||
Loan securitization, ownership interest | 50% | ||||
Related Party | LOTS I | |||||
Related Party Transaction [Line Items] | |||||
Loan securitization, ownership interest | 47.50% | ||||
Related Party | LOTS II | |||||
Related Party Transaction [Line Items] | |||||
Loan securitization, ownership interest | 50% | ||||
ARC Home | |||||
Related Party Transaction [Line Items] | |||||
Loan securitization, ownership interest | 44.60% | ||||
ARC Home | Related Party | |||||
Related Party Transaction [Line Items] | |||||
Loan securitization, ownership interest | 44.60% | ||||
MATH | |||||
Related Party Transaction [Line Items] | |||||
Loan securitization, ownership interest | 47% | 44.60% | |||
MATH | Related Party | |||||
Related Party Transaction [Line Items] | |||||
Loan securitization, ownership interest | 47% | 44.60% |
Related party transactions - _3
Related party transactions - Schedule of investments in debt and equity of affiliates (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Related Party Transaction [Line Items] | ||
Equity in earnings/(loss) from affiliates | $ (1,390) | $ (10,258) |
Arc Home | ||
Related Party Transaction [Line Items] | ||
Equity in earnings/(loss) from affiliates | (6,922) | (13,734) |
Residential investments - Fair value / Net income /(loss) | ||
Related Party Transaction [Line Items] | ||
Equity in earnings/(loss) from affiliates | 5,532 | 3,476 |
Non-QM Loans | ||
Related Party Transaction [Line Items] | ||
Equity in earnings/(loss) from affiliates | 3,992 | 1,261 |
Land Related Financing | ||
Related Party Transaction [Line Items] | ||
Equity in earnings/(loss) from affiliates | 758 | 1,621 |
Re/Non-Performing Securities | ||
Related Party Transaction [Line Items] | ||
Equity in earnings/(loss) from affiliates | 782 | 594 |
Assets | Related Party | ||
Related Party Transaction [Line Items] | ||
Investments, assets | 58,761 | 92,579 |
Cash and Other assets/(liabilities) | 2,361 | 3,290 |
Assets | Arc Home | Related Party | ||
Related Party Transaction [Line Items] | ||
Investments, assets | 33,574 | 39,680 |
Assets | Residential investments - Fair value / Net income /(loss) | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 22,826 | 49,609 |
Assets | Non-QM Loans | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 15,257 | 31,067 |
Assets | Land Related Financing | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 10,688 |
Assets | Re/Non-Performing Securities | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 7,569 | 7,854 |
Liabilities | Related Party | ||
Related Party Transaction [Line Items] | ||
Investments, liabilities | (3,658) | (21,515) |
Cash and Other assets/(liabilities) | (53) | (700) |
Liabilities | Arc Home | Related Party | ||
Related Party Transaction [Line Items] | ||
Investments, liabilities | 0 | 0 |
Liabilities | Residential investments - Fair value / Net income /(loss) | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | (3,605) | (20,815) |
Liabilities | Non-QM Loans | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | (16,409) |
Liabilities | Land Related Financing | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 0 |
Liabilities | Re/Non-Performing Securities | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | (3,605) | (4,406) |
Equity | Related Party | ||
Related Party Transaction [Line Items] | ||
Investments, equity | 55,103 | 71,064 |
Cash and Other assets/(liabilities) | 2,308 | 2,590 |
Equity | Arc Home | Related Party | ||
Related Party Transaction [Line Items] | ||
Investments, equity | 33,574 | 39,680 |
Equity | Residential investments - Fair value / Net income /(loss) | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 19,221 | 28,794 |
Equity | Non-QM Loans | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 15,257 | 14,658 |
Equity | Land Related Financing | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 10,688 |
Equity | Re/Non-Performing Securities | Related Party | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | $ 3,964 | $ 3,448 |
Related party transactions - Tr
Related party transactions - Transactions with Red Creek Asset Management LLC (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Affiliated Entity | ||
Related Party Transaction [Line Items] | ||
Management fee payable | $ 1,500 | $ 2,100 |
Transactions with Red Creek Asset Management LLC | Related Party | ||
Related Party Transaction [Line Items] | ||
Fees paid to Asset Manager | 2,833 | 2,742 |
Transactions with Red Creek Asset Management LLC | Affiliated Entity | ||
Related Party Transaction [Line Items] | ||
Management fee payable | $ 200 | $ 200 |
Related party transactions - _4
Related party transactions - Transactions with Arc Home (Details) - Residential Mortgage - Arc Home - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Residential mortgage loans sold by Arc Home to the Company | ||
Related Party Transaction [Line Items] | ||
Balance of loans with unpaid principal sold | $ 674,955 | $ 1,086,937 |
Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon | ||
Related Party Transaction [Line Items] | ||
Balance of loans with unpaid principal sold | $ 331,382 | $ 212,341 |
Related party transactions - Su
Related party transactions - Summary of intra-entity profits eliminated (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Eliminations | Related Party | ARC Home | ||
Related Party Transaction [Line Items] | ||
Intra-Entity Profits Eliminated | $ 1,442 | $ 6,032 |
Related party transactions - _5
Related party transactions - Transactions with Arc Home narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2023 | |
Residential Mortgage | ||
Related Party Transaction [Line Items] | ||
Fair Value | $ 421,451 | $ 317,631 |
ARC Home | Related Party | Agency Excess MSRs | ||
Related Party Transaction [Line Items] | ||
Related part purchase commitment | 800 | |
ARC Home | Residential Mortgage | Related Party | ||
Related Party Transaction [Line Items] | ||
Fair Value | $ 500 |
Related party transactions - _6
Related party transactions - Summary of affiliated transactions (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Nov. 30, 2023 | Jun. 30, 2023 | Dec. 31, 2022 |
Related Party Transaction [Line Items] | ||||
The Company's Investments in debt and equity of affiliates | $ 55,103 | $ 71,064 | ||
MATH | ||||
Related Party Transaction [Line Items] | ||||
The Company's Investments in debt and equity of affiliates | $ 16,750 | |||
June 2023 Acquiring Affiliate | Affiliated Entity | Residential investments - Fair value / Net income /(loss) | ||||
Related Party Transaction [Line Items] | ||||
The Company's Investments in debt and equity of affiliates | $ 300 | |||
November 2023 Acquiring Affiliate | Affiliated Entity | Residential investments - Fair value / Net income /(loss) | ||||
Related Party Transaction [Line Items] | ||||
The Company's Investments in debt and equity of affiliates | $ 4,800 | |||
November 2023 Acquiring Affiliate | Related Party | MATH | ||||
Related Party Transaction [Line Items] | ||||
The Company's Investments in debt and equity of affiliates | $ 900 |
Related party transactions - _7
Related party transactions - MATT Transaction (Details) - MATH | Dec. 31, 2023 | Nov. 30, 2023 | Dec. 31, 2022 |
Related Party Transaction [Line Items] | |||
Loan securitization, ownership interest | 47% | 44.60% | |
Related Party | |||
Related Party Transaction [Line Items] | |||
Loan securitization, ownership interest | 47% | 44.60% | |
Additional percentage of bonds purchased | 13.10% |
Equity - Narrative (Details)
Equity - Narrative (Details) | 3 Months Ended | 12 Months Ended | 34 Months Ended | 80 Months Ended | ||||||||||||||
May 05, 2017 USD ($) | Dec. 31, 2023 USD ($) period $ / shares shares | Sep. 30, 2023 USD ($) shares | Jun. 30, 2023 USD ($) shares | Mar. 31, 2023 USD ($) shares | Dec. 31, 2022 USD ($) shares | Sep. 30, 2022 USD ($) shares | Jun. 30, 2022 USD ($) shares | Mar. 31, 2022 USD ($) shares | Dec. 31, 2023 USD ($) period director $ / shares shares | Dec. 31, 2022 USD ($) shares | Dec. 31, 2023 USD ($) period $ / shares shares | Dec. 31, 2023 USD ($) period $ / shares shares | May 04, 2023 USD ($) | Aug. 03, 2022 USD ($) | May 07, 2021 USD ($) | Feb. 22, 2021 USD ($) | Nov. 03, 2015 USD ($) | |
Class of Stock [Line Items] | ||||||||||||||||||
Securities and capital available for issuance | $ | $ 1,000,000,000 | |||||||||||||||||
Preferred shares authorized (in shares) | 50,000,000 | 50,000,000 | 50,000,000 | 50,000,000 | ||||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||||
Preferred stock, shares outstanding (in shares) | 9,120,000 | 9,120,000 | 9,120,000 | 9,120,000 | ||||||||||||||
Quarterly periods required to grant preferred stock voting rights | period | 6 | 6 | 6 | 6 | ||||||||||||||
Number of directors | director | 2 | |||||||||||||||||
Percent of votes needed to pass | 66.67% | 66.67% | 66.67% | 66.67% | ||||||||||||||
Sale Agents | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 100,000,000 | $ 48,300,000 | ||||||||||||||||
Net proceeds from issuance of stock (in shares) | 0 | 0 | 2,200,000 | |||||||||||||||
2015 Repurchase Program | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 25,000,000 | $ 25,000,000 | ||||||||||||||||
Value of common stock remained authorized for future share repurchases | $ | $ 0 | $ 0 | $ 11,043,506 | $ 0 | ||||||||||||||
Shares repurchased (in shares) | 1,433,851 | 0 | 1,433,851 | |||||||||||||||
2022 Repurchase Program | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 15,000,000 | |||||||||||||||||
Value of common stock remained authorized for future share repurchases | $ | $ 1,461,810 | $ 1,461,810 | $ 1,461,810 | $ 2,569,940 | $ 7,817,003 | $ 12,660,645 | $ 1,461,810 | $ 7,817,003 | $ 1,461,810 | $ 1,461,810 | ||||||||
Shares repurchased (in shares) | 0 | 0 | 187,020 | 923,261 | 852,927 | 384,587 | 1,110,281 | 1,237,514 | ||||||||||
2023 Repurchase Program | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 15,000,000 | |||||||||||||||||
Value of common stock remained authorized for future share repurchases | $ | $ 15,000,000 | $ 15,000,000 | $ 15,000,000 | $ 15,000,000 | ||||||||||||||
Preferred Repurchase Program | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 20,000,000 | |||||||||||||||||
Shares repurchased (in shares) | 0 | |||||||||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Preferred stock, shares issued (in shares) | 1,700,000 | 1,700,000 | 1,700,000 | 1,700,000 | 1,700,000 | 1,700,000 | ||||||||||||
Preferred stock, shares outstanding (in shares) | 1,663,000 | 1,700,000 | 1,663,000 | 1,700,000 | 1,663,000 | 1,663,000 | ||||||||||||
Preferred stock dividend percentage | 8.25% | |||||||||||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,700,000 | 3,700,000 | 3,700,000 | 3,700,000 | 3,700,000 | ||||||||||||
Preferred stock, shares outstanding (in shares) | 3,728,000 | 3,700,000 | 3,728,000 | 3,700,000 | 3,728,000 | 3,728,000 | ||||||||||||
Preferred stock dividend percentage | 8% | |||||||||||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,700,000 | 3,700,000 | 3,700,000 | 3,700,000 | 3,700,000 | ||||||||||||
Preferred stock, shares outstanding (in shares) | 3,729,000 | 3,700,000 | 3,729,000 | 3,700,000 | 3,729,000 | 3,729,000 | ||||||||||||
Preferred stock dividend percentage | 8% |
Equity - Schedule of Stock Repu
Equity - Schedule of Stock Repurchase Programs (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2023 | Sep. 30, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | Sep. 30, 2022 | Jun. 30, 2022 | Mar. 31, 2022 | Dec. 31, 2023 | Dec. 31, 2022 | |
2015 Repurchase Program | ||||||||||
Class of Stock [Line Items] | ||||||||||
Total Number of Shares Purchased (in shares) | 1,433,851 | 0 | 1,433,851 | |||||||
Weighted Average Price Paid per Share (in dollars per share) | $ 7.70 | $ 0 | $ 7.70 | |||||||
Total Number of Shares Purchased as Part of Publicly Announced Program (in shares) | 1,433,851 | 0 | 1,433,851 | |||||||
Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program | $ 0 | $ 0 | $ 11,043,506 | $ 0 | ||||||
2022 Repurchase Program | ||||||||||
Class of Stock [Line Items] | ||||||||||
Total Number of Shares Purchased (in shares) | 0 | 0 | 187,020 | 923,261 | 852,927 | 384,587 | 1,110,281 | 1,237,514 | ||
Weighted Average Price Paid per Share (in dollars per share) | $ 0 | $ 0 | $ 5.93 | $ 5.68 | $ 5.68 | $ 6.08 | $ 5.72 | $ 5.81 | ||
Total Number of Shares Purchased as Part of Publicly Announced Program (in shares) | 0 | 0 | 187,020 | 923,261 | 852,927 | 384,587 | 1,110,281 | 1,237,514 | ||
Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program | $ 1,461,810 | $ 1,461,810 | $ 1,461,810 | $ 2,569,940 | $ 7,817,003 | $ 12,660,645 | $ 1,461,810 | $ 7,817,003 |
Equity - Schedule of Preferred
Equity - Schedule of Preferred Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 9,120 | |
Carrying Value | $ 220,472 | $ 220,472 |
Aggregate liquidation preference | $ 227,991 | $ 227,991 |
8.25% Series A Cumulative Redeemable Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 1,663 | 1,700 |
Carrying Value | $ 40,110 | |
Aggregate liquidation preference | $ 41,580 | |
Preferred stock dividend percentage | 8.25% | |
8.00% Series B Cumulative Redeemable Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 3,728 | 3,700 |
Carrying Value | $ 90,187 | |
Aggregate liquidation preference | $ 93,191 | |
Preferred stock dividend percentage | 8% | |
Redemption price (in dollars per share) | $ 25 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 3,729 | 3,700 |
Carrying Value | $ 90,175 | |
Aggregate liquidation preference | $ 93,220 | |
Preferred stock dividend percentage | 8% | |
Liquidation preference (in dollars per share) | $ 25 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Three Month London Interbank Offered Rate | ||
Class of Stock [Line Items] | ||
Preferred stock dividend percentage | 6.476% |
Commitments and Contingencies -
Commitments and Contingencies - Schedule of outstanding commitments (Details) - Non-Agency and Agency-Eligible Loans $ in Thousands | 12 Months Ended |
Dec. 31, 2023 USD ($) | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | $ 74,198 |
Funded Commitment | 0 |
Remaining Commitment | $ 74,198 |
Investments in unconsolidated_3
Investments in unconsolidated equity method affiliates - Schedule of Equity Method Investments (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |
Assets | |||
Cash and cash equivalents | $ 111,534 | $ 84,621 | |
Restricted cash | 14,039 | 14,182 | |
Other Assets | 40,716 | 27,595 | |
Total Assets | 6,126,428 | 4,369,778 | |
Liabilities | |||
Other liabilities (2) | [1] | 32,107 | 19,593 |
Total Liabilities | 5,598,060 | 3,906,978 | |
Total Members' Equity | |||
Total Liabilities & Stockholders' Equity | 6,126,428 | 4,369,778 | |
The Company's Investments in debt and equity of affiliates | 55,103 | 71,064 | |
Carrying Value | 5,564,481 | $ 3,883,539 | |
LOTS I | |||
Total Members' Equity | |||
Loan securitization, ownership interest | 47.50% | ||
LOTS II | |||
Total Members' Equity | |||
Loan securitization, ownership interest | 50% | ||
Arc Home | |||
Total Members' Equity | |||
The Company's Investments in debt and equity of affiliates | 33,574 | ||
Non-QM Loans | |||
Total Members' Equity | |||
The Company's Investments in debt and equity of affiliates | 16,750 | ||
Re/Non-Performing Securities | |||
Total Members' Equity | |||
The Company's Investments in debt and equity of affiliates | 4,779 | ||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | |||
Assets | |||
Loans and real estate securities, at fair value | 218,399 | $ 174,858 | |
Mortgage servicing rights, at fair value | 84,980 | 91,569 | |
Cash and cash equivalents | 20,326 | 27,127 | |
Restricted cash | 337 | 459 | |
Other Assets | 38,974 | 46,607 | |
Total Assets | 363,016 | 340,620 | |
Liabilities | |||
Financing arrangements | 185,386 | 120,010 | |
Other liabilities (2) | 45,531 | 54,031 | |
Total Liabilities | 230,917 | 174,041 | |
Total Members' Equity | |||
Total Member's equity | 132,099 | 166,579 | |
Total Liabilities & Stockholders' Equity | 363,016 | 340,620 | |
Equity Method Investment, Nonconsolidated Investee or Group of Investees | Other assets | |||
Total Members' Equity | |||
Carrying Value | 31,500 | 36,700 | |
Equity Method Investment, Nonconsolidated Investee or Group of Investees | Other liabilities | |||
Total Members' Equity | |||
Carrying Value | 31,500 | $ 36,700 | |
Arc Home | |||
Assets | |||
Loans and real estate securities, at fair value | 152,536 | ||
Mortgage servicing rights, at fair value | 84,980 | ||
Cash and cash equivalents | 13,930 | ||
Restricted cash | 337 | ||
Other Assets | 38,322 | ||
Total Assets | 290,105 | ||
Liabilities | |||
Financing arrangements | 169,476 | ||
Other liabilities (2) | 45,332 | ||
Total Liabilities | 214,808 | ||
Total Members' Equity | |||
Total Member's equity | 75,297 | ||
Total Liabilities & Stockholders' Equity | $ 290,105 | ||
Loan securitization, ownership interest | 44.60% | ||
Non-QM Loans | |||
Assets | |||
Loans and real estate securities, at fair value | $ 32,463 | ||
Mortgage servicing rights, at fair value | 0 | ||
Cash and cash equivalents | 2,743 | ||
Restricted cash | 0 | ||
Other Assets | 548 | ||
Total Assets | 35,754 | ||
Liabilities | |||
Financing arrangements | 0 | ||
Other liabilities (2) | 31 | ||
Total Liabilities | 31 | ||
Total Members' Equity | |||
Total Member's equity | 35,723 | ||
Total Liabilities & Stockholders' Equity | $ 35,754 | ||
Loan securitization, ownership interest | 47% | 44.60% | |
Re/Non-Performing Securities | |||
Assets | |||
Loans and real estate securities, at fair value | $ 33,400 | ||
Mortgage servicing rights, at fair value | 0 | ||
Cash and cash equivalents | 3,653 | ||
Restricted cash | 0 | ||
Other Assets | 104 | ||
Total Assets | 37,157 | ||
Liabilities | |||
Financing arrangements | 15,910 | ||
Other liabilities (2) | 168 | ||
Total Liabilities | 16,078 | ||
Total Members' Equity | |||
Total Member's equity | 21,079 | ||
Total Liabilities & Stockholders' Equity | $ 37,157 | ||
Loan securitization, ownership interest | 22.70% | ||
[1]Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates. |
Investments in unconsolidated_4
Investments in unconsolidated equity method affiliates - Summarized Statements of Operations (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Schedule of Equity Method Investments [Line Items] | ||
Interest income | $ 260,329 | $ 180,303 |
Interest expense | 212,500 | 118,918 |
Total Net Interest Income | 47,829 | 61,385 |
Net realized gain/(loss) | 7,697 | 81,389 |
Net unrealized gain/(loss) | 1,450 | (137,634) |
Total Other Income/(Loss) | 46,017 | (61,167) |
Net Income/(Loss) | 53,784 | (53,100) |
Equity in earnings/(loss) from affiliates | (1,390) | $ (10,258) |
LOTS I | ||
Schedule of Equity Method Investments [Line Items] | ||
Loan securitization, ownership interest | 47.50% | |
LOTS II | ||
Schedule of Equity Method Investments [Line Items] | ||
Loan securitization, ownership interest | 50% | |
Arc Home | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity in earnings/(loss) from affiliates | (6,922) | |
Arc Home | ARC Home | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity in earnings/(loss) from affiliates | 1,400 | $ 6,000 |
Non-QM Loans | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity in earnings/(loss) from affiliates | 3,992 | |
Land Related Financing | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity in earnings/(loss) from affiliates | 758 | |
Re/Non-Performing Securities | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity in earnings/(loss) from affiliates | 782 | |
Equity Method Investment, Nonconsolidated Investee or Group of Investees | ||
Schedule of Equity Method Investments [Line Items] | ||
Interest income | 27,567 | 27,958 |
Interest expense | 15,687 | 11,912 |
Total Net Interest Income | 11,880 | 16,046 |
Net realized gain/(loss) | 5,332 | 22,897 |
Net unrealized gain/(loss) | (1,810) | (11,434) |
Other income/(loss), net | 24,490 | 22,404 |
Total Other Income/(Loss) | 28,012 | 33,867 |
Expenses | 38,089 | 58,544 |
Net Income/(Loss) | 1,803 | $ (8,631) |
Arc Home | ||
Schedule of Equity Method Investments [Line Items] | ||
Interest income | 12,008 | |
Interest expense | 13,017 | |
Total Net Interest Income | (1,009) | |
Net realized gain/(loss) | 14,177 | |
Net unrealized gain/(loss) | (13,059) | |
Other income/(loss), net | 24,490 | |
Total Other Income/(Loss) | 25,608 | |
Expenses | 36,886 | |
Net Income/(Loss) | $ (12,287) | |
Loan securitization, ownership interest | 44.60% | |
Non-QM Loans | ||
Schedule of Equity Method Investments [Line Items] | ||
Interest income | $ 9,195 | |
Interest expense | 1,400 | |
Total Net Interest Income | 7,795 | |
Net realized gain/(loss) | (8,845) | |
Net unrealized gain/(loss) | 10,628 | |
Other income/(loss), net | 0 | |
Total Other Income/(Loss) | 1,783 | |
Expenses | 488 | |
Net Income/(Loss) | $ 9,090 | |
Loan securitization, ownership interest | 47% | 44.60% |
Land Related Financing | ||
Schedule of Equity Method Investments [Line Items] | ||
Interest income | $ 2,069 | |
Interest expense | 0 | |
Total Net Interest Income | 2,069 | |
Net realized gain/(loss) | 0 | |
Net unrealized gain/(loss) | 0 | |
Other income/(loss), net | 0 | |
Total Other Income/(Loss) | 0 | |
Expenses | 521 | |
Net Income/(Loss) | 1,548 | |
Re/Non-Performing Securities | ||
Schedule of Equity Method Investments [Line Items] | ||
Interest income | 4,295 | |
Interest expense | 1,270 | |
Total Net Interest Income | 3,025 | |
Net realized gain/(loss) | 0 | |
Net unrealized gain/(loss) | 621 | |
Other income/(loss), net | 0 | |
Total Other Income/(Loss) | 621 | |
Expenses | 194 | |
Net Income/(Loss) | $ 3,452 | |
Loan securitization, ownership interest | 22.70% |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands | Jan. 26, 2024 | Feb. 29, 2024 | Feb. 16, 2024 | Dec. 31, 2023 | Nov. 03, 2023 | Jul. 31, 2023 | May 04, 2023 | Feb. 16, 2023 | Dec. 31, 2022 | Nov. 03, 2022 | Aug. 03, 2022 | May 02, 2022 | Feb. 18, 2022 |
Residential Portfolio Segment | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Unpaid Principal Balance | $ 6,124,045 | $ 4,624,856 | |||||||||||
Non-Agency Loans | Residential Portfolio Segment | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Unpaid Principal Balance | 92,033 | 406,294 | |||||||||||
Securitized Residential Mortgage Loans | Non-Agency Loans | Residential Portfolio Segment | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Unpaid Principal Balance | $ 5,599,960 | $ 3,841,265 | |||||||||||
Subsequent Event | Senior Notes due 2029 | Senior Notes | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Debt face amount | $ 34,500 | ||||||||||||
Debt interest rate | 9.50% | ||||||||||||
Proceeds from senior notes | $ 32,800 | ||||||||||||
Subsequent Event | Convertible Senior Unsecured Notes Due in September 2024 | Convertible Debt | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Debt repurchased principal amount | $ 7,100 | ||||||||||||
Subsequent Event | Securitized Residential Mortgage Loans | Non-Agency Loans | Residential Portfolio Segment | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Unpaid Principal Balance | $ 377,500 | ||||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Dividend per share (in dollars per share) | $ 2.06252 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 2.06252 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | |||
8.25% Series A Cumulative Redeemable Preferred Stock | Subsequent Event | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Dividend per share (in dollars per share) | $ 0.51563 | ||||||||||||
Series B Cumulative Reedmable Preferred Stock | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Dividend per share (in dollars per share) | 2 | 0.50 | 0.50 | 0.50 | 0.50 | 2 | 0.50 | 0.50 | 0.50 | 0.50 | |||
Series B Cumulative Reedmable Preferred Stock | Subsequent Event | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Dividend per share (in dollars per share) | 0.50 | ||||||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Dividend per share (in dollars per share) | $ 2 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | $ 2 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | |||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Subsequent Event | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Dividend per share (in dollars per share) | $ 0.50 |