Cover
Cover - shares | 9 Months Ended | |
Sep. 30, 2021 | Nov. 15, 2021 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2021 | |
Document Transition Report | false | |
Entity File Number | 001-40495 | |
Entity Registrant Name | Angel Oak Mortgage, Inc. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 37-1892154 | |
Entity Address, Address Line One | 3344 Peachtree Road Northeast | |
Entity Address, Address Line Two | Suite 1725 | |
Entity Address, City or Town | Atlanta | |
Entity Address, State or Province | GA | |
Entity Address, Postal Zip Code | 30326 | |
City Area Code | 404 | |
Local Phone Number | 953-4900 | |
Title of 12(b) Security | Common stock, $0.01 par value | |
Trading Symbol | AOMR | |
Security Exchange Name | NYSE | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | true | |
Entity Ex Transition Period | true | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 25,332,030 | |
Entity Central Index Key | 0001766478 | |
Amendment Flag | false | |
Document Fiscal Period Focus | Q3 | |
Document Fiscal Year Focus | 2021 | |
Current Fiscal Year End Date | --12-31 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
ASSETS | ||
Cash and cash equivalents | $ 49,177 | $ 43,569 |
Restricted cash | 3,093 | 2,404 |
Principal and interest receivable | 12,313 | 5,072 |
Other assets | 7,113 | 388 |
Total assets | 1,835,602 | 509,656 |
LIABILITIES | ||
Notes payable | 550,752 | 81,905 |
Non-recourse securitization obligation, collateralized by residential mortgage loans | 290,529 | 0 |
Securities sold under agreements to repurchase | 489,287 | 178,291 |
Unrealized depreciation on futures contracts - at fair value | 0 | 198 |
Accrued expenses | 770 | 121 |
Accrued expenses payable to affiliate | 749 | 732 |
Interest payable | 608 | 100 |
Management fee payable to affiliate | 1,845 | 0 |
Total liabilities | 1,334,540 | 261,347 |
Commitments and contingencies | ||
STOCKHOLDERS’ EQUITY | ||
Series A preferred stock, $0.01 par value, 12% cumulative, non-voting, 125 shares issued and outstanding as of September 30, 2021 and December 31, 2020 | 101 | 101 |
Common stock, $0.01 par value. As of September 30, 2021: 350,000,000 shares authorized, 25,405,544 shares issued and outstanding. As of December 31, 2020: 90,000,000 shares authorized, 15,724,050 shares issued and outstanding. | 254 | 157 |
Additional paid-in capital | 478,723 | 246,489 |
Accumulated other comprehensive income (loss) | 4,394 | (1,039) |
Retained earnings | 17,590 | 2,601 |
Total stockholders’ equity | 501,062 | 248,309 |
Total liabilities and stockholders’ equity | 1,835,602 | 509,656 |
RMBS | ||
ASSETS | ||
Debt securities, available-for-sale | 621,670 | 149,936 |
LIABILITIES | ||
Securities sold under agreements to repurchase | 489,287 | 28,673 |
CMBS | ||
ASSETS | ||
Debt securities, available-for-sale | 11,349 | 8,796 |
U.S. Treasury securities | ||
ASSETS | ||
Debt securities, available-for-sale | 80,000 | 149,995 |
LIABILITIES | ||
Securities sold under agreements to repurchase | 149,618 | |
Residential mortgage loans | ||
ASSETS | ||
Mortgage loans | 723,139 | 142,030 |
Residential mortgage loans in securitization trust | ||
ASSETS | ||
Mortgage loans | 319,812 | 0 |
Commercial mortgage loans | ||
ASSETS | ||
Mortgage loans | $ 7,936 | $ 7,466 |
Condensed Consolidated Balanc_2
Condensed Consolidated Balance Sheets (Parenthetical) - $ / shares | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Statement of Financial Position [Abstract] | ||
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 |
Preferred stock, dividend rate (as a percent) | 12.00% | 12.00% |
Preferred stock issued (shares) | 125 | 125 |
Preferred stock outstanding (shares) | 125 | 125 |
Common stock, par value (USD per share) | $ 0.01 | $ 0.01 |
Common stock authorized (shares) | 350,000,000 | 90,000,000 |
Common stock issued (shares) | 25,405,544 | 15,724,050 |
Common stock outstanding (shares) | 25,405,544 | 15,724,050 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
INTEREST INCOME, NET | ||||
Interest income | $ 15,587 | $ 9,387 | $ 37,763 | $ 31,929 |
Interest expense | 2,599 | 788 | 5,277 | 7,454 |
NET INTEREST INCOME | 12,988 | 8,599 | 32,486 | 24,475 |
REALIZED AND UNREALIZED GAINS (LOSSES), NET | ||||
Net realized loss on derivative contracts, RMBS, CMBS, and mortgage loans | (7,144) | (3,102) | (19,656) | (18,717) |
Net unrealized gain (loss) on derivative contracts and mortgage loans | 6,821 | 616 | 16,151 | (4,369) |
TOTAL REALIZED AND UNREALIZED GAINS (LOSSES), NET | (323) | (2,486) | (3,505) | (23,086) |
EXPENSES | ||||
Operating and investment expenses | 3,830 | 347 | 5,293 | 1,957 |
Operating expenses incurred with affiliate | 645 | 566 | 1,617 | 1,101 |
Securitization costs | 0 | 0 | 0 | 2,094 |
Management fee incurred with affiliate | 1,846 | 958 | 4,015 | 2,503 |
Total operating expenses | 6,321 | 1,871 | 10,925 | 7,655 |
NET INCOME (LOSS) | 6,344 | 4,242 | 18,056 | (6,266) |
Preferred dividends | (4) | (4) | (11) | (11) |
NET INCOME (LOSS) ALLOCABLE TO COMMON STOCKHOLDER(S) | 6,340 | 4,238 | 18,045 | (6,277) |
Other comprehensive income (loss) | 1,818 | 5,171 | 5,433 | (5,054) |
TOTAL COMPREHENSIVE INCOME (LOSS) | $ 8,158 | $ 9,409 | $ 23,478 | $ (11,331) |
Basic earnings (loss) per common share (USD per share) | $ 0.25 | $ 0.27 | $ 0.94 | $ (0.40) |
Diluted earnings (loss) per common share (USD per share) | $ 0.25 | $ 0.27 | $ 0.93 | $ (0.40) |
Weighted average number of common shares outstanding: | ||||
Basic (shares) | 24,999,891 | 15,724,050 | 19,190,827 | 15,724,050 |
Diluted (shares) | 25,470,226 | 15,724,050 | 19,366,679 | 15,724,050 |
Condensed Consolidated Statem_2
Condensed Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands | Total | Private Placement | IPO | Preferred Stock | Common Stock at Par | Common Stock at ParPrivate Placement | Common Stock at ParIPO | Additional Paid-in Capital | Additional Paid-in CapitalPrivate Placement | Additional Paid-in CapitalIPO | Accumulated Other Comprehensive Income (Loss) | Retained Earnings (Deficit) |
Balance at beginning of period at Dec. 31, 2019 | $ 94,863 | $ 101 | $ 0 | $ 87,628 | $ 3,554 | $ 3,580 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Dividends declared - preferred | (11) | (11) | ||||||||||
Unrealized gain (loss) on investments | (5,054) | (5,054) | ||||||||||
Contribution from common stockholder | 215,177 | 215,177 | ||||||||||
Distributions to commons stockholder | (76,700) | (75,000) | (1,700) | |||||||||
Net income (loss) | (6,266) | (6,266) | ||||||||||
Balance at end of period at Sep. 30, 2020 | 222,009 | 101 | 0 | 227,805 | (1,500) | (4,397) | ||||||
Balance at beginning of period at Jun. 30, 2020 | 287,574 | 101 | 0 | 302,779 | (6,671) | (8,635) | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Dividends declared - preferred | (4) | (4) | ||||||||||
Unrealized gain (loss) on investments | 5,171 | 5,171 | ||||||||||
Contribution from common stockholder | 26 | 26 | ||||||||||
Distributions to commons stockholder | (75,000) | (75,000) | ||||||||||
Net income (loss) | 4,242 | 4,242 | ||||||||||
Balance at end of period at Sep. 30, 2020 | 222,009 | 101 | 0 | 227,805 | (1,500) | (4,397) | ||||||
Balance at beginning of period at Dec. 31, 2020 | 248,309 | 101 | 157 | 246,489 | (1,039) | 2,601 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Stock issued | $ 40,000 | $ 136,800 | $ 21 | $ 72 | $ 39,979 | $ 136,728 | ||||||
Shares repurchased | (1,653) | (1) | (1,652) | |||||||||
Non-cash equity compensation | 923 | 5 | 918 | |||||||||
Dividends declared - preferred | (11) | (11) | ||||||||||
Unrealized gain (loss) on investments | 5,433 | 5,433 | ||||||||||
Dividends paid on common stock | (3,056) | (3,056) | ||||||||||
Contribution from common stockholder | 56,261 | 56,261 | ||||||||||
Net income (loss) | 18,056 | 18,056 | ||||||||||
Balance at end of period at Sep. 30, 2021 | 501,062 | 101 | 254 | 478,723 | 4,394 | 17,590 | ||||||
Balance at beginning of period at Jun. 30, 2021 | 496,781 | 101 | 255 | 479,542 | 2,576 | 14,307 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Shares repurchased | (1,653) | (1) | (1,652) | |||||||||
Non-cash equity compensation | 833 | 833 | ||||||||||
Dividends declared - preferred | (5) | (5) | ||||||||||
Unrealized gain (loss) on investments | 1,818 | 1,818 | ||||||||||
Dividends paid on common stock | (3,056) | (3,056) | ||||||||||
Net income (loss) | 6,344 | 6,344 | ||||||||||
Balance at end of period at Sep. 30, 2021 | $ 501,062 | $ 101 | $ 254 | $ 478,723 | $ 4,394 | $ 17,590 |
Condensed Consolidated Statem_3
Condensed Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | ||
CASH FLOWS FROM OPERATING ACTIVITIES | |||
Net income (loss) | $ 18,056 | $ (6,266) | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Net realized loss on derivative contracts, RMBS, CMBS, and mortgage loans | 19,656 | 18,718 | |
Net unrealized (gain) loss on derivative contracts and mortgage loans | (16,151) | 4,369 | |
Accretion of and amortization | 438 | 263 | |
Non-cash equity compensation | 923 | 0 | |
Net change in: | |||
Purchases of residential mortgage loans from non-affiliates | (202,387) | (71,578) | |
Purchases of residential mortgage loans from affiliates | (751,416) | (331,878) | |
Sales of residential mortgage loan into affiliate’s securitization trust | 0 | 505,467 | |
Principal payments on residential mortgage loans | 63,199 | 14,104 | |
Margin posted on interest rate futures contracts and TBAs | (9,297) | (14,186) | |
Principal and interest receivable | (7,255) | 330 | |
Receivable from affiliate | 14 | (159) | |
Other assets | (2,511) | (39) | |
Management fee payable to affiliate | 1,845 | (27) | |
Accrued expenses | 638 | (235) | |
Accrued expenses payable to affiliate | 17 | (459) | |
Interest payable | 509 | (301) | |
NET CASH (USED IN) PROVIDED BY OPERATING ACTIVITIES | (883,722) | 118,123 | |
CASH FLOWS FROM INVESTING ACTIVITIES | |||
Purchases of investment securities | (1,463,966) | (1,297,135) | |
Sale of U.S. Treasury securities | 424,984 | 1,335,000 | |
Sale of RMBS | 623,364 | 0 | |
Principal payments on RMBS | 7,238 | 5,878 | |
Purchases of commercial mortgage loans | (1,500) | (26,446) | |
Principal payments on commercial mortgage loans | 1,401 | 378 | |
NET CASH (USED IN) PROVIDED BY INVESTING ACTIVITIES | (408,479) | 17,675 | |
CASH FLOWS FROM FINANCING ACTIVITIES | |||
Dividends paid to common stockholders | (3,056) | 0 | |
Stock repurchase | (1,653) | 0 | |
Contributions from prior common stockholder | 56,262 | 215,177 | |
Distributions to prior common stockholder | 0 | (76,700) | |
Proceeds from private placement concurrent with IPO | 40,000 | 0 | |
Proceeds from IPO | 136,800 | 0 | |
Other | (16,050) | (153) | |
Proceeds from securitization | 306,352 | 0 | |
Net proceeds from (payments on) securities sold under agreements to repurchase | 310,996 | (173,550) | |
Net proceeds from (payments on) notes payable | 468,847 | (102,890) | |
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES | 1,298,498 | (138,116) | |
CHANGE IN CASH AND RESTRICTED CASH | 6,297 | (2,318) | |
CASH AND RESTRICTED CASH, beginning of period | [1] | 45,973 | 9,202 |
CASH AND RESTRICTED CASH, end of period | [1] | 52,270 | 6,884 |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | |||
Cash paid during the period for interest | $ 2,170 | $ 7,755 | |
[1] | Cash, cash equivalents, and restricted cash as of September 30, 2021 included cash and cash equivalents of $49.2 million and restricted cash of $3.1 million, and at December 31, 2020 included cash and cash equivalents of $43.6 million and restricted cash of $2.4 million. |
Condensed Consolidated Statem_4
Condensed Consolidated Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Statement of Cash Flows [Abstract] | ||
Cash and cash equivalents | $ 49,177 | $ 43,569 |
Restricted cash | $ 3,093 | $ 2,404 |
Organization and Basis of Prese
Organization and Basis of Presentation | 9 Months Ended |
Sep. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Basis of Presentation | Organization and Basis of Presentation Angel Oak Mortgage, Inc. (together with its subsidiaries the “Company”), is a real estate finance company focused on acquiring and investing in first lien non-qualified residential mortgage (“non-QM”) loans and other mortgage‑related assets in the U.S. mortgage market. The Company’s strategy is to make investments in first lien non‑QM loans that are primarily made to higher‑quality non‑QM loan borrowers and primarily sourced from the proprietary mortgage lending platform of affiliates, Angel Oak Mortgage Solutions LLC and Angel Oak Home Loans LLC (together, “Angel Oak Lending”), which operates through wholesale and retail channels and has a national origination footprint. The Company may also invest in other residential mortgage loans, residential mortgage‑backed securities (“RMBS”), and other mortgage‑related assets. The Company’s objective is to generate attractive risk‑adjusted returns for its stockholders, through cash distributions and capital appreciation, across interest rate and credit cycles. The Company is a Maryland corporation incorporated on March 20, 2018. On September 18, 2018 (commencement of operations), the Board of Directors of the Company (the “Board of Directors”) authorized the Company to commence operations and on October 19, 2018 the Company began its investing activities. For the period prior to September 18, 2018, the Company had no operating activity. The Company achieves certain of its investment objectives by investing a portion of its assets in its wholly‑owned subsidiary, Angel Oak Mortgage REIT TRS, LLC (“AOMR TRS”), a Delaware limited liability company formed on March 21, 2018, which invests its assets in Angel Oak Mortgage Fund TRS, a Delaware statutory trust formed on June 15, 2018. On June 21, 2021, the Company completed its initial public offering (the “IPO”) of 7,200,000 shares of common stock, $0.01 par value per share (“common stock”), at an initial public offering price of $19.00 per share for total proceeds of approximately $136.8 million, excluding the underwriting discounts and commissions and offering expenses of the IPO, each of which was paid by Angel Oak Capital Advisors, LLC (“Angel Oak Capital”), pursuant to a registration statement on Form S-11, as amended (File No. 333-256301) (the “Registration Statement”), filed with the Securities and Exchange Commission (the “SEC”) under the Securities Act of 1933, as amended (the “Securities Act”). The common stock of the Company trades on the New York Stock Exchange under the ticker symbol “AOMR”. Concurrently with the completion of the IPO, the Company sold an additional 2,105,263 shares of common stock to CPPIB Credit Investments Inc. in a private placement at $19.00 per share, for total proceeds of approximately $40.0 million. The Operating Partnership On February 5, 2020, the Company formed Angel Oak Mortgage Operating Partnership, LP, a Delaware limited partnership (the “Operating Partnership”), through which substantially all of its assets are held and substantially all of its operations are conducted, either directly or through subsidiaries. The Company holds all of the limited partnership interests in the Operating Partnership and indirectly holds the sole general partnership interest in the Operating Partnership through the general partner, which is the Company’s wholly-owned subsidiary. The Company’s Manager and REIT status The Company is externally managed and advised by Falcons I, LLC (the “Manager”), a registered investment adviser with the SEC. The Company has elected to be taxed as a real estate investment trust (a “REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its taxable year ended December 31, 2019 and will operate in conformity with the requirements for qualification as a REIT under the Code. Interim Financial Statements The accompanying unaudited condensed consolidated financial statements have been prepared in conformity with the instructions to Article 10-01 of Regulation S-X for interim financial statements. Accordingly, they do not include all the information and footnotes required by generally accepted accounting principles in the United States of America (“GAAP”) for complete financial statements. These unaudited condensed consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes for the year ended December 31, 2020, included in the Company’s prospectus dated June 16, 2021, filed with the SEC on June 21, 2021 pursuant to Rule 424(b)(4) under the Securities Act (the “Prospectus”), which is part of the Registration Statement. In the opinion of management, the accompanying condensed consolidated financial statements contain all adjustments, consisting of normal recurring adjustments, necessary for a fair statement of the results for the interim periods presented. Such operating results may not be indicative of the expected results for any other interim periods or the entire year. The condensed consolidated financial statements include the accounts of the Company and its wholly‑owned subsidiaries. All significant intercompany balances and transactions have been eliminated in consolidation. Use of Estimates The preparation of financial statements requires the Company to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from the Company’s estimates and the differences could be material. Significant Accounting Policies Recently Adopted The Company uses securitization trusts considered to be variable interest entities (“VIEs”) in its securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIE’s economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIE’s economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated which may occur when the Company acts as either the sponsor and/or depositor of and the seller, directly or indirectly to, the securitization entities. Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause or the Company was determined to have power in connection with its involvement with the structure and design of the VIE. The Company’s interest in the assets held by consolidated securitization vehicles, which are consolidated on the Company’s Consolidated Balance Sheets, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Balance Sheets, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of residential mortgage-backed securities (or RMBS), or residential mortgage loans. See Note 2 for further discussion of the characteristics of the securities and loans in the Company’s portfolio relating to asset pools arising from securitization transactions. Recent Accounting Standards - Recently Issued In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Updated (“ASU”) 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The standard was issued to ease the accounting effects of reform to the London Interbank Offered Rate (“LIBOR”) and other reference rates. The standard provides optional expedients and exceptions for applying GAAP to debt, derivatives, and other contracts affected by reference rate reform. The standard is effective for all entities as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur. The Company does not believe that this ASU will have a material impact upon its consolidated financial statements. |
Variable Interest Entities
Variable Interest Entities | 9 Months Ended |
Sep. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Variable Interest Entities | Variable Interest Entities Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans to obtain long-term non-recourse financing. The Company evaluates its interest in each VIE to determine if it is the primary beneficiary. VIEs for Which the Company is the Primary Beneficiary In the third quarter of 2021, the Company entered into a securitization transaction where it was determined that the Company was the primary beneficiary. The Company was the sole entity to contribute residential whole mortgage loans to the securitization vehicle, AOMT 2021-4. During the three and nine months ended September 30, 2021, in the AOMT 2021-4 transaction, the Company securitized and consolidated approximately $316.6 million unpaid principal balance of seasoned residential non-QM mortgage loans. The retained beneficial interest in VIE for which the Company is the primary beneficiary (currently solely comprised of AOMT 2021-4) is the subordinated tranches of the securitization and further interests in additional tranches. The table below sets forth the fair values of the assets and liabilities recorded in the condensed consolidated balance sheet related to this consolidated VIE as of September 30, 2021: Assets: (in thousands) Residential mortgage loans in securitization trust - at fair value $ 319,812 Accrued interest receivable 986 Other assets — Liabilities: Non-recourse securitization obligation, collateralized by residential mortgage loans $ 290,529 Accrued interest payable — Other liabilities — Income and expense amounts related to the consolidated VIE recorded in the condensed consolidated statements of operations and comprehensive income (loss) for the three and nine months ended September 30, 2021 is set forth as follows: (in thousands) Interest income, assets of AOMT 2021-4 $ 2,620 Interest expense, non-recourse liabilities of AOMT 2021-4 (394) Net interest income, AOMT 2021-4 $ 2,226 Servicing fees $ 34 VIEs for Which the Company is Not the Primary Beneficiary In 2019 and 2020, the Company both co‑sponsored and participated in the formation of various entities that were considered to be VIEs, which were formed to facilitate securitization issuances that were comprised of secured residential whole loans or small balance commercial loans contributed to securitization trusts. These securities were issued as a result of the unconsolidated securitizations where the Company retained bonds from the issuances of AOMT 2019-2, AOMT 2019-4, AOMT 2019-6, AOMT 2020-3, and AOMT 2020-SBC1. The Company determined that it was not then and is not now the primary beneficiary of any of these entities, and thus has not consolidated the operating results or statements of financial position of any of these entities. The Company performs ongoing reassessments of all VIEs in which the Company has participated since its inception as to whether changes in the facts and circumstances regarding the Company’s involvement with a VIE would cause the Company’s consolidation conclusion to change, and the Company’s assessment of the VIEs in which the Company participated during the years 2019 and 2020 remains unchanged. The securities received in the aforementioned 2019 and 2020 securitization transactions are included in “RMBS - at fair value” and “CMBS - at fair value” on the condensed consolidated balance sheets as of September 30, 2021 and December 31, 2020, and details on the accounting treatment and fair value methodology of the securities can be found in Note 9, Fair Value Measurements . See Note 5, Investment Securities , for the fair value of AOMT securities held by the Company as of September 30, 2021 and December 31, 2020 that were retained by the Company as a result of the securitization transactions in 2020 and 2019. |
Residential Mortgage Loans
Residential Mortgage Loans | 9 Months Ended |
Sep. 30, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Residential Mortgage Loans | Residential Mortgage Loans Residential mortgage loans are measured at fair value. The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s residential mortgage loan portfolio as of September 30, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 ($ in thousands) Cost $714,367 $143,455 Unpaid principal balance $688,843 $139,278 Premium on mortgage loans purchased 25,524 4,177 Change in fair value 8,772 (1,425) Fair value $723,139 $142,030 Weighted average interest rate 4.74 % 5.95 % Weighted average remaining maturity (years) 29.7 29.8 The following table sets forth data regarding the number of consumer mortgage loans secured by residential real property 90 or more days past due and also those in formal foreclosure proceedings, and the recorded investment and unpaid principal balance of such loans as of September 30, 2021 and December 31, 2020: As of: September 30, 2021 December 31, 2020 ($ in thousands) Number of mortgage loans 90 or more days past due 12 22 Recorded investment in mortgage loans 90 or more days past due $ 3,934 $ 10,855 Unpaid principal balance of loans 90 or more days past due $ 3,930 $ 11,932 Number of mortgage loans in foreclosure 11 10 Recorded investment in mortgage loans in foreclosure $ 3,767 $ 2,277 Unpaid principal balance of loans in foreclosure $ 3,767 $ 2,636 Commercial mortgage loans are measured at fair value. The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s commercial mortgage loan portfolio as of September 30, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 ($ in thousands) Cost $7,921 $7,674 Unpaid principal balance $7,997 $7,756 Net discount on commercial mortgage loans purchased (76) (82) Change in fair value 15 (208) Fair value $7,936 $7,466 Weighted average interest rate 6.7 % 6.58 % Weighted average remaining maturity (years) 10.6 14.3 There was one commercial mortgage loan more than 90 days overdue as of September 30, 2021, and there was one commercial mortgage loan more than 90 days overdue, which was also in foreclosure as further described below, as of December 31, 2020. As of September 30, 2021, the unpaid principal balance was $0.6 million and the recorded investment was $0.6 million in the loan that was more than 90 days overdue. There were no commercial mortgage loans in foreclosure as of September 30, 2021, and there was one commercial mortgage loan in foreclosure as of December 31, 2020. In the second quarter of 2021, the loan that had been in foreclosure on December 31, 2020 was cured, with all prior principal and interest due paid to a current status. As of December 31, 2020, the recorded investment in this loan was $0.6 million with an unpaid principal balance of $0.8 million. |
Commercial Mortgage Loans
Commercial Mortgage Loans | 9 Months Ended |
Sep. 30, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Commercial Mortgage Loans | Residential Mortgage Loans Residential mortgage loans are measured at fair value. The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s residential mortgage loan portfolio as of September 30, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 ($ in thousands) Cost $714,367 $143,455 Unpaid principal balance $688,843 $139,278 Premium on mortgage loans purchased 25,524 4,177 Change in fair value 8,772 (1,425) Fair value $723,139 $142,030 Weighted average interest rate 4.74 % 5.95 % Weighted average remaining maturity (years) 29.7 29.8 The following table sets forth data regarding the number of consumer mortgage loans secured by residential real property 90 or more days past due and also those in formal foreclosure proceedings, and the recorded investment and unpaid principal balance of such loans as of September 30, 2021 and December 31, 2020: As of: September 30, 2021 December 31, 2020 ($ in thousands) Number of mortgage loans 90 or more days past due 12 22 Recorded investment in mortgage loans 90 or more days past due $ 3,934 $ 10,855 Unpaid principal balance of loans 90 or more days past due $ 3,930 $ 11,932 Number of mortgage loans in foreclosure 11 10 Recorded investment in mortgage loans in foreclosure $ 3,767 $ 2,277 Unpaid principal balance of loans in foreclosure $ 3,767 $ 2,636 Commercial mortgage loans are measured at fair value. The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s commercial mortgage loan portfolio as of September 30, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 ($ in thousands) Cost $7,921 $7,674 Unpaid principal balance $7,997 $7,756 Net discount on commercial mortgage loans purchased (76) (82) Change in fair value 15 (208) Fair value $7,936 $7,466 Weighted average interest rate 6.7 % 6.58 % Weighted average remaining maturity (years) 10.6 14.3 There was one commercial mortgage loan more than 90 days overdue as of September 30, 2021, and there was one commercial mortgage loan more than 90 days overdue, which was also in foreclosure as further described below, as of December 31, 2020. As of September 30, 2021, the unpaid principal balance was $0.6 million and the recorded investment was $0.6 million in the loan that was more than 90 days overdue. There were no commercial mortgage loans in foreclosure as of September 30, 2021, and there was one commercial mortgage loan in foreclosure as of December 31, 2020. In the second quarter of 2021, the loan that had been in foreclosure on December 31, 2020 was cured, with all prior principal and interest due paid to a current status. As of December 31, 2020, the recorded investment in this loan was $0.6 million with an unpaid principal balance of $0.8 million. |
Investment Securities
Investment Securities | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | Investment Securities As of September 30, 2021 investment securities were comprised of non‑agency RMBS and Freddie Mac and Fannie Mae “whole pool agency RMBS” (together, “RMBS”), commercial mortgage backed securities (“CMBS”), and U.S. Treasury securities as presented in the condensed consolidated balance sheet. As of December 31, 2020, investment securities were comprised of non‑agency RMBS, CMBS, and U.S. Treasury securities in the condensed consolidated balance sheet. The U.S. Treasury securities held by the Company as of September 30, 2021 and December 31, 2020 matured on October 21, 2021 and January 19, 2021, respectively. The Company recognized a nominal amount of accretion on U.S. Treasury securities for the three and nine months ended September 30, 2021 and 2020, respectively. The following table sets forth a summary of RMBS and CMBS at cost as of September 30, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 (in thousands) RMBS $ 617,841 $ 151,222 CMBS $ 11,221 $ 8,857 The following table sets forth certain information about the Company’s investments in RMBS and CMBS as of September 30, 2021 and December 31, 2020: Real Estate Securities at Fair Value Securities Sold Under Agreement to Repurchase Allocated Capital September 30, 2021: (in thousands) AOMT RMBS (1) Senior $ 4,607 $ (5,994) $ (1,387) Mezzanine 2,185 (1,633) 552 Subordinate 80,201 — 80,201 Interest Only/Excess 18,579 — 18,579 Total AOMT RMBS $ 105,572 $ (7,627) $ 97,945 Other Non-Agency RMBS Subordinate $ 10,406 $ — $ 10,406 Interest Only/Excess 3,062 — 3,062 Total Other Non-Agency RMBS $ 13,468 $ — $ 13,468 Whole Pool Agency RMBS Fannie Mae $ 250,832 $ (238,250) $ 12,582 Freddie Mac 251,798 (243,410) 8,388 Whole Pool Total Agency RMBS $ 502,630 $ (481,660) $ 20,970 Total RMBS $ 621,670 $ (489,287) $ 132,383 AOMT CMBS Subordinate $ 7,841 $ — $ 7,841 Interest Only/Excess 3,508 — 3,508 Total AOMT CMBS $ 11,349 $ — $ 11,349 (1) AOMT RMBS held as of September 30, 2021 included both retained tranches of securitizations in which the Company participated within the purview of Angel Oak Mortgage Trust I (“AOMT”) and additional AOMT securities purchased in secondary market transactions. December 31, 2020: Real Estate Securities at Fair Value Securities Sold Under Agreement to Repurchase Allocated Capital (in thousands) AOMT RMBS (1) Senior $ 11,477 $ (11,936) $ (459) Mezzanine 2,207 (1,633) 574 Subordinate 78,806 (15,104) 63,702 Interest Only/Excess 31,842 — 31,842 Total AOMT RMBS $ 124,332 $ (28,673) $ 95,659 Other Non-Agency RMBS Senior $ 6,820 $ — $ 6,820 Subordinate 18,784 — 18,784 Total Other Non-Agency RMBS $ 25,604 $ — $ 25,604 Total RMBS $ 149,936 $ (28,673) $ 121,263 AOMT CMBS Subordinate $ 5,766 $ — $ 5,766 Interest Only/Excess 3,030 — 3,030 Total AOMT CMBS $ 8,796 $ — $ 8,796 (1) AOMT RMBS held as of December 31, 2020 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions. The following table sets forth certain information about the Company’s investments in U.S. Treasury Bills as of September 30, 2021 and December 31, 2020: Date Face Value Unamortized Discount, net Amortized Cost (1) Unrealized Loss Fair Value Net Effective Yield ($ in thousands) September 30, 2021 $ 80,000 $ — $ 80,000 $ — $ 80,000 2.00 basis points December 31, 2020 $ 150,000 $ (3) $ 149,997 $ (2) $ 149,995 6.25 basis points (1) Cost and amortized cost of U.S. Treasury Bills is substantially equal, due to the short length of time until maturity on these financial instruments. |
Notes Payable
Notes Payable | 9 Months Ended |
Sep. 30, 2021 | |
Notes Payable [Abstract] | |
Notes Payable | Notes PayableThe Company has the ability to finance residential and commercial whole loans, utilizing lines of credit from various counterparties, as further described below. Outstanding borrowings bear interest at floating rates depending on the lending counterparty, the collateral pledged, and the rate in effect for each interest period, as the same may change from time to time at the end of each interest period. Some loans include upfront fees, fees on unused balances, covenants and concentration limits on types of collateral pledged; all vary based on the counterparty. The following table sets forth the details of all the lines of credit available to the Company and drawn amounts for whole loan purchases as of September 30, 2021 and December 31, 2020: Drawn Amount Line of Credit Facility Limit Base Interest Rate Interest Rate Spread September 30, 2021 December 31, 2020 ($ in thousands) Barclays Bank PLC (1) $ 400,000 1 month or 3 month LIBOR 1.70% - 3.50% $ 104,644 N/A Nomura Corporate Funding Americas, LLC (2) $ 300,000 3 month LIBOR 1.70% - 3.50% $ 101,210 $ 8,011 Deutsche Bank, AG (3) $ 250,000 1 month LIBOR 2.00% - 3.25% $ 74,552 $ 34,905 Goldman Sachs Bank USA (4) $ 200,000 3 month LIBOR 2.25% $ 194,959 N/A Banc of California, National Association (5) $ 50,000 1 month LIBOR 2.50% - 3.13% $ 38,498 $ 38,989 Veritex Community Bank (6) $ 50,000 1 month LIBOR 2.30% $ 36,889 N/A Total $ 1,250,000 $ 550,752 $ 81,905 (1) On September 20, 2021, the Company entered into a $400.0 million repurchase facility with Barclays Bank PLC which expires on September 20, 2022. (2) On August 6, 2021, this facility was amended to extend the expiration date from December 3, 2021 to August 5, 2022, add the one-month LIBOR as a base interest rate for certain loans, and change the interest rate spread to 1.70% (from 1.75%) to 3.50%. (3) On June 21, 2021, this facility was amended to increase the facility limit from $150.0 million to $250.0 million. This facility expires on February 11, 2022. (4) The master repurchase agreement with Goldman Sachs Bank USA, was entered into on March 5, 2021, and expires on March 5, 2022. (5) This agreement expires on March 16, 2022. (6) On August 16, 2021, the Company entered into a financing facility with Veritex Community Bank, which expires on August 16, 2023. |
Securities Sold Under Agreement
Securities Sold Under Agreements to Repurchase | 9 Months Ended |
Sep. 30, 2021 | |
Banking and Thrift, Interest [Abstract] | |
Securities Sold Under Agreements to Repurchase | Securities Sold Under Agreements to RepurchaseTransactions involving securities sold under agreements to repurchase are treated as collateralized financial transactions, and are recorded at their contracted repurchase amounts. Margin (if required) for securities sold under agreements to repurchase represents margin collateral amounts held to ensure that the Company has sufficient coverage for securities sold under agreements to repurchase in case of adverse price changes. Restricted cash was substantially comprised of margin collateral for securities sold under agreements to repurchase as of each of September 30, 2021 and December 31, 2020, respectively. The following table summarizes certain characteristics of the Company’s repurchase agreements as of September 30, 2021 and December 31, 2020: September 30, 2021 Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days) ($ in thousands) RMBS 489,287 0.11 % 14 Total $ 489,287 0.11 % 14 December 31, 2020 Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days) ($ in thousands) U.S. Treasury Bills $ 149,618 0.25 % 19 RMBS 28,673 1.40 % 19 Total $ 178,291 0.44 % 19 |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Derivative Financial Instruments In the normal course of business, the Company enters into derivative financial instruments to manage its exposure to market risk, including interest rate risk and prepayment risk on its whole loan investments. The derivatives in which the Company invests, and the market risk that the economic hedge is intended to mitigate are further discussed below. Derivative instruments as of September 30, 2021 included both “To be Announced” forward-settling of mortgage-backed securities trades (“TBAs”) and interest rate futures contracts, while the derivative investments as of December 31, 2020 were solely comprised of interest rate futures contracts. The Company uses interest rate futures as economic hedges to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as other factors. The Company’s credit risk with respect to economic hedges is the risk of default on its investments that result from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments. The Company may at times hold TBAs in order to mitigate its interest rate risk on certain specified mortgage-backed securities. Amounts or obligations owed by or to the Company are subject to the right of set-off with the TBA counterparty. As part of executing these trades, the Company may enter into agreements with its TBA counterparties that govern the transactions for the TBA purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements, and various other provisions. Changes in the value of derivatives designed to protect against mortgage-backed securities fair value fluctuations, or economic hedging gains and losses, are reflected in the tables below. All realized and unrealized gains and losses on derivative contracts are recognized in earnings, in “net realized loss on derivative contracts, RMBS, CMBS, and mortgage loans” for realized losses, and “net unrealized gain (loss) on derivative contracts and mortgage loans” for unrealized gains and losses. Unrealized appreciation on futures contracts and unrealized appreciation on TBAs is included in “other assets” on the condensed consolidated balance sheets when an unrealized appreciation position exists. The Company considers the notional amounts, categorized by primary underlying risk, to be representative of the volume of its derivative activities. The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of September 30, 2021 and December 31, 2020: Notional Amounts As of: Derivatives Not Designated as Hedging Instruments Number of Contracts Assets Liabilities Long Exposure Short Exposure ($ in thousands) September 30, 2021 Futures contracts 8,209 $ 2,421 $ — $ — $ 820,900 September 30, 2021 TBAs N/A $ 1,120 $ — $ — $ 697,523 December 31, 2020 Futures contracts 1,295 $ — $ (198) $ — $ 129,500 The gains and losses arising from these derivative instruments in the condensed consolidated statements of operations and comprehensive income (loss) for the three and nine months ended September 30, 2021 and September 30, 2020 are set forth as follows: Derivatives Not Designated as Hedging Instruments Net Realized Gains (Losses) on Derivative Instruments Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments (in thousands) Three Months Ended September 30, 2021 Futures contracts $ 39 $ 1,666 Three Months Ended September 30, 2021 TBAs $ (5,378) $ 1,305 Nine Months Ended September 30, 2021 Futures contracts $ (431) $ 2,678 Nine Months Ended September 30, 2021 TBAs $ (7,822) $ 1,120 Derivatives Not Designated as Hedging Instruments Net Realized Losses on Derivative Instruments Net Change in Unrealized Depreciation on Derivative Instruments (in thousands) Three Months Ended September 30, 2020 Futures contracts $ (88) $ 101 Nine Months Ended September 30, 2020 Futures contracts $ (14,127) $ (75) |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. 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 for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value. 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. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured. As of September 30, 2021, our valuation policy and processes had not changed from those described in our consolidated financial statements for the year ended December 31, 2020 included in the Prospectus. Included in Note 10 to the Consolidated Financial Statements for the year ended December 31, 2020 is a more detailed description of our financial instruments measured at fair value and their significant inputs, as well as the general classification of such instruments pursuant to the Level 1, Level 2, and Level 3 valuation hierarchy. The following table sets forth information about the Company’s financial assets measured at fair value as of September 30, 2021 (1) : Level 1 Level 2 Level 3 Total Assets, at fair value (in thousands) Residential mortgage loans $ — $ 715,691 $ 7,448 $ 723,139 Residential mortgage loans in securitization trust — 318,965 847 319,812 Commercial mortgage loans — 7,429 507 7,936 Investments in securities Non-Agency RMBS (2) — 119,040 — 119,040 Agency whole pool loan securities — 502,630 — 502,630 AOMT CMBS (2) — 11,349 — 11,349 U.S. Treasury Bills 80,000 — — 80,000 Unrealized appreciation on futures contracts (3) 2,421 — — 2,421 Unrealized appreciation on TBAs (4) 1,120 — — 1,120 Total assets at fair value $ 83,541 $ 1,675,104 $ 8,802 $ 1,767,447 (1) As of September 30, 2021, there were no financial liabilities measured at fair value. (2) Non‑Agency RMBS held as of September 30, 2021 included both retained tranches of securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. All AOMT CMBS held as of September 30, 2021 were comprised of retained tranches of AOMT securitizations. (3) “Unrealized appreciation on futures contracts” is included in “other assets” on the condensed consolidated balance sheet. (4) “Unrealized appreciation on TBAs” is included in “other assets” on the condensed consolidated balance sheet. Transfers from Level 2 to Level 3 were comprised of residential loans more than 90 days overdue (including those in foreclosure) and commercial mortgage loans in special servicing or otherwise considered “non‑performing” by the Company’s third‑party valuation providers. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. These transfers were not material. All unrealized gains and losses arising from valuation changes in residential and commercial mortgage loans are recognized in net income for the periods presented. We use third‑party valuation firms who utilize proprietary methodologies to value our residential and commercial loans. These firms generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets. Use of these techniques requires determination of relevant input and assumptions, some of which represent significant unobservable inputs such as anticipated credit losses, prepayment rates, default rates, or other valuation assumptions. Accordingly, a significant increase or decrease in any of these inputs in isolation may result in a significantly lower or higher fair value measurement. The following table sets forth information regarding the Company’s significant Level 3 inputs as of September 30, 2021: Input Values Asset Fair Value Unobservable Input Range Average Residential mortgage loans, at fair value $ 7,448 Prepayment rate (annual CPR) —% - 20.71% 5.43% Default rate 2.86% - 29.32% 16.21% Loss severity (20.31)% - 37.30% (0.23)% Expected remaining life 0.70 - 2.73 years 1.84 years Residential mortgage loans in securitization trust, at fair value $ 847 Prepayment rate (annual CPR) 15.61% - 21.67% 18.64% Default rate 22.83% - 23.75% 23.29% Loss severity 10.00% 10.00% Expected remaining life 1.20 - 1.73 years 1.47 years Commercial mortgage loans, at fair value $ 507 Loss severity (25.00)% (25.00)% Sale or Liquidation timeline 42 - 53 months 42 - 53 months The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of December 31, 2020: Level 1 Level 2 Level 3 Total Assets, at fair value (in thousands) Residential mortgage loans $ — $ 128,897 $ 13,133 $ 142,030 Commercial mortgage loans — 6,859 607 7,466 Investments in securities Non-Agency RMBS (1) — 149,936 — 149,936 AOMT CMBS (1) — 8,796 — 8,796 U.S. Treasury Bills 149,995 — — 149,995 Total assets at fair value $ 149,995 $ 294,488 $ 13,740 $ 458,223 Liabilities, at fair value Unrealized depreciation on futures contracts $ 198 $ — $ — $ 198 Total liabilities at fair value $ 198 $ — $ — $ 198 (1) Non‑Agency RMBS held as of December 31, 2020 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. All AOMT CMBS held as of December 31, 2020 was comprised of retained tranches of AOMT securitizations. Transfers from Level 2 to Level 3 were comprised of residential loans more than 90 days overdue (including those in foreclosure) and commercial mortgage loans in special servicing or otherwise considered “non‑performing” by the Company’s third‑party valuation providers. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. These transfers were not material. All unrealized gains and losses arising from valuation changes in residential and commercial mortgage loans are recognized in net income for the periods presented. We use third‑party valuation firms who utilize proprietary methodologies to value our residential and commercial loans. These firms generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets. Use of these techniques requires determination of relevant input and assumptions, some of which represent significant unobservable inputs such as anticipated credit losses, prepayment rates, default rates, or other valuation assumptions. Accordingly, a significant increase or decrease in any of these inputs in isolation may result in a significantly lower or higher fair value measurement. The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2020: Input Values Asset Fair Value Unobservable Input Range Average Residential mortgage loans, at fair value $ 13,133 Prepayment rate (annual CPR) —% - 15.77% 5.95% Default rate 5.58% - 24.79% 16.80% Loss severity (13.21)% - 29.31% 3.29% Expected remaining life 0.70 - 2.42 years 1.87 years Commercial mortgage loans, at fair value $ 607 Loss severity (16.75)% (16.75)% Sale or Liquidation timeline 15 - 23 months 15 - 23 months |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Residential Mortgage Loan Purchases On October 1, 2018, the Company entered into separate Mortgage Loan Purchase and Servicing Agreements with each of Angel Oak Home Loans, LLC, Angel Oak Prime Bridge, LLC, and Angel Oak Mortgage Solutions, LLC (together the “Mortgage Companies”), all of which are affiliated with the Manager. These agreements provide the framework pursuant to which the Company has agreed to purchase from the Mortgage Companies certain fixed and adjustable‑rate residential, first and second lien mortgage loans, all of which are underwritten to predetermined guidelines. The purchase price of the loans is generally equal to the outstanding principal of the mortgage, adjusted by a premium or discount, depending on market conditions. As part of each agreement, the Company purchases the mortgage loans on a servicing released basis. The Company also has an agreement with Angel Oak Prime Bridge, LLC whereby the Company purchases the mortgage loans on a servicing retained basis. In accordance with the Manager’s Inter‑Affiliate Transaction Policy, various functional areas within the Manager, including a valuation sub‑committee, risk management, legal, and the independent members of the Board of Directors of the Company, regularly review the loan purchase activities between the Company and the Mortgage Companies. The residential mortgage loans are loans on residences located in various states with a concentration in California, Florida, Georgia, and Texas. The following table sets forth certain financial information pertaining to whole loans purchased from affiliates during the year-to-date or year, respectively, and held as of year-to-date / year end: Period-End/Year-End Amount of Loans Purchased from Affiliates for the period/as of Number of Loans Purchased from Affiliates for the period/as of Number of Loans Purchased from Affiliates Held as of ($ in thousands) September 30, 2021 $ 751,416 1,641 1,802 December 31, 2020 $ 423,172 950 273 Commercial Mortgage Loan Purchases The Company entered into separate Loan Purchase Agreements with each of Cherrywood Mortgage, LLC and Angel Oak Commercial Bridge, LLC, each of which is affiliated with the Manager. The agreements provide the framework pursuant to which the Company agrees to purchase from Cherrywood Mortgage, LLC and Angel Oak Commercial Bridge, LLC certain commercial mortgage loans which are underwritten to predetermined guidelines. The purchase price of the loans is generally equal to the outstanding principal of the mortgage, adjusted by a premium or discount, depending on market conditions. In accordance with the Manager’s Inter‑Affiliate Transaction Policy, various functional areas within the Manager, including a valuation sub‑committee, risk management, legal and the independent members of the Board of Directors of the Company, regularly review the loan purchase activities between the Company and Cherrywood Mortgage, LLC and Angel Oak Commercial Bridge, LLC. Commercial mortgage loans are loans on commercial properties which are substantially comprised of an educational facility and retail properties, located in various states with a concentration in Georgia and Montana. The following table sets forth certain financial information pertaining to whole loans purchased from affiliates during the year-to-date or year, respectively, and held as of year-to-date / year end: As of and for the Year-to-Date/Year Ended: Amount of Loans Purchased from Affiliates during the Year-to-Date/Year Number of Loans Purchased from Affiliates during the Year-to-Date/Year Number of Loans Purchased from Affiliates Held as of Year-to-Date/Year End: ($ in thousands) September 30, 2021 $ — — 7 December 31, 2020 $ 26,334 30 12 Pre-IPO Management Fee A pre-IPO management agreement (the “Pre-IPO Management Agreement”) existed among the Company, the Manager, and Angel Oak Mortgage Fund, LP (“Angel Oak Mortgage Fund”), the Company’s sole common stockholder prior to the IPO. Per the Pre-IPO Management Agreement, on a quarterly basis in advance, the Company paid the Manager an aggregate, fixed management fee equal to 1.5% per annum of the total Actively Invested Capital (as defined in the Pre-IPO Management Agreement) of the limited partners in Angel Oak Mortgage Fund. The Pre-IPO Management Agreement terminated on June 20, 2021 in connection with the IPO. Post-IPO Management Fee On and after June 21, 2021, the post-IPO management agreement (the “Management Agreement”) took effect among the Company, the Operating Partnership, and the Manager. Per the Management Agreement, on a quarterly basis in arrears, the Company shall pay the Manager an aggregate, fixed management fee equal to 1.5% per annum of the Company’s Equity (as defined in the Management Agreement). The Management Agreement was effective for the last 10 days of June 2021, and the additional management fee incurred during the 10 days following the completion of the IPO was de minimis. Operating Expense Reimbursements The Company is also required to pay the Manager reimbursements for certain general and administrative expenses pursuant to the Management Agreement. Accrued expenses payable to affiliate and operating expenses incurred with affiliate are substantially comprised of payroll reimbursements to an affiliate of the Manager. Transactions by Affiliates Regarding the Company’s IPO The Company’s IPO was completed on June 21, 2021. The Company’s Manager purchased $6.0 million in stock at the IPO price of $19.00 per share, which was delivered on June 21, 2021. Angel Oak Capital Advisors, LLC, an affiliate of the Company’s Manager, agreed to pay the underwriting discounts and commissions in connection with the IPO. Such underwriting discounts and commissions were $8.2 million. Angel Oak Capital Advisors, LLC also agreed to pay all of the Company’s expenses incurred in connection with the IPO. Such expenses were $4.4 million. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and ContingenciesThe Company, from time to time, may be party to litigation relating to claims arising in the normal course of business. As of September 30, 2021, the Company was not aware of any legal claims that could materially impact its financial condition. As of September 30, 2021, the Company had no unfunded commitments. |
Equity and Earnings per Share (
Equity and Earnings per Share ("EPS") | 9 Months Ended |
Sep. 30, 2021 | |
Equity [Abstract] | |
Equity and Earnings per Share ("EPS") | Equity and Earnings per Share (“EPS”)In the calculations of basic and diluted earnings per common share for the three and nine months ended September 30, 2021, the Company included participating securities, which are certain equity awards that have non-forfeitable dividend participation rights, as it was determined that the two-class method was more dilutive than the alternative treasury stock method for these shares. Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included that may differ in certain circumstances. For each of the three months and nine months ended September 30, 2021, no outstanding equity awards were antidilutive. The following table sets forth the calculation of basic and diluted earnings per share for the three and nine months ended September 30, 2021: Three Months Ended Nine Months Ended (in thousands, except share data) Basic Earnings per Common Share: Net income allocable to common stockholders $ 6,340 $ 18,045 Basic weighted average common shares outstanding 24,999,891 19,190,827 Basic earnings per common share $ 0.25 $ 0.94 Diluted Earnings per Common Share: Net income allocable to common stockholders $ 6,340 $ 18,045 Net effect of dilutive equity awards 470,335 175,852 Diluted weighted average common shares outstanding 25,470,226 19,366,679 Diluted earnings per common share $ 0.25 $ 0.93 Effect of Stock Split and Stock Dividend in Conjunction with the IPO during the nine months ended September 30, 2021 In conjunction with the IPO, the Company declared a stock split that resulted in 15,723,050 being owned by that sole common stockholder, who then distributed its stock in the Company to its investors. As a result of the stock split, 15,724,050 shares of common stock were outstanding as of June 21, 2021 (both outstanding and weighted average outstanding), and the related share data and earnings per share calculations include the share amounts that have been retroactively restated accordingly for the calculations of earnings per share during that time period for the nine months ended September 30, 2021. Basic and Diluted EPS for the three and nine months ended September 30, 2020 For the three and nine months ended September 30, 2020, basic and diluted earnings per share were equivalent as there were no potentially dilutive securities outstanding. For the three and nine months ended September 30, 2020, 1,000 shares of common stock were outstanding (both outstanding and weighted average outstanding), all of which were held by Angel Oak Mortgage Fund, LP, the Company’s sole common stockholder prior to the IPO. These shares have been retroactively restated accordingly as described above for the calculations of earnings per share for the three and nine months ended September 30, 2020. |
Equity Compensation Plans
Equity Compensation Plans | 9 Months Ended |
Sep. 30, 2021 | |
Share-based Payment Arrangement [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans On June 22, 2021, we established our sole equity compensation plan, the 2021 Equity Incentive Plan (the “Plan”), with 2,125,000 shares initially available for grant. As of September 30, 2021, 1,651,316 shares of common stock were available for grant under the Plan, as on June 21, 2021, we granted 473,684 shares in restricted stock awards, for which the sole restriction to be satisfied is vesting over a period over one As of December 30, 2020, and prior to the establishment of the Plan, there were no equity compensation plans in existence, and therefore, no such compensation costs were incurred during the three and nine months ended September 30, 2020. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Dividend Declared On November 8, 2021, the Company declared a dividend of 36 cents per share of common stock, to be paid on November 30, 2021 to common stockholders of record as of November 22, 2021. |
Organization and Basis of Pre_2
Organization and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | The Company is a Maryland corporation incorporated on March 20, 2018. On September 18, 2018 (commencement of operations), the Board of Directors of the Company (the “Board of Directors”) authorized the Company to commence operations and on October 19, 2018 the Company began its investing activities. For the period prior to September 18, 2018, the Company had no operating activity. The Company achieves certain of its investment objectives by investing a portion of its assets in its wholly‑owned subsidiary, Angel Oak Mortgage REIT TRS, LLC (“AOMR TRS”), a Delaware limited liability company formed on March 21, 2018, which invests its assets in Angel Oak Mortgage Fund TRS, a Delaware statutory trust formed on June 15, 2018. On June 21, 2021, the Company completed its initial public offering (the “IPO”) of 7,200,000 shares of common stock, $0.01 par value per share (“common stock”), at an initial public offering price of $19.00 per share for total proceeds of approximately $136.8 million, excluding the underwriting discounts and commissions and offering expenses of the IPO, each of which was paid by Angel Oak Capital Advisors, LLC (“Angel Oak Capital”), pursuant to a registration statement on Form S-11, as amended (File No. 333-256301) (the “Registration Statement”), filed with the Securities and Exchange Commission (the “SEC”) under the Securities Act of 1933, as amended (the “Securities Act”). The common stock of the Company trades on the New York Stock Exchange under the ticker symbol “AOMR”. Concurrently with the completion of the IPO, the Company sold an additional 2,105,263 shares of common stock to CPPIB Credit Investments Inc. in a private placement at $19.00 per share, for total proceeds of approximately $40.0 million. The Operating Partnership On February 5, 2020, the Company formed Angel Oak Mortgage Operating Partnership, LP, a Delaware limited partnership (the “Operating Partnership”), through which substantially all of its assets are held and substantially all of its operations are conducted, either directly or through subsidiaries. The Company holds all of the limited partnership interests in the Operating Partnership and indirectly holds the sole general partnership interest in the Operating Partnership through the general partner, which is the Company’s wholly-owned subsidiary. The Company’s Manager and REIT status The Company is externally managed and advised by Falcons I, LLC (the “Manager”), a registered investment adviser with the SEC. The Company has elected to be taxed as a real estate investment trust (a “REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its taxable year ended December 31, 2019 and will operate in conformity with the requirements for qualification as a REIT under the Code. |
Interim Financial Statements | Interim Financial Statements The accompanying unaudited condensed consolidated financial statements have been prepared in conformity with the instructions to Article 10-01 of Regulation S-X for interim financial statements. Accordingly, they do not include all the information and footnotes required by generally accepted accounting principles in the United States of America (“GAAP”) for complete financial statements. These unaudited condensed consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes for the year ended December 31, 2020, included in the Company’s prospectus dated June 16, 2021, filed with the SEC on June 21, 2021 pursuant to Rule 424(b)(4) under the Securities Act (the “Prospectus”), which is part of the Registration Statement. |
Use of Estimates | Use of Estimates The preparation of financial statements requires the Company to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and |
Significant Accounting Policies Recently Adopted and Recent Accounting Standards - Recently Issued | Significant Accounting Policies Recently Adopted The Company uses securitization trusts considered to be variable interest entities (“VIEs”) in its securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIE’s economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIE’s economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated which may occur when the Company acts as either the sponsor and/or depositor of and the seller, directly or indirectly to, the securitization entities. Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause or the Company was determined to have power in connection with its involvement with the structure and design of the VIE. The Company’s interest in the assets held by consolidated securitization vehicles, which are consolidated on the Company’s Consolidated Balance Sheets, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Balance Sheets, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of residential mortgage-backed securities (or RMBS), or residential mortgage loans. See Note 2 for further discussion of the characteristics of the securities and loans in the Company’s portfolio relating to asset pools arising from securitization transactions. Recent Accounting Standards - Recently Issued In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Updated (“ASU”) 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The standard was issued to ease the accounting effects of reform to the London Interbank Offered Rate (“LIBOR”) and other reference rates. The standard provides optional expedients and exceptions for applying GAAP to debt, derivatives, and other contracts affected by reference rate reform. The standard is effective for all entities as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur. The Company does not believe that this ASU will have a material impact upon its consolidated financial statements. |
Variable Interest Entities | VIEs for Which the Company is Not the Primary Beneficiary In 2019 and 2020, the Company both co‑sponsored and participated in the formation of various entities that were considered to be VIEs, which were formed to facilitate securitization issuances that were comprised of secured residential whole loans or small balance commercial loans contributed to securitization trusts. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Variable Interest Entities | The table below sets forth the fair values of the assets and liabilities recorded in the condensed consolidated balance sheet related to this consolidated VIE as of September 30, 2021: Assets: (in thousands) Residential mortgage loans in securitization trust - at fair value $ 319,812 Accrued interest receivable 986 Other assets — Liabilities: Non-recourse securitization obligation, collateralized by residential mortgage loans $ 290,529 Accrued interest payable — Other liabilities — Income and expense amounts related to the consolidated VIE recorded in the condensed consolidated statements of operations and comprehensive income (loss) for the three and nine months ended September 30, 2021 is set forth as follows: (in thousands) Interest income, assets of AOMT 2021-4 $ 2,620 Interest expense, non-recourse liabilities of AOMT 2021-4 (394) Net interest income, AOMT 2021-4 $ 2,226 Servicing fees $ 34 |
Residential Mortgage Loans (Tab
Residential Mortgage Loans (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule of Residential Mortgage Loans | The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s residential mortgage loan portfolio as of September 30, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 ($ in thousands) Cost $714,367 $143,455 Unpaid principal balance $688,843 $139,278 Premium on mortgage loans purchased 25,524 4,177 Change in fair value 8,772 (1,425) Fair value $723,139 $142,030 Weighted average interest rate 4.74 % 5.95 % Weighted average remaining maturity (years) 29.7 29.8 September 30, 2021 December 31, 2020 ($ in thousands) Cost $7,921 $7,674 Unpaid principal balance $7,997 $7,756 Net discount on commercial mortgage loans purchased (76) (82) Change in fair value 15 (208) Fair value $7,936 $7,466 Weighted average interest rate 6.7 % 6.58 % Weighted average remaining maturity (years) 10.6 14.3 |
Schedule of Financing Receivables Past Due | The following table sets forth data regarding the number of consumer mortgage loans secured by residential real property 90 or more days past due and also those in formal foreclosure proceedings, and the recorded investment and unpaid principal balance of such loans as of September 30, 2021 and December 31, 2020: As of: September 30, 2021 December 31, 2020 ($ in thousands) Number of mortgage loans 90 or more days past due 12 22 Recorded investment in mortgage loans 90 or more days past due $ 3,934 $ 10,855 Unpaid principal balance of loans 90 or more days past due $ 3,930 $ 11,932 Number of mortgage loans in foreclosure 11 10 Recorded investment in mortgage loans in foreclosure $ 3,767 $ 2,277 Unpaid principal balance of loans in foreclosure $ 3,767 $ 2,636 |
Commercial Mortgage Loans (Tabl
Commercial Mortgage Loans (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule of Commercial Mortgage Loans | The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s residential mortgage loan portfolio as of September 30, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 ($ in thousands) Cost $714,367 $143,455 Unpaid principal balance $688,843 $139,278 Premium on mortgage loans purchased 25,524 4,177 Change in fair value 8,772 (1,425) Fair value $723,139 $142,030 Weighted average interest rate 4.74 % 5.95 % Weighted average remaining maturity (years) 29.7 29.8 September 30, 2021 December 31, 2020 ($ in thousands) Cost $7,921 $7,674 Unpaid principal balance $7,997 $7,756 Net discount on commercial mortgage loans purchased (76) (82) Change in fair value 15 (208) Fair value $7,936 $7,466 Weighted average interest rate 6.7 % 6.58 % Weighted average remaining maturity (years) 10.6 14.3 |
Investment Securities (Tables)
Investment Securities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of RMBS and CMBS Securities at Cost and Investments in U.S. Treasury Bills | The following table sets forth a summary of RMBS and CMBS at cost as of September 30, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 (in thousands) RMBS $ 617,841 $ 151,222 CMBS $ 11,221 $ 8,857 The following table sets forth certain information about the Company’s investments in U.S. Treasury Bills as of September 30, 2021 and December 31, 2020: Date Face Value Unamortized Discount, net Amortized Cost (1) Unrealized Loss Fair Value Net Effective Yield ($ in thousands) September 30, 2021 $ 80,000 $ — $ 80,000 $ — $ 80,000 2.00 basis points December 31, 2020 $ 150,000 $ (3) $ 149,997 $ (2) $ 149,995 6.25 basis points (1) Cost and amortized cost of U.S. Treasury Bills is substantially equal, due to the short length of time until maturity on these financial instruments. |
Schedule of Investments in RMBS and CMBS | The following table sets forth certain information about the Company’s investments in RMBS and CMBS as of September 30, 2021 and December 31, 2020: Real Estate Securities at Fair Value Securities Sold Under Agreement to Repurchase Allocated Capital September 30, 2021: (in thousands) AOMT RMBS (1) Senior $ 4,607 $ (5,994) $ (1,387) Mezzanine 2,185 (1,633) 552 Subordinate 80,201 — 80,201 Interest Only/Excess 18,579 — 18,579 Total AOMT RMBS $ 105,572 $ (7,627) $ 97,945 Other Non-Agency RMBS Subordinate $ 10,406 $ — $ 10,406 Interest Only/Excess 3,062 — 3,062 Total Other Non-Agency RMBS $ 13,468 $ — $ 13,468 Whole Pool Agency RMBS Fannie Mae $ 250,832 $ (238,250) $ 12,582 Freddie Mac 251,798 (243,410) 8,388 Whole Pool Total Agency RMBS $ 502,630 $ (481,660) $ 20,970 Total RMBS $ 621,670 $ (489,287) $ 132,383 AOMT CMBS Subordinate $ 7,841 $ — $ 7,841 Interest Only/Excess 3,508 — 3,508 Total AOMT CMBS $ 11,349 $ — $ 11,349 (1) AOMT RMBS held as of September 30, 2021 included both retained tranches of securitizations in which the Company participated within the purview of Angel Oak Mortgage Trust I (“AOMT”) and additional AOMT securities purchased in secondary market transactions. December 31, 2020: Real Estate Securities at Fair Value Securities Sold Under Agreement to Repurchase Allocated Capital (in thousands) AOMT RMBS (1) Senior $ 11,477 $ (11,936) $ (459) Mezzanine 2,207 (1,633) 574 Subordinate 78,806 (15,104) 63,702 Interest Only/Excess 31,842 — 31,842 Total AOMT RMBS $ 124,332 $ (28,673) $ 95,659 Other Non-Agency RMBS Senior $ 6,820 $ — $ 6,820 Subordinate 18,784 — 18,784 Total Other Non-Agency RMBS $ 25,604 $ — $ 25,604 Total RMBS $ 149,936 $ (28,673) $ 121,263 AOMT CMBS Subordinate $ 5,766 $ — $ 5,766 Interest Only/Excess 3,030 — 3,030 Total AOMT CMBS $ 8,796 $ — $ 8,796 (1) AOMT RMBS held as of December 31, 2020 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions. |
Notes Payable (Tables)
Notes Payable (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Notes Payable [Abstract] | |
Schedule of Lines of Credit Available and Drawn Amounts for Whole Loan Purchases | The following table sets forth the details of all the lines of credit available to the Company and drawn amounts for whole loan purchases as of September 30, 2021 and December 31, 2020: Drawn Amount Line of Credit Facility Limit Base Interest Rate Interest Rate Spread September 30, 2021 December 31, 2020 ($ in thousands) Barclays Bank PLC (1) $ 400,000 1 month or 3 month LIBOR 1.70% - 3.50% $ 104,644 N/A Nomura Corporate Funding Americas, LLC (2) $ 300,000 3 month LIBOR 1.70% - 3.50% $ 101,210 $ 8,011 Deutsche Bank, AG (3) $ 250,000 1 month LIBOR 2.00% - 3.25% $ 74,552 $ 34,905 Goldman Sachs Bank USA (4) $ 200,000 3 month LIBOR 2.25% $ 194,959 N/A Banc of California, National Association (5) $ 50,000 1 month LIBOR 2.50% - 3.13% $ 38,498 $ 38,989 Veritex Community Bank (6) $ 50,000 1 month LIBOR 2.30% $ 36,889 N/A Total $ 1,250,000 $ 550,752 $ 81,905 (1) On September 20, 2021, the Company entered into a $400.0 million repurchase facility with Barclays Bank PLC which expires on September 20, 2022. (2) On August 6, 2021, this facility was amended to extend the expiration date from December 3, 2021 to August 5, 2022, add the one-month LIBOR as a base interest rate for certain loans, and change the interest rate spread to 1.70% (from 1.75%) to 3.50%. (3) On June 21, 2021, this facility was amended to increase the facility limit from $150.0 million to $250.0 million. This facility expires on February 11, 2022. (4) The master repurchase agreement with Goldman Sachs Bank USA, was entered into on March 5, 2021, and expires on March 5, 2022. (5) This agreement expires on March 16, 2022. (6) On August 16, 2021, the Company entered into a financing facility with Veritex Community Bank, which expires on August 16, 2023. |
Securities Sold Under Agreeme_2
Securities Sold Under Agreements to Repurchase (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Banking and Thrift, Interest [Abstract] | |
Schedule of Repurchase Agreements | The following table summarizes certain characteristics of the Company’s repurchase agreements as of September 30, 2021 and December 31, 2020: September 30, 2021 Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days) ($ in thousands) RMBS 489,287 0.11 % 14 Total $ 489,287 0.11 % 14 December 31, 2020 Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days) ($ in thousands) U.S. Treasury Bills $ 149,618 0.25 % 19 RMBS 28,673 1.40 % 19 Total $ 178,291 0.44 % 19 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments Presented on the Balance Sheet and Notional Amounts | The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of September 30, 2021 and December 31, 2020: Notional Amounts As of: Derivatives Not Designated as Hedging Instruments Number of Contracts Assets Liabilities Long Exposure Short Exposure ($ in thousands) September 30, 2021 Futures contracts 8,209 $ 2,421 $ — $ — $ 820,900 September 30, 2021 TBAs N/A $ 1,120 $ — $ — $ 697,523 December 31, 2020 Futures contracts 1,295 $ — $ (198) $ — $ 129,500 |
Schedule of Derivatives Not Designated as Hedging Instruments | The gains and losses arising from these derivative instruments in the condensed consolidated statements of operations and comprehensive income (loss) for the three and nine months ended September 30, 2021 and September 30, 2020 are set forth as follows: Derivatives Not Designated as Hedging Instruments Net Realized Gains (Losses) on Derivative Instruments Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments (in thousands) Three Months Ended September 30, 2021 Futures contracts $ 39 $ 1,666 Three Months Ended September 30, 2021 TBAs $ (5,378) $ 1,305 Nine Months Ended September 30, 2021 Futures contracts $ (431) $ 2,678 Nine Months Ended September 30, 2021 TBAs $ (7,822) $ 1,120 Derivatives Not Designated as Hedging Instruments Net Realized Losses on Derivative Instruments Net Change in Unrealized Depreciation on Derivative Instruments (in thousands) Three Months Ended September 30, 2020 Futures contracts $ (88) $ 101 Nine Months Ended September 30, 2020 Futures contracts $ (14,127) $ (75) |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of Financial Assets and Liabilities Measured at Fair Value | The following table sets forth information about the Company’s financial assets measured at fair value as of September 30, 2021 (1) : Level 1 Level 2 Level 3 Total Assets, at fair value (in thousands) Residential mortgage loans $ — $ 715,691 $ 7,448 $ 723,139 Residential mortgage loans in securitization trust — 318,965 847 319,812 Commercial mortgage loans — 7,429 507 7,936 Investments in securities Non-Agency RMBS (2) — 119,040 — 119,040 Agency whole pool loan securities — 502,630 — 502,630 AOMT CMBS (2) — 11,349 — 11,349 U.S. Treasury Bills 80,000 — — 80,000 Unrealized appreciation on futures contracts (3) 2,421 — — 2,421 Unrealized appreciation on TBAs (4) 1,120 — — 1,120 Total assets at fair value $ 83,541 $ 1,675,104 $ 8,802 $ 1,767,447 (1) As of September 30, 2021, there were no financial liabilities measured at fair value. (2) Non‑Agency RMBS held as of September 30, 2021 included both retained tranches of securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. All AOMT CMBS held as of September 30, 2021 were comprised of retained tranches of AOMT securitizations. (3) “Unrealized appreciation on futures contracts” is included in “other assets” on the condensed consolidated balance sheet. (4) “Unrealized appreciation on TBAs” is included in “other assets” on the condensed consolidated balance sheet. The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of December 31, 2020: Level 1 Level 2 Level 3 Total Assets, at fair value (in thousands) Residential mortgage loans $ — $ 128,897 $ 13,133 $ 142,030 Commercial mortgage loans — 6,859 607 7,466 Investments in securities Non-Agency RMBS (1) — 149,936 — 149,936 AOMT CMBS (1) — 8,796 — 8,796 U.S. Treasury Bills 149,995 — — 149,995 Total assets at fair value $ 149,995 $ 294,488 $ 13,740 $ 458,223 Liabilities, at fair value Unrealized depreciation on futures contracts $ 198 $ — $ — $ 198 Total liabilities at fair value $ 198 $ — $ — $ 198 (1) Non‑Agency RMBS held as of December 31, 2020 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. All AOMT CMBS held as of December 31, 2020 was comprised of retained tranches of AOMT securitizations. |
Schedule of Significant Level 3 Inputs | The following table sets forth information regarding the Company’s significant Level 3 inputs as of September 30, 2021: Input Values Asset Fair Value Unobservable Input Range Average Residential mortgage loans, at fair value $ 7,448 Prepayment rate (annual CPR) —% - 20.71% 5.43% Default rate 2.86% - 29.32% 16.21% Loss severity (20.31)% - 37.30% (0.23)% Expected remaining life 0.70 - 2.73 years 1.84 years Residential mortgage loans in securitization trust, at fair value $ 847 Prepayment rate (annual CPR) 15.61% - 21.67% 18.64% Default rate 22.83% - 23.75% 23.29% Loss severity 10.00% 10.00% Expected remaining life 1.20 - 1.73 years 1.47 years Commercial mortgage loans, at fair value $ 507 Loss severity (25.00)% (25.00)% Sale or Liquidation timeline 42 - 53 months 42 - 53 months Input Values Asset Fair Value Unobservable Input Range Average Residential mortgage loans, at fair value $ 13,133 Prepayment rate (annual CPR) —% - 15.77% 5.95% Default rate 5.58% - 24.79% 16.80% Loss severity (13.21)% - 29.31% 3.29% Expected remaining life 0.70 - 2.42 years 1.87 years Commercial mortgage loans, at fair value $ 607 Loss severity (16.75)% (16.75)% Sale or Liquidation timeline 15 - 23 months 15 - 23 months |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The following table sets forth certain financial information pertaining to whole loans purchased from affiliates during the year-to-date or year, respectively, and held as of year-to-date / year end: Period-End/Year-End Amount of Loans Purchased from Affiliates for the period/as of Number of Loans Purchased from Affiliates for the period/as of Number of Loans Purchased from Affiliates Held as of ($ in thousands) September 30, 2021 $ 751,416 1,641 1,802 December 31, 2020 $ 423,172 950 273 As of and for the Year-to-Date/Year Ended: Amount of Loans Purchased from Affiliates during the Year-to-Date/Year Number of Loans Purchased from Affiliates during the Year-to-Date/Year Number of Loans Purchased from Affiliates Held as of Year-to-Date/Year End: ($ in thousands) September 30, 2021 $ — — 7 December 31, 2020 $ 26,334 30 12 |
Equity and Earnings per Share_2
Equity and Earnings per Share ("EPS") (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Equity [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted | The following table sets forth the calculation of basic and diluted earnings per share for the three and nine months ended September 30, 2021: Three Months Ended Nine Months Ended (in thousands, except share data) Basic Earnings per Common Share: Net income allocable to common stockholders $ 6,340 $ 18,045 Basic weighted average common shares outstanding 24,999,891 19,190,827 Basic earnings per common share $ 0.25 $ 0.94 Diluted Earnings per Common Share: Net income allocable to common stockholders $ 6,340 $ 18,045 Net effect of dilutive equity awards 470,335 175,852 Diluted weighted average common shares outstanding 25,470,226 19,366,679 Diluted earnings per common share $ 0.25 $ 0.93 |
Organization and Basis of Pre_3
Organization and Basis of Presentation - Narrative (Details) - USD ($) $ / shares in Units, $ in Millions | Jun. 21, 2021 | Sep. 30, 2021 | Dec. 31, 2020 |
Subsidiary, Sale of Stock [Line Items] | |||
Common stock, par value (USD per share) | $ 0.01 | $ 0.01 | |
IPO | |||
Subsidiary, Sale of Stock [Line Items] | |||
Stock issued in sale (shares) | 7,200,000 | ||
Sale of stock, price (USD per share) | $ 19 | ||
Sale of stock, consideration received | $ 136.8 | ||
Private Placement | |||
Subsidiary, Sale of Stock [Line Items] | |||
Stock issued in sale (shares) | 2,105,263 | ||
Sale of stock, price (USD per share) | $ 19 | ||
Sale of stock, consideration received | $ 40 |
Variable Interest Entities - Na
Variable Interest Entities - Narrative (Details) $ in Millions | Sep. 30, 2021USD ($) |
VIE - Primary Beneficiary | Residential mortgage loans in securitization trust | |
Variable Interest Entity [Line Items] | |
Unpaid principal balance | $ 316.6 |
Variable Interest Entities - Co
Variable Interest Entities - Consolidated Balance Sheet related to this consolidated VIE (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
ASSETS | ||
Other assets | $ 7,113 | $ 388 |
LIABILITIES | ||
Non-recourse securitization obligation, collateralized by residential mortgage loans | 290,529 | 0 |
Accrued interest payable | 608 | 100 |
VIE - Primary Beneficiary | ||
ASSETS | ||
Accrued interest receivable | 986 | |
Other assets | 0 | |
LIABILITIES | ||
Non-recourse securitization obligation, collateralized by residential mortgage loans | 290,529 | |
Accrued interest payable | 0 | |
Other liabilities | 0 | |
Residential mortgage loans in securitization trust | ||
ASSETS | ||
Mortgage loans | 319,812 | $ 0 |
Residential mortgage loans in securitization trust | VIE - Primary Beneficiary | ||
ASSETS | ||
Mortgage loans | $ 319,812 |
Variable Interest Entities - In
Variable Interest Entities - Income and expense amounts related to the consolidated VIE (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Variable Interest Entity [Line Items] | ||||
Interest income | $ 15,587 | $ 9,387 | $ 37,763 | $ 31,929 |
Interest expense | (2,599) | (788) | (5,277) | (7,454) |
NET INTEREST INCOME | 12,988 | $ 8,599 | 32,486 | $ 24,475 |
VIE - Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 2,620 | 2,620 | ||
Interest expense | (394) | (394) | ||
NET INTEREST INCOME | 2,226 | 2,226 | ||
Servicing fees | $ 34 | $ 34 |
Residential Mortgage Loans - Su
Residential Mortgage Loans - Summary (Details) - Residential mortgage loans $ in Thousands | Sep. 30, 2021USD ($)loan | Dec. 31, 2020USD ($)loan |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Cost | $ 714,367 | $ 143,455 |
Unpaid principal balance | 688,843 | 139,278 |
Premium on mortgage loans purchased | 25,524 | 4,177 |
Change in fair value | 8,772 | (1,425) |
Fair value | $ 723,139 | $ 142,030 |
Weighted average interest rate (as a percent) | 4.74% | 5.95% |
Weighted average remaining maturity (years) | 29 years 8 months 12 days | 29 years 9 months 18 days |
Number of mortgage loans 90 or more days past due | loan | 12 | 22 |
Recorded investment in mortgage loans 90 or more days past due | $ 3,934 | $ 10,855 |
Unpaid principal balance of loans 90 or more days past due | $ 3,930 | $ 11,932 |
Number of mortgage loans in foreclosure | loan | 11 | 10 |
Recorded investment in mortgage loans in foreclosure | $ 3,767 | $ 2,277 |
Unpaid principal balance of loans in foreclosure | $ 3,767 | $ 2,636 |
Commercial Mortgage Loans - Sum
Commercial Mortgage Loans - Summary (Details) - Commercial mortgage loans - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Cost | $ 7,921 | $ 7,674 |
Unpaid principal balance | 7,997 | 7,756 |
Net discount on commercial mortgage loans purchased | (76) | (82) |
Change in fair value | 15 | (208) |
Fair value | $ 7,936 | $ 7,466 |
Weighted average interest rate (as a percent) | 6.70% | 6.58% |
Weighted average remaining maturity (years) | 10 years 7 months 6 days | 14 years 3 months 18 days |
Commercial Mortgage Loans - Nar
Commercial Mortgage Loans - Narrative (Details) - Commercial mortgage loans $ in Millions | Sep. 30, 2021USD ($)loan | Dec. 31, 2020USD ($)loan |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of mortgage loans 90 or more days past due | loan | 1 | 1 |
Unpaid principal balance of loans 90 or more days past due | $ 0.6 | |
Recorded investment in mortgage loans 90 or more days past due | $ 0.6 | |
Number of mortgage loans in foreclosure | loan | 0 | 1 |
Recorded investment in mortgage loans in foreclosure | $ 0.6 | |
Unpaid principal balance of loans in foreclosure | $ 0.8 |
Investment Securities - Securit
Investment Securities - Securities at Cost (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost of mortgage-backed securities | $ 617,841 | $ 151,222 |
CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost of mortgage-backed securities | $ 11,221 | $ 8,857 |
Investment Securities - Summary
Investment Securities - Summary (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | $ (489,287) | $ (178,291) |
RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 621,670 | 149,936 |
Securities Sold Under Agreement to Repurchase | (489,287) | (28,673) |
Allocated Capital | 132,383 | 121,263 |
AOMT RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 105,572 | 124,332 |
Allocated Capital | 97,945 | 95,659 |
Senior | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 4,607 | 11,477 |
Allocated Capital | (1,387) | (459) |
Mezzanine | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 2,185 | 2,207 |
Allocated Capital | 552 | 574 |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 80,201 | 78,806 |
Allocated Capital | 80,201 | 63,702 |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 18,579 | 31,842 |
Allocated Capital | 18,579 | 31,842 |
Other Non-Agency RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 13,468 | 25,604 |
Allocated Capital | 13,468 | 25,604 |
Senior | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 6,820 | |
Allocated Capital | 6,820 | |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 10,406 | 18,784 |
Allocated Capital | 10,406 | 18,784 |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 3,062 | |
Allocated Capital | 3,062 | |
Whole Pool Agency RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 502,630 | |
Allocated Capital | 20,970 | |
Fannie Mae | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 250,832 | |
Allocated Capital | 12,582 | |
Freddie Mac | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 251,798 | |
Allocated Capital | 8,388 | |
AOMT CMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 11,349 | 8,796 |
Allocated Capital | 11,349 | 8,796 |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 7,841 | 5,766 |
Allocated Capital | 7,841 | 5,766 |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 3,508 | 3,030 |
Allocated Capital | 3,508 | 3,030 |
RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | (489,287) | (28,673) |
AOMT RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | (7,627) | (28,673) |
Senior | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | (5,994) | (11,936) |
Mezzanine | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | (1,633) | (1,633) |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | 0 | (15,104) |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | 0 | 0 |
Other Non-Agency RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | 0 | 0 |
Senior | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | 0 | |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | 0 | 0 |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | 0 | |
Whole Pool Agency RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | (481,660) | |
Fannie Mae | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | (238,250) | |
Freddie Mac | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | (243,410) | |
AOMT CMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | 0 | 0 |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | 0 | 0 |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold Under Agreement to Repurchase | $ 0 | $ 0 |
Investment Securities - U.S. Tr
Investment Securities - U.S. Treasury Securities (Details) - U.S. Treasury Bills - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Face Value | $ 80,000 | $ 150,000 |
Unamortized Discount, net | 0 | (3) |
Amortized Cost | 80,000 | 149,997 |
Unrealized Loss | 0 | (2) |
Debt securities, available-for-sale at fair value | $ 80,000 | $ 149,995 |
Net Effective Yield (as a percent) | 0.02% | 0.0625% |
Notes Payable - Summary (Detail
Notes Payable - Summary (Details) - USD ($) $ in Thousands | Aug. 06, 2021 | Aug. 05, 2021 | Sep. 30, 2021 | Sep. 20, 2021 | Jun. 21, 2021 | Jun. 20, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | |||||||
Drawn Amount | $ 550,752 | $ 81,905 | |||||
Notes Payable to Banks | Line of Credit | |||||||
Debt Instrument [Line Items] | |||||||
Facility Limit | 1,250,000 | ||||||
Drawn Amount | 550,752 | 81,905 | |||||
Notes Payable to Banks | Line of Credit | Barclays Bank PLC | |||||||
Debt Instrument [Line Items] | |||||||
Facility Limit | 400,000 | $ 400,000 | |||||
Drawn Amount | $ 104,644 | ||||||
Notes Payable to Banks | Line of Credit | Barclays Bank PLC | Minimum | London Interbank Offered Rate (LIBOR) | |||||||
Debt Instrument [Line Items] | |||||||
Interest Rate Spread (as a percent) | 1.70% | ||||||
Notes Payable to Banks | Line of Credit | Barclays Bank PLC | Maximum | London Interbank Offered Rate (LIBOR) | |||||||
Debt Instrument [Line Items] | |||||||
Interest Rate Spread (as a percent) | 3.50% | ||||||
Notes Payable to Banks | Line of Credit | Nomura Corporate Funding Americas, LLC | |||||||
Debt Instrument [Line Items] | |||||||
Facility Limit | $ 300,000 | ||||||
Drawn Amount | $ 101,210 | 8,011 | |||||
Notes Payable to Banks | Line of Credit | Nomura Corporate Funding Americas, LLC | Minimum | London Interbank Offered Rate (LIBOR) | |||||||
Debt Instrument [Line Items] | |||||||
Interest Rate Spread (as a percent) | 1.70% | 1.75% | 1.70% | ||||
Notes Payable to Banks | Line of Credit | Nomura Corporate Funding Americas, LLC | Maximum | London Interbank Offered Rate (LIBOR) | |||||||
Debt Instrument [Line Items] | |||||||
Interest Rate Spread (as a percent) | 3.50% | 3.50% | |||||
Notes Payable to Banks | Line of Credit | Deutsche Bank, AG | |||||||
Debt Instrument [Line Items] | |||||||
Facility Limit | $ 250,000 | $ 250,000 | $ 150,000 | ||||
Drawn Amount | $ 74,552 | 34,905 | |||||
Notes Payable to Banks | Line of Credit | Deutsche Bank, AG | Minimum | London Interbank Offered Rate (LIBOR) | |||||||
Debt Instrument [Line Items] | |||||||
Interest Rate Spread (as a percent) | 2.00% | ||||||
Notes Payable to Banks | Line of Credit | Deutsche Bank, AG | Maximum | London Interbank Offered Rate (LIBOR) | |||||||
Debt Instrument [Line Items] | |||||||
Interest Rate Spread (as a percent) | 3.25% | ||||||
Notes Payable to Banks | Line of Credit | Goldman Sachs Bank USA | |||||||
Debt Instrument [Line Items] | |||||||
Facility Limit | $ 200,000 | ||||||
Drawn Amount | $ 194,959 | ||||||
Notes Payable to Banks | Line of Credit | Goldman Sachs Bank USA | London Interbank Offered Rate (LIBOR) | |||||||
Debt Instrument [Line Items] | |||||||
Interest Rate Spread (as a percent) | 225.00% | ||||||
Notes Payable to Banks | Line of Credit | Banc of California, National Association | |||||||
Debt Instrument [Line Items] | |||||||
Facility Limit | $ 50,000 | ||||||
Drawn Amount | $ 38,498 | $ 38,989 | |||||
Notes Payable to Banks | Line of Credit | Banc of California, National Association | Minimum | London Interbank Offered Rate (LIBOR) | |||||||
Debt Instrument [Line Items] | |||||||
Interest Rate Spread (as a percent) | 2.50% | ||||||
Notes Payable to Banks | Line of Credit | Banc of California, National Association | Maximum | London Interbank Offered Rate (LIBOR) | |||||||
Debt Instrument [Line Items] | |||||||
Interest Rate Spread (as a percent) | 3.13% | ||||||
Notes Payable to Banks | Line of Credit | Veritex Community Bank | |||||||
Debt Instrument [Line Items] | |||||||
Facility Limit | $ 50,000 | ||||||
Drawn Amount | $ 36,889 | ||||||
Notes Payable to Banks | Line of Credit | Veritex Community Bank | London Interbank Offered Rate (LIBOR) | |||||||
Debt Instrument [Line Items] | |||||||
Interest Rate Spread (as a percent) | 2.30% |
Securities Sold Under Agreeme_3
Securities Sold Under Agreements to Repurchase - Summary (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amount Outstanding | $ 489,287 | $ 178,291 |
Weighted Average Interest Rate (as a percent) | 0.11% | 0.44% |
Weighted Average Remaining Maturity (Days) | 14 days | 19 days |
U.S. Treasury Bills | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amount Outstanding | $ 149,618 | |
Weighted Average Interest Rate (as a percent) | 0.25% | |
Weighted Average Remaining Maturity (Days) | 19 days | |
RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amount Outstanding | $ 489,287 | $ 28,673 |
Weighted Average Interest Rate (as a percent) | 0.11% | 1.40% |
Weighted Average Remaining Maturity (Days) | 14 days | 19 days |
Derivative Financial Instrume_3
Derivative Financial Instruments - Derivative Instruments Presented on the Balance Sheet and Notional Amounts (Details) $ in Thousands | Sep. 30, 2021USD ($)contract | Dec. 31, 2020USD ($)contract |
Derivative [Line Items] | ||
Liabilities | $ (198) | |
Derivatives Not Designated as Hedging Instruments | Futures contracts | ||
Derivative [Line Items] | ||
Number of Contracts | contract | 8,209 | 1,295 |
Assets | $ 2,421 | $ 0 |
Liabilities | 0 | (198) |
Derivatives Not Designated as Hedging Instruments | TBAs | ||
Derivative [Line Items] | ||
Assets | 1,120 | |
Liabilities | 0 | |
Derivatives Not Designated as Hedging Instruments | Long Exposure | Futures contracts | ||
Derivative [Line Items] | ||
Notional Amounts | 0 | 0 |
Derivatives Not Designated as Hedging Instruments | Long Exposure | TBAs | ||
Derivative [Line Items] | ||
Notional Amounts | 0 | |
Derivatives Not Designated as Hedging Instruments | Short Exposure | Futures contracts | ||
Derivative [Line Items] | ||
Notional Amounts | 820,900 | $ 129,500 |
Derivatives Not Designated as Hedging Instruments | Short Exposure | TBAs | ||
Derivative [Line Items] | ||
Notional Amounts | $ 697,523 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Gains and Losses Arising from Derivative Instruments (Details) - Derivatives Not Designated as Hedging Instruments - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Futures contracts | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) on Derivative Instruments | $ 39 | $ (431) | ||
Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments | 1,666 | 2,678 | ||
TBAs | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) on Derivative Instruments | (5,378) | $ (88) | (7,822) | $ (14,127) |
Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments | $ 1,305 | $ 101 | $ 1,120 | $ (75) |
Fair Value Measurements - Finan
Fair Value Measurements - Financial Assets and Liabilities Measured at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Assets, at fair value | ||
Total assets at fair value | $ 1,767,447 | $ 458,223 |
Liabilities, at fair value | ||
Unrealized depreciation on derivatives | 198 | |
Total liabilities at fair value | 198 | |
Financial liabilities measured at fair value | 0 | |
Non-Agency RMBS | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 119,040 | 149,936 |
Agency whole pool loan securities | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 502,630 | |
AOMT CMBS | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 11,349 | 8,796 |
U.S. Treasury Bills | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 80,000 | 149,995 |
Futures contracts | ||
Assets, at fair value | ||
Unrealized appreciation on derivatives | 2,421 | |
TBAs | ||
Assets, at fair value | ||
Unrealized appreciation on derivatives | 1,120 | |
Residential mortgage loans | ||
Assets, at fair value | ||
Fair Value | 723,139 | 142,030 |
Residential mortgage loans in securitization trust | ||
Assets, at fair value | ||
Fair Value | 319,812 | |
Commercial mortgage loans | ||
Assets, at fair value | ||
Fair Value | 7,936 | 7,466 |
Level 1 | ||
Assets, at fair value | ||
Total assets at fair value | 83,541 | 149,995 |
Liabilities, at fair value | ||
Unrealized depreciation on derivatives | 198 | |
Total liabilities at fair value | 198 | |
Level 1 | Non-Agency RMBS | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 0 | 0 |
Level 1 | Agency whole pool loan securities | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 0 | |
Level 1 | AOMT CMBS | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 0 | 0 |
Level 1 | U.S. Treasury Bills | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 80,000 | 149,995 |
Level 1 | Futures contracts | ||
Assets, at fair value | ||
Unrealized appreciation on derivatives | 2,421 | |
Level 1 | TBAs | ||
Assets, at fair value | ||
Unrealized appreciation on derivatives | 1,120 | |
Level 1 | Residential mortgage loans | ||
Assets, at fair value | ||
Fair Value | 0 | 0 |
Level 1 | Residential mortgage loans in securitization trust | ||
Assets, at fair value | ||
Fair Value | 0 | |
Level 1 | Commercial mortgage loans | ||
Assets, at fair value | ||
Fair Value | 0 | 0 |
Level 2 | ||
Assets, at fair value | ||
Total assets at fair value | 1,675,104 | 294,488 |
Liabilities, at fair value | ||
Unrealized depreciation on derivatives | 0 | |
Total liabilities at fair value | 0 | |
Level 2 | Non-Agency RMBS | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 119,040 | 149,936 |
Level 2 | Agency whole pool loan securities | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 502,630 | |
Level 2 | AOMT CMBS | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 11,349 | 8,796 |
Level 2 | U.S. Treasury Bills | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 0 | 0 |
Level 2 | Futures contracts | ||
Assets, at fair value | ||
Unrealized appreciation on derivatives | 0 | |
Level 2 | TBAs | ||
Assets, at fair value | ||
Unrealized appreciation on derivatives | 0 | |
Level 2 | Residential mortgage loans | ||
Assets, at fair value | ||
Fair Value | 715,691 | 128,897 |
Level 2 | Residential mortgage loans in securitization trust | ||
Assets, at fair value | ||
Fair Value | 318,965 | |
Level 2 | Commercial mortgage loans | ||
Assets, at fair value | ||
Fair Value | 7,429 | 6,859 |
Level 3 | ||
Assets, at fair value | ||
Total assets at fair value | 8,802 | 13,740 |
Liabilities, at fair value | ||
Unrealized depreciation on derivatives | 0 | |
Total liabilities at fair value | 0 | |
Level 3 | Non-Agency RMBS | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 0 | 0 |
Level 3 | Agency whole pool loan securities | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 0 | |
Level 3 | AOMT CMBS | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 0 | 0 |
Level 3 | U.S. Treasury Bills | ||
Assets, at fair value | ||
Debt securities, available-for-sale at fair value | 0 | 0 |
Level 3 | Futures contracts | ||
Assets, at fair value | ||
Unrealized appreciation on derivatives | 0 | |
Level 3 | TBAs | ||
Assets, at fair value | ||
Unrealized appreciation on derivatives | 0 | |
Level 3 | Residential mortgage loans | ||
Assets, at fair value | ||
Fair Value | 7,448 | 13,133 |
Level 3 | Residential mortgage loans in securitization trust | ||
Assets, at fair value | ||
Fair Value | 847 | |
Level 3 | Commercial mortgage loans | ||
Assets, at fair value | ||
Fair Value | $ 507 | $ 607 |
Fair Value Measurements - Signi
Fair Value Measurements - Significant Level 3 Inputs (Details) $ in Thousands | Sep. 30, 2021USD ($) | Dec. 31, 2020USD ($) |
Residential mortgage loans | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value | $ 723,139 | $ 142,030 |
Residential mortgage loans in securitization trust | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value | 319,812 | |
Commercial mortgage loans | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value | 7,936 | 7,466 |
Level 3 | Residential mortgage loans | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value | $ 7,448 | $ 13,133 |
Level 3 | Residential mortgage loans | Minimum | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0 | 0 |
Level 3 | Residential mortgage loans | Minimum | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.0286 | 0.0558 |
Level 3 | Residential mortgage loans | Minimum | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | (0.2031) | (0.1321) |
Level 3 | Residential mortgage loans | Minimum | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.70 | 0.70 |
Level 3 | Residential mortgage loans | Maximum | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.2071 | 0.1577 |
Level 3 | Residential mortgage loans | Maximum | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.2932 | 0.2479 |
Level 3 | Residential mortgage loans | Maximum | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.3730 | 0.2931 |
Level 3 | Residential mortgage loans | Maximum | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 2.73 | 2.42 |
Level 3 | Residential mortgage loans | Average | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.0543 | 0.0595 |
Level 3 | Residential mortgage loans | Average | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1621 | 0.1680 |
Level 3 | Residential mortgage loans | Average | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | (0.0023) | 0.0329 |
Level 3 | Residential mortgage loans | Average | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 1.84 | 1.87 |
Level 3 | Residential mortgage loans in securitization trust | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value | $ 847 | |
Level 3 | Residential mortgage loans in securitization trust | Minimum | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1561 | |
Level 3 | Residential mortgage loans in securitization trust | Minimum | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.2283 | |
Level 3 | Residential mortgage loans in securitization trust | Minimum | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1000 | |
Level 3 | Residential mortgage loans in securitization trust | Minimum | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 1.20 | |
Level 3 | Residential mortgage loans in securitization trust | Maximum | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.2167 | |
Level 3 | Residential mortgage loans in securitization trust | Maximum | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.2375 | |
Level 3 | Residential mortgage loans in securitization trust | Maximum | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1000 | |
Level 3 | Residential mortgage loans in securitization trust | Maximum | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 1.73 | |
Level 3 | Residential mortgage loans in securitization trust | Average | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1864 | |
Level 3 | Residential mortgage loans in securitization trust | Average | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.2329 | |
Level 3 | Residential mortgage loans in securitization trust | Average | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1000 | |
Level 3 | Residential mortgage loans in securitization trust | Average | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 1.47 | |
Level 3 | Commercial mortgage loans | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair Value | $ 507 | $ 607 |
Level 3 | Commercial mortgage loans | Minimum | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-investment, measurement input | (0.2500) | (0.1675) |
Level 3 | Commercial mortgage loans | Minimum | Sale or Liquidation timeline | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-investment, measurement input | 42 | 15 |
Level 3 | Commercial mortgage loans | Maximum | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-investment, measurement input | (0.2500) | (0.1675) |
Level 3 | Commercial mortgage loans | Maximum | Sale or Liquidation timeline | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-investment, measurement input | 53 | 23 |
Level 3 | Commercial mortgage loans | Average | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-investment, measurement input | (0.2500) | (0.1675) |
Related Party Transactions - Fi
Related Party Transactions - Financial Information on Whole Loans Purchased from Affiliates (Details) - Affiliates - Loans Purchased from Affiliates $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | |
Residential mortgage loans | ||
Related Party Transaction [Line Items] | ||
Amount of Loans Purchased from Affiliates for the period/as of | $ | $ 751,416 | $ 423,172 |
Number of Loans Purchased from Affiliates for the period/as of | 1,641 | 950 |
Number of Loans Purchased from Affiliates Held as of | 1,802 | 273 |
Commercial mortgage loans | ||
Related Party Transaction [Line Items] | ||
Amount of Loans Purchased from Affiliates for the period/as of | $ | $ 0 | $ 26,334 |
Number of Loans Purchased from Affiliates for the period/as of | 0 | 30 |
Number of Loans Purchased from Affiliates Held as of | 7 | 12 |
Related Party Transactions - Na
Related Party Transactions - Narrative (Details) - USD ($) $ / shares in Units, $ in Millions | Jun. 21, 2021 | Sep. 30, 2021 | Jun. 20, 2021 |
IPO | |||
Related Party Transaction [Line Items] | |||
Sale of stock, consideration received | $ 136.8 | ||
Sale of stock, price (USD per share) | $ 19 | ||
Management Agreement | Affiliates | |||
Related Party Transaction [Line Items] | |||
Fixed management fee per annum (as a percent) | 1.50% | 1.50% | |
Sale of Common Stock | Affiliates | IPO | |||
Related Party Transaction [Line Items] | |||
Sale of stock, consideration received | $ 6 | ||
Sale of stock, price (USD per share) | $ 19 | ||
Underwriting discounts and commissions | $ 8.2 | ||
Expenses incurred in connection with the IPO | $ 4.4 |
Equity and Earnings per Share_3
Equity and Earnings per Share ("EPS") - Narrative (Details) - shares | Jun. 21, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 |
Equity [Abstract] | ||||||
Antidilutive securities excluded from computation of earnings per share (shares) | 0 | 0 | 0 | 0 | ||
Common stock dividend (shares) | 15,723,050 | |||||
Common stock outstanding (shares) | 15,724,050 | 25,405,544 | 1,000 | 25,405,544 | 1,000 | 15,724,050 |
Equity and Earnings per Share_4
Equity and Earnings per Share ("EPS") - Calculation of Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Basic Earnings per Common Share: | ||||
Net income allocable to common stockholders | $ 6,340 | $ 4,238 | $ 18,045 | $ (6,277) |
Basic weighted average common shares outstanding (shares) | 24,999,891 | 15,724,050 | 19,190,827 | 15,724,050 |
Basic earnings per common share (USD per share) | $ 0.25 | $ 0.27 | $ 0.94 | $ (0.40) |
Diluted Earnings per Common Share: | ||||
Net income allocable to common stockholders | $ 6,340 | $ 18,045 | ||
Net effect of dilutive equity awards (shares) | 470,335 | 175,852 | ||
Diluted weighted average common shares outstanding (shares) | 25,470,226 | 15,724,050 | 19,366,679 | 15,724,050 |
Diluted earnings per common share (USD per share) | $ 0.25 | $ 0.27 | $ 0.93 | $ (0.40) |
Equity Compensation Plans - Nar
Equity Compensation Plans - Narrative (Details) - USD ($) $ in Millions | Jun. 22, 2021 | Jun. 21, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Compensation costs | $ 0 | $ 0 | ||||
2021 Equity Incentive Plan | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Stock available for grant under Equity Incentive Plan (shares) | 2,125,000 | 1,651,316 | 1,651,316 | |||
Compensation costs | $ 0.8 | $ 0.9 | ||||
Restricted Stock Awards | 2021 Equity Incentive Plan | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Awards granted during period (shares) | 473,684 | |||||
Award forfeitures during period (shares) | 0 | 0 | ||||
Unamortized compensation cost | $ 8.1 | $ 8.1 | ||||
Restricted Stock Awards | Minimum | 2021 Equity Incentive Plan | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Award vesting period | 1 year | |||||
Restricted Stock Awards | Maximum | 2021 Equity Incentive Plan | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Award vesting period | 3 years |
Subsequent Events (Details)
Subsequent Events (Details) | Nov. 08, 2021$ / shares |
Subsequent Event | |
Subsequent Event [Line Items] | |
Dividends declared per share of common stock (USD per share) | $ 0.36 |