Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2020 | Nov. 04, 2020 | |
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2020 | |
Document Transition Report | false | |
Entity File Number | 001-13709 | |
Entity Registrant Name | ANWORTH MORTGAGE ASSET CORP | |
Entity Incorporation, State or Country Code | MD | |
Entity Address, Address Line One | 1299 Ocean Avenue, 2nd Floor | |
Entity Address, City or Town | Santa Monica | |
Entity Address, State or Province | CA | |
Entity Tax Identification Number | 52-2059785 | |
Entity Address, Postal Zip Code | 90401 | |
City Area Code | 310 | |
Local Phone Number | 255-4493 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 99,235,604 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q3 | |
Entity Central Index Key | 0001047884 | |
Amendment Flag | false | |
Common Stock | ||
Title of 12(b) Security | Common Stock, $0.01 Par Value | |
Trading Symbol | ANH | |
Security Exchange Name | NYSE | |
Series A Preferred Stock | ||
Title of 12(b) Security | Series A Cumulative Preferred Stock, $0.01 Par Value | |
Trading Symbol | ANHPRA | |
Security Exchange Name | NYSE | |
Series B Preferred Stock | ||
Title of 12(b) Security | Series B Cumulative Convertible Preferred Stock, $0.01 Par Value | |
Trading Symbol | ANHPRB | |
Security Exchange Name | NYSE | |
Series C Preferred Stock | ||
Title of 12(b) Security | Series C Cumulative Redeemable Preferred Stock, $0.01 Par Value | |
Trading Symbol | ANHPRC | |
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
ASSETS | ||
Residential mortgage loans held-for-securitization, net of allowance for credit losses of $56 and $0 at September 30, 2020 and December 31, 2019, respectively | $ 123,247 | $ 152,922 |
Residential mortgage loans held-for-investment through consolidated securitization trusts, net for allowance of credit losses of $147 and $175 at September 30, 2020 and December 31, 2019, respectively | 317,887 | 458,348 |
Residential real estate | 12,827 | 13,499 |
Cash and cash equivalents | 37,730 | 8,236 |
Reverse repurchase agreements | 15,000 | |
Restricted cash | 123,991 | 104,699 |
Interest receivable | 6,995 | 16,398 |
Derivative instruments at fair value | 1,609 | 5,833 |
Right to use asset - operating lease | 852 | 1,256 |
Prepaid expenses and other assets | 5,287 | 8,779 |
Total Assets | 2,438,772 | 4,938,631 |
Liabilities: | ||
Accrued interest payable | 5,227 | 16,757 |
Repurchase agreements | 1,464,593 | 3,657,873 |
Warehouse line of credit | 101,722 | 133,811 |
Asset-backed securities issued by securitization trusts | 309,173 | 448,987 |
Junior subordinated notes | 37,380 | 37,380 |
Derivative instruments at fair value | 88,723 | 52,197 |
Derivative counterparty margin | 1,330 | 367 |
Payable for purchased loans | 5,545 | |
Accrued expenses and other liabilities | 3,129 | 1,312 |
Long-term lease obligation | 852 | 1,256 |
Total Liabilities | 2,019,383 | 4,366,679 |
Series B Cumulative Convertible Preferred Stock: par value $0.01 per share; liquidating preference $25.00 per share ($19,494 and $19,494, respectively); 780 and 780 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively | 19,455 | 19,455 |
Stockholders' Equity: | ||
Common Stock: par value $0.01 per share; authorized 200,000 shares, 99,140 and 98,849 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively | 991 | 988 |
Additional paid-in capital | 984,006 | 983,401 |
Accumulated other comprehensive income consisting of unrealized gains and losses | 61,704 | 65,984 |
Accumulated deficit | (741,930) | (593,039) |
Total Stockholders' Equity | 399,934 | 552,497 |
Total Liabilities and Stockholders' Equity | 2,438,772 | 4,938,631 |
Agency MBS | ||
ASSETS | ||
Agency MBS at fair value | 656,920 | |
Derivative instruments at fair value | 1,600 | |
Liabilities: | ||
Repurchase agreements | 1,365,000 | |
Derivative instruments at fair value | 88,700 | |
Agency MBS | Available-for-sale Securities | ||
ASSETS | ||
Agency MBS at fair value | 1,609,761 | 2,853,131 |
Non-Agency MBS | ||
ASSETS | ||
Non-Agency MBS at fair value | 198,586 | 643,610 |
Liabilities: | ||
Repurchase agreements | 99,593 | |
Non-Agency MBS | Available-for-sale Securities | ||
ASSETS | ||
Non-Agency MBS at fair value | 643,610 | |
Series A Preferred Stock | ||
Stockholders' Equity: | ||
Cumulative Preferred Stock | 46,537 | 46,537 |
Total Stockholders' Equity | 46,537 | 46,537 |
Series C Preferred Stock | ||
Stockholders' Equity: | ||
Cumulative Preferred Stock | 48,626 | 48,626 |
Total Stockholders' Equity | 48,626 | 48,626 |
Preferred Stock | ||
Liabilities: | ||
Dividends payable on stock | 2,297 | 2,297 |
Common Stock | ||
Liabilities: | ||
Dividends payable on stock | 4,957 | 8,897 |
Stockholders' Equity: | ||
Total Stockholders' Equity | $ 991 | $ 988 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Residential mortgage loans held-for-securitization, allowance | $ 56,000 | $ 0 |
Residential mortgage loans held-for-investment, allowance | $ 147,000 | $ 175,000 |
Series B Cumulative Convertible Preferred Stock, par value | $ 0.01 | $ 0.01 |
Series B Cumulative Convertible Preferred Stock, liquidating preference per share | $ 25 | $ 25 |
Series B Cumulative Convertible Preferred Stock, liquidating preference | $ 19,494,000 | $ 19,494,000 |
Series B Cumulative Convertible Preferred Stock, shares issued | 780,000 | 780,000 |
Series B Cumulative Convertible Preferred Stock, shares outstanding | 780,000 | 780,000 |
Common Stock, par value | $ 0.01 | $ 0.01 |
Common Stock, authorized | 200,000,000 | 200,000,000 |
Common Stock, issued | 99,140,394 | 98,849,000 |
Common Stock, outstanding | 99,140,394 | 98,849,000 |
Total assets | $ 2,438,772,000 | $ 4,938,631,000 |
Accrued interest receivable | 6,995,000 | 16,398,000 |
Total liabilities | 2,019,383,000 | 4,366,679,000 |
Accrued interest payable | 5,227,000 | 16,757,000 |
Agency MBS | ||
Financial Instruments, Owned and Pledged as Collateral, To Third Party | 0 | 655,045,000 |
Agency MBS | Available-for-sale Securities | ||
Financial Instruments, Owned and Pledged as Collateral, To Third Party | 1,440,188,000 | 2,764,330,000 |
Mortgage Backed Securities Issued By Private Entities, Amortized Cost Basis | 1,537,549,000 | 2,799,448,000 |
Mortgage Backed Securities Issued By Private Entities, Allowance For Credit Losses | 0 | 0 |
Non-Agency MBS | ||
Financial Instruments, Owned and Pledged as Collateral, To Third Party | 161,184,000 | 0 |
Non-Agency MBS | Available-for-sale Securities | ||
Financial Instruments, Owned and Pledged as Collateral, To Third Party | 0 | 535,315,000 |
Financial Instruments, Owned and Pledged as Collateral, Allowance For Credit Losses | 0 | 0 |
Financial Instruments, Owned and Pledged as Collateral, Amortized Cost Basis | $ 0 | $ 613,576,000 |
Series A Preferred Stock | ||
Cumulative Preferred Stock, par value | $ 0.01 | $ 0.01 |
Cumulative Preferred Stock, liquidating preference per share | $ 25 | $ 25 |
Cumulative Preferred Stock, liquidating preference | $ 47,984,000 | $ 47,984,000 |
Cumulative Preferred Stock, shares issued | 1,919,378 | 1,919,000 |
Cumulative Preferred Stock, shares outstanding | 1,919,378 | 1,919,000 |
Series C Preferred Stock | ||
Cumulative Preferred Stock, par value | $ 0.01 | $ 0.01 |
Cumulative Preferred Stock, liquidating preference per share | $ 25 | $ 25 |
Cumulative Preferred Stock, liquidating preference | $ 50,257,000 | $ 50,257,000 |
Cumulative Preferred Stock, shares issued | 2,010,278 | 2,010,000 |
Cumulative Preferred Stock, shares outstanding | 2,010,278 | 2,010,000 |
Variable Interest Entities Primary Beneficiary | ||
Total assets | $ 319,000,000 | $ 460,000,000 |
Accrued interest receivable | 1,100,000 | 1,500,000 |
Total liabilities | 310,000,000 | 450,000,000 |
Accrued interest payable | $ 1,000,000 | $ 1,400,000 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Interest and other income: | ||||
Interest-Agency MBS | $ 5,099 | $ 20,335 | $ 38,822 | $ 70,183 |
Interest-Non-Agency MBS | 2,518 | 9,299 | 13,233 | 29,423 |
Interest-securitized residential mortgage loans | 3,408 | 5,049 | 11,747 | 15,676 |
Interest-residential mortgage loans held-for-securitization | 1,617 | 1,574 | 4,840 | 2,695 |
Other interest income | 10 | 679 | 183 | 1,343 |
Interest and Dividend Income, Operating, Total | 12,652 | 36,936 | 68,825 | 119,320 |
Interest expense: | ||||
Interest expense on repurchase agreements | 1,478 | 21,132 | 23,633 | 74,248 |
Interest expense on asset-backed securities | 3,258 | 4,880 | 11,265 | 15,172 |
Interest expense on warehouse line of credit | 1,039 | 1,381 | 3,430 | 2,671 |
Interest expense on junior subordinated notes | 332 | 520 | 1,213 | 1,608 |
Interest Expense, Total | 6,107 | 27,913 | 39,541 | 93,699 |
Net interest income | 6,545 | 9,023 | 29,284 | 25,621 |
Provision for credit losses on loans | (620) | |||
Net interest income after provision for credit losses | 6,545 | 9,023 | 28,664 | 25,621 |
Operating expenses: | ||||
Management fee to related party | (1,356) | (1,647) | (4,254) | (5,085) |
Rental properties depreciation and expenses | (381) | (423) | (1,204) | (1,146) |
General and administrative expenses | (1,098) | (1,188) | (3,441) | (3,813) |
Total operating expenses | (2,835) | (3,258) | (8,899) | (10,044) |
Other income (loss): | ||||
Income-rental properties | 416 | 469 | 1,256 | 1,359 |
Gain on sale of residential properties | 78 | 201 | ||
Gain (loss) on derivatives, net | 3,986 | (24,734) | (90,972) | (105,565) |
Total other income (loss) | 18,159 | (23,257) | (146,877) | (100,739) |
Net income (loss) | 21,869 | (17,492) | (127,112) | (85,162) |
Dividends on preferred stock | (2,297) | (2,297) | (6,892) | (6,892) |
Net income (loss) to common stockholders | $ 19,572 | $ (19,789) | $ (134,004) | $ (92,054) |
Basic income (loss) per common share | $ 0.20 | $ (0.20) | $ (1.35) | $ (0.93) |
Diluted income (loss) per common share | $ 0.19 | $ (0.20) | $ (1.35) | $ (0.93) |
Basic weighted average number of shares outstanding | 99,108 | 98,739 | 98,995 | 98,638 |
Diluted weighted average number of shares outstanding | 103,788 | 98,739 | 98,995 | 98,638 |
Agency MBS | ||||
Other income (loss): | ||||
Realized net gain (loss) on sales of available-for-sale MBS | $ 214 | $ 15,805 | $ (5,488) | |
Net gain on Agency MBS held as trading investments | 1,939 | 2,840 | 10,706 | |
Net gain (loss) on MBS held as trading investments | 2,840 | (7,128) | ||
Non-Agency MBS | ||||
Other income (loss): | ||||
Realized net gain (loss) on sales of available-for-sale MBS | (55,390) | |||
Impairment charge on Non-Agency MBS | $ (1,145) | $ (1,751) | ||
Net gain (loss) on MBS held as trading investments | $ 13,679 | $ (20,617) |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Net income (loss) | $ 21,869 | $ (17,492) | $ (127,112) | $ (85,162) |
Reclassification adjustment due to transfer from available-for-sale to trading for Non-Agency MBS | (85,424) | |||
Amortization of unrealized gains on interest rate swaps remaining in other comprehensive income | 860 | 971 | 2,713 | 2,985 |
Other comprehensive income (loss) | 4,352 | 18,336 | (4,280) | 97,742 |
Comprehensive income (loss) | 26,221 | 844 | (131,392) | 12,580 |
Agency MBS | ||||
Available-for-sale, fair value adjustment | $ 3,492 | 11,242 | 38,846 | 65,195 |
Reclassification adjustment for (gain) loss on sales of Agency MBS included in net income (loss) | (445) | (15,805) | 5,258 | |
Non-Agency MBS | ||||
Available-for-sale, fair value adjustment | 6,337 | 24,095 | ||
Reclassification adjustment for (gain) loss on sales of Agency MBS included in net income (loss) | $ 231 | $ 55,390 | $ 209 |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) shares in Thousands, $ in Thousands | Common Stock Shares Outstanding | Common Stock | Additional Paid-In Capital | Accum. Other Comp. Income Gain (Loss) Agency MBS | Accum. Other Comp. Income gain (Loss) Non-Agency MBS | Accum. Other Comp. Income Gain (Loss) Derivatives | Accum. (Deficit)Series A Preferred Stock | Accum. (Deficit)Series B Preferred Stock | Accum. (Deficit)Series C Preferred Stock | Accum. (Deficit)Common Stock | Accum. (Deficit) | Series A Preferred Stock Shares Outstanding | Series C Preferred Stock Shares Outstanding | Series A Preferred Stock | Series B Preferred Stock | Series C Preferred Stock | Common Stock | Total |
Beginning Balance at Dec. 31, 2018 | $ 985 | $ 981,964 | $ (28,824) | $ 9,563 | $ (11,531) | $ (485,988) | $ 46,537 | $ 48,944 | $ 561,650 | |||||||||
Beginning Balance (in shares) at Dec. 31, 2018 | 98,483 | 1,919 | 2,010 | |||||||||||||||
Issuance of stock | 1 | 355 | 356 | |||||||||||||||
Issuance of stock (in shares) | 82 | |||||||||||||||||
Other comprehensive income, fair value adjustments and reclassifications | 31,278 | 8,165 | 1,003 | 40,446 | ||||||||||||||
Net (loss) income | (19,970) | (19,970) | ||||||||||||||||
Amortization of restricted stock | 25 | 25 | ||||||||||||||||
Dividends declared preferred stock | $ (1,035) | $ (304) | $ (958) | (1,035) | $ (304) | (958) | ||||||||||||
Dividend declared per common share | (12,815) | (12,815) | ||||||||||||||||
Ending Balance at Mar. 31, 2019 | 986 | 982,344 | 2,454 | 17,728 | (10,528) | (521,070) | 46,537 | 48,944 | 567,395 | |||||||||
Ending Balance (in shares) at Mar. 31, 2019 | 98,565 | 1,919 | 2,010 | |||||||||||||||
Beginning Balance at Dec. 31, 2018 | 985 | 981,964 | (28,824) | 9,563 | (11,531) | (485,988) | 46,537 | 48,944 | 561,650 | |||||||||
Beginning Balance (in shares) at Dec. 31, 2018 | 98,483 | 1,919 | 2,010 | |||||||||||||||
Other comprehensive income, fair value adjustments and reclassifications | 97,742 | |||||||||||||||||
Net (loss) income | (85,162) | |||||||||||||||||
Dividends declared preferred stock | (6,892) | |||||||||||||||||
Ending Balance at Sep. 30, 2019 | 988 | 983,124 | 41,629 | 33,867 | (8,546) | (611,588) | 46,537 | 48,626 | 534,637 | |||||||||
Ending Balance (in shares) at Sep. 30, 2019 | 98,768 | 1,919 | 2,010 | |||||||||||||||
Beginning Balance at Mar. 31, 2019 | 986 | 982,344 | 2,454 | 17,728 | (10,528) | (521,070) | 46,537 | 48,944 | 567,395 | |||||||||
Beginning Balance (in shares) at Mar. 31, 2019 | 98,565 | 1,919 | 2,010 | |||||||||||||||
Issuance of stock | 1 | 401 | 402 | |||||||||||||||
Issuance of stock (in shares) | 118 | |||||||||||||||||
Other comprehensive income, fair value adjustments and reclassifications | 28,378 | 9,571 | 1,011 | 38,960 | ||||||||||||||
Net (loss) income | (47,700) | (47,700) | ||||||||||||||||
Amortization of restricted stock | 25 | 25 | ||||||||||||||||
Amortization of shelf offering expenses | (318) | (318) | ||||||||||||||||
Dividends declared preferred stock | (1,035) | (304) | (958) | (1,035) | (304) | (958) | ||||||||||||
Dividend declared per common share | $ (10,855) | $ (10,855) | ||||||||||||||||
Ending Balance at Jun. 30, 2019 | 987 | 982,770 | 30,832 | 27,299 | (9,517) | (581,922) | 46,537 | 48,626 | 545,612 | |||||||||
Ending Balance (in shares) at Jun. 30, 2019 | 98,683 | 1,919 | 2,010 | |||||||||||||||
Issuance of stock | 1 | 329 | 330 | |||||||||||||||
Issuance of stock (in shares) | 85 | |||||||||||||||||
Other comprehensive income, fair value adjustments and reclassifications | 10,797 | 6,568 | 971 | 18,336 | ||||||||||||||
Net (loss) income | (17,492) | (17,492) | ||||||||||||||||
Amortization of restricted stock | 25 | 25 | ||||||||||||||||
Dividends declared preferred stock | (1,035) | (304) | (958) | (1,035) | (304) | (958) | (2,297) | |||||||||||
Dividend declared per common share | (9,877) | (9,877) | ||||||||||||||||
Ending Balance at Sep. 30, 2019 | 988 | 983,124 | 41,629 | 33,867 | (8,546) | (611,588) | 46,537 | 48,626 | 534,637 | |||||||||
Ending Balance (in shares) at Sep. 30, 2019 | 98,768 | 1,919 | 2,010 | |||||||||||||||
Cumulative adjustment for adoption of ASC 326 | (30) | (30) | ||||||||||||||||
Balance including adjustment at January 1, 2020 | 988 | 983,401 | 43,590 | 30,034 | (7,640) | (593,069) | 46,537 | 48,626 | 552,467 | |||||||||
Beginning Balance at Dec. 31, 2019 | 988 | 983,401 | 43,590 | 30,034 | (7,640) | (593,039) | 46,537 | 48,626 | 552,497 | |||||||||
Beginning Balance (in shares) at Dec. 31, 2019 | 98,849 | 1,919 | 2,010 | |||||||||||||||
Issuance of stock | 1 | 264 | 265 | |||||||||||||||
Issuance of stock (in shares) | 87 | |||||||||||||||||
Other comprehensive income, fair value adjustments and reclassifications | 29,121 | (30,034) | 889 | (24) | ||||||||||||||
Net (loss) income | (185,821) | (185,821) | ||||||||||||||||
Amortization of restricted stock | 4 | 4 | ||||||||||||||||
Dividends declared preferred stock | (1,035) | (304) | (958) | (1,035) | (304) | (958) | ||||||||||||
Ending Balance at Mar. 31, 2020 | 989 | 983,669 | 72,711 | (6,751) | (781,187) | 46,537 | 48,626 | 364,594 | ||||||||||
Ending Balance (in shares) at Mar. 31, 2020 | 98,936 | 1,919 | 2,010 | |||||||||||||||
Beginning Balance at Dec. 31, 2019 | 988 | 983,401 | 43,590 | $ 30,034 | (7,640) | (593,039) | 46,537 | 48,626 | 552,497 | |||||||||
Beginning Balance (in shares) at Dec. 31, 2019 | 98,849 | 1,919 | 2,010 | |||||||||||||||
Other comprehensive income, fair value adjustments and reclassifications | (4,280) | |||||||||||||||||
Net (loss) income | (127,112) | |||||||||||||||||
Dividends declared preferred stock | (6,892) | |||||||||||||||||
Ending Balance at Sep. 30, 2020 | 991 | 984,006 | 66,631 | (4,927) | (741,930) | 46,537 | 48,626 | 399,934 | ||||||||||
Ending Balance (in shares) at Sep. 30, 2020 | 99,140 | 1,919 | 2,010 | |||||||||||||||
Beginning Balance at Mar. 31, 2020 | 989 | 983,669 | 72,711 | (6,751) | (781,187) | 46,537 | 48,626 | 364,594 | ||||||||||
Beginning Balance (in shares) at Mar. 31, 2020 | 98,936 | 1,919 | 2,010 | |||||||||||||||
Issuance of stock | 1 | 159 | 160 | |||||||||||||||
Issuance of stock (in shares) | 111 | |||||||||||||||||
Other comprehensive income, fair value adjustments and reclassifications | (9,572) | 964 | (8,608) | |||||||||||||||
Net (loss) income | 36,839 | 36,839 | ||||||||||||||||
Amortization of restricted stock | 4 | 4 | ||||||||||||||||
Dividends declared preferred stock | (1,035) | (305) | (958) | (1,035) | (305) | (958) | ||||||||||||
Dividend declared per common share | (9,899) | (9,899) | ||||||||||||||||
Ending Balance at Jun. 30, 2020 | 990 | 983,832 | 63,139 | (5,787) | (756,545) | 46,537 | 48,626 | 380,792 | ||||||||||
Ending Balance (in shares) at Jun. 30, 2020 | 99,047 | 1,919 | 2,010 | |||||||||||||||
Issuance of stock | 1 | 170 | 171 | |||||||||||||||
Issuance of stock (in shares) | 93 | |||||||||||||||||
Other comprehensive income, fair value adjustments and reclassifications | 3,492 | 860 | 4,352 | |||||||||||||||
Net (loss) income | 21,869 | 21,869 | ||||||||||||||||
Amortization of restricted stock | 4 | 4 | ||||||||||||||||
Dividends declared preferred stock | $ (1,035) | $ (305) | $ (958) | (1,035) | $ (305) | (958) | (2,297) | |||||||||||
Dividend declared per common share | $ (4,956) | $ (4,956) | ||||||||||||||||
Ending Balance at Sep. 30, 2020 | $ 991 | $ 984,006 | $ 66,631 | $ (4,927) | $ (741,930) | $ 46,537 | $ 48,626 | $ 399,934 | ||||||||||
Ending Balance (in shares) at Sep. 30, 2020 | 99,140 | 1,919 | 2,010 |
CONSOLIDATED STATEMENTS OF ST_2
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | |||||
Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | |
Series A Preferred Stock | ||||||
Dividend declared, per preferred share | $ 0.539063 | $ 0.539063 | $ 0.539063 | $ 0.539063 | $ 0.539063 | $ 0.539063 |
Series B Preferred Stock | ||||||
Dividend declared, per preferred share | 0.390625 | 0.390625 | 0.390625 | 0.390625 | 0.390625 | 0.390625 |
Series C Preferred Stock | ||||||
Dividend declared, per preferred share | 0.476525 | 0.476525 | $ 0.476563 | 0.476525 | 0.476525 | 0.476563 |
Common Stock | ||||||
Dividend declared common share, per share | $ 0.05 | $ 0.10 | $ 0.10 | $ 0.11 | $ 0.13 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||
Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Operating Activities: | |||||||||
Net income (loss) | $ 21,869 | $ 36,839 | $ (185,821) | $ (17,492) | $ (47,700) | $ (19,970) | $ (127,112) | $ (85,162) | |
Adjustments to reconcile net (loss) to net cash provided by operating activities: | |||||||||
Depreciation on rental properties | 118 | 120 | 358 | 359 | |||||
(Gain) on sale of residential properties | (78) | (201) | |||||||
Amortization of restricted stock | 4 | 25 | 12 | 74 | |||||
Net settlements (paid) received on interest rate swaps, net of amortization | (4,935) | 2,092 | (3,082) | 11,350 | |||||
Loss on interest rate swaps, net | 1,201 | 28,720 | 105,799 | 120,146 | |||||
(Gain) on derivatives, net of derivative income - TBA Agency MBS | (3,986) | 24,734 | 90,972 | 105,565 | |||||
Changes in assets and liabilities: | |||||||||
Decrease in reverse repurchase agreements | 15,000 | 20,000 | |||||||
(Increase) decrease in interest receivable | (2,234) | 67 | 4,878 | 1,234 | |||||
Decrease (increase) in prepaid expenses and other | 4,232 | (6,751) | 10,335 | (10,260) | |||||
Increase (decrease) in accrued interest payable | 40 | (4,040) | (5,362) | (6,231) | |||||
(Decrease) increase in accrued expenses and payables | (5,147) | 2,026 | (3,103) | 6,183 | |||||
Net cash provided by operating activities | 6,326 | 7,281 | 58,049 | 63,195 | |||||
Investing Activities: | |||||||||
Proceeds from sales, MBS portfolios | 63,270 | 1,709,950 | 2,303,025 | ||||||
Purchases, MBS portfolios | (350,920) | (76,282) | (2,281,408) | ||||||
Principal payments, MBS portfolios | 219,567 | 214,797 | 627,607 | 649,334 | |||||
Purchases, Residential mortgage loans held-for-securitization | (35,402) | 2,934 | (145,838) | ||||||
Principal payments, Residential mortgage loans held-for-securitization | 7,695 | 11,619 | 20,155 | 16,095 | |||||
Residential properties purchases | (52) | (80) | (217) | (300) | |||||
Proceeds from sales of residential properties | 234 | 662 | |||||||
Net cash provided by (used in) investing activities | 227,444 | (96,686) | 2,284,950 | 540,998 | |||||
Financing Activities: | |||||||||
Borrowings from repurchase agreements | 3,060,677 | 7,394,951 | 15,191,333 | 21,926,918 | |||||
Repayments on repurchase agreements | (3,293,265) | (7,295,692) | (17,384,613) | (22,483,443) | |||||
Borrowings from warehouse line of credit | 30,898 | 126,620 | |||||||
Repayments on warehouse line of credit | (3,176) | (11,243) | (32,206) | (14,266) | |||||
Net settlements of TBA Agency MBS Contracts | 4,923 | 5,084 | 18,298 | 20,093 | |||||
Termination of interest rate swaps | (27,661) | (62,895) | (38,046) | ||||||
Derivative counterparty margin | (726) | (604) | 963 | ||||||
Proceeds from common stock issued | 170 | 330 | 595 | 1,088 | |||||
Proceeds (amortization) of Series C Preferred Stock issued | (318) | ||||||||
Preferred Stock dividends paid | (2,297) | (2,297) | (6,892) | (6,892) | |||||
Common stock dividends paid | (4,952) | (10,855) | (18,796) | (36,471) | |||||
Net cash (used in) provided by financing activities | (238,646) | 82,911 | (2,294,213) | (504,717) | |||||
Net (decrease) increase in cash, cash equivalents, and restricted cash | (4,876) | (6,494) | 48,786 | 99,476 | |||||
Cash, cash equivalents, and restricted cash at beginning of period | 166,597 | $ 112,935 | 139,431 | $ 33,461 | 112,935 | 33,461 | $ 33,461 | ||
Cash, cash equivalents, and restricted cash at end of period | 161,721 | $ 166,597 | 132,937 | $ 139,431 | 161,721 | 132,937 | $ 112,935 | ||
Supplemental Disclosure of Cash Flow Information: | |||||||||
Cash paid for interest | 9,992 | 27,099 | 49,964 | 76,405 | |||||
Change in payable for MBS purchased | 43,290 | 43,290 | |||||||
Change in payables for residential mortgage loans purchased | (6,085) | ||||||||
Residential mortgage loans | |||||||||
Adjustments to reconcile net (loss) to net cash provided by operating activities: | |||||||||
Amortization of premium (discount) | (29) | (29) | (88) | (87) | |||||
Provision for credit losses on loans | 564 | ||||||||
Investing Activities: | |||||||||
Principal payments, Residential mortgage loans held-for-investment through consolidated securitization trusts | 30 | 141 | 90 | ||||||
Residential loans | |||||||||
Adjustments to reconcile net (loss) to net cash provided by operating activities: | |||||||||
Amortization of premium (discount) | 216 | 96 | 877 | 112 | |||||
Agency MBS | |||||||||
Adjustments to reconcile net (loss) to net cash provided by operating activities: | |||||||||
Amortization of premium (discount) | 9,075 | 6,353 | 19,935 | 19,787 | |||||
Realized (gain) loss on sale of available-for-sale MBS | (214) | (15,805) | 5,488 | ||||||
Realized (gain) loss on sale of available-for-sale MBS | 5,443 | ||||||||
(Gain) loss on sales of MBS held as trading investments | (2,840) | 7,128 | |||||||
Unrealized (gain) on Agency MBS held as trading investments | (1,939) | 1,100 | (17,834) | ||||||
Investing Activities: | |||||||||
Proceeds from sales, MBS portfolios | 0 | 59,600 | 1,400,000 | 2,300,000 | |||||
Non-Agency MBS | |||||||||
Adjustments to reconcile net (loss) to net cash provided by operating activities: | |||||||||
Amortization of premium (discount) | 1,088 | 1,253 | 3,784 | ||||||
Realized (gain) loss on sale of available-for-sale MBS | 55,390 | ||||||||
(Gain) loss on sales of MBS held as trading investments | (13,679) | 20,617 | |||||||
Impairment charge | 1,145 | 1,751 | |||||||
Investing Activities: | |||||||||
Proceeds from sales, MBS portfolios | 3,700 | 23,700 | |||||||
TBA Agency MBS | |||||||||
Adjustments to reconcile net (loss) to net cash provided by operating activities: | |||||||||
(Gain) on derivatives, net of derivative income - TBA Agency MBS | $ (4,327) | $ (3,986) | $ (19,376) | $ (14,582) |
Organization and Significant Ac
Organization and Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2020 | |
Organization and Significant Accounting Policies | |
Organization and Significant Accounting Policies | NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES Our Company We were incorporated in Maryland on October 20, 1997 and commenced operations on March 17, 1998. Our principal business is to invest in, finance, and manage a leveraged portfolio of residential mortgage-backed securities, or MBS, and residential mortgage loans, which presently include the following types of investments: ◾ Agency mortgage-backed securities , or Agency MBS, which include residential mortgage pass-through certificates and collateralized mortgage obligations, or CMOs, which are securities representing interests in pools of mortgage loans secured by residential property in which the principal and interest payments are guaranteed by a government-sponsored enterprise, or GSE, such as the Federal National Mortgage Association, or Fannie Mae, or the Federal Home Loan Mortgage Corporation, or Freddie Mac; ◾ Non-agency mortgage-backed securities , or Non-Agency MBS, which are securities issued by companies that are not guaranteed by federally sponsored enterprises and that are secured primarily by first-lien residential mortgage loans; and ◾ Residential mortgage loans . We acquire non-Qualified Mortgage, or Non-QM, residential mortgage loans (which are described further on page 52) from independent loan originators with the intent of holding these loans for securitization. These loans are financed by a warehouse line of credit until securitization. We also hold residential mortgage loans through consolidated securitization trusts. We finance these loans through asset-backed securities, or ABS, issued by the consolidated securitization trusts. The ABS, which are held by unaffiliated third parties, are non-recourse financing. The difference in the amount of the loans in the trusts and the amount of the ABS represents our retained net interest in the securitization trusts. Our principal business objective is to generate net income for distribution to our stockholders primarily based upon the spread between the interest income on our mortgage assets and our borrowing costs to finance our acquisition of those assets. We have elected to be taxed as a real estate investment trust, or REIT, under the Internal Revenue Code of 1986, as amended, or the Code. As long as we retain our REIT status, we generally will not be subject to federal or state income taxes to the extent that we distribute our taxable net income to our stockholders, and we routinely distribute to our stockholders substantially all of the taxable net income generated from our operations. In order to qualify as a REIT, we must meet various ongoing requirements under the tax law, including requirements relating to the composition of our assets, the nature of our gross income, minimum distribution requirements, and requirements relating to the ownership of our stock. At September 30, 2020, we believe that we met all REIT requirements regarding the asset tests, income tests, the ownership of our common stock, and the distributions of our taxable income. Therefore, we believe that we continue to qualify as a REIT under the provisions of the Code. Our Manager We are externally managed and advised by Anworth Management LLC, or our Manager. Effective as of December 31, 2011, we entered into a management agreement, or the Management Agreement, with our Manager, which effected the externalization of our management function, or the Externalization. Since the effective date of the Externalization, our day-to-day operations are being conducted by our Manager through the authority delegated to it under the Management Agreement and pursuant to the policies established by our board of directors, or our Board. Our Manager is supervised by our Board and is responsible for administering our day-to-day operations. In addition, our Manager is responsible for (i) the selection, purchase, and sale of our investment portfolio; (ii) our financing and hedging activities; and (iii) providing us with portfolio management, administrative, and other services relating to our assets and operations as may be appropriate. Our Manager will also perform such other services and activities as described in the Management Agreement relating to our assets and operations as may be appropriate. In exchange for these services, our Manager receives a management fee, paid monthly in arrears, in an amount equal to one-twelfth of 1.20% of our Equity (as defined in the Management Agreement). The COVID-19 coronavirus pandemic has generally not affected our Manager’s ability to manage our day-to-day operations and provide other services to us under the Management Agreement, as the Manager’s key employees and personnel who manage our operations are able to effectively work from home and provide such services to us under applicable local and state shelter-in-place orders. BASIS OF PRESENTATION AND CONSOLIDATION The accompanying unaudited consolidated financial statements are prepared on the accrual basis of accounting in accordance with generally accepted accounting principles utilized in the United States of America, or GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Material estimates that are susceptible to change relate to the determination of the fair value of investments and derivatives, credit performance of residential mortgage loans, amortization of security and loan premiums, accretion of security and loan discounts, allowance for credit losses, and accounting for derivative activities. The outbreak of the COVID-19 coronavirus pandemic has negatively affected the economy and the longer-term effects on our business are currently unknown. Our material estimates cited above are susceptible to change, resulting from the economic effects of this pandemic. Actual results could materially differ from these estimates. In the opinion of management, all material adjustments, consisting of normal recurring adjustments, considered necessary for a fair presentation have been included. Our consolidated financial statements include the accounts of all subsidiaries. Significant intercompany accounts and transactions have been eliminated. The interim financial information in the accompanying unaudited consolidated financial statements and the notes thereto should be read in conjunction with the audited consolidated financial statements included in our Annual Report on Form 10-K The consolidated securitization trusts are VIEs because the securitization trusts do not have equity that meets the definition of GAAP equity at risk. In determining if a securitization trust should be consolidated, we evaluate (in accordance with the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, 810-10) whether it has both (i) the power to direct the activities of the securitization trust that most significantly impact its economic performance and (ii) the right to receive benefits from the securitization trust or the obligation to absorb losses of the securitization trust that could be significant. We determined that we are the primary beneficiary of certain securitization trusts because we have certain delinquency and default oversight rights on residential mortgage loans. In addition, we own the most subordinated class of ABS issued by the securitization trusts and have the obligation to absorb losses and right to receive benefits from the securitization trusts that could potentially be significant to the securitization trusts. We assess modifications, if any, to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change our initial consolidation assessment. On January 1, 2020, we adopted FASB Accounting Standards Update, or ASU, 2016-13, “Financial Instruments–Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments” (CECL). Please see the section in Note 1 under “Recently Adopted Accounting Pronouncements” for the effect of this adoption on our retained earnings as of January 1, 2020. All prior periods are shown under the previously-existing GAAP. The cumulative effect on any change to accumulated deficit at January 1, 2020 is shown in our consolidated statements of stockholders’ equity. The following is a summary of our significant accounting policies: Cash and Cash Equivalents Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less, including U.S. Treasury bills. The carrying amount of cash equivalents approximates their fair value. Restricted cash includes cash pledged as collateral to counterparties on various derivative transactions and cash we hold from counterparties for margin calls. Reverse Repurchase Agreements We use securities purchased under agreements to resell, or reverse repurchase agreements, as a means of investing excess cash. Although legally structured as a purchase and subsequent resale, reverse repurchase agreements are treated as financing transactions under which the counterparty pledges securities (principally U.S. treasury securities) and accrued interest as collateral to secure a loan. The difference between the purchase price that we pay and the resale price that we receive represents interest paid to us and is included in “Other interest income” on our consolidated statements of operations. It is our policy to generally take possession of securities purchased under reverse repurchase agreements at the time such agreements are made. Mortgage-Backed Securities Agency MBS are securities that are obligations (including principal and interest) guaranteed by the U.S. government, such as Ginnie Mae, or guaranteed by federally sponsored enterprises, such as Fannie Mae or Freddie Mac. Our investment-grade Agency MBS portfolio is invested primarily in fixed-rate and adjustable-rate mortgage-backed pass-through certificates and hybrid adjustable-rate MBS. Hybrid adjustable-rate MBS have an initial interest rate that is fixed for a certain period, typically one We classify our Agency MBS as either trading investments or available-for sale, or AFS, investments. Our management determines the appropriate classification of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. We currently classify our Agency MBS as available- for-sale. We had previously designated a portion of our Agency MBS as trading investments. All assets that are classified as available-for-sale are carried at fair value and unrealized gains or losses are generally included in “Accumulated other comprehensive income (loss),” or AOCI, as a component of stockholders’ equity. For AFS Agency MBS that are in an unrealized loss position, we first assess whether we intend to sell, or if it is more likely than not that we will be required to sell the security before recovery of its amortized basis. If we do not intend to sell or expect recovery of the amortized cost basis, we evaluate if the decline in fair value resulted from credit losses or other factors. In making this assessment, we consider the extent to which fair value is less than amortized cost, any changes to the rating of the security by a rating agency, adverse conditions specifically related to the security, and other factors. If this assessment indicates that a credit loss exists, the present value of cash flows expected to be collected for the security are compared to its amortized cost basis. If the present value of cash flows expected to be collected is less than the amortized cost basis, a credit loss exists and an allowance for credit losses is recorded, limited by the amount that the fair value is less than the amortized cost. Any impairment that has not been recorded through an allowance for credit losses is recognized in other comprehensive income. As the payments of principal and interest on the AFS Agency MBS are guaranteed by Fannie Mae or Freddie Mac, which are under the conservatorship of the U.S. government, there is currently zero loss expectation and no allowance for credit losses is currently recorded for these securities. Agency MBS classified as trading investments are reported at fair value with unrealized gains and losses included in our consolidated statements of operations. The most significant source of our income is derived from our investments in Agency MBS. Interest income on Agency MBS is accrued based on the actual coupon rate and the outstanding principal amount of the underlying mortgages. Premiums and discounts are amortized or accreted into interest income over the estimated lives of the securities using the effective interest yield method, adjusted for the effects of actual and estimated prepayments based on ASC 320-10. Our policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, street consensus prepayment speeds, and current market conditions. If our estimate of prepayments is materially incorrect as compared to the aforementioned references, we may be required to make an adjustment to the amortization or accretion of premiums and discounts that would have an impact on future income, which could be material and adverse. The vast majority of our Non-Agency MBS had previously been accounted for under “Loans and Debt Securities Acquired with Credit Deterioration” (ASC 310-30). Under the Current Expected Loss Methodology, or CECL, debt securities previously accounted for as assets acquired with credit impairment (PCI) are treated as assets acquired with credit deterioration (PCD). Under ASC 326, PCD assets that are also available-for-sale debt securities follow the available-for-sale debt security impairment model. This compares the fair value of a security with its amortized cost. If the fair value of a security exceeds its amortized cost, there is no credit loss. If the fair value of a security is less than its amortized cost, then the security is impaired and further assessment needs to be done to determine if the decline in fair value is due to a credit loss or to other factors. The first step in this assessment process is for an entity to determine whether it had the intent to sell the security, or the ability to hold the security until the expected recovery of its amortized cost basis, or until maturity. If an entity did not have either the intent or the ability to hold the security until the expected recovery of the amortized cost basis, then the amortized cost basis is written down to the debt security’s fair value through earnings. Upon the adoption of CECL at January 1, 2020, we reviewed those Non-Agency MBS that were in an unrealized loss position to determine if there was any credit loss. In our Annual Report on Form 10-K for the year ended December 31, 2019, we stated the following: “On the Non-Agency MBS that were in an unrealized loss position, at December 31, 2019, we did not expect to sell these Non-Agency MBS at a price less than the amortized cost basis of our investments. Because the decline in market value on these Non-Agency MBS is attributable to changes in interest rate and not the credit quality of the Non-Agency MBS in our portfolio, and because we did not have the intent to sell these investments, nor is it more likely than not that we will be required to sell these investments before recovery of their amortized cost basis, which may be at maturity, we do not consider these investments to be other-than-temporarily impaired.” On January 1, 2020, when we adopted CECL, we reviewed our assessment of the Non-Agency MBS in an unrealized loss position at December 31, 2019, and concluded that there was no credit loss on these securities. Our conclusion included a review of factors such as the ratings of these securities by rating agencies, the payment structure of these securities, whether the issuer has continued to make payments of principal and interest, and review of prepayment speeds, delinquency, and default rates. At March 31, 2020, we changed the designation of our Non-Agency MBS from available-for-sale securities to trading securities. The reason for this change in designation was due to the negative effects on the economy resulting from the COVID-19 coronavirus pandemic and the high volatility in the market for Non-Agency MBS. Starting in the third week in March 2020, we began receiving requests from our repurchase agreement counterparties for margin calls, increases in the haircuts (the amount of coverage on the collateral securing the repurchase agreement financing), and higher interest rates. This all resulted from the perceived damage to the economy from the COVID-19 coronavirus pandemic. After the Federal Reserve stepped in and supported the Agency MBS market, the prices for Agency MBS stabilized. The Non-Agency MBS market was still volatile (with non-agency prices continuing to decline). We sold a substantial portion of our Non-Agency MBS in order to reduce leverage, maintain adequate liquidity, pay-down the balances on our repurchase agreement borrowings, and preserve over-collateralization for our repurchase agreement lenders. Due to the high volatility in the market for Non-Agency MBS, and the more restrictive terms by our repurchase agreement counterparties on these securities, we felt that we could no longer state that we had the intent and the ability to hold these securities until recovery of their amortized cost basis, or until maturity. Therefore, we changed the designation of these securities to trading securities as of March 31, 2020. Once an entity elects to classify a security as a trading security, it should be prepared to maintain that classification until the security is sold or matures. Transfer of securities from available-for-sale to trading securities means that the unrealized gains and losses that were in accumulated other comprehensive income are reported through earnings as unrealized gains or losses as of the date of the change in designation. Trading securities are subsequently measured at fair value, with the changes in fair value reported in income in the period the change occurs. Interest income on the Non-Agency MBS that were purchased at a discount to par value, and were rated below AA at the time of purchase, was previously recognized based on the security’s effective interest rate. The effective interest rate on these securities was based on the projected cash flows from each security, which was estimated based on our observation of current information and events, and included assumptions related to interest rates, prepayment rates, and the timing and amount of credit losses. On at least a quarterly basis, we reviewed and, if appropriate, made adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, resulted in a prospective change in the yield/interest income recognized on such securities. Actual maturities of these Non-Agency MBS was affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore, actual maturities of these securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. At March 31, 2020, we designated our Non-Agency MBS as trading securities. On a prospective basis, interest income is recognized based on the actual coupon rate and the outstanding principal amount. Securities transactions are recorded on the date the securities are purchased or sold. Realized gains or losses from securities transactions are determined based on the specific identified cost of the securities. Residential Mortgage Loans Held-for-Securitization Residential mortgage loans held-for-securitization are held at our wholly-owned subsidiary, Anworth Mortgage Loans, Inc., in connection with our intent to sponsor our own securitizations. Loans purchased with the intent to securitize are recorded on the trade date. Any fees associated with acquiring the loans held-for-securitization, as well as any premium paid to acquire the loans, are deferred. These are included in the loan balance and amortized using the effective interest yield method. Interest income is recorded as income when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on non-accrual status. When a non-accrual loan has been cured, meaning when all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternatively, nonaccrual loans may be placed back on accrual status after the loan is considered re-performing, generally when the loan has been current for 6 months. We have elected not to measure an allowance for credit losses on accrued interest receivables. We establish an allowance for residential loan losses based on our estimate of credit losses. These estimates for the allowance for loan losses require consideration of various observable inputs including, but not limited to, historical loss experience, delinquency status, borrower credit scores, geographic concentrations and loan-to-value ratios, and are adjusted for current economic conditions as deemed necessary by our management. Many of these factors are subjective and cannot be reduced to a mathematical formula. In addition, since we have not incurred any significant direct losses on our portfolio, we review national historical credit performance information from external sources to assist in our analysis. Changes in our estimates can significantly impact the allowance for loan losses and provision expense. The allowance reflects management’s best estimate of the credit losses inherent in the loan portfolio at the balance sheet date. It is also possible that we will experience credit losses that are different from our current estimates or that the timing of those losses may differ from our estimates. The residential mortgage loans held-for-securitization are financed by a warehouse line of credit. The payment and performance of the obligations by Anworth Mortgage Loans under the warehouse line is guaranteed by Anworth Mortgage Asset Corporation. We may be required to remove a loan from a warehouse line of credit. We do not maintain a loan repurchase reserve, as any risk of loss due to loan repurchase would normally be covered by recourse to the companies from which we acquired the loans. Debt issuances costs incurred in connection with this line of credit (such as facility fees and legal costs) are deducted from the debt’s carrying amount and amortized ratably to interest expense over the term of the debt. Residential Mortgage Loans Held-for-Investment Through Consolidated Securitization Trusts Residential mortgage loans held-for-investment through consolidated securitization trusts are carried at unpaid principal balances net of any premiums or discounts and allowance for loan losses. We expect that we will be required to continue to consolidate the securitization trusts that hold the residential mortgage loans. We establish an allowance for residential loan losses based on our estimate of credit losses. These estimates for the allowance for loan losses require consideration of various observable inputs including, but not limited to, historical loss experience, delinquency status, borrower credit scores, geographic concentrations and loan-to-value ratios, and are adjusted for current economic conditions as deemed necessary by our management. Many of these factors are subjective and cannot be reduced to a mathematical formula. In addition, we review national historical credit performance information from external sources to assist in our analysis. Changes in our estimates can significantly impact the allowance for loan losses and provision expense. The allowance reflects management’s best estimate of the credit losses inherent in the loan portfolio at the balance sheet date. It is also possible that we will experience credit losses that are different from our current estimates or that the timing of those losses may differ from our estimates. We have elected not to measure an allowance for credit losses on accrued interest receivables. We recognize interest income from residential mortgage loans on an accrual basis. Any related premium or discount is amortized into interest income using the effective interest method over the estimated life of these loans. Coupon interest is recognized as revenue when earned and deemed collectable or until a loan becomes more than 90 days past due, at which point the loan is placed on non-accrual status. Interest previously accrued for loans that have been placed on non-accrual status is reversed against interest income in the period the loan is placed in non-accrual status. Residential loans delinquent more than 90 days or in foreclosure are characterized as delinquent. Cash principal and interest that are advanced from servicers after a loan becomes greater than 90 days past due are recorded as a liability due to the servicer. When a delinquent loan previously placed on non-accrual status has been cured, meaning when all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternatively, non-accrual loans may be placed back on accrual status after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 6 months. Residential Properties Residential properties are stated at cost and consist of land, buildings, and improvements, including other costs incurred during their acquisition, possession, and renovation. Residential properties are recorded at their purchase price, including acquisition and renovation costs, all of which are allocated to land and building, based upon their relative fair values at the date of acquisition. Building depreciation is computed on a straight-line basis over the estimated useful lives of the assets. We generally use a 27.5 year estimated life with no salvage value. We incur costs to prepare our acquired properties to be leased. These costs are capitalized and allocated to building costs. Costs related to the restoration, renovation, or improvement of our properties that improve and extend their useful lives are capitalized and depreciated over their estimated useful lives. Expenditures for ordinary repairs and maintenance are expensed as incurred. Costs incurred by us to lease the properties are capitalized and amortized over the life of the lease. Escrow deposits include refundable and non-refundable cash and earnest money on deposit with independent third parties for property purchases. Repurchase Agreements We finance the acquisition of MBS primarily through the use of repurchase agreements. Under these repurchase agreements, we sell securities to a lender and agree to repurchase the same securities in the future for a price that is higher than the original sales price. The difference between the sale price that we receive and the repurchase price that we pay represents interest paid to the lender. Although structured as a sale and repurchase obligation, a repurchase agreement operates as a financing under which we pledge our securities and accrued interest as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. Upon the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then-prevailing financing rate. These repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. Asset-Backed Securities Issued by Securitization Trusts Asset-backed securities issued by the securitization trusts are recorded at principal balances net of unamortized premiums or discounts. This long-term debt is collateralized only by the assets held in the trusts and is otherwise non-recourse to the Company. Derivative Financial Instruments Risk Management We primarily use short-term (less than or equal to 12 months) repurchase agreements to finance the purchase of MBS. These obligations expose us to variability in interest payments due to changes in interest rates. We continuously monitor changes in interest rate exposures and evaluate various opportunities to mitigate this risk. Our objective is to limit the impact of interest rate changes on our earnings and cash flows. The principal instruments we use to achieve this are interest rate swap agreements, or interest rate swaps, which effectively convert a percentage of our repurchase agreements to fixed-rate obligations over a period of up to ten years. Under interest rate swaps, we agree to pay an amount equal to a specified fixed rate of interest times a notional principal amount and we receive in return an amount equal to a specified variable-rate of interest times a notional amount, generally based on the London Interbank Offered Rate, or LIBOR. The notional amounts are not exchanged. We do not issue or hold the interest rate swaps for speculative purposes. We also enter into To-Be-Announced, or TBA, Agency MBS as either a means of investing in and financing Agency MBS or as a means of disposing of or reducing our exposure to agency securities. Pursuant to TBA contracts, we agree to purchase or sell for future delivery Agency MBS with certain principal and interest terms and certain types of collateral, but the particular Agency MBS to be delivered are not identified until shortly before the TBA settlement date. We also may choose, prior to settlement, to move the settlement of these MBS out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash and simultaneously purchasing a similar TBA contract for a later settlement date. This transaction is commonly referred to as a “dollar roll.” The Agency MBS purchased or sold for a forward settlement date are typically priced at a discount to agency securities for settlement in the current month. This difference (or discount) is referred to as the “price drop.” The price drop represents compensation to us for foregoing net interest margin (interest income less repurchase agreement financing cost). TBA Agency MBS are accounted for as derivative instruments since they do not meet the exemption allowed for a “regular way” security trade under ASC 815, as either the TBA contracts do not settle in the shortest period of time possible or we cannot assess that it is probable at inception that we will take physical delivery of the security or that we will not settle on a net basis. Accounting for Derivative and Hedging Activities We account for derivative instruments in accordance with ASC 815, which requires recognition of all derivatives as either assets or liabilities and measurement of those instruments at fair value, which is typically based on values obtained from large financial institutions who are market makers for these types of instruments. The accounting for changes in the fair value of derivative instruments depends on whether the instruments are designated and qualify as hedges in accordance with ASC 815. Changes in fair value related to derivatives not designated as hedges are recorded in our consolidated statements of operations as “Gain (loss) on derivatives, net” and specifically identified as either relating to interest rate swaps or TBA Agency MBS. For a derivative to qualify for hedge accounting, we must anticipate that the hedge will be highly “effective,” as defined by ASC 815-10. A hedge of the variability of cash flows that are to be received or paid in connection with a recognized asset or liability is known as a “cash flow” hedge. Changes in the fair value of a derivative that is highly effective and that is designated as a cash flow hedge, to the extent the hedge is effective, are recorded in AOCI and |
Restricted Cash
Restricted Cash | 9 Months Ended |
Sep. 30, 2020 | |
Restricted Cash | |
Restricted Cash | NOTE 2. RESTRICTED CASH This includes cash pledged or held as collateral for interest rate swaps and TBA Agency MBS margin calls. The following table represents the Company’s restricted cash balances at September 30, 2020 and December 31, 2019: September 30, December 31, 2020 2019 (in thousands) Restricted cash - interest rate swaps and TBA Agency MBS margin calls $ 123,991 $ 104,699 |
Mortgage Backed Securities
Mortgage Backed Securities | 9 Months Ended |
Sep. 30, 2020 | |
Mortgage Backed Securities | |
Mortgage Backed Securities | NOTE 3. MORTGAGE-BACKED SECURITIES On March 31, 2020, we designated our Non-Agency MBS as trading securities and they are carried at fair value. See the section regarding Non-Agency MBS under the caption, “Mortgage-Backed Securities,” in the Significant Accounting Policies section in Note 1. The following tables summarize our Agency MBS and Non-Agency MBS at September 30, 2020 and December 31, 2019, which are carried at their fair value: September 30, 2020 Total Non-Agency Total By Agency Freddie Mac Fannie Mae Agency MBS MBS MBS (in thousands) Amortized cost/carrying value $ 609,236 $ 928,313 $ 1,537,549 $ 198,586 $ 1,736,135 Paydowns receivable (1) 5,215 — 5,215 — 5,215 Unrealized gains 29,253 37,885 67,138 — 67,138 Unrealized losses (66) (75) (141) — (141) Fair value $ 643,638 $ 966,123 $ 1,609,761 $ 198,586 $ 1,808,347 15-Year 20-Year 30-Year Total Non-Agency Total By Security Type ARMs Hybrids Fixed-Rate Fixed-Rate Fixed-Rate Agency MBS MBS MBS (in thousands) Amortized cost/carrying value $ 356,913 $ 200,599 $ 36,564 $ 160,427 $ 783,046 $ 1,537,549 $ 198,586 $ 1,736,135 Paydowns receivable (1) 3,113 2,102 — — — 5,215 — 5,215 Unrealized gains 7,279 5,298 1,655 8,521 44,385 67,138 — 67,138 Unrealized losses (141) — — — — (141) — (141) Fair value $ 367,164 $ 207,999 $ 38,219 $ 168,948 $ 827,431 $ 1,609,761 $ 198,586 $ 1,808,347 (1) Paydowns receivable on Agency MBS are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month. During the three months ended September 30, 2020, we did not During the three months ended September 30, 2020, we did not have any Agency MBS trading investments. During the nine months ended September 30, 2020, we had unrealized losses on Agency MBS trading investments of approximately $1.1 million. During the three months ended September 30, 2019, we had unrealized gains on Agency MBS trading investments of approximately $1.9 million. During the nine months ended September 30, 2019, we had unrealized gains on Agency MBS trading investments of approximately $17.8 million. During the three months ended September 30, 2020, we had net gains on Non-Agency MBS trading securities of approximately $13.7 million. During the nine months ended September 30, 2020, we had net losses on Non-Agency MBS trading securities of approximately $20.6 million. We also had a net loss on the sale of available-for-sale Non-Agency MBS of approximately $55.4 million. During the three months ended September 30, 2019, we sold approximately $3.7 of Non-Agency MBS and realized a gross and net loss of approximately $231 thousand. During the nine months ended September 30, 2019, Non-Agency bonds of approximately $23.7 million were called or sold, and we realized a gross gain of approximately $22 thousand and a gross loss of approximately $231 thousand. At March 31, 2020, we changed the designation of our Non-Agency MBS from available-for-sale to trading securities. Unrealized changes in the fair value of these securities are recorded in earnings. At December 31, 2019, we had an unrealized gain in other comprehensive income of approximately $30 million. This was reclassified out of other comprehensive income at March 31, 2020. December 31, 2019 Total Non-Agency Total By Agency Freddie Mac Fannie Mae Agency MBS (1) MBS MBS (in thousands) Amortized cost $ 864,452 $ 2,590,775 $ 3,455,227 $ 613,576 $ 4,068,803 Paydowns receivable (2) 9,727 — 9,727 — 9,727 Unrealized gains 19,487 27,256 46,743 34,188 80,931 Unrealized losses (699) (947) (1,646) (4,154) (5,800) Fair value $ 892,967 $ 2,617,084 $ 3,510,051 $ 643,610 $ 4,153,661 Total 15-Year 20-Year 30-Year Agency Non-Agency Total By Security Type ARMs Hybrids Fixed-Rate Fixed-Rate Fixed-Rate (1) MBS MBS MBS (in thousands) Amortized cost $ 473,935 $ 296,890 $ 47,248 $ 193,303 $ 2,443,851 $ 3,455,227 $ 613,576 $ 4,068,803 Paydowns receivable (2) 8,328 1,399 — — — 9,727 — 9,727 Unrealized gains 10,279 202 978 1,274 34,010 46,743 34,188 80,931 Unrealized losses (69) (1,496) — — (81) (1,646) (4,154) (5,800) Fair value $ 492,473 $ 296,995 $ 48,226 $ 194,577 $ 2,477,780 $ 3,510,051 $ 643,610 $ 4,153,661 (1) Included in the 30 -year fixed-rate MBS are Trading Agency MBS. These have an amortized cost of $655.8 million, an unrealized gain of $1.1 million, and a fair value of $656.9 million. (2) Paydowns receivable on Agency MBS are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month. The following tables show the gross unrealized losses and fair value of those individual securities in our MBS portfolio that have been in a continuous unrealized loss position at September 30, 2020 and December 31, 2019, aggregated by investment category and length of time: September 30, 2020 Less Than 12 Months 12 Months or More Total Description Number Number Number of of Fair Unrealized of Fair Unrealized of Fair Unrealized Securities Securities Value Losses Securities Value Losses Securities Value Losses (in thousands) (in thousands) (in thousands) Agency MBS 26 $ 8,260 $ (72) 14 $ 6,073 $ (69) 40 $ 14,333 $ (141) December 31, 2019 Less Than 12 Months 12 Months or More Total Description Number Number Number of of Fair Unrealized of Fair Unrealized of Fair Unrealized Securities Securities Value Losses Securities Value Losses Securities Value Losses (in thousands) (in thousands) (in thousands) Agency MBS 10 $ 270,737 $ (419) 38 $ 168,095 $ (1,227) 48 $ 438,832 $ (1,646) Non-Agency MBS 18 $ 49,281 $ (1,507) 12 $ 75,926 $ (2,647) 30 $ 125,207 $ (4,154) We do not consider those available-for-sale Agency MBS, or AFS MBS, that have been in a continuous loss position for 12 months or more to be other-than-temporarily impaired. The unrealized losses on our investments in AFS MBS were caused by fluctuations in interest rates. We purchased the AFS MBS primarily at a premium relative to their face value and the contractual cash flows of those investments are guaranteed by the GSEs. Since September 2008, the GSEs have been in the conservatorship of the U.S. government. At September 30, 2020, we did not expect to sell the AFS MBS at a price less than the amortized cost basis of our investments. The decline in market value of the AFS MBS was attributable to changes in interest rates and not the credit quality of the AFS MBS in our portfolio. We did not have the intent to sell these investments, nor is it more likely than not that we will be required to sell these investments before recovery of their amortized cost basis, which may be at maturity. The payments of principal and interest on these securities are guaranteed by Fannie Mae and Freddie Mac, which are under the conservatorship of the U.S. government. Accordingly, there is currently zero loss expectation on these securities, and no allowance for credit loss has been recorded. Upon the adoption of CECL on January 1, 2020, we determined that the unrealized losses on our investments in Non-Agency MBS were primarily caused by fluctuations in interest rates. We purchased the Non-Agency MBS primarily at a discount relative to their face value. At March 31, 2020, we designated these securities as trading securities. See the section regarding Non-Agency MBS under the caption, “Mortgage-Backed Securities,” in Significant Accounting Policies in Note 1. |
Residential Mortgage Loans Held
Residential Mortgage Loans Held-For-Securitization | 9 Months Ended |
Sep. 30, 2020 | |
Residential Mortgage Loans Held-For-Securitization | |
Residential Mortgage Loans Held-For-Securitization | NOTE 4. RESIDENTIAL MORTGAGE LOANS HELD-FOR-SECURITIZATION At September 30, 2020, we owned approximately $123.2 million of residential mortgage loans. To date, all of the loans were acquired during 2019. At December 31, 2019, we owned approximately $152.9 million of residential mortgage loans. The following table details the carrying value for residential mortgage loans held-for-securitization at September 30, 2020 and December 31, 2019: September 30, December 31, 2020 2019 (in thousands) Principal balance $ 120,137 $ 148,908 Unamortized premium and deferred transaction costs 3,166 4,014 Allowance for credit losses (56) — Carrying value $ 123,247 $ 152,922 The following table provides a reconciliation of the carrying value of residential mortgage loans held-for-securitization for the three and nine months ended September 30, 2020 and for the year ended December 31, 2019: Three Months Nine Months Year Ended Ended Ended September 30, September 30, December 31, 2020 2020 2019 (in thousands) Balance at beginning of period $ 131,110 $ 152,922 $ 11,660 Loan acquisitions — — 168,850 Premium and deferred transaction costs on new loans — — 3,702 Deductions during period: Collections of principal (7,645) (27,823) (30,992) Amortization of premium and costs (218) (1,041) (298) Allowance for credit losses — (56) — Other — (755) — Balance at end of period $ 123,247 $ 123,247 $ 152,922 The following table details various portfolio characteristics of residential mortgage loans held-for-securitization at September 30, 2020 and December 31, 2019: September 30, December 31, 2020 2019 (dollar amounts in thousands) Portfolio Characteristics: 12-months bank statements 12 17 24-months bank statements 45 56 Alt documentation 74 97 Full documentation 12 15 Written Verification of Employment 101 115 Number of loans outstanding 244 300 Current principal balance $ 120,137 $ 148,908 Simple Average loan balance $ 492 $ 496 Net weighted average coupon rate 5.39 % 5.40 % Weighted average FICO score 743 744 Weighted average LTV (loan-to-value) 70 70 Weighted average DTI (debt-to-income) 38 38 Performance: Current $ 103,631 $ 146,999 30-days delinquent (1) 1,481 1,909 60-days delinquent (1) 6,395 — 90-days+ delinquent (1) 8,630 — Bankruptcy/foreclosure — — Total $ 120,137 $ 148,908 (1) Of the delinquent amounts presented, the percentages that are related to the COVID-19 coronavirus pandemic are as follows: 30-days delinquent: 84%; 60-days delinquent: 72%; 90-days+ delinquent: 93%. The following table summarizes the geographic concentrations of residential mortgage loans held-for-securitization at September 30, 2020 and December 31, 2019, based on principal balance outstanding: September 30, December 31, State 2020 2019 California 72 % 74 % Florida 8 7 New York 7 6 Other states (none greater than 5%) 13 13 Total 100 % 100 % The following table summarizes the activity in the allowance for loan losses for the three and nine months ended September 30, 2020: Three Months Nine Months Ended Ended September 30, September 30 2020 2020 (in thousands) Balance at beginning of period $ 56 $ — Impact of adopting ASC-326 — 30 Provision for loan losses — 26 Charge-offs, net — — Balance at end of period $ 56 $ 56 |
Variable Interest Entities
Variable Interest Entities | 9 Months Ended |
Sep. 30, 2020 | |
Variable Interest Entities | |
Variable Interest Entities | NOTE 5. VARIABLE INTEREST ENTITIES As discussed in Note 1, “Summary of Significant Accounting Policies,” we have determined that we are the primary beneficiary of certain securitization trusts. The following table presents a summary of the assets and liabilities of our consolidated securitization trusts as of September 30, 2020 and December 31, 2019: September 30, December 31, 2020 2019 (in thousands) Residential mortgage loans held-for-investment through consolidated securitization trusts $ 317,887 $ 458,348 Accrued interest receivable 1,066 1,495 Total assets $ 318,953 $ 459,843 Accrued interest payable $ 1,032 $ 1,448 Asset-backed securities issued by securitization trusts 309,173 448,987 Total liabilities $ 310,205 $ 450,435 Our risk with respect to each investment in a securitization trust is limited to our direct ownership in the securitization trust. We own the most subordinated classes on all of the trusts. The residential mortgage loans held by the consolidated securitization trusts are held solely to satisfy the liabilities of the securitization trusts, and the investors in the securitization trusts have no recourse to the general credit of the Company for the ABS issued by the securitization trusts. The assets of a consolidated securitization trust can only be used to satisfy the obligations of that trust. ABS are not paid down according to any schedule, but rather as payments are made on the underlying mortgages. The final distribution dates for the three trusts are all at various dates in 2045. We are not contractually required and have not provided any additional financial support to the securitization trusts for the period ended September 30, 2020. Residential Mortgage Loans Held-for-Investment Through Consolidated Securitization Trusts Residential mortgage loans held-for-investment through consolidated securitization trusts are carried at unpaid principal balances net of any premiums or discounts and allowances for loan losses. The residential mortgage loans are secured by first liens on the underlying residential properties. As we still retain the most subordinated tranches in these trusts, we continue to be the primary beneficiary of these trusts and believe that we are still required to consolidate these trusts. All of the loans in these trusts were originated during 2015. During the three and nine months ended September 30, 2020, we did not sell any of our investment in these trusts. During the year ended December 31, 2019, we did not sell any of our investment in these trusts. The following table details the carrying value for residential mortgage loans held-for-investment through consolidated securitization trusts at September 30, 2020 and December 31, 2019: September 30, December 31, 2020 2019 (in thousands) Principal balance $ 317,233 $ 456,768 Unamortized premium and costs 801 1,755 Allowance for loan losses (147) (175) Carrying value $ 317,887 $ 458,348 The following table provides a reconciliation of the carrying value of residential mortgage loans held-for-investment through consolidated securitization trusts for the three and nine months ended September 30, 2020 and September 30, 2019 and for the year ended December 31, 2019: Three Months Nine Months Three Months Nine Months For the Year Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, December 31, 2020 2020 2019 2019 2019 (in thousands) Balance at beginning of period $ 367,539 $ 458,348 $ 514,749 $ 549,016 $ 549,016 Deductions during period: Collections of principal (49,351) (139,535) (30,724) (64,169) (89,113) Principal paydowns and other deductions (301) (954) (377) (1,210) (1,566) Provision for credit losses — (594) — — — Charge-offs, net — 622 — 11 11 Balance at end of period $ 317,887 $ 317,887 $ 483,648 $ 483,648 $ 458,348 The following table details various portfolio characteristics of the residential mortgage loans held-for-investment through consolidated securitization trusts at September 30, 2020 and December 31, 2019: September 30, December 31, 2020 2019 (dollar amounts in thousands) Portfolio Characteristics: Number of loans 500 704 Current principal balance $ 317,233 $ 456,768 Average loan balance $ 634 $ 649 Net weighted average coupon rate 3.83 % 3.87 % Weighted average maturity (years) 23.5 24.3 Weighted average FICO score 761 762 Current Performance: Current $ 307,755 $ 452,875 30 days delinquent 3,613 2,122 60 days delinquent 1,683 726 90+ days delinquent 4,182 1,045 Bankruptcy/foreclosure — — Total $ 317,233 $ 456,768 The following table summarizes the geographic concentrations of residential mortgage loans held-for-investment through consolidated securitization trusts at September 30, 2020 and December 31, 2019, based on principal balance outstanding: September 30, December 31, State 2020 2019 California 43 % 43 % Florida 7 7 Texas 5 — Other states (none greater than 5%) 45 50 Total 100 % 100 % Allowance for Loan Losses on Residential Mortgage Loans Held by Consolidated Securitization Trusts As discussed in Note 1, “Summary of Significant Accounting Policies,” the Company establishes and maintains an allowance for loan losses on residential mortgage loans held by consolidated securitization trusts based on the Company’s estimate of credit losses. The following table summarizes the activity in the allowance for loan losses for the three and nine months ended September 30, 2020 and September 30, 2019 and for the year ended December 31, 2019: Three Months Nine Months Three Months Nine Months Year Ended Ended Ended Ended Ended September 30, September 30, September 30 September 30, December 31, 2020 2020 2019 2019 2019 (in thousands) Balance at beginning of period $ 147 $ 175 $ 175 $ 186 $ 186 Impact of adopting ASC 326 — — — — — Provision for credit losses — 594 — — — Charge-offs, net — (622) — (11) (11) Balance at end of period $ 147 $ 147 $ 175 $ 175 $ 175 Asset-Backed Securities Issued by Securitization Trusts Asset-backed securities issued by securitization trusts are recorded at principal balances net of unamortized premiums and discounts. Asset-backed securities issued by securitization trusts are issued in various tranches and had a principal balance of $309.2 million at September 30, 2020 and $449.0 million at December 31, 2019. The investors in the asset-backed securities are not affiliated with the Company and have no recourse to the general credit of the Company. |
Residential Properties
Residential Properties | 9 Months Ended |
Sep. 30, 2020 | |
Residential Properties | |
Residential Properties | NOTE 6. RESIDENTIAL PROPERTIES At September 30, 2020, we owned 82 single-family residential properties, which are all located in Southeastern Florida, and are carried at a total cost, net of accumulated depreciation, of approximately $12.8 million. At December 31, 2019, we owned 85 properties at a net cost of approximately $13.5 million. The income from these properties is included in our consolidated statements of operations as “Income-rental properties.” The expenses on these properties are included in our consolidated statements of operations in “Rental properties depreciation and expenses.” During the three months ended September 30, 2020, we sold one property and realized a gain of approximately $78 thousand. During the nine months ended September 30, 2020, we sold three properties and realized a gain of approximately $201 thousand. |
Short-Term Debt
Short-Term Debt | 9 Months Ended |
Sep. 30, 2020 | |
Repurchase Agreements | |
Short-Term Debt | NOTE 7. SHORT-TERM DEBT We have entered into repurchase agreements. The repurchase agreements that we use to finance most of our MBS are short-term borrowings that are secured by the market value of our MBS and bear fixed interest rates that have historically been based upon LIBOR. We have also entered into a warehouse line of credit with a large financial institution. Warehouse lines of credit are short-term borrowings (generally less than 1 year) that are used to finance the residential mortgage loans that are held-for-securitization. At September 30, 2020 and December 31, 2019, we had borrowed $101.7 million and $133.8 million, respectively, against this warehouse line of credit. The residential mortgage loans held-for-securitization are held as collateral for this warehouse line of credit. As of June 30, 2020, we were not in compliance with one of the covenants under this warehouse line of credit due to the negative impact of the COVID-19 coronavirus pandemic on our stockholders’ equity. In July 2020, we received a waiver by the lender of the non-compliance at June 30, 2020. At September 30, 2020, we were in compliance with the revised covenants under this warehouse line of credit, and we currently expect to maintain compliance with the covenants under this agreement. Repurchase Agreements At September 30, 2020 and December 31, 2019, the repurchase agreements had the following balances, weighted average interest rates, and remaining weighted average maturities: September 30, 2020 Agency MBS Non-Agency MBS Total MBS Weighted Weighted Weighted Average Average Average Interest Interest Interest Balance Rate Balance Rate Balance Rate (in thousands) (in thousands) Overnight $ — — % $ — — % $ — — % Less than 30 days 915,000 0.22 55,783 2.00 970,783 0.32 30 days to 90 days 450,000 0.23 36,961 2.08 486,961 0.37 Over 90 days — — 6,849 3.00 6,849 3.00 Demand — — — — — — $ 1,365,000 0.22 % $ 99,593 2.10 % $ 1,464,593 0.35 % Weighted average maturity 25 days 43 days 26 days Weighted average interest rate after adjusting for interest rate swaps 1.44 % Weighted average maturity after adjusting for interest rate swaps 1,091 days MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 1,440,188 $ 161,184 $ 1,601,372 December 31, 2019 Agency MBS Non-Agency MBS Total MBS Weighted Weighted Weighted Average Average Average Interest Interest Interest Balance Rate Balance Rate Balance Rate (in thousands) (in thousands) (in thousands) Overnight $ — — % $ — — % $ — — % Less than 30 days 1,680,000 2.04 427,873 2.80 2,107,873 2.20 30 days to 90 days 1,550,000 1.89 — — 1,550,000 1.89 Over 90 days — — — — — — Demand — — — — — — $ 3,230,000 1.97 % $ 427,873 2.80 % $ 3,657,873 2.07 % Weighted average maturity 30 days 11 days 28 days Weighted average interest rate after adjusting for interest rate swaps 2.13 % Weighted average maturity after adjusting for interest rate swaps 978 days MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 3,419,375 $ 535,315 $ 3,954,690 For additional information on repurchase agreements, see the section in Note 1 entitled “Repurchase Agreements.” The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) only in the event of default on a contract at September 30, 2020 and December 31, 2019 (see Notes 1, 9, and 15 to our accompanying unaudited consolidated financial statements for more information on the Company’s interest rate swaps and other derivative instruments): September 30, 2020 Net Amounts of Assets Gross Amounts Not Offset Gross Amounts or Liabilities in the Balance Sheets (1) of Recognized Gross Amounts Presented in Cash Assets or Offset in the the Balance Financial Collateral Net Liabilities Balance Sheets Sheets Instruments Received Amounts (in thousands) Derivative assets at fair value (2) $ 1,609 $ — $ 1,609 $ (1,609) $ 1,330 $ 279 Total $ 1,609 $ — $ 1,609 $ (1,609) $ 1,330 $ 279 Repurchase agreements (3) $ 1,464,593 $ — $ 1,464,593 $ (1,464,593) $ — $ — Warehouse line of credit 101,722 — 101,722 (101,722) — — Derivative liabilities at fair value (2) 88,723 — 88,723 (88,723) — — Total $ 1,655,038 $ — $ 1,655,038 $ (1,655,038) $ — $ — December 31, 2019 Net Amounts of Assets Gross Amounts Not Offset Gross Amounts or Liabilities in the Balance Sheets (1) of Recognized Gross Amounts Presented in Cash Assets or Offset in the the Balance Financial Collateral Net Liabilities Balance Sheets Sheets Instruments Received Amounts (in thousands) Derivative assets at fair value (2) $ 5,833 $ — $ 5,833 $ (5,833) $ 367 $ (5,466) Total $ 5,833 $ — $ 5,833 $ (5,833) $ 367 $ (5,466) Repurchase agreements (3) $ 3,657,873 $ — $ 3,657,873 $ (3,657,873) $ — $ — Warehouse line of credit 133,811 — 133,811 (133,811) — — Derivative liabilities at fair value (2) 52,197 — 52,197 (52,197) — — Total $ 3,843,881 $ — $ 3,843,881 $ (3,843,881) $ — $ — (1) Amounts presented are limited to collateral pledged sufficient to reduce the related net amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. (2) At September 30, 2020, we had paid approximately $124.0 million on swap and TBA Agency MBS margin calls (included in “Restricted cash”) and we had received cash from counterparties of approximately $1.3 million, which is shown in “Derivative counterparty margin” on our consolidated balance sheets. Our TBA Agency MBS derivatives were approximately $1.6 million in derivative assets at September 30, 2020. Our swap derivatives were approximately $88.7 million in derivative liabilities at September 30, 2020. At December 31, 2019, we had paid approximately $104.7 million on swap and TBA Agency MBS margin calls (included in “Restricted cash”) and we had received cash from counterparties of approximately $367 thousand, which is shown as “Derivative counterparty margin” on our consolidated balance sheets. Our swap derivatives were approximately $5.3 million in derivative assets and approximately $52.2 million in derivative liabilities at December 31, 2019. (3) At September 30, 2020, we had pledged approximately $1.44 billion in Agency MBS and approximately $161 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2019, we had pledged approximately $3.42 billion in Agency MBS and approximately $535 million in Non-Agency MBS as collateral on our repurchase agreements. |
Junior Subordinated Notes
Junior Subordinated Notes | 9 Months Ended |
Sep. 30, 2020 | |
Debt Disclosure [Abstract] | |
Junior Subordinated Notes | NOTE 8. JUNIOR SUBORDINATED NOTES On March 15, 2005, we issued $37,380,000 of junior subordinated notes to a newly-formed statutory trust, Anworth Capital Trust I, organized by us under Delaware law. The trust issued $36,250,000 in trust preferred securities to unrelated third party investors. Both the notes and the trust preferred securities require quarterly payments and bear interest at the prevailing three-month LIBOR rate plus 3.10%, reset quarterly. The first interest payments were made on June 30, 2005 . Both the notes and the trust preferred securities will mature in 2035 and are currently redeemable, at our option, in whole or in part, without penalty. We used the net proceeds of this private placement to invest in Agency MBS. We have reviewed the structure of the transaction under ASC 810-10 and concluded that Anworth Capital Trust I does not meet the requirements for consolidation. As of the date of this filing, we have not redeemed any of the notes or trust preferred securities. |
Fair Values of Financial Instru
Fair Values of Financial Instruments | 9 Months Ended |
Sep. 30, 2020 | |
Fair Values of Financial Instruments | |
Fair Values of Financial Instruments | NOTE 9. FAIR VALUES OF FINANCIAL INSTRUMENTS As defined in ASC 820-10, fair value is the price that would be received from the sale of an asset or paid to transfer or settle a liability in an orderly transaction between market participants in the principal (or most advantageous) market for the asset or liability. ASC 820-10 establishes a fair value hierarchy that ranks the quality and reliability of the information used to determine fair values. The outbreak of the COVID-19 coronavirus pandemic has caused much volatility in the prices for financial instruments. The concept of fair value measurement assumes an orderly transaction between market participants, which is where both participants are willing to transact and allow for adequate exposure to the market. The determination of fair value requires significant judgment. The information provided below as to how we obtained our fair values and the procedures we used should be read in this context. Financial assets and liabilities carried at fair value are classified and disclosed in one of the three following categories: Level 1: Quoted market prices in active markets for identical assets or liabilities. Level 2: Observable market based inputs or unobservable inputs that are corroborated by market data. This includes those financial instruments that are valued using models or other valuation methodologies where substantially all of the assumptions are observable in the marketplace, can be derived from observable market data or are supported by observable levels at which transactions are executed in the marketplace. The valuation techniques, including the judgments or assumptions that are used by us in arriving at the fair value of our MBS and derivative instruments, are as follows: The fair values for Agency MBS and TBA Agency MBS are based primarily on independent third-party pricing service quotes, which are deemed indicative of market activity. The third-party pricing services use commonly used market pricing methodology that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, loan age, collateral type, periodic and life cap, geography, and prepayment speeds. We evaluate the pricing information we receive taking into account factors such as coupon, prepayment experience, fixed-rate/adjustable rate, coupon index, time to reset, and issuing agency, among other factors. Based on these factors and our market knowledge and expertise, bond prices are compared to prices of similar securities and our own observations of trading activity in the marketplace. The fair values for Non-Agency MBS are based primarily on prices from independent pricing services and from independent well-known major financial brokers that make markets in these instruments. We understand that these market participants use pricing models that not only consider the characteristics of the type of security and its underlying collateral from observable market data but also consider the historical performance data of the underlying collateral of the security, including loan delinquency, loan losses, and credit enhancement. To validate the prices the Company obtains, we consider and review a number of observable market data points including trading activity in the marketplace, and current market intelligence on all major markets, including benchmark security evaluations and bid list results from various sources. We compare the prices received from brokers against the prices received from pricing services and vice- versa and also against our own internal models for reasonableness and make inquiries to the brokers and pricing services about the prices received from these parties and their methods. For derivative instruments, the fair value is determined as follows: For all centrally cleared interest rate swaps (those entered into after September 9, 2013) pricing is provided by the central counterparty (large central clearing exchanges such as the Chicago Mercantile Exchange, or CME, and LCH). These entities use pricing models that reference the underlying rates including the overnight index swap rate and LIBOR forward rate to produce the daily settlement price. To validate the prices for all interest rate swaps, we compare to other sources, such as Bloomberg. Accordingly, our MBS and derivative instruments are classified as Level 2 in the fair value hierarchy. Level 3: Unobservable inputs that are not corroborated by market data. This is comprised of financial instruments whose fair value is estimated based on internally developed models or methodologies utilizing significant inputs that are generally less readily observable from objective sources. In determining the appropriate levels, we perform a detailed analysis of the assets and liabilities that are subject to ASC 820-10. At each reporting period, all assets and liabilities for which the fair value measurement is based on significant unobservable inputs are classified as Level 3. At September 30, 2020, fair value measurements on a recurring basis were as follows: September 30, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Agency MBS (1) $ — $ 1,609,761 $ — $ 1,609,761 Non-Agency MBS (1) $ — $ 198,586 $ — $ 198,586 Derivative instruments (2) $ — $ 1,609 $ — $ 1,609 Liabilities: Derivative instruments (2) $ — $ 88,723 $ — $ 88,723 At December 31, 2019, fair value measurements on a recurring basis were as follows: December 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Agency MBS (1) $ — $ 3,510,051 $ — $ 3,510,051 Non-Agency MBS (1) $ — $ 643,610 $ — $ 643,610 Derivative instruments (2) $ — $ 5,833 $ — $ 5,833 Liabilities: Derivative instruments (2) $ — $ 52,197 $ — $ 52,197 (1) For more detail about the fair value of our MBS by agency and type of security, see Note 3, “Mortgage-Backed Securities,” to our accompanying unaudited consolidated financial statements. (2) Derivative instruments include discontinued hedges under ASC 815-10. For more detail about our derivative instruments, see Note 1, “Organization and Significant Accounting Policies,” and Note 15, “Derivative Instruments,” to our accompanying unaudited consolidated financial statements. At September 30, 2020 and December 31, 2019, cash and cash equivalents, investments in U.S. Treasury bills, restricted cash, interest receivable, repurchase agreements, reverse repurchase agreements, warehouse line of credit, and interest payable, are reflected in our consolidated financial statements at cost, which approximates fair value. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value on our consolidated balance sheets at September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 Carrying Estimated Carrying Estimated Value Fair Value Value Fair Value (in thousands) Financial Assets: Residential mortgage loans held-for-investment through consolidated securitization trusts $ 317,887 $ 325,413 $ 458,348 $ 461,606 Residential mortgage loans held-for-securitization $ 123,247 $ 121,639 $ 152,922 $ 154,442 Financial Liabilities: Asset-backed securities issued by securitization trusts $ 309,173 $ 315,042 $ 448,987 $ 450,501 The residential mortgage loans held-for-investment and held-for-securitization are carried at unpaid principal balances net of any premiums or discounts and allowances for loan losses. Asset-backed securities issued by securitization trusts are carried at principal balances net of unamortized premiums or discounts. Warehouse lines of credit are carried at principal balance net of any unamortized debt issuance costs. For residential mortgage loans held-for-investment, fair values are obtained by an independent broker and are considered Level 2 in the fair value hierarchy. For residential mortgage loans held-for-securitization, fair values are obtained from an independent pricing service and are considered Level 2 in the fair value hierarchy. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2020 | |
Income Taxes | |
Income Taxes | NOTE 10. INCOME TAXES We have elected to be taxed as a REIT and to comply with the provisions of the Code with respect thereto. Accordingly, we will not be subject to federal or state income taxes to the extent that our distributions to stockholders satisfy the REIT requirements and that certain asset, gross income and stock ownership tests are met. We believe that we currently meet all REIT requirements regarding these tests. Therefore, we believe that we continue to qualify as a REIT under the provisions of the Code. |
Series B Cumulative Convertible
Series B Cumulative Convertible Preferred Stock | 9 Months Ended |
Sep. 30, 2020 | |
Equity | |
Series B Cumulative Convertible Preferred Stock | NOTE 11. SERIES B CUMULATIVE CONVERTIBLE PREFERRED STOCK Our Series B Preferred Stock has a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The holders of our Series B Preferred Stock must receive dividends at a rate of 6.25% per year on the $25.00 liquidation preference before holders of our common stock are entitled to receive any dividends. Our Series B Preferred Stock is senior to our common stock and on parity with our 8.625% Series A Cumulative Preferred Stock, or Series A Preferred Stock, and our 7.625% Series C Cumulative Redeemable Preferred Stock, or Series C Preferred Stock, with respect to the payment of distributions and amounts, upon liquidation, dissolution or winding up. So long as any shares of our Series B Preferred Stock remain outstanding, we will not, without the affirmative vote or consent of the holders of at least two -thirds of the shares of our Series B Preferred Stock outstanding at the time, authorize or create, or increase the authorized or issued amount of, any class or series of capital stock ranking senior to our Series B Preferred Stock with respect to the payment of dividends or the distribution of assets upon liquidation, dissolution, or winding-up. Our Series B Preferred Stock has no maturity date, is not redeemable and is convertible at the then-current conversion rate into shares of our common stock per $25.00 liquidation preference. The conversion rate is adjusted in any fiscal quarter in which the cash dividends paid to common stockholders results in an annualized common stock dividend yield that is greater than 6.25%. The conversion ratio is also subject to adjustment upon the occurrence of certain specific events, such as a change in control. Our Series B Preferred Stock is convertible into shares of our common stock at the option of the holder(s) of Series B Preferred Stock at any time at the then-prevailing conversion rate. On or after January 25, 2012 , we may, at our option, under certain circumstances, convert each share of Series B Preferred Stock into a number of shares of our common stock at the then-prevailing conversion rate. We may exercise this conversion option only if our common stock price equals or exceeds 130% of the then-prevailing conversion price of our Series B Preferred Stock for at least twenty (20) trading days in a period of thirty (30) consecutive trading days (including the last trading day of such period) ending on the trading day immediately prior to our issuance of a press release announcing the exercise of the conversion option. During the three months ended September 30, 2020, we did not, at our option, convert any shares of Series B Preferred Stock. Our Series B Preferred Stock contains certain fundamental change provisions that allow the holder to redeem our Series B Preferred Stock for cash if certain events occur, such as a change in control. Our Series B Preferred Stock generally does not have voting rights, except if dividends on the Series B Preferred Stock are in arrears for six or more quarterly periods (whether or not consecutive). Under such circumstances, the holders of our Series B Preferred Stock, together with the holders of our Series A Preferred Stock and our Series C Preferred Stock, would be entitled to elect two additional directors to our Board to serve until all unpaid dividends have been paid or declared and set aside for payment. In addition, certain material and adverse changes to the terms of our Series B Preferred Stock may not be taken without the affirmative vote of at least two-thirds of the outstanding shares of Series B Preferred Stock, Series A Preferred Stock, and Series C Preferred Stock voting together as a single class. Through September 30, 2020, we have declared and set aside for payment the required dividends for our Series B Preferred Stock. During the three months ended September 30, 2020, there were no transactions to convert shares of our Series B Preferred Stock into shares of our common stock. |
Public Offerings and Capital St
Public Offerings and Capital Stock | 9 Months Ended |
Sep. 30, 2020 | |
Equity | |
Public Offerings and Capital Stock | NOTE 12. PUBLIC OFFERINGS AND CAPITAL STOCK At September 30, 2020, our authorized capital included 200,000,000 shares of common stock, of which 99,140,394 shares were issued and outstanding. At September 30, 2020, our authorized capital included 20,000,000 shares of $0.01 par value preferred stock, of which 5,150,000 shares had been designated 8.625% Series A Cumulative Preferred Stock (liquidation preference $25.00 per share), 3,150,000 shares had been designated 6.25% Series B Cumulative Convertible Preferred Stock (liquidation preference $25.00 per share), and 5,000,000 shares had been designated 7.625% Series C Cumulative Redeemable Preferred Stock (liquidation preference $25.00 per share). The Series A Preferred Stock has no maturity date and we are not required to redeem it at any time. We may redeem the Series A Preferred Stock for cash, at our option, in whole or from time to time in part, at a redemption price of $25.00 per share, plus accrued and unpaid dividends, if any, to the redemption date. To date, we have not redeemed any shares of our Series A Preferred Stock. The undesignated shares of preferred stock may be issued in one or more classes or series with such distinctive designations, rights, and preferences as determined by our Board. At September 30, 2020, there were 1,919,378 shares of Series A Preferred Stock issued and outstanding, 779,743 shares of Series B Preferred Stock issued and outstanding, and 2,010,278 shares of Series C Preferred Stock issued and outstanding. On January 27, 2015, we completed a public offering of 300,000 shares of our Series C Preferred Stock at a public offering price of $24.50 per share and received net proceeds of approximately $7 million. The shares were sold pursuant to the Company’s effective shelf registration statement on Form S-3 On August 10, 2016, we entered into an At Market Issuance Sales Agreement, or the FBR Sales Agreement, with FBR Capital Markets & Co., or FBR, pursuant to which we may offer and sell from time to time through FBR as our agent, up to $196,615,000 maximum aggregate amount of our common stock, Series B Preferred Stock, and Series C Preferred Stock, in such amounts as we may specify by notice to FBR, in accordance with the terms and conditions set forth in the FBR Sales Agreement. During the three months ended September 30, 2020, we did not sell any shares of our Series B Preferred Stock, Series C Preferred Stock, or common stock under the FBR Sales Agreement. At September 30, 2020, there was approximately $152.1 million available for sale and issuance under the FBR Sales Agreement. On October 3, 2011, we announced that our Board had authorized a share repurchase program which permits us to acquire up to 2,000,000 shares of our common stock. The shares are expected to be acquired at prevailing prices through open market transactions. The manner, price, number, and timing of share repurchases will be subject to market conditions and applicable rules of the U.S. Securities and Exchange Commission, or the SEC. Subsequently, our Board authorized the Company to acquire an aggregate of an additional 45,000,000 shares (pursuant to six separate authorizations) between December 13, 2013 and January 22, 2016. Our Board also authorized the Company to purchase an amount of our common stock up to the amount of common stock sold through our Dividend Reinvestment and Stock Purchase Plan. In December 2019, our Board decided to no longer include the amount of common stock sold through our Dividend Reinvestment and Stock Purchase Plan as stock available for repurchase. During the three months ended September 30, 2020, we did not repurchase any shares of our common stock under our share repurchase program. Our Dividend Reinvestment and Stock Purchase Plan allows stockholders and non-stockholders to purchase shares of our common stock and to reinvest dividends therefrom to acquire additional shares of our common stock. On March 15, 2018, we filed a shelf registration statement on Form S-3 with the SEC registering up to 15,303,119 shares of our common stock for our 2018 Dividend Reinvestment and Stock Purchase Plan, or the 2018 DRP Plan. During the three months ended September 30, 2020, we issued an aggregate of 93,014 shares of our common stock at a weighted average price of $1.79 per share under the 2018 DRP Plan, resulting in proceeds to us of approximately $167 thousand. On August 5, 2014, we filed a registration statement on Form S-8 On April 4, 2019, we filed a shelf registration statement on Form S-3 |
Transactions with Affiliates
Transactions with Affiliates | 9 Months Ended |
Sep. 30, 2020 | |
Transactions with Affiliates | |
Transactions with Affiliates | NOTE 13. TRANSACTIONS WITH AFFILIATES Management Agreement and Externalization Effective as of December 31, 2011, we entered into the Management Agreement with our Manager, pursuant to which our day-to-day operations are being conducted by our Manager. Our Manager is supervised and directed by our Board and is responsible for (i) the selection, purchase, and sale of our investment portfolio; (ii) our financing and hedging activities; and (iii) providing us with portfolio management, administrative, and other services relating to our assets and operations as may be appropriate. Our Manager will also perform such other services and activities relating to our assets and operations as described in the Management Agreement. In exchange for services provided, our Manager receives a management fee, paid monthly in arrears, in an amount equal to one-twelfth of 1.20% of our Equity (as defined in the Management Agreement). On the effective date of the Management Agreement, the employment agreements with our executives were terminated, our employees became employees of our Manager, and we took such other actions as we believed were reasonably necessary to implement the Management Agreement and externalize our management function. Mr. Joseph E. McAdams, our Chief Executive Officer and President and the Chief Investment Officer of our Manager, beneficially owns 47.4% of the outstanding membership interests of our Manager; Mr. Lloyd McAdams, one of our directors, beneficially owns 47.4% of the outstanding membership interests of our Manager; and Ms. Heather U. Baines, an Executive Vice President of our Manager, beneficially owns 5.2% of the outstanding membership interests of our Manager. The Management Agreement may be terminated without cause, as defined in the agreement, after the expiration of any annual renewal term. We are required to provide 180-days’ prior notice of non-renewal of the Management Agreement and must pay a termination fee on the last day of any automatic renewal term equal to three times the average annual management fee earned by our Manager during the prior 24-month period immediately preceding the most recently completed month prior to the effective date of termination. We may only not renew the Management Agreement with or without cause with the consent of the majority of our independent directors. These provisions make it difficult to terminate the Management Agreement and increase the effective cost to us of not renewing the Management Agreement. Certain of our former officers and employees were previously granted restricted stock and other equity awards (see Note 14, “Equity Compensation Plan,” to our accompanying unaudited consolidated financial statements for more information), including dividend equivalent rights, in connection with their service to us, and certain of our former officers and employees had agreements under which they would receive payments if the Company is subject to a change in control (which is also discussed below). The officers and employees of our Manager will continue to be eligible to receive equity awards under equity compensation plans in effect now or in the future. Messrs. Joseph E. McAdams, Charles J. Siegel, John T. Hillman, and Ms. Heather U. Baines and others are officers and employees of PIA Farmland, Inc. and its external manager, PIA, where they devote a portion of their time. PIA Farmland, Inc., a privately-held real estate investment trust investing in U.S. farmland properties to lease to independent farm operators, was incorporated in February 2013 and acquired its first farm property in October 2013. These officers and employees are under no contractual obligations to PIA Farmland, Inc., its external manager, PIA, or to Anworth or its external manager, Anworth Management LLC, as to their time commitment. Change in Control and Arbitration Agreements On June 27, 2006, we entered into Change in Control and Arbitration Agreements with Mr. Charles J. Siegel, our Chief Financial Officer, and with various officers and employees of our Manager. These agreements provide that should a change in control (as defined in the agreements) occur, each of these persons will receive certain severance and other benefits valued as of December 31, 2011. Under these agreements, in the event that a change in control occurs, each of these persons will receive a lump sum payment equal to (i) 12 months annual base salary in effect on December 31, 2011, plus (ii) the average annual incentive compensation received for the two complete fiscal years prior December 31, 2011, plus (iii) the average annual bonus received for the two complete fiscal years prior to December 31, 2011, as well as other benefits. For one of the Senior Vice Presidents and Portfolio Managers of our Manager, in the event that a change in control occurs, in addition to other benefits, he will receive a lump sum payment equal to (i) 12 months of the annual base salary (in effect on September 18, 2014) paid by our Manager plus (ii) $350,000. The Change in Control and Arbitration Agreements also provide for accelerated vesting of equity awards granted to these persons upon a change in control. Agreements with Pacific Income Advisers, Inc. On January 26, 2012, we entered into a sublease agreement that became effective on July 1, 2012 with PIA. Under the sublease agreement, we lease, on a pass-through basis, 7,300 square feet of office space from PIA at the same location and pay rent at an annual rate equal to PIA’s obligation, which is currently $73.65 per square foot. The base monthly rental for us is $44,802.57, which will be increased by 3% per annum on July 1, 2021. The sublease agreement runs through June 30, 2022 unless earlier terminated pursuant to the master lease. During the three and nine months ended September 30, 2020, we expensed $143 thousand and $430 thousand, respectively, in rent and related expenses to PIA under this sublease agreement, which is included in “General and administrative expenses” on our consolidated statements of operations. During the three and nine months ended September 30, 2019, we expensed $143 thousand and $422 thousand, respectively, in rent and related expenses to PIA under this sublease agreement. At September 30, 2020, the future minimum lease commitment was as follows: Total 2020 2021 2022 Commitment (in thousands) Commitment (undiscounted cash flows) $ 134 $ 545 $ 277 $ 956 Discounted cash flows on the lease commitment (1) $ 129 $ 516 $ 257 $ 902 (1) The difference between the total commitment amount and the amount on our consolidated balance sheets is due to the amortization of the lease asset and lease liability being done on a straight-line basis rather than by the discounted cash flows. Under our administrative services agreement with PIA, it provides administrative services and equipment to us including human resources, operational support and information technology, and we pay an annual fee of 5 basis points on the first $225 million of stockholders’ equity and 2.25 basis points thereafter (paid quarterly in arrears) for those services. The administrative services agreement had an initial term of one year and renews for successive one-year terms thereafter, unless either party gives notice of termination no less than 30 days before the expiration of the then-current annual term. We may also terminate the administrative services agreement upon 30 days prior written notice for any reason, and immediately if there is a material breach by PIA. During the three and nine months ended September 30, 2020, we paid fees of $34 thousand and $109 thousand, respectively, to PIA in connection with the administrative services agreement. During the three and nine months ended September 30, 2019, we paid fees of $43 thousand and $139 thousand, respectively, to PIA in connection with the administrative services agreement. |
Equity Compensation Plan
Equity Compensation Plan | 9 Months Ended |
Sep. 30, 2020 | |
Equity Compensation Plan | |
Equity Compensation Plan | NOTE 14. EQUITY COMPENSATION PLAN 2014 Equity Compensation Plan At our 2014 annual meeting of stockholders held on May 22, 2014, our stockholders approved the adoption of the Anworth Mortgage Asset Corporation 2014 Equity Compensation Plan, or the 2014 Equity Plan, which replaced the Anworth Mortgage Asset Corporation 2004 Equity Compensation Plan, or the 2004 Equity Plan, due to its expiration. We filed a registration statement on Form S-8 In August 2016, we granted to various officers and employees an aggregate of 146,552 performance-based restricted stock units (or phantom shares) with no associated grants of DERs. During the period commencing on the day immediately following the three-year anniversary of the grant date and ending on the ten-year anniversary of the grant date, the restricted stock units will vest on the last day of any month when the total return to stockholders (meaning the aggregate of our common stock price appreciation and dividends declared, assuming full reinvestment of such dividends) exceeds 10% per annum. During the period commencing on the grant date and ending on the last day of the calendar month after the three-year anniversary of the grant date, the restricted stock units will vest immediately upon the Grantee’s involuntary termination of service for any reason other than for cause. The closing price of the Company’s common stock on the grant date was $4.96. These grants were fully expensed as of December 31, 2019. During the three and nine months ended September 30, 2019, the amount expensed on these grants was approximately $21 thousand and $62 thousand, respectively. In December 2017, we issued to various officers and employees an aggregate of 162,613 performance-based restricted stock units (or phantom shares) with no associated grants of DERs. During the period commencing on the day immediately following the three-year anniversary of the grant date and ending on the ten-year anniversary of the grant date, the restricted stock units shall vest on the last day of any month when the total return to stockholders (meaning the aggregate of our common stock price appreciation and dividends declared, assuming full reinvestment of such dividends) exceeds 10% per annum. During the period commencing on the grant date and ending on the last day of the calendar month after the three-year anniversary of the grant date, the restricted stock units will vest immediately upon the grantee’s involuntary termination of service for any reason other than for cause. The closing price of the Company’s common stock on the grant date was $5.66. During the three and nine months ended September 30, 2020, the amount expensed on these grants was approximately $4 thousand and $12 thousand, respectively. The unrecognized stock expense on these grants at September 30, 2020 was approximately $124 thousand. During the three and nine months ended September 30, 2019, the amount expensed on these grants was approximately $4 thousand and $12 thousand, respectively. Certain of our former officers have previously been granted restricted stock and other equity incentive awards, including DERs, in connection with their service to us. In connection with the Externalization, certain of the agreements under which our former officers have been granted equity awards were modified so that such agreements will continue with respect to our former officers after they became officers and employees of our Manager. As a result, these awards and any future grants will be accounted for as non-employee awards. In addition, as officers and employees of our Manager, they will continue to be eligible to receive equity incentive awards under equity incentive plans in effect now or in the future. In accordance with the Externalization effective December 31, 2011, the DERs previously granted to all of our officers were terminated under the 2007 Dividend Equivalent Rights Plan and were reissued under the 2004 Equity Plan with the same amounts, terms, and conditions. The 2004 Equity Plan was subsequently replaced by the 2014 Equity Plan. Under the 2014 Equity Plan, a DER is a right to receive amounts equal in value to the dividend distributions paid on a share of our common stock. DERs are paid in either cash or shares of our common stock, whichever is specified by our Compensation Committee at the time of grant, at such times as dividends are paid on shares of our common stock during the period between the date a DER is issued and the date the DER expires or earlier terminates. These DERs are not attached to any stock and only have the right to receive the same cash distribution per common share distributed to our common stockholders during the term of the grant. All of these grants have a five-year term from the date of the grant. During the three and nine months ended September 30, 2020, we paid or accrued $34 thousand and $103 thousand, respectively, related to DERs granted. At September 30, 2020, there were 754,611 DERs issued and outstanding |
Derivative Instruments
Derivative Instruments | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments | |
Derivative Instruments | NOTE 15. DERIVATIVE INSTRUMENTS The table below presents the fair value of our derivative instruments as well as their classification in our consolidated balance sheets as of September 30, 2020 and December 31, 2019: September 30, December 31, Derivative Instruments Balance Sheet Location 2020 2019 (in thousands) Interest rate swaps Derivative Assets $ — $ 5,302 TBA Agency MBS Derivative Assets 1,609 531 $ 1,609 $ 5,833 Interest rate swaps Derivative Liabilities 88,723 52,197 $ 88,723 $ 52,197 Interest Rate Swap Agreements At September 30, 2020, we were a counterparty to interest rate swaps, which are derivative instruments as defined by ASC 815-10, with an aggregate notional amount of $765 million and a weighted average maturity of approximately 70 months. We utilize interest rate swaps to manage interest rate risk relating to our repurchase agreements and do not anticipate entering into derivative transactions for speculative or trading purposes. In accordance with the interest rate swaps, we pay a fixed-rate of interest during the term of the interest rate swaps (ranging from 1.5455% to 3.2205%) and receive a payment that varies with the three-month LIBOR rate. During the three months ended September 30, 2020, we did not enter into any new interest rate swaps. During the three months ended September 30, 2020, two interest rate swaps with an aggregate notional amount of $150 million matured or were terminated. At September 30, 2020, the amount in AOCI relating to interest rate swaps was approximately $4.9 million. The estimated net amount of the existing losses that were reported in AOCI at September 30, 2020 that is expected to be reclassified into earnings within the next twelve months is approximately $2.3 million. For the three months ended September 30, 2020 and September 30, 2019, we had a loss of approximately $0.3 million and a loss of approximately $28.7 million, respectively, on interest rate swaps. For the nine months ended September 30, 2020 and September 30, 2019, we had a loss of approximately $110.3 million and a loss of approximately $120.1 million, respectively, on interest rate swaps. At September 30, 2020 and December 31, 2019, our interest rate swaps (which were all done through the central clearing houses) had the following notional amounts, weighted average fixed rates, and remaining terms: September 30, 2020 December 31, 2019 Weighted Weighted Average Remaining Average Remaining Notional Fixed Term in Notional Fixed Term in Maturity Amount Rate Months Amount Rate Months (in thousands) (in thousands) Less than 1 year $ 50,000 1.86 % 1 $ 541,000 1.70 % 7 1 year to 2 years — — — 190,000 1.63 21 2 years to 3 years — — — 335,000 1.65 34 3 years to 4 years 50,000 1.55 37 295,000 1.71 45 4 years to 5 years 250,000 1.84 60 550,000 2.18 61 5 years to 7 years 365,000 2.75 86 390,000 2.51 85 7 years to 10 years 50,000 3.22 99 200,000 2.94 103 $ 765,000 2.34 % 70 $ 2,501,000 2.02 % 48 TBA Agency MBS We also enter into TBA contracts and will recognize a gain or loss on the sale of the contracts or dollar roll income. See the section in Note 1, “Organization and Significant Accounting Policies – Derivative Financial Instruments – Risk Management,” for more information on TBA Agency MBS. During the three and nine months ended September 30, 2020, we recognized a gain on derivatives-TBA Agency MBS (including derivative income) of approximately $4.3 million and $19.4 million, respectively. During the three and nine months ended September 30, 2019, we recognized a gain on derivatives-TBA Agency MBS (including derivative income) of approximately $4.0 million and $14.6 million, respectively. The types of securities involved in these TBA contracts are Fannie Mae 30-year fixed-rate securities with coupons generally ranging from 2% to 3%. At September 30, 2020, the net notional amount of the TBA Agency MBS was $700 million. For more information on our accounting policies, the objectives, and risk exposures relating to derivatives and hedging agreements, see the section on “Derivative Financial Instruments” in Note 1, “Organization and Significant Accounting Policies.” For more information on the fair value of our interest rate swaps, see Note 9, “Fair Values of Financial Instruments,” to our accompanying unaudited consolidated financial statements. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2020 | |
Commitments And Contingencies | |
Commitments and Contingencies | NOTE 16. COMMITMENTS AND CONTINGENCIES Lease Commitment and Administrative Services Commitment — We sublease office space and use administrative services from PIA as more fully described in Note 13, “Transactions With Affiliates.” |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | NOTE 17. EARNINGS PER SHARE The computation of earnings per share, or EPS, for the three and nine months ended September 30, 2020 and September 30, 2019 was as follows: Net Income (Loss) to Common Average Income (Loss) Stockholders Shares per Share (in thousands) For the three months ended September 30, 2020 Basic EPS $ 19,572 99,108 $ 0.20 Effect of dilutive securities 305 4,680 (0.01) Diluted EPS $ 19,877 103,788 $ 0.19 For the three months ended September 30, 2019 Basic EPS $ (19,789) 98,739 $ (0.20) Effect of dilutive securities — — — Diluted EPS $ (19,789) 98,739 $ (0.20) Net (Loss) to Common Average (Loss) Stockholders Shares per Share (in thousands) For the nine months ended September 30, 2020 Basic EPS $ (134,004) 98,995 $ (1.35) Effect of dilutive securities — — — Diluted EPS $ (134,004) 98,995 $ (1.35) For the nine months ended September 30, 2019 Basic EPS $ (92,054) 98,638 $ (0.93) Effect of dilutive securities — — — Diluted EPS $ (92,054) 98,638 $ (0.93) |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2020 | |
Subsequent Events | |
Subsequent Events | NOTE 18. SUBSEQUENT EVENTS None. |
Organization and Significant _2
Organization and Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2020 | |
Organization and Significant Accounting Policies | |
Basis of Presentation and Consolidation | BASIS OF PRESENTATION AND CONSOLIDATION The accompanying unaudited consolidated financial statements are prepared on the accrual basis of accounting in accordance with generally accepted accounting principles utilized in the United States of America, or GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Material estimates that are susceptible to change relate to the determination of the fair value of investments and derivatives, credit performance of residential mortgage loans, amortization of security and loan premiums, accretion of security and loan discounts, allowance for credit losses, and accounting for derivative activities. The outbreak of the COVID-19 coronavirus pandemic has negatively affected the economy and the longer-term effects on our business are currently unknown. Our material estimates cited above are susceptible to change, resulting from the economic effects of this pandemic. Actual results could materially differ from these estimates. In the opinion of management, all material adjustments, consisting of normal recurring adjustments, considered necessary for a fair presentation have been included. Our consolidated financial statements include the accounts of all subsidiaries. Significant intercompany accounts and transactions have been eliminated. The interim financial information in the accompanying unaudited consolidated financial statements and the notes thereto should be read in conjunction with the audited consolidated financial statements included in our Annual Report on Form 10-K The consolidated securitization trusts are VIEs because the securitization trusts do not have equity that meets the definition of GAAP equity at risk. In determining if a securitization trust should be consolidated, we evaluate (in accordance with the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, 810-10) whether it has both (i) the power to direct the activities of the securitization trust that most significantly impact its economic performance and (ii) the right to receive benefits from the securitization trust or the obligation to absorb losses of the securitization trust that could be significant. We determined that we are the primary beneficiary of certain securitization trusts because we have certain delinquency and default oversight rights on residential mortgage loans. In addition, we own the most subordinated class of ABS issued by the securitization trusts and have the obligation to absorb losses and right to receive benefits from the securitization trusts that could potentially be significant to the securitization trusts. We assess modifications, if any, to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change our initial consolidation assessment. On January 1, 2020, we adopted FASB Accounting Standards Update, or ASU, 2016-13, “Financial Instruments–Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments” (CECL). Please see the section in Note 1 under “Recently Adopted Accounting Pronouncements” for the effect of this adoption on our retained earnings as of January 1, 2020. All prior periods are shown under the previously-existing GAAP. The cumulative effect on any change to accumulated deficit at January 1, 2020 is shown in our consolidated statements of stockholders’ equity. |
Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less, including U.S. Treasury bills. The carrying amount of cash equivalents approximates their fair value. Restricted cash includes cash pledged as collateral to counterparties on various derivative transactions and cash we hold from counterparties for margin calls. |
Reverse Repurchase Agreements | Reverse Repurchase Agreements We use securities purchased under agreements to resell, or reverse repurchase agreements, as a means of investing excess cash. Although legally structured as a purchase and subsequent resale, reverse repurchase agreements are treated as financing transactions under which the counterparty pledges securities (principally U.S. treasury securities) and accrued interest as collateral to secure a loan. The difference between the purchase price that we pay and the resale price that we receive represents interest paid to us and is included in “Other interest income” on our consolidated statements of operations. It is our policy to generally take possession of securities purchased under reverse repurchase agreements at the time such agreements are made. |
Mortgage-Backed Securities | Mortgage-Backed Securities Agency MBS are securities that are obligations (including principal and interest) guaranteed by the U.S. government, such as Ginnie Mae, or guaranteed by federally sponsored enterprises, such as Fannie Mae or Freddie Mac. Our investment-grade Agency MBS portfolio is invested primarily in fixed-rate and adjustable-rate mortgage-backed pass-through certificates and hybrid adjustable-rate MBS. Hybrid adjustable-rate MBS have an initial interest rate that is fixed for a certain period, typically one We classify our Agency MBS as either trading investments or available-for sale, or AFS, investments. Our management determines the appropriate classification of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. We currently classify our Agency MBS as available- for-sale. We had previously designated a portion of our Agency MBS as trading investments. All assets that are classified as available-for-sale are carried at fair value and unrealized gains or losses are generally included in “Accumulated other comprehensive income (loss),” or AOCI, as a component of stockholders’ equity. For AFS Agency MBS that are in an unrealized loss position, we first assess whether we intend to sell, or if it is more likely than not that we will be required to sell the security before recovery of its amortized basis. If we do not intend to sell or expect recovery of the amortized cost basis, we evaluate if the decline in fair value resulted from credit losses or other factors. In making this assessment, we consider the extent to which fair value is less than amortized cost, any changes to the rating of the security by a rating agency, adverse conditions specifically related to the security, and other factors. If this assessment indicates that a credit loss exists, the present value of cash flows expected to be collected for the security are compared to its amortized cost basis. If the present value of cash flows expected to be collected is less than the amortized cost basis, a credit loss exists and an allowance for credit losses is recorded, limited by the amount that the fair value is less than the amortized cost. Any impairment that has not been recorded through an allowance for credit losses is recognized in other comprehensive income. As the payments of principal and interest on the AFS Agency MBS are guaranteed by Fannie Mae or Freddie Mac, which are under the conservatorship of the U.S. government, there is currently zero loss expectation and no allowance for credit losses is currently recorded for these securities. Agency MBS classified as trading investments are reported at fair value with unrealized gains and losses included in our consolidated statements of operations. The most significant source of our income is derived from our investments in Agency MBS. Interest income on Agency MBS is accrued based on the actual coupon rate and the outstanding principal amount of the underlying mortgages. Premiums and discounts are amortized or accreted into interest income over the estimated lives of the securities using the effective interest yield method, adjusted for the effects of actual and estimated prepayments based on ASC 320-10. Our policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, street consensus prepayment speeds, and current market conditions. If our estimate of prepayments is materially incorrect as compared to the aforementioned references, we may be required to make an adjustment to the amortization or accretion of premiums and discounts that would have an impact on future income, which could be material and adverse. The vast majority of our Non-Agency MBS had previously been accounted for under “Loans and Debt Securities Acquired with Credit Deterioration” (ASC 310-30). Under the Current Expected Loss Methodology, or CECL, debt securities previously accounted for as assets acquired with credit impairment (PCI) are treated as assets acquired with credit deterioration (PCD). Under ASC 326, PCD assets that are also available-for-sale debt securities follow the available-for-sale debt security impairment model. This compares the fair value of a security with its amortized cost. If the fair value of a security exceeds its amortized cost, there is no credit loss. If the fair value of a security is less than its amortized cost, then the security is impaired and further assessment needs to be done to determine if the decline in fair value is due to a credit loss or to other factors. The first step in this assessment process is for an entity to determine whether it had the intent to sell the security, or the ability to hold the security until the expected recovery of its amortized cost basis, or until maturity. If an entity did not have either the intent or the ability to hold the security until the expected recovery of the amortized cost basis, then the amortized cost basis is written down to the debt security’s fair value through earnings. Upon the adoption of CECL at January 1, 2020, we reviewed those Non-Agency MBS that were in an unrealized loss position to determine if there was any credit loss. In our Annual Report on Form 10-K for the year ended December 31, 2019, we stated the following: “On the Non-Agency MBS that were in an unrealized loss position, at December 31, 2019, we did not expect to sell these Non-Agency MBS at a price less than the amortized cost basis of our investments. Because the decline in market value on these Non-Agency MBS is attributable to changes in interest rate and not the credit quality of the Non-Agency MBS in our portfolio, and because we did not have the intent to sell these investments, nor is it more likely than not that we will be required to sell these investments before recovery of their amortized cost basis, which may be at maturity, we do not consider these investments to be other-than-temporarily impaired.” On January 1, 2020, when we adopted CECL, we reviewed our assessment of the Non-Agency MBS in an unrealized loss position at December 31, 2019, and concluded that there was no credit loss on these securities. Our conclusion included a review of factors such as the ratings of these securities by rating agencies, the payment structure of these securities, whether the issuer has continued to make payments of principal and interest, and review of prepayment speeds, delinquency, and default rates. At March 31, 2020, we changed the designation of our Non-Agency MBS from available-for-sale securities to trading securities. The reason for this change in designation was due to the negative effects on the economy resulting from the COVID-19 coronavirus pandemic and the high volatility in the market for Non-Agency MBS. Starting in the third week in March 2020, we began receiving requests from our repurchase agreement counterparties for margin calls, increases in the haircuts (the amount of coverage on the collateral securing the repurchase agreement financing), and higher interest rates. This all resulted from the perceived damage to the economy from the COVID-19 coronavirus pandemic. After the Federal Reserve stepped in and supported the Agency MBS market, the prices for Agency MBS stabilized. The Non-Agency MBS market was still volatile (with non-agency prices continuing to decline). We sold a substantial portion of our Non-Agency MBS in order to reduce leverage, maintain adequate liquidity, pay-down the balances on our repurchase agreement borrowings, and preserve over-collateralization for our repurchase agreement lenders. Due to the high volatility in the market for Non-Agency MBS, and the more restrictive terms by our repurchase agreement counterparties on these securities, we felt that we could no longer state that we had the intent and the ability to hold these securities until recovery of their amortized cost basis, or until maturity. Therefore, we changed the designation of these securities to trading securities as of March 31, 2020. Once an entity elects to classify a security as a trading security, it should be prepared to maintain that classification until the security is sold or matures. Transfer of securities from available-for-sale to trading securities means that the unrealized gains and losses that were in accumulated other comprehensive income are reported through earnings as unrealized gains or losses as of the date of the change in designation. Trading securities are subsequently measured at fair value, with the changes in fair value reported in income in the period the change occurs. Interest income on the Non-Agency MBS that were purchased at a discount to par value, and were rated below AA at the time of purchase, was previously recognized based on the security’s effective interest rate. The effective interest rate on these securities was based on the projected cash flows from each security, which was estimated based on our observation of current information and events, and included assumptions related to interest rates, prepayment rates, and the timing and amount of credit losses. On at least a quarterly basis, we reviewed and, if appropriate, made adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, resulted in a prospective change in the yield/interest income recognized on such securities. Actual maturities of these Non-Agency MBS was affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore, actual maturities of these securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. At March 31, 2020, we designated our Non-Agency MBS as trading securities. On a prospective basis, interest income is recognized based on the actual coupon rate and the outstanding principal amount. Securities transactions are recorded on the date the securities are purchased or sold. Realized gains or losses from securities transactions are determined based on the specific identified cost of the securities. |
Residential Mortgage Loans Held-for-Securitization | Residential Mortgage Loans Held-for-Securitization Residential mortgage loans held-for-securitization are held at our wholly-owned subsidiary, Anworth Mortgage Loans, Inc., in connection with our intent to sponsor our own securitizations. Loans purchased with the intent to securitize are recorded on the trade date. Any fees associated with acquiring the loans held-for-securitization, as well as any premium paid to acquire the loans, are deferred. These are included in the loan balance and amortized using the effective interest yield method. Interest income is recorded as income when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on non-accrual status. When a non-accrual loan has been cured, meaning when all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternatively, nonaccrual loans may be placed back on accrual status after the loan is considered re-performing, generally when the loan has been current for 6 months. We have elected not to measure an allowance for credit losses on accrued interest receivables. We establish an allowance for residential loan losses based on our estimate of credit losses. These estimates for the allowance for loan losses require consideration of various observable inputs including, but not limited to, historical loss experience, delinquency status, borrower credit scores, geographic concentrations and loan-to-value ratios, and are adjusted for current economic conditions as deemed necessary by our management. Many of these factors are subjective and cannot be reduced to a mathematical formula. In addition, since we have not incurred any significant direct losses on our portfolio, we review national historical credit performance information from external sources to assist in our analysis. Changes in our estimates can significantly impact the allowance for loan losses and provision expense. The allowance reflects management’s best estimate of the credit losses inherent in the loan portfolio at the balance sheet date. It is also possible that we will experience credit losses that are different from our current estimates or that the timing of those losses may differ from our estimates. The residential mortgage loans held-for-securitization are financed by a warehouse line of credit. The payment and performance of the obligations by Anworth Mortgage Loans under the warehouse line is guaranteed by Anworth Mortgage Asset Corporation. We may be required to remove a loan from a warehouse line of credit. We do not maintain a loan repurchase reserve, as any risk of loss due to loan repurchase would normally be covered by recourse to the companies from which we acquired the loans. Debt issuances costs incurred in connection with this line of credit (such as facility fees and legal costs) are deducted from the debt’s carrying amount and amortized ratably to interest expense over the term of the debt. |
Residential Mortgage Loans Held-for-Investment Through Consolidated Securitization Trusts | Residential Mortgage Loans Held-for-Investment Through Consolidated Securitization Trusts Residential mortgage loans held-for-investment through consolidated securitization trusts are carried at unpaid principal balances net of any premiums or discounts and allowance for loan losses. We expect that we will be required to continue to consolidate the securitization trusts that hold the residential mortgage loans. We establish an allowance for residential loan losses based on our estimate of credit losses. These estimates for the allowance for loan losses require consideration of various observable inputs including, but not limited to, historical loss experience, delinquency status, borrower credit scores, geographic concentrations and loan-to-value ratios, and are adjusted for current economic conditions as deemed necessary by our management. Many of these factors are subjective and cannot be reduced to a mathematical formula. In addition, we review national historical credit performance information from external sources to assist in our analysis. Changes in our estimates can significantly impact the allowance for loan losses and provision expense. The allowance reflects management’s best estimate of the credit losses inherent in the loan portfolio at the balance sheet date. It is also possible that we will experience credit losses that are different from our current estimates or that the timing of those losses may differ from our estimates. We have elected not to measure an allowance for credit losses on accrued interest receivables. We recognize interest income from residential mortgage loans on an accrual basis. Any related premium or discount is amortized into interest income using the effective interest method over the estimated life of these loans. Coupon interest is recognized as revenue when earned and deemed collectable or until a loan becomes more than 90 days past due, at which point the loan is placed on non-accrual status. Interest previously accrued for loans that have been placed on non-accrual status is reversed against interest income in the period the loan is placed in non-accrual status. Residential loans delinquent more than 90 days or in foreclosure are characterized as delinquent. Cash principal and interest that are advanced from servicers after a loan becomes greater than 90 days past due are recorded as a liability due to the servicer. When a delinquent loan previously placed on non-accrual status has been cured, meaning when all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternatively, non-accrual loans may be placed back on accrual status after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 6 months. |
Residential Properties | Residential Properties Residential properties are stated at cost and consist of land, buildings, and improvements, including other costs incurred during their acquisition, possession, and renovation. Residential properties are recorded at their purchase price, including acquisition and renovation costs, all of which are allocated to land and building, based upon their relative fair values at the date of acquisition. Building depreciation is computed on a straight-line basis over the estimated useful lives of the assets. We generally use a 27.5 year estimated life with no salvage value. We incur costs to prepare our acquired properties to be leased. These costs are capitalized and allocated to building costs. Costs related to the restoration, renovation, or improvement of our properties that improve and extend their useful lives are capitalized and depreciated over their estimated useful lives. Expenditures for ordinary repairs and maintenance are expensed as incurred. Costs incurred by us to lease the properties are capitalized and amortized over the life of the lease. Escrow deposits include refundable and non-refundable cash and earnest money on deposit with independent third parties for property purchases. |
Repurchase Agreements | Repurchase Agreements We finance the acquisition of MBS primarily through the use of repurchase agreements. Under these repurchase agreements, we sell securities to a lender and agree to repurchase the same securities in the future for a price that is higher than the original sales price. The difference between the sale price that we receive and the repurchase price that we pay represents interest paid to the lender. Although structured as a sale and repurchase obligation, a repurchase agreement operates as a financing under which we pledge our securities and accrued interest as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. Upon the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then-prevailing financing rate. These repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. |
Asset-Backed Securities Issued by Securitization Trusts | Asset-Backed Securities Issued by Securitization Trusts Asset-backed securities issued by the securitization trusts are recorded at principal balances net of unamortized premiums or discounts. This long-term debt is collateralized only by the assets held in the trusts and is otherwise non-recourse to the Company. |
Derivative Financial Instruments | Derivative Financial Instruments Risk Management We primarily use short-term (less than or equal to 12 months) repurchase agreements to finance the purchase of MBS. These obligations expose us to variability in interest payments due to changes in interest rates. We continuously monitor changes in interest rate exposures and evaluate various opportunities to mitigate this risk. Our objective is to limit the impact of interest rate changes on our earnings and cash flows. The principal instruments we use to achieve this are interest rate swap agreements, or interest rate swaps, which effectively convert a percentage of our repurchase agreements to fixed-rate obligations over a period of up to ten years. Under interest rate swaps, we agree to pay an amount equal to a specified fixed rate of interest times a notional principal amount and we receive in return an amount equal to a specified variable-rate of interest times a notional amount, generally based on the London Interbank Offered Rate, or LIBOR. The notional amounts are not exchanged. We do not issue or hold the interest rate swaps for speculative purposes. We also enter into To-Be-Announced, or TBA, Agency MBS as either a means of investing in and financing Agency MBS or as a means of disposing of or reducing our exposure to agency securities. Pursuant to TBA contracts, we agree to purchase or sell for future delivery Agency MBS with certain principal and interest terms and certain types of collateral, but the particular Agency MBS to be delivered are not identified until shortly before the TBA settlement date. We also may choose, prior to settlement, to move the settlement of these MBS out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash and simultaneously purchasing a similar TBA contract for a later settlement date. This transaction is commonly referred to as a “dollar roll.” The Agency MBS purchased or sold for a forward settlement date are typically priced at a discount to agency securities for settlement in the current month. This difference (or discount) is referred to as the “price drop.” The price drop represents compensation to us for foregoing net interest margin (interest income less repurchase agreement financing cost). TBA Agency MBS are accounted for as derivative instruments since they do not meet the exemption allowed for a “regular way” security trade under ASC 815, as either the TBA contracts do not settle in the shortest period of time possible or we cannot assess that it is probable at inception that we will take physical delivery of the security or that we will not settle on a net basis. Accounting for Derivative and Hedging Activities We account for derivative instruments in accordance with ASC 815, which requires recognition of all derivatives as either assets or liabilities and measurement of those instruments at fair value, which is typically based on values obtained from large financial institutions who are market makers for these types of instruments. The accounting for changes in the fair value of derivative instruments depends on whether the instruments are designated and qualify as hedges in accordance with ASC 815. Changes in fair value related to derivatives not designated as hedges are recorded in our consolidated statements of operations as “Gain (loss) on derivatives, net” and specifically identified as either relating to interest rate swaps or TBA Agency MBS. For a derivative to qualify for hedge accounting, we must anticipate that the hedge will be highly “effective,” as defined by ASC 815-10. A hedge of the variability of cash flows that are to be received or paid in connection with a recognized asset or liability is known as a “cash flow” hedge. Changes in the fair value of a derivative that is highly effective and that is designated as a cash flow hedge, to the extent the hedge is effective, are recorded in AOCI and reclassified to income when the forecasted transaction affects income (e.g. when periodic settlement interest payments are due on repurchase agreements). Hedge ineffectiveness, if any, is recorded in current period income. Fair value hedges protect against exposures to changes in the fair value of a recognized asset. ASC 815 requires companies to recognize in income, in the period that the changes in fair value occur, any gains or losses from any ineffectiveness in the hedging relationship. When we discontinue hedge accounting, the gain or loss on the derivative remains in AOCI and is reclassified into income when the forecasted transaction affects income. In all situations where hedge accounting is discontinued and the derivative remains outstanding, we carry the derivative at its fair value on our consolidated balance sheets, recognizing changes in fair value in current period income. All of our interest rate swaps had historically been accounted for as cash flow hedges under ASC 815. After August 22, 2014, none of our interest rate swaps were designated for hedge accounting. As a result of discontinuing hedge accounting for our interest rate swaps, changes in the fair value of these interest rate swaps are recorded in “Gain (loss) on derivatives, net” in our consolidated statements of operations rather than in AOCI. Also, net interest paid or received on these interest rate swaps, which was previously recognized in interest expense, is instead recognized in “Gain (loss) on derivatives, net.” These continue to be reported as assets or liabilities on our consolidated balance sheets at their fair value. As long as the forecasted transactions that were being hedged (i.e. rollovers of our repurchase agreement borrowings) are still expected to occur, the balance in AOCI from the activity in these interest rate swaps through the dates of de-designation will remain in AOCI and be recognized in our consolidated statements of operations as “interest expense” over the remaining term of these interest rate swaps. For purposes of the consolidated statements of cash flows, cash flows hedges were classified with the cash flows from the hedged item. Cash flows from derivatives that are not hedges are classified according to the underlying nature or purpose of the derivative transaction. For more details on the amounts and other qualitative information on all our derivative transactions, see Note 15, “Derivative Instruments,” to our accompanying unaudited consolidated financial statements. For more information on the fair value of our derivative instruments, see Note 9, “Fair Values of Financial Instruments,” to our accompanying unaudited consolidated financial statements. |
Credit Risk | Credit Risk As of September 30, 2020, we had attempted to limit our exposure to credit losses on our Agency MBS by purchasing securities primarily through Freddie Mac and Fannie Mae. The payment of principal and interest on MBS issued by Freddie Mac and Fannie Mae MBS are guaranteed by those respective enterprises. In September 2008, both Freddie Mac and Fannie Mae were placed in the conservatorship of the U.S. government. While it is the intent that the conservatorship will help stabilize Freddie Mac’s and Fannie Mae’s overall financial position, there can be no assurance that it will succeed or that, if necessary, Freddie Mac and Fannie Mae will be able to satisfy their guarantees of Agency MBS. There have also been concerns as to what the U.S. government will do regarding winding-down the operations of Freddie Mac and Fannie Mae. There have also been concerns over the past several years regarding the credit standing of Freddie Mac, Fannie Mae, and U.S. sovereign debt. We do not know what effect any future ratings of Freddie Mac, Fannie Mae, and U.S. sovereign debt may ultimately have on the U.S. economy, the value of our securities, or the ability of Freddie Mac and Fannie Mae to satisfy its guarantees of Agency MBS, if necessary. Our adjustable-rate MBS are subject to periodic and lifetime interest rate caps. Periodic caps can limit the amount an interest rate can increase during any given period. Some adjustable-rate MBS that are subject to periodic payment caps may result in a portion of the interest being deferred and added to the principal outstanding. We also invest in Non-Agency MBS, which are securities that are secured by pools of residential mortgages that are not issued by government-sponsored enterprises and are not guaranteed by any agency of the U.S. government or any federally chartered corporation. As we carry these securities at fair value, there is no allowance for credit losses. However, credit losses on the underlying collateral could affect the payments we receive and the accrual of income. We also own residential mortgage loans held-for-investment through consolidated securitization trusts. As the majority of these loans (the senior tranches of the securitization trusts) are collateral for the asset-backed securities issued by the trusts, our potential credit risk is on the subordinated tranches that we own, as these tranches would be the first ones to absorb any losses resulting from defaults by the borrowers on the underlying mortgage loans. See the section below entitled “Credit Risk Related to Residential Mortgage Loans Held-for-Securitization” for many of the reasons why credit losses on real estate loans can occur. For all interest rate swaps entered into on or after September 9, 2013, all swap participants are required by rules of the Commodities Futures Trading Commission under the authority granted to it pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act, or the Dodd-Frank Act, to clear interest rate swaps through a registered derivatives clearing organization, or “swap execution facility,” through standardized documents under which each swap counterparty transfers its position to another entity, whereby a central clearinghouse effectively becomes the counterparty on each side of the swap. It is the intent of the Dodd-Frank Act that the clearing of interest rate swaps in this manner is designed to avoid concentration of risk in any single entity by spreading and centralizing the risk in the clearinghouse and its members. Credit Risk Related to Residential Mortgage Loans Held-for-Securitization Our strategy of acquiring, accumulating, and securitizing residential mortgage loans involves credit risk. We bear the risk of loss on these loans while they are being financed through warehouse lines of credit. These loans are secured by real property. Credit losses on real estate loans can occur for many reasons, including poor origination practices; fraud; poor underwriting; poor servicing practices; weak economic conditions; increases in payments required to be made by the borrowers; declines in the value of real estate; natural disasters (such as fires or earthquake), severe weather (such as flooding, hurricanes, drought, and tornadoes) and other acts of God, including global pandemics, such as the COVID-19 coronavirus pandemic; uninsured property loss; over-leveraging of the borrower; costs of remediation of environmental conditions; acts of war or terrorism; changes in legal protections for lenders and other changes in law or regulation (including lending disclosures and privacy); and personal events affecting borrowers, such as reduction in income, changes in employment status (such as job loss), divorce, or health problems. Additionally, actions or orders from federal and state governments and their agencies could require lenders to offer forbearance agreements, or prevent or delay foreclosures, which could eventually lead to credit losses. In addition, if the U.S. economy or the housing market were to weaken (and that weakening was in excess of what we anticipated), credit losses could increase beyond levels that we have anticipated. In the event of a default on any of our loans, we would bear the loss equal to the difference between the realizable value of the mortgaged property, after expenses, and the outstanding indebtedness, as well as the loss of interest. |
Income Taxes | Income Taxes We have elected to be taxed as a REIT and to comply with the provisions of the Code with respect thereto. Accordingly, we will not be subject to federal income tax to the extent that our distributions to our stockholders satisfy the REIT requirements and that certain asset, income, and stock ownership tests are met. We have no unrecognized tax benefits and do not anticipate any increase in unrecognized benefits during 2020 relative to any tax positions taken prior to January 1, 2020. Should the accrual of any interest or penalties relative to unrecognized tax benefits be necessary, it is our policy to record such accruals in our income taxes accounts; however, no such accruals existed at September 30, 2020. We file REIT U.S. federal and California income tax returns. These returns are generally open to examination by the IRS and the California Franchise Tax Board for all years after 2015 and 2014, respectively. |
Cumulative Convertible Preferred Stock | Cumulative Convertible Preferred Stock We classify our Series B Cumulative Convertible Preferred Stock, or Series B Preferred Stock, on our consolidated balance sheets using the guidance in ASC 480-10-S99. Our Series B Preferred Stock contains certain fundamental change provisions that allow the holder to redeem the preferred stock for cash only if certain events occur, such as a change in control. As redemption under these circumstances is not solely within our control, we have classified our Series B Preferred Stock as temporary equity. We have analyzed whether the conversion features in our Series B Preferred Stock should be bifurcated under the guidance in ASC 815-10 and have determined that bifurcation is not necessary. |
Stock-Based Expense | Stock-Based Expense In accordance with ASC 718-10, any expense relating to share-based payment transactions is recognized in the unaudited consolidated financial statements. Restricted stock is expensed over the vesting period (see Note 14, “Equity Compensation Plan,” to our accompanying unaudited consolidated financial statements for more information). |
Earnings Per Share | Earnings Per Share Basic earnings per share, or EPS, is computed by dividing net income available to common stockholders by the weighted average number of common shares outstanding during the period. Diluted EPS assumes the conversion, exercise, or issuance of all potential common stock equivalents (which includes stock options and convertible preferred stock) and the adding back of the Series B Preferred Stock dividends, unless the effect is to reduce a loss or increase the income per share. |
Accumulated Other Comprehensive Income | Accumulated Other Comprehensive Income In accordance with ASC 220-10-55-2, total comprehensive income is comprised of net income or net loss and other comprehensive income, which includes unrealized gains and losses on marketable securities classified as available-for-sale, and unrealized gains and losses on derivative financial instruments. In accordance with ASU 2013-02, we have identified, in our consolidated statements of comprehensive income, items that are reclassified and included in our consolidated statements of operations. |
Reclassifications and Presentation | Reclassifications and Presentation In order to conform to current financial statement presentation, we have reclassified certain balances, but there has been no effect on net income and stockholders’ equity. |
Recent Accounting Pronouncements | RECENTLY ADOPTED ACCOUNTING PRONOUNCEMENTS On January 1, 2020, we adopted ASU 2016-13, “Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This ASU is applicable to the measurement of credit losses on financial assets measured at amortized cost, including loan receivables and held-to-maturity debt securities. In addition, this ASU made changes to the accounting for available-for-sale debt securities and financial assets purchased with credit deterioration. This ASU requires entities to record the full amount of credit losses that are expected in their portfolios (known as the Current Expected Loss Methodology, or CECL) and to re-evaluate at each reporting period. The income statement will reflect the credit loss provision (or expense) necessary to adjust the allowance estimate since the previous reporting date. The expected credit loss estimate should consider available information relevant to assessing the collectability of contractual cash flows, including information about past events (i.e., historical loss experience), current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. For our AFS Agency MBS, we adopted this ASU using the prospective transition approach. The amortized cost basis of these assets was not adjusted. We believe that there is currently zero loss expectation on these assets, as the principal and interest on these securities are guaranteed by Fannie Mae and Freddie Mac, and these agencies are still under the conservatorship of the U.S. government. Our Non-Agency MBS were formally treated as assets purchased with credit impairment (PCI) and accounted for under ASC 310-30. We elected to treat these assets upon adoption of this ASC as financial assets purchased with credit deterioration (PCD) and adopted this ASC using the prospective transition approach. These assets were reviewed at January 1, 2020, and we concluded that there was no credit loss at that time. For our loans held-for-investment through consolidated securitization trusts, we adopted this ASU using the prospective transition approach. The amortized cost basis of these assets was not adjusted. The allowance for credit losses at December 31, 2019 of $175,000 was the same amount in effect at January 1, 2020. For our loans held-for-securitization, we adopted this ASU using the modified retrospective approach. Results for reporting periods beginning after January 1, 2020 are presented under ASC 326, while prior period amounts were reported in accordance with previously applicable GAAP. We recorded a decrease to retained earnings/accumulated deficit of $30,000 as of January 1, 2020 for the cumulative effect of adopting ASC 326. In August 2018, the FASB issued ASU 2018-13, “Fair Value Measurement (Topic 820) – Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement.” The following disclosure requirements were removed: (1) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy; (2) the policy for timing of transfers between levels; and (3) the valuation processes for Level 3 fair value measurements. The following disclosure requirement was modified: the amendments clarify that the measurement uncertainty disclosure is to communicate information about the uncertainty in measurement as of the reporting date. The following disclosure requirements were added: (i) the changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period; and (ii) the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements. For certain unobservable inputs, an entity may disclose other quantitative information in lieu of the weighted average if the entity determines that the other quantitative information would be a more reasonable and rational method to reflect the distribution of unobservable inputs used to develop Level 3 fair value measurements. This ASU became effective for all entities beginning with the quarter ended March 31, 2020. Upon our adoption at January 1, 2020, this ASU did not have a material impact on our consolidated financial statements. RECENT ACCOUNTING PRONOUNCEMENTS The FASB recently issued ASU 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting. This ASU applies to all entities that have contracts, hedging relationships and other transactions that reference the London Interbank Offered Rate (LIBOR) or another reference rate that is expected to be discontinued. This ASU was effective upon its issuance on March 12, 2020. However, it cannot be applied to contract modifications that occur after December 31, 2022. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date. The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance. For example, if a debt instrument that references LIBOR is modified to refer to a different reference rate, an entity could elect to account for that modification prospectively by adjusting the effective interest rate. In the United States, the Alternative Refinance Rates Committee has already selected the Secured Overnight Financing Rate, or SOFR, an overnight secured U.S. Treasury repurchase agreement rate, as the new rate. There have been indications that many lenders will making spread adjustments to minimize the difference between the SOFR rate and the LIBOR rate. We do not believe that, at the present time, this ASU will have a material impact on our financial statements. |
Restricted Cash (Tables)
Restricted Cash (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Restricted Cash | |
Summary of Restricted Cash Balances | September 30, December 31, 2020 2019 (in thousands) Restricted cash - interest rate swaps and TBA Agency MBS margin calls $ 123,991 $ 104,699 |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Mortgage Backed Securities | |
Agency MBS and Non-Agency MBS, Which are Carried at Fair Value | September 30, 2020 Total Non-Agency Total By Agency Freddie Mac Fannie Mae Agency MBS MBS MBS (in thousands) Amortized cost/carrying value $ 609,236 $ 928,313 $ 1,537,549 $ 198,586 $ 1,736,135 Paydowns receivable (1) 5,215 — 5,215 — 5,215 Unrealized gains 29,253 37,885 67,138 — 67,138 Unrealized losses (66) (75) (141) — (141) Fair value $ 643,638 $ 966,123 $ 1,609,761 $ 198,586 $ 1,808,347 15-Year 20-Year 30-Year Total Non-Agency Total By Security Type ARMs Hybrids Fixed-Rate Fixed-Rate Fixed-Rate Agency MBS MBS MBS (in thousands) Amortized cost/carrying value $ 356,913 $ 200,599 $ 36,564 $ 160,427 $ 783,046 $ 1,537,549 $ 198,586 $ 1,736,135 Paydowns receivable (1) 3,113 2,102 — — — 5,215 — 5,215 Unrealized gains 7,279 5,298 1,655 8,521 44,385 67,138 — 67,138 Unrealized losses (141) — — — — (141) — (141) Fair value $ 367,164 $ 207,999 $ 38,219 $ 168,948 $ 827,431 $ 1,609,761 $ 198,586 $ 1,808,347 (1) Paydowns receivable on Agency MBS are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month. December 31, 2019 Total Non-Agency Total By Agency Freddie Mac Fannie Mae Agency MBS (1) MBS MBS (in thousands) Amortized cost $ 864,452 $ 2,590,775 $ 3,455,227 $ 613,576 $ 4,068,803 Paydowns receivable (2) 9,727 — 9,727 — 9,727 Unrealized gains 19,487 27,256 46,743 34,188 80,931 Unrealized losses (699) (947) (1,646) (4,154) (5,800) Fair value $ 892,967 $ 2,617,084 $ 3,510,051 $ 643,610 $ 4,153,661 Total 15-Year 20-Year 30-Year Agency Non-Agency Total By Security Type ARMs Hybrids Fixed-Rate Fixed-Rate Fixed-Rate (1) MBS MBS MBS (in thousands) Amortized cost $ 473,935 $ 296,890 $ 47,248 $ 193,303 $ 2,443,851 $ 3,455,227 $ 613,576 $ 4,068,803 Paydowns receivable (2) 8,328 1,399 — — — 9,727 — 9,727 Unrealized gains 10,279 202 978 1,274 34,010 46,743 34,188 80,931 Unrealized losses (69) (1,496) — — (81) (1,646) (4,154) (5,800) Fair value $ 492,473 $ 296,995 $ 48,226 $ 194,577 $ 2,477,780 $ 3,510,051 $ 643,610 $ 4,153,661 (1) Included in the 30 -year fixed-rate MBS are Trading Agency MBS. These have an amortized cost of $655.8 million, an unrealized gain of $1.1 million, and a fair value of $656.9 million. (2) Paydowns receivable on Agency MBS are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month. |
Investments' Gross Unrealized Losses and Fair Value of Securities in Continuous Unrealized Loss Position, Aggregated by Investment Category and Length of Time | September 30, 2020 Less Than 12 Months 12 Months or More Total Description Number Number Number of of Fair Unrealized of Fair Unrealized of Fair Unrealized Securities Securities Value Losses Securities Value Losses Securities Value Losses (in thousands) (in thousands) (in thousands) Agency MBS 26 $ 8,260 $ (72) 14 $ 6,073 $ (69) 40 $ 14,333 $ (141) December 31, 2019 Less Than 12 Months 12 Months or More Total Description Number Number Number of of Fair Unrealized of Fair Unrealized of Fair Unrealized Securities Securities Value Losses Securities Value Losses Securities Value Losses (in thousands) (in thousands) (in thousands) Agency MBS 10 $ 270,737 $ (419) 38 $ 168,095 $ (1,227) 48 $ 438,832 $ (1,646) Non-Agency MBS 18 $ 49,281 $ (1,507) 12 $ 75,926 $ (2,647) 30 $ 125,207 $ (4,154) |
Residential Mortgage Loans He_2
Residential Mortgage Loans Held-For-Securitization (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Residential Mortgage Loans Held-For-Securitization | |
Summary of Residential Mortgage Loans Held-for-Investment | September 30, December 31, 2020 2019 (in thousands) Principal balance $ 120,137 $ 148,908 Unamortized premium and deferred transaction costs 3,166 4,014 Allowance for credit losses (56) — Carrying value $ 123,247 $ 152,922 |
Summary of Reconciliation of Carrying Value of Residential Mortgage Loans Held-for-Investment | Three Months Nine Months Year Ended Ended Ended September 30, September 30, December 31, 2020 2020 2019 (in thousands) Balance at beginning of period $ 131,110 $ 152,922 $ 11,660 Loan acquisitions — — 168,850 Premium and deferred transaction costs on new loans — — 3,702 Deductions during period: Collections of principal (7,645) (27,823) (30,992) Amortization of premium and costs (218) (1,041) (298) Allowance for credit losses — (56) — Other — (755) — Balance at end of period $ 123,247 $ 123,247 $ 152,922 |
Summary of Portfolio Characteristics of Residential Mortgage Loans Held-for-Investment | September 30, December 31, 2020 2019 (dollar amounts in thousands) Portfolio Characteristics: 12-months bank statements 12 17 24-months bank statements 45 56 Alt documentation 74 97 Full documentation 12 15 Written Verification of Employment 101 115 Number of loans outstanding 244 300 Current principal balance $ 120,137 $ 148,908 Simple Average loan balance $ 492 $ 496 Net weighted average coupon rate 5.39 % 5.40 % Weighted average FICO score 743 744 Weighted average LTV (loan-to-value) 70 70 Weighted average DTI (debt-to-income) 38 38 Performance: Current $ 103,631 $ 146,999 30-days delinquent (1) 1,481 1,909 60-days delinquent (1) 6,395 — 90-days+ delinquent (1) 8,630 — Bankruptcy/foreclosure — — Total $ 120,137 $ 148,908 |
Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment | September 30, December 31, State 2020 2019 California 72 % 74 % Florida 8 7 New York 7 6 Other states (none greater than 5%) 13 13 Total 100 % 100 % |
Summary of Activity in Allowance for Loan Losses | Three Months Nine Months Ended Ended September 30, September 30 2020 2020 (in thousands) Balance at beginning of period $ 56 $ — Impact of adopting ASC-326 — 30 Provision for loan losses — 26 Charge-offs, net — — Balance at end of period $ 56 $ 56 |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Summary of Residential Mortgage Loans Held-for-Investment | September 30, December 31, 2020 2019 (in thousands) Principal balance $ 120,137 $ 148,908 Unamortized premium and deferred transaction costs 3,166 4,014 Allowance for credit losses (56) — Carrying value $ 123,247 $ 152,922 |
Summary of Reconciliation of Carrying Value of Residential Mortgage Loans Held-for-Investment | Three Months Nine Months Year Ended Ended Ended September 30, September 30, December 31, 2020 2020 2019 (in thousands) Balance at beginning of period $ 131,110 $ 152,922 $ 11,660 Loan acquisitions — — 168,850 Premium and deferred transaction costs on new loans — — 3,702 Deductions during period: Collections of principal (7,645) (27,823) (30,992) Amortization of premium and costs (218) (1,041) (298) Allowance for credit losses — (56) — Other — (755) — Balance at end of period $ 123,247 $ 123,247 $ 152,922 |
Summary of Portfolio Characteristics of Residential Mortgage Loans Held-for-Investment | September 30, December 31, 2020 2019 (dollar amounts in thousands) Portfolio Characteristics: 12-months bank statements 12 17 24-months bank statements 45 56 Alt documentation 74 97 Full documentation 12 15 Written Verification of Employment 101 115 Number of loans outstanding 244 300 Current principal balance $ 120,137 $ 148,908 Simple Average loan balance $ 492 $ 496 Net weighted average coupon rate 5.39 % 5.40 % Weighted average FICO score 743 744 Weighted average LTV (loan-to-value) 70 70 Weighted average DTI (debt-to-income) 38 38 Performance: Current $ 103,631 $ 146,999 30-days delinquent (1) 1,481 1,909 60-days delinquent (1) 6,395 — 90-days+ delinquent (1) 8,630 — Bankruptcy/foreclosure — — Total $ 120,137 $ 148,908 |
Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment | September 30, December 31, State 2020 2019 California 72 % 74 % Florida 8 7 New York 7 6 Other states (none greater than 5%) 13 13 Total 100 % 100 % |
Summary of Activity in Allowance for Loan Losses | Three Months Nine Months Ended Ended September 30, September 30 2020 2020 (in thousands) Balance at beginning of period $ 56 $ — Impact of adopting ASC-326 — 30 Provision for loan losses — 26 Charge-offs, net — — Balance at end of period $ 56 $ 56 |
Variable Interest Entities Primary Beneficiary | |
Summary of Assets and Liabilities of Variable Interest Entities | September 30, December 31, 2020 2019 (in thousands) Residential mortgage loans held-for-investment through consolidated securitization trusts $ 317,887 $ 458,348 Accrued interest receivable 1,066 1,495 Total assets $ 318,953 $ 459,843 Accrued interest payable $ 1,032 $ 1,448 Asset-backed securities issued by securitization trusts 309,173 448,987 Total liabilities $ 310,205 $ 450,435 |
Summary of Residential Mortgage Loans Held-for-Investment | September 30, December 31, 2020 2019 (in thousands) Principal balance $ 317,233 $ 456,768 Unamortized premium and costs 801 1,755 Allowance for loan losses (147) (175) Carrying value $ 317,887 $ 458,348 |
Summary of Reconciliation of Carrying Value of Residential Mortgage Loans Held-for-Investment | Three Months Nine Months Three Months Nine Months For the Year Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, December 31, 2020 2020 2019 2019 2019 (in thousands) Balance at beginning of period $ 367,539 $ 458,348 $ 514,749 $ 549,016 $ 549,016 Deductions during period: Collections of principal (49,351) (139,535) (30,724) (64,169) (89,113) Principal paydowns and other deductions (301) (954) (377) (1,210) (1,566) Provision for credit losses — (594) — — — Charge-offs, net — 622 — 11 11 Balance at end of period $ 317,887 $ 317,887 $ 483,648 $ 483,648 $ 458,348 |
Summary of Portfolio Characteristics of Residential Mortgage Loans Held-for-Investment | September 30, December 31, 2020 2019 (dollar amounts in thousands) Portfolio Characteristics: Number of loans 500 704 Current principal balance $ 317,233 $ 456,768 Average loan balance $ 634 $ 649 Net weighted average coupon rate 3.83 % 3.87 % Weighted average maturity (years) 23.5 24.3 Weighted average FICO score 761 762 Current Performance: Current $ 307,755 $ 452,875 30 days delinquent 3,613 2,122 60 days delinquent 1,683 726 90+ days delinquent 4,182 1,045 Bankruptcy/foreclosure — — Total $ 317,233 $ 456,768 |
Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment | September 30, December 31, State 2020 2019 California 43 % 43 % Florida 7 7 Texas 5 — Other states (none greater than 5%) 45 50 Total 100 % 100 % |
Summary of Activity in Allowance for Loan Losses | The following table summarizes the activity in the allowance for loan losses for the three and nine months ended September 30, 2020 and September 30, 2019 and for the year ended December 31, 2019: Three Months Nine Months Three Months Nine Months Year Ended Ended Ended Ended Ended September 30, September 30, September 30 September 30, December 31, 2020 2020 2019 2019 2019 (in thousands) Balance at beginning of period $ 147 $ 175 $ 175 $ 186 $ 186 Impact of adopting ASC 326 — — — — — Provision for credit losses — 594 — — — Charge-offs, net — (622) — (11) (11) Balance at end of period $ 147 $ 147 $ 175 $ 175 $ 175 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Repurchase Agreements | |
Repurchase Agreements Balances, Weighted Average Interest Rates and Remaining Weighted Average Maturities | At September 30, 2020 and December 31, 2019, the repurchase agreements had the following balances, weighted average interest rates, and remaining weighted average maturities: September 30, 2020 Agency MBS Non-Agency MBS Total MBS Weighted Weighted Weighted Average Average Average Interest Interest Interest Balance Rate Balance Rate Balance Rate (in thousands) (in thousands) Overnight $ — — % $ — — % $ — — % Less than 30 days 915,000 0.22 55,783 2.00 970,783 0.32 30 days to 90 days 450,000 0.23 36,961 2.08 486,961 0.37 Over 90 days — — 6,849 3.00 6,849 3.00 Demand — — — — — — $ 1,365,000 0.22 % $ 99,593 2.10 % $ 1,464,593 0.35 % Weighted average maturity 25 days 43 days 26 days Weighted average interest rate after adjusting for interest rate swaps 1.44 % Weighted average maturity after adjusting for interest rate swaps 1,091 days MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 1,440,188 $ 161,184 $ 1,601,372 December 31, 2019 Agency MBS Non-Agency MBS Total MBS Weighted Weighted Weighted Average Average Average Interest Interest Interest Balance Rate Balance Rate Balance Rate (in thousands) (in thousands) (in thousands) Overnight $ — — % $ — — % $ — — % Less than 30 days 1,680,000 2.04 427,873 2.80 2,107,873 2.20 30 days to 90 days 1,550,000 1.89 — — 1,550,000 1.89 Over 90 days — — — — — — Demand — — — — — — $ 3,230,000 1.97 % $ 427,873 2.80 % $ 3,657,873 2.07 % Weighted average maturity 30 days 11 days 28 days Weighted average interest rate after adjusting for interest rate swaps 2.13 % Weighted average maturity after adjusting for interest rate swaps 978 days MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 3,419,375 $ 535,315 $ 3,954,690 |
Liabilities and Assets Subject to Netting Arrangements | The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) only in the event of default on a contract at September 30, 2020 and December 31, 2019 (see Notes 1, 9, and 15 to our accompanying unaudited consolidated financial statements for more information on the Company’s interest rate swaps and other derivative instruments): September 30, 2020 Net Amounts of Assets Gross Amounts Not Offset Gross Amounts or Liabilities in the Balance Sheets (1) of Recognized Gross Amounts Presented in Cash Assets or Offset in the the Balance Financial Collateral Net Liabilities Balance Sheets Sheets Instruments Received Amounts (in thousands) Derivative assets at fair value (2) $ 1,609 $ — $ 1,609 $ (1,609) $ 1,330 $ 279 Total $ 1,609 $ — $ 1,609 $ (1,609) $ 1,330 $ 279 Repurchase agreements (3) $ 1,464,593 $ — $ 1,464,593 $ (1,464,593) $ — $ — Warehouse line of credit 101,722 — 101,722 (101,722) — — Derivative liabilities at fair value (2) 88,723 — 88,723 (88,723) — — Total $ 1,655,038 $ — $ 1,655,038 $ (1,655,038) $ — $ — December 31, 2019 Net Amounts of Assets Gross Amounts Not Offset Gross Amounts or Liabilities in the Balance Sheets (1) of Recognized Gross Amounts Presented in Cash Assets or Offset in the the Balance Financial Collateral Net Liabilities Balance Sheets Sheets Instruments Received Amounts (in thousands) Derivative assets at fair value (2) $ 5,833 $ — $ 5,833 $ (5,833) $ 367 $ (5,466) Total $ 5,833 $ — $ 5,833 $ (5,833) $ 367 $ (5,466) Repurchase agreements (3) $ 3,657,873 $ — $ 3,657,873 $ (3,657,873) $ — $ — Warehouse line of credit 133,811 — 133,811 (133,811) — — Derivative liabilities at fair value (2) 52,197 — 52,197 (52,197) — — Total $ 3,843,881 $ — $ 3,843,881 $ (3,843,881) $ — $ — (1) Amounts presented are limited to collateral pledged sufficient to reduce the related net amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. (2) At September 30, 2020, we had paid approximately $124.0 million on swap and TBA Agency MBS margin calls (included in “Restricted cash”) and we had received cash from counterparties of approximately $1.3 million, which is shown in “Derivative counterparty margin” on our consolidated balance sheets. Our TBA Agency MBS derivatives were approximately $1.6 million in derivative assets at September 30, 2020. Our swap derivatives were approximately $88.7 million in derivative liabilities at September 30, 2020. At December 31, 2019, we had paid approximately $104.7 million on swap and TBA Agency MBS margin calls (included in “Restricted cash”) and we had received cash from counterparties of approximately $367 thousand, which is shown as “Derivative counterparty margin” on our consolidated balance sheets. Our swap derivatives were approximately $5.3 million in derivative assets and approximately $52.2 million in derivative liabilities at December 31, 2019. (3) At September 30, 2020, we had pledged approximately $1.44 billion in Agency MBS and approximately $161 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2019, we had pledged approximately $3.42 billion in Agency MBS and approximately $535 million in Non-Agency MBS as collateral on our repurchase agreements. |
Fair Values of Financial Inst_2
Fair Values of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Fair Values of Financial Instruments | |
Fair Value Measurements on Recurring Basis | At September 30, 2020, fair value measurements on a recurring basis were as follows: September 30, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Agency MBS (1) $ — $ 1,609,761 $ — $ 1,609,761 Non-Agency MBS (1) $ — $ 198,586 $ — $ 198,586 Derivative instruments (2) $ — $ 1,609 $ — $ 1,609 Liabilities: Derivative instruments (2) $ — $ 88,723 $ — $ 88,723 At December 31, 2019, fair value measurements on a recurring basis were as follows: December 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Agency MBS (1) $ — $ 3,510,051 $ — $ 3,510,051 Non-Agency MBS (1) $ — $ 643,610 $ — $ 643,610 Derivative instruments (2) $ — $ 5,833 $ — $ 5,833 Liabilities: Derivative instruments (2) $ — $ 52,197 $ — $ 52,197 (1) For more detail about the fair value of our MBS by agency and type of security, see Note 3, “Mortgage-Backed Securities,” to our accompanying unaudited consolidated financial statements. (2) Derivative instruments include discontinued hedges under ASC 815-10. For more detail about our derivative instruments, see Note 1, “Organization and Significant Accounting Policies,” and Note 15, “Derivative Instruments,” to our accompanying unaudited consolidated financial statements. |
Carrying Value and Estimated Fair Value of Financial Instruments | The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value on our consolidated balance sheets at September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 Carrying Estimated Carrying Estimated Value Fair Value Value Fair Value (in thousands) Financial Assets: Residential mortgage loans held-for-investment through consolidated securitization trusts $ 317,887 $ 325,413 $ 458,348 $ 461,606 Residential mortgage loans held-for-securitization $ 123,247 $ 121,639 $ 152,922 $ 154,442 Financial Liabilities: Asset-backed securities issued by securitization trusts $ 309,173 $ 315,042 $ 448,987 $ 450,501 |
Transactions with Affiliates (T
Transactions with Affiliates (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Transactions with Affiliates | |
Future Minimum Lease Commitment | At September 30, 2020, the future minimum lease commitment was as follows: Total 2020 2021 2022 Commitment (in thousands) Commitment (undiscounted cash flows) $ 134 $ 545 $ 277 $ 956 Discounted cash flows on the lease commitment (1) $ 129 $ 516 $ 257 $ 902 (1) The difference between the total commitment amount and the amount on our consolidated balance sheets is due to the amortization of the lease asset and lease liability being done on a straight-line basis rather than by the discounted cash flows. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments | |
Fair Value of Derivative Instruments | September 30, December 31, Derivative Instruments Balance Sheet Location 2020 2019 (in thousands) Interest rate swaps Derivative Assets $ — $ 5,302 TBA Agency MBS Derivative Assets 1,609 531 $ 1,609 $ 5,833 Interest rate swaps Derivative Liabilities 88,723 52,197 $ 88,723 $ 52,197 |
Notional Amounts of Swap Agreement, Weighted Average Fixed Rates and Remaining Terms | September 30, 2020 December 31, 2019 Weighted Weighted Average Remaining Average Remaining Notional Fixed Term in Notional Fixed Term in Maturity Amount Rate Months Amount Rate Months (in thousands) (in thousands) Less than 1 year $ 50,000 1.86 % 1 $ 541,000 1.70 % 7 1 year to 2 years — — — 190,000 1.63 21 2 years to 3 years — — — 335,000 1.65 34 3 years to 4 years 50,000 1.55 37 295,000 1.71 45 4 years to 5 years 250,000 1.84 60 550,000 2.18 61 5 years to 7 years 365,000 2.75 86 390,000 2.51 85 7 years to 10 years 50,000 3.22 99 200,000 2.94 103 $ 765,000 2.34 % 70 $ 2,501,000 2.02 % 48 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share [Abstract] | |
Computation of Earnings Per Share | Net Income (Loss) to Common Average Income (Loss) Stockholders Shares per Share (in thousands) For the three months ended September 30, 2020 Basic EPS $ 19,572 99,108 $ 0.20 Effect of dilutive securities 305 4,680 (0.01) Diluted EPS $ 19,877 103,788 $ 0.19 For the three months ended September 30, 2019 Basic EPS $ (19,789) 98,739 $ (0.20) Effect of dilutive securities — — — Diluted EPS $ (19,789) 98,739 $ (0.20) Net (Loss) to Common Average (Loss) Stockholders Shares per Share (in thousands) For the nine months ended September 30, 2020 Basic EPS $ (134,004) 98,995 $ (1.35) Effect of dilutive securities — — — Diluted EPS $ (134,004) 98,995 $ (1.35) For the nine months ended September 30, 2019 Basic EPS $ (92,054) 98,638 $ (0.93) Effect of dilutive securities — — — Diluted EPS $ (92,054) 98,638 $ (0.93) |
Organization and Significant _3
Organization and Significant Accounting Policies - Additional Information (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | ||
Description of management fee | In exchange for these services, our Manager receives a management fee, paid monthly in arrears, in an amount equal to one-twelfth of 1.20% of our Equity (as defined in the Management Agreement). | |
Annual management fee as a percent of equity | 1.20% | |
Building Estimated Useful Life | 27 years 6 months | |
Building Salvage Value | $ 0 | |
Unrecognized tax benefits | 0 | |
Unrecognized tax benefits, accrued interest or penalties | $ 0 | |
Variable Interest Entities Primary Beneficiary | ||
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | ||
Balance at end of period | $ 175,000 | |
Accounting Standards Update 2016-13 | Adjustment | ||
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | ||
Cumulative effect on retained earnings, net of tax | $ (30,000) | |
Minimum | Agency MBS | ||
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | ||
MBS initial fixed interest rate required, period | 1 year | |
Maximum | Interest rate swap agreements | ||
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | ||
Interest rate term for interest rate swap agreements | 10 years | |
Maximum | Agency MBS | ||
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | ||
MBS initial fixed interest rate required, period | 10 years |
Restricted Cash - Summary of Re
Restricted Cash - Summary of Restricted Cash Balances (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Restricted Cash And Cash Equivalents Items [Line Items] | ||
Restricted cash - interest rate swaps and TBA Agency MBS margin calls | $ 123,991 | $ 104,699 |
Swap Margin Calls | ||
Restricted Cash And Cash Equivalents Items [Line Items] | ||
Restricted cash - interest rate swaps and TBA Agency MBS margin calls | $ 123,991 | $ 104,699 |
Mortgage-Backed Securities - Ag
Mortgage-Backed Securities - Agency MBS and Non-Agency MBS, which are Carried at Fair Value (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Agency MBS | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized cost | $ 1,537,549 | $ 3,455,227 |
Paydowns receivable | 5,215 | 9,727 |
Unrealized gains | 67,138 | 46,743 |
Unrealized losses | (141) | (1,646) |
Available-for-sale Securities, Total | 1,609,761 | 3,510,051 |
Agency MBS | 15-Year Fixed-Rate | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized cost | 36,564 | 47,248 |
Unrealized gains | 1,655 | 978 |
Available-for-sale Securities, Total | 38,219 | 48,226 |
Agency MBS | 20-Year Fixed-Rate | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized cost | 160,427 | 193,303 |
Unrealized gains | 8,521 | 1,274 |
Available-for-sale Securities, Total | 168,948 | 194,577 |
Agency MBS | 30-Year Fixed-Rate | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized cost | 783,046 | 2,443,851 |
Unrealized gains | 44,385 | 34,010 |
Unrealized losses | (81) | |
Available-for-sale Securities, Total | 827,431 | 2,477,780 |
Agency MBS | Freddie Mac | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized cost | 609,236 | 864,452 |
Paydowns receivable | 5,215 | 9,727 |
Unrealized gains | 29,253 | 19,487 |
Unrealized losses | (66) | (699) |
Available-for-sale Securities, Total | 643,638 | 892,967 |
Agency MBS | Fannie Mae | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized cost | 928,313 | 2,590,775 |
Unrealized gains | 37,885 | 27,256 |
Unrealized losses | (75) | (947) |
Available-for-sale Securities, Total | 966,123 | 2,617,084 |
Agency MBS | ARMs | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized cost | 356,913 | 473,935 |
Paydowns receivable | 3,113 | 8,328 |
Unrealized gains | 7,279 | 10,279 |
Unrealized losses | (141) | (69) |
Available-for-sale Securities, Total | 367,164 | 492,473 |
Agency MBS | Hybrids | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized cost | 200,599 | 296,890 |
Paydowns receivable | 2,102 | 1,399 |
Unrealized gains | 5,298 | 202 |
Unrealized losses | (1,496) | |
Available-for-sale Securities, Total | 207,999 | 296,995 |
MBS | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized cost | 1,736,135 | 4,068,803 |
Paydowns receivable | 5,215 | 9,727 |
Unrealized gains | 67,138 | 80,931 |
Unrealized losses | (141) | (5,800) |
Available-for-sale Securities, Total | 1,808,347 | 4,153,661 |
Non-Agency MBS | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized cost | 198,586 | 613,576 |
Unrealized gains | 34,188 | |
Unrealized losses | (4,154) | |
Fair value | $ 198,586 | $ 643,610 |
Mortgage-Backed Securities - _2
Mortgage-Backed Securities - Agency MBS and Non-Agency MBS, which are Carried at Fair Value (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Agency MBS | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | $ 1,537,549 | $ 3,455,227 | ||
Unrealized gain (loss) on trading investments | $ 1,939 | (1,100) | $ 17,834 | |
Non-Agency MBS | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 198,586 | 613,576 | ||
15-Year Fixed-Rate | Agency MBS | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 36,564 | $ 47,248 | ||
15-Year Fixed-Rate | Agency MBS | Trading Securities. | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Fair value fixed rate period | 30 years | |||
30-Year Fixed-Rate | Agency MBS | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | $ 783,046 | $ 2,443,851 | ||
30-Year Fixed-Rate | Agency MBS | Trading Securities. | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 655,800 | |||
Unrealized gain (loss) on trading investments | (1,100) | |||
Trading investments | $ 656,900 |
Mortgage-Backed Securities - Ad
Mortgage-Backed Securities - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Schedule Of Available For Sale Securities [Line Items] | |||||
Sale of securities | $ 63,270 | $ 1,709,950 | $ 2,303,025 | ||
Unrealized gain in other comprehensive income | $ 30,000 | ||||
Agency MBS | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Sale of securities | $ 0 | 59,600 | 1,400,000 | 2,300,000 | |
Gross realized losses on sales of securities | 3 | 20,500 | |||
Gross realized gains on sales of securities | 448 | 19,800 | 8,100 | ||
Unrealized gain (loss) on trading investments | 1,939 | (1,100) | 17,834 | ||
Net gain (loss) on trading investments | 2,840 | (7,128) | |||
Realized net gain (loss) on sales of available-for-sale MBS | 214 | 15,805 | (5,488) | ||
Non-Agency MBS | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Sale of securities | 3,700 | 23,700 | |||
Gross realized losses on sales of securities | $ 231 | 231 | |||
Gross realized gains on sales of securities | $ 22 | ||||
Net gain (loss) on trading investments | $ 13,679 | (20,617) | |||
Realized net gain (loss) on sales of available-for-sale MBS | $ (55,390) |
Mortgage-Backed Securities - Co
Mortgage-Backed Securities - Continuous Unrealized Loss Position (Detail) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($)item | Sep. 30, 2019USD ($) | Dec. 31, 2019USD ($)item | |
Agency MBS | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Less Than 12 Months Number of Securities | item | 26 | 10 | ||
Less Than 12 Months Fair Value | $ 8,260 | $ 270,737 | ||
Less Than 12 Months Unrealized Losses | $ (72) | $ (419) | ||
12 Months or More Number of Securities | item | 14 | 38 | ||
12 Months or More Fair Value | $ 6,073 | $ 168,095 | ||
12 Months or More Unrealized Losses | $ (69) | $ (1,227) | ||
Total Number of Securities | item | 40 | 48 | ||
Total Fair Value | $ 14,333 | $ 438,832 | ||
Total Unrealized Losses | (141) | $ (1,646) | ||
Unrealized gain (loss) on trading investments | $ 1,939 | $ (1,100) | $ 17,834 | |
Non-Agency MBS | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Less Than 12 Months Number of Securities | item | 18 | |||
Less Than 12 Months Fair Value | $ 49,281 | |||
Less Than 12 Months Unrealized Losses | $ (1,507) | |||
12 Months or More Number of Securities | item | 12 | |||
12 Months or More Fair Value | $ 75,926 | |||
12 Months or More Unrealized Losses | $ (2,647) | |||
Total Number of Securities | item | 30 | |||
Total Fair Value | $ 125,207 | |||
Total Unrealized Losses | $ (4,154) | |||
Impairment charge | $ 1,145 | $ 1,751 |
Residential Mortgage Loans He_3
Residential Mortgage Loans Held-For-Securitization - Carrying Value for Residential Mortgage Loans (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Carrying value | $ 317,887 | $ 458,348 | ||
Residential Mortgage Backed Securities | ||||
Principal balance | 120,137 | 148,908 | ||
Unamortized premium, net of discount | 3,166 | 4,014 | ||
Allowance for loan losses | (56) | $ (56) | ||
Carrying value | $ 123,247 | $ 131,110 | $ 152,922 | $ 11,660 |
Residential Mortgage Loans He_4
Residential Mortgage Loans Held-For-Securitization - Summary of Reconciliation of Carrying Value of Residential Mortgage Loans (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2020 | |
Balance at beginning of period | $ 458,348 | |||
Deductions during period: | ||||
Balance at end of period | $ 317,887 | 317,887 | $ 458,348 | |
Residential Mortgage Backed Securities | ||||
Balance at beginning of period | 131,110 | 152,922 | 11,660 | |
Additions during period: | ||||
Loan acquisitions | 168,850 | |||
Premium and deferred transaction costs on new loans | 3,702 | |||
Deductions during period: | ||||
Collections of principal | (7,645) | (27,823) | (30,992) | |
Amortization of premium and costs | (218) | (1,041) | (298) | |
Allowance for loan losses | (56) | (56) | $ (56) | |
Other | (755) | |||
Balance at end of period | $ 123,247 | $ 123,247 | $ 152,922 |
Residential Mortgage Loans He_5
Residential Mortgage Loans Held-For-Securitization - Summary of Residential Mortgage Loans Held-for-Investment (Detail) - Residential Mortgage Backed Securities $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
Portfolio Characteristics: | ||
Number of loans | loan | 244 | 300 |
Current principal balance | $ 120,137 | $ 148,908 |
Average loan balance | $ 492 | $ 496 |
Net weighted average coupon rate | 5.39% | 5.40% |
Weighted average FICO score | 743 | 744 |
Performance: | ||
Current | $ 103,631 | $ 146,999 |
Total | $ 120,137 | $ 148,908 |
LTV | ||
Portfolio Characteristics: | ||
Weighted average LTV (loan-to-value) | 70.00% | 70.00% |
DTI | ||
Portfolio Characteristics: | ||
Weighted average DTI (debt-to-income) | 38.00% | 38.00% |
30 days delinquent | ||
Performance: | ||
Delinquent | $ 1,481 | $ 1,909 |
60 days delinquent | ||
Performance: | ||
Delinquent | 6,395 | |
90+ days delinquent | ||
Performance: | ||
Delinquent | $ 8,630 | |
12-months bank statements | ||
Portfolio Characteristics: | ||
Number of loans | loan | 12 | 17 |
24-months bank statements | ||
Portfolio Characteristics: | ||
Number of loans | loan | 45 | 56 |
Alt documentation | ||
Portfolio Characteristics: | ||
Number of loans | loan | 74 | 97 |
Full documentation | ||
Portfolio Characteristics: | ||
Number of loans | loan | 12 | 15 |
Written Verification of Employment | ||
Portfolio Characteristics: | ||
Number of loans | loan | 101 | 115 |
Residential Mortgage Loans He_6
Residential Mortgage Loans Held-For-Securitization - Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment (Detail) - Geographic Concentration Risk - Residential Loans Held For Investment | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 72.00% | 74.00% |
Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 8.00% | 7.00% |
New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 7.00% | 6.00% |
Other states | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 13.00% | 13.00% |
Residential Mortgage Loans He_7
Residential Mortgage Loans Held-For-Securitization - Summary of Activity in Allowance for Loan Losses (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2020USD ($) | |
Provision for loan losses | $ 620 |
Residential Mortgage Backed Securities | |
Provision for loan losses | 26 |
Balance at end of period | 56 |
Residential Mortgage Backed Securities | Accounting Standards Update 2016-13 | Adjustment | |
Balance at end of period | $ 30 |
Variable Interest Entities - Su
Variable Interest Entities - Summary of Assets and Liabilities of Variable Interest Entities (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Variable Interest Entity [Line Items] | ||||||
Residential mortgage loans held-for-investment through consolidated securitization trusts, net for allowance of credit losses of $147 and $175 at September 30, 2020 and December 31, 2019, respectively | $ 317,887 | $ 458,348 | ||||
Accrued interest receivable | 6,995 | 16,398 | ||||
Total Assets | 2,438,772 | 4,938,631 | ||||
Accrued interest payable | 5,227 | 16,757 | ||||
Asset-backed securities issued by securitization trusts | 309,173 | 448,987 | ||||
Total Liabilities | 2,019,383 | 4,366,679 | ||||
Residential Mortgage Backed Securities | ||||||
Variable Interest Entity [Line Items] | ||||||
Residential mortgage loans held-for-investment through consolidated securitization trusts, net for allowance of credit losses of $147 and $175 at September 30, 2020 and December 31, 2019, respectively | 123,247 | $ 131,110 | 152,922 | $ 11,660 | ||
Variable Interest Entities Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Accrued interest receivable | 1,100 | 1,500 | ||||
Total Assets | 319,000 | 460,000 | ||||
Accrued interest payable | 1,000 | 1,400 | ||||
Asset-backed securities issued by securitization trusts | 309,200 | 449,000 | ||||
Total Liabilities | 310,000 | 450,000 | ||||
Variable Interest Entities Primary Beneficiary | Residential Mortgage Backed Securities | ||||||
Variable Interest Entity [Line Items] | ||||||
Residential mortgage loans held-for-investment through consolidated securitization trusts, net for allowance of credit losses of $147 and $175 at September 30, 2020 and December 31, 2019, respectively | 317,887 | $ 367,539 | 458,348 | $ 483,648 | $ 514,749 | $ 549,016 |
Accrued interest receivable | 1,066 | 1,495 | ||||
Total Assets | 318,953 | 459,843 | ||||
Accrued interest payable | 1,032 | 1,448 | ||||
Asset-backed securities issued by securitization trusts | 309,173 | 448,987 | ||||
Total Liabilities | $ 310,205 | $ 450,435 |
Variable Interest Entities - Ad
Variable Interest Entities - Additional Information (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Variable Interest Entity [Line Items] | ||
Asset-backed securities issued by securitization trusts | $ 309,173 | $ 448,987 |
Variable Interest Entities Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Asset-backed securities issued by securitization trusts | $ 309,200 | $ 449,000 |
Variable Interest Entities - Ca
Variable Interest Entities - Carrying Value for Residential Mortgage Loans (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Variable Interest Entity [Line Items] | ||||||
Carrying value | $ 317,887 | $ 458,348 | ||||
Residential Mortgage Backed Securities | ||||||
Variable Interest Entity [Line Items] | ||||||
Principal balance | 120,137 | 148,908 | ||||
Unamortized premium and costs | 3,166 | 4,014 | ||||
Allowance for loan losses | (56) | $ (56) | ||||
Carrying value | 123,247 | 131,110 | 152,922 | $ 11,660 | ||
Variable Interest Entities Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Allowance for loan losses | (175,000) | |||||
Variable Interest Entities Primary Beneficiary | Residential Mortgage Backed Securities | ||||||
Variable Interest Entity [Line Items] | ||||||
Principal balance | 317,233 | 456,768 | ||||
Unamortized premium and costs | 801 | 1,755 | ||||
Allowance for loan losses | (147) | (147) | (175) | $ (175) | $ (175) | (186) |
Carrying value | $ 317,887 | $ 367,539 | $ 458,348 | $ 483,648 | $ 514,749 | $ 549,016 |
Variable Interest Entities - _2
Variable Interest Entities - Summary of Reconciliation of Carrying Value of Residential Mortgage Loans (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | |||||
Balance at beginning of period | $ 458,348 | ||||
Deductions during period: | |||||
Provision for loan losses | (620) | ||||
Balance at end of period | $ 317,887 | 317,887 | $ 458,348 | ||
Residential Mortgage Backed Securities | |||||
Variable Interest Entity [Line Items] | |||||
Balance at beginning of period | 131,110 | 152,922 | $ 11,660 | 11,660 | |
Loan acquisitions | 168,850 | ||||
Deductions during period: | |||||
Collections of principal | (7,645) | (27,823) | (30,992) | ||
Provision for loan losses | (26) | ||||
Balance at end of period | 123,247 | 123,247 | 152,922 | ||
Variable Interest Entities Primary Beneficiary | Residential Mortgage Backed Securities | |||||
Variable Interest Entity [Line Items] | |||||
Balance at beginning of period | 367,539 | $ 514,749 | 458,348 | 549,016 | 549,016 |
Deductions during period: | |||||
Collections of principal | (49,351) | (30,724) | (139,535) | (64,169) | (89,113) |
Principal paydowns and other deductions | (301) | (377) | (954) | (1,210) | (1,566) |
Provision for loan losses | (594) | ||||
Charge-offs, net | 622 | 11 | 11 | ||
Balance at end of period | $ 317,887 | $ 483,648 | $ 317,887 | $ 483,648 | $ 458,348 |
Variable Interest Entities - _3
Variable Interest Entities - Summary of Residential Mortgage Loans Held-for-Investment (Detail) - Residential Mortgage Backed Securities $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
Portfolio Characteristics: | ||
Number of loans | loan | 244 | 300 |
Current principal balance | $ 120,137 | $ 148,908 |
Average loan balance | $ 492 | $ 496 |
Weighted average FICO score | 743 | 744 |
Current Performance: | ||
Current | $ 103,631 | $ 146,999 |
Total | 120,137 | 148,908 |
30 days delinquent | ||
Current Performance: | ||
Delinquent | 1,481 | $ 1,909 |
60 days delinquent | ||
Current Performance: | ||
Delinquent | 6,395 | |
90+ days delinquent | ||
Current Performance: | ||
Delinquent | $ 8,630 | |
Variable Interest Entities Primary Beneficiary | ||
Portfolio Characteristics: | ||
Number of loans | loan | 500 | 704 |
Current principal balance | $ 317,233 | $ 456,768 |
Average loan balance | $ 634 | $ 649 |
Net weighted average coupon rate | 3.83% | 3.87% |
Weighted average maturity (years) | 23 years 6 months | 24 years 3 months 18 days |
Weighted average FICO score | 761 | 762 |
Current Performance: | ||
Current | $ 307,755 | $ 452,875 |
Total | 317,233 | 456,768 |
Variable Interest Entities Primary Beneficiary | 30 days delinquent | ||
Current Performance: | ||
Delinquent | 3,613 | 2,122 |
Variable Interest Entities Primary Beneficiary | 60 days delinquent | ||
Current Performance: | ||
Delinquent | 1,683 | 726 |
Variable Interest Entities Primary Beneficiary | 90+ days delinquent | ||
Current Performance: | ||
Delinquent | $ 4,182 | $ 1,045 |
Variable Interest Entities - _4
Variable Interest Entities - Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment (Detail) - Geographic Concentration Risk - Residential Loans Held For Investment | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 72.00% | 74.00% |
Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 8.00% | 7.00% |
Other states | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 13.00% | 13.00% |
Variable Interest Entities Primary Beneficiary | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Variable Interest Entities Primary Beneficiary | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 43.00% | 43.00% |
Variable Interest Entities Primary Beneficiary | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 7.00% | 7.00% |
Variable Interest Entities Primary Beneficiary | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | |
Variable Interest Entities Primary Beneficiary | Other states | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 45.00% | 50.00% |
Variable Interest Entities - _5
Variable Interest Entities - Summary of Activity in Allowance for Loan Losses (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Residential Mortgage Backed Securities | |||
Variable Interest Entity [Line Items] | |||
Balance at end of period | $ 56 | ||
Residential Mortgage Backed Securities | Accounting Standards Update 2016-13 | Adjustment | |||
Variable Interest Entity [Line Items] | |||
Balance at end of period | 30 | ||
Variable Interest Entities Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Balance at beginning of period | 175,000 | ||
Balance at end of period | $ 175,000 | ||
Variable Interest Entities Primary Beneficiary | Residential Mortgage Backed Securities | |||
Variable Interest Entity [Line Items] | |||
Balance at beginning of period | 175 | $ 186 | 186 |
Provision for Loan and Lease Losses, net | 594 | ||
Charge-offs, net | (622) | (11) | (11) |
Balance at end of period | $ 147 | $ 175 | $ 175 |
Residential Properties - Additi
Residential Properties - Additional Information (Detail) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2020USD ($)item | Sep. 30, 2020USD ($)item | Dec. 31, 2019USD ($)item | |
Real Estate Properties [Line Items] | |||
Gain on sale of residential properties | $ 78 | $ 201 | |
Wholly Owned Properties | Florida | |||
Real Estate Properties [Line Items] | |||
Number of residential property | item | 82 | 82 | 85 |
Cost of residential property | $ 12,800 | $ 12,800 | $ 13,500 |
Number of real estate properties sold | item | 1 | 3 | |
Gain on sale of residential properties | $ 78 | $ 201 |
Short-Term Debt - Repurchase Ag
Short-Term Debt - Repurchase Agreements Balances, Weighted Average Interest Rates and Remaining Weighted Average Maturities (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 1,464,593 | $ 3,657,873 |
Agency MBS | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Weighted average maturity | 25 days | 30 days |
Repurchase agreements | $ 1,365,000 | |
Weighted average interest rate | 0.22% | |
Agency MBS | Collateral Pledged | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
MBS pledged as collateral under the repurchase agreements and interest rate swaps | $ 1,440,188 | $ 3,419,375 |
Agency MBS | Less than 30 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 915,000 | $ 1,680,000 |
Weighted average interest rate | 0.22% | 2.04% |
Agency MBS | 30 days to 90 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 450,000 | $ 1,550,000 |
Weighted average interest rate | 0.23% | 1.89% |
Agency MBS | Demand | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 3,230,000 | |
Weighted average interest rate | 1.97% | |
Non-Agency MBS | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Weighted average maturity | 43 days | 11 days |
Repurchase agreements | $ 99,593 | |
Weighted average interest rate | 2.10% | |
Non-Agency MBS | Collateral Pledged | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
MBS pledged as collateral under the repurchase agreements and interest rate swaps | $ 161,184 | $ 535,315 |
Non-Agency MBS | Less than 30 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 55,783 | $ 427,873 |
Weighted average interest rate | 2.00% | 2.80% |
Non-Agency MBS | 30 days to 90 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 36,961 | |
Weighted average interest rate | 2.08% | |
Non-Agency MBS | Over 90 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 6,849 | |
Weighted average interest rate | 3.00% | |
Non-Agency MBS | Demand | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 427,873 | |
Weighted average interest rate | 2.80% | |
MBS | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Weighted average maturity | 26 days | 28 days |
Weighted average interest rate after adjusting for interest rate swaps | 1.44% | 2.13% |
Weighted average maturity after adjusting for interest rate swaps | 1091 days | 978 days |
Repurchase agreements | $ 1,464,593 | |
Weighted average interest rate | 0.35% | |
MBS | Collateral Pledged | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
MBS pledged as collateral under the repurchase agreements and interest rate swaps | $ 1,601,372 | $ 3,954,690 |
MBS | Less than 30 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 970,783 | $ 2,107,873 |
Weighted average interest rate | 0.32% | 2.20% |
MBS | 30 days to 90 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 486,961 | $ 1,550,000 |
Weighted average interest rate | 0.37% | 1.89% |
MBS | Over 90 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 6,849 | |
Weighted average interest rate | 3.00% | |
MBS | Demand | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 3,657,873 | |
Weighted average interest rate | 2.07% |
Short-Term Debt - Liabilities a
Short-Term Debt - Liabilities and Assets Subject to Netting Arrangements (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Gross Amounts of Recognized Assets | $ 1,609 | $ 5,833 |
Net Amounts of Assets Presented in the Balance Sheets | 1,609 | 5,833 |
Gross Assets Not Offset Financial instruments | (1,609) | (5,833) |
Gross Assets Not Offset Cash Collateral Received | 1,330 | 367 |
Gross Assets Not Offset Net Amounts | (279) | (5,466) |
Gross Amounts of Recognized Liabilities | 1,655,038 | 3,843,881 |
Net Amounts of Liabilities Presented in the Balance Sheets | 1,655,038 | 3,843,881 |
Gross Liabilities Not Offset Financial instruments | (1,655,038) | (3,843,881) |
Derivative Financial Instruments, Assets | ||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Gross Amounts of Recognized Assets | 1,609 | 5,833 |
Net Amounts of Assets Presented in the Balance Sheets | 1,609 | 5,833 |
Gross Assets Not Offset Financial instruments | (1,609) | (5,833) |
Gross Assets Not Offset Cash Collateral Received | 1,330 | 367 |
Gross Assets Not Offset Net Amounts | (279) | (5,466) |
Repurchase Agreements. | ||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Gross Amounts of Recognized Liabilities | 1,464,593 | 3,657,873 |
Net Amounts of Liabilities Presented in the Balance Sheets | 1,464,593 | 3,657,873 |
Gross Liabilities Not Offset Financial instruments | (1,464,593) | (3,657,873) |
Warehouse Line of Credit | ||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Gross Amounts of Recognized Assets | 133,811 | |
Net Amounts of Assets Presented in the Balance Sheets | 133,811 | |
Gross Assets Not Offset Financial instruments | (133,811) | |
Gross Amounts of Recognized Liabilities | 101,722 | |
Net Amounts of Liabilities Presented in the Balance Sheets | 101,722 | |
Gross Liabilities Not Offset Financial instruments | (101,722) | |
Derivative Financial Instruments, Liabilities | ||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Gross Amounts of Recognized Liabilities | 88,723 | 52,197 |
Net Amounts of Liabilities Presented in the Balance Sheets | 88,723 | 52,197 |
Gross Liabilities Not Offset Financial instruments | $ (88,723) | $ (52,197) |
Short-Term Debt - Warehouse Lin
Short-Term Debt - Warehouse Line of Credit (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Short-term Debt | ||
Warehouse line of credit | $ 101,722 | $ 133,811 |
Paid swap margin calls on our derivatives | 124,000 | 104,700 |
Derivative instruments at fair value | 1,609 | 5,833 |
Derivative instruments at fair value | 88,723 | 52,197 |
Warehouse Line Facility | ||
Short-term Debt | ||
Warehouse line of credit | 101,700 | 133,800 |
Agency MBS | ||
Short-term Debt | ||
Pledged as collateral | 1,440,000 | 3,420,000 |
Derivative instruments at fair value | 1,600 | |
Derivative instruments at fair value | 88,700 | |
Non-Agency MBS | ||
Short-term Debt | ||
Pledged as collateral | 161,000 | 535,000 |
Interest rate swap agreements | ||
Short-term Debt | ||
Derivative instruments at fair value | 5,300 | |
TBA Agency MBS | ||
Short-term Debt | ||
Derivative instruments at fair value | $ 1,609 | $ 531 |
Junior Subordinated Notes - Add
Junior Subordinated Notes - Additional Information (Detail) - USD ($) | Mar. 15, 2005 | Sep. 30, 2020 |
Subordinated Borrowing [Line Items] | ||
Junior subordinated notes | $ 37,380,000 | |
First interest payment date | Jun. 30, 2005 | |
Trust preferred securities | $ 36,250,000 | |
Junior Subordinated Notes. | ||
Subordinated Borrowing [Line Items] | ||
Interest rate above prevailing three-month LIBOR rate | 3.10% | |
Debt, maturity date | 2035 | |
Trust Preferred Securities | ||
Subordinated Borrowing [Line Items] | ||
Interest rate above prevailing three-month LIBOR rate | 3.10% | |
Debt, maturity date | 2035 |
Fair Value Measurements on Recu
Fair Value Measurements on Recurring Basis (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Liabilities: | ||
Derivative instruments at fair value | $ 88,723 | $ 52,197 |
Derivative Financial Instruments, Liabilities | ||
Liabilities: | ||
Derivative instruments at fair value | 88,723 | 52,197 |
Derivative Financial Instruments, Assets | ||
Assets: | ||
Asset fair value measurement | 1,609 | 5,833 |
Agency MBS | ||
Assets: | ||
Asset fair value measurement | 1,609,761 | 3,510,051 |
Liabilities: | ||
Derivative instruments at fair value | 88,700 | |
Non-Agency MBS | ||
Assets: | ||
Asset fair value measurement | 198,586 | 643,610 |
Level 2 | Derivative Financial Instruments, Liabilities | ||
Liabilities: | ||
Derivative instruments at fair value | 88,723 | 52,197 |
Level 2 | Derivative Financial Instruments, Assets | ||
Assets: | ||
Asset fair value measurement | 1,609 | 5,833 |
Level 2 | Agency MBS | ||
Assets: | ||
Asset fair value measurement | 1,609,761 | 3,510,051 |
Level 2 | Non-Agency MBS | ||
Assets: | ||
Asset fair value measurement | $ 198,586 | $ 643,610 |
Carrying Value and Estimated Fa
Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Financial Assets: | ||
Residential mortgage loans held-for-investment through consolidated securitization trusts, net for allowance of credit losses of $147 and $175 at September 30, 2020 and December 31, 2019, respectively | $ 317,887 | $ 458,348 |
Residential mortgage loans held-for-investment, Estimated Fair Value | 325,413 | 461,606 |
Residential mortgage loans held-for-securitization, net of allowance for credit losses of $56 and $0 at September 30, 2020 and December 31, 2019, respectively | 123,247 | 152,922 |
Residential mortgage loans held-for-securitization, Estimated Fair Value | 121,639 | 154,442 |
Financial Liabilities: | ||
Asset-backed securities issued by securitization trusts | 309,173 | 448,987 |
Asset-backed securities issued by securitization trust, Estimated Fair Value | $ 315,042 | $ 450,501 |
Series B Cumulative Convertib_2
Series B Cumulative Convertible Preferred Stock - Additional Information (Detail) | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2020directoritem$ / shares | Sep. 30, 2020directoritem$ / shares | Dec. 31, 2019$ / shares | |
Conversion Of Stock [Line Items] | |||
Series B Cumulative Convertible Preferred Stock, par value | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 |
Series B Cumulative Convertible Preferred Stock, liquidating preference per share | $ / shares | $ 25 | $ 25 | $ 25 |
Series B Preferred Stock | |||
Conversion Of Stock [Line Items] | |||
Preferred Stock, dividend rate | 6.25% | ||
Preferred Stock, conversion start date | Jan. 25, 2012 | ||
Number of transactions to convert preferred stock | 0 | ||
Number of consecutive trading days used in conversion analysis | 30 | ||
Minimum number of quarters with failure to pay dividends, which triggers voting rights for preferred stock, quarters | 6 | 6 | |
Number of Board Of Directors that Preferred Stock owners are entitled to vote to elect when there is a failure to pay quarterly dividends for a set period | director | 2 | 2 | |
Minimum ratio of votes required to materially and adversely change the terms of preferred stock | 66.67% | 66.67% | |
Series B Preferred Stock | Minimum | |||
Conversion Of Stock [Line Items] | |||
Percentage of common stock price to then-prevailing conversion price in order to exercise conversion option | 130.00% | ||
Number of consecutive trading days used in conversion analysis | 20 | ||
Series A Preferred Stock | |||
Conversion Of Stock [Line Items] | |||
Preferred Stock, dividend rate | 8.625% | ||
Series C Preferred Stock | |||
Conversion Of Stock [Line Items] | |||
Preferred Stock, dividend rate | 7.625% |
Public Offerings and Capital _2
Public Offerings and Capital Stock - Additional Information (Detail) | Apr. 04, 2019USD ($) | Jan. 27, 2015USD ($)$ / sharesshares | Sep. 30, 2020USD ($)$ / sharesshares | Sep. 30, 2020USD ($)$ / sharesshares | Jan. 22, 2016item | Dec. 31, 2019$ / sharesshares | Aug. 05, 2014shares | Oct. 03, 2011shares |
Capital Unit [Line Items] | ||||||||
Common Stock, authorized | 200,000,000 | 200,000,000 | 200,000,000 | |||||
Common Stock, issued | 99,140,394 | 99,140,394 | 98,849,000 | |||||
Common Stock, outstanding | 99,140,394 | 99,140,394 | 98,849,000 | |||||
Preferred stock, authorized | 20,000,000 | 20,000,000 | ||||||
Number of shares authorized to repurchase under a share repurchase program | 2,000,000 | |||||||
Number of common stock repurchased | 0 | |||||||
Maximum amount of capital stock that may be offered per a registration statement | $ | $ 490,236,182 | |||||||
Capital stock available for future issuance | $ | $ 490,200,000 | $ 490,200,000 | ||||||
Twenty Eighteen Dividend Reinvestment and Stock Purchase Plan | ||||||||
Capital Unit [Line Items] | ||||||||
Common Stock, authorized | 15,303,119 | 15,303,119 | ||||||
Issuance of stock (in shares) | 93,014 | |||||||
Stock issued, weighted average price per share | $ / shares | $ 1.79 | |||||||
Proceeds from issuance of common stock | $ | $ 167,000 | |||||||
Anworth Mortgage Asset Corporation 2014 Equity Compensation Plan | ||||||||
Capital Unit [Line Items] | ||||||||
Maximum authorized shares of common stock under grant of stock options and other stock-based awards | 2,000,000 | |||||||
Through Six Separate Authorizations Between December 13, 2013 and January 22, 2016 | ||||||||
Capital Unit [Line Items] | ||||||||
Number of additional shares authorized to be repurchased | 45,000,000 | 45,000,000 | ||||||
Number of share repurchase authorizations | item | 6 | |||||||
FBR Sales Agreement | ||||||||
Capital Unit [Line Items] | ||||||||
Stock sales agreement value | $ | $ 196,615,000 | $ 196,615,000 | ||||||
Stock sales agreement remaining amount | $ | $ 152,100,000 | $ 152,100,000 | ||||||
Series A Preferred Stock | ||||||||
Capital Unit [Line Items] | ||||||||
Preferred stock, authorized | 5,150,000 | 5,150,000 | ||||||
Preferred stock, par value | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||
Preferred stock, liquidation preference | $ / shares | 25 | $ 25 | $ 25 | |||||
Preferred Stock, dividend rate | 8.625% | |||||||
Preferred stock redemption price | $ / shares | $ 25 | $ 25 | ||||||
Preferred stock, issued | 1,919,378 | 1,919,378 | 1,919,000 | |||||
Preferred stock, outstanding | 1,919,378 | 1,919,378 | 1,919,000 | |||||
Series B Preferred Stock | ||||||||
Capital Unit [Line Items] | ||||||||
Preferred stock, authorized | 3,150,000 | 3,150,000 | ||||||
Preferred stock, liquidation preference | $ / shares | $ 25 | $ 25 | ||||||
Preferred Stock, dividend rate | 6.25% | |||||||
Preferred stock, issued | 779,743 | 779,743 | ||||||
Preferred stock, outstanding | 779,743 | 779,743 | ||||||
Series C Preferred Stock | ||||||||
Capital Unit [Line Items] | ||||||||
Preferred stock, authorized | 5,000,000 | 5,000,000 | ||||||
Preferred stock, par value | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||
Preferred stock, liquidation preference | $ / shares | 25 | $ 25 | $ 25 | |||||
Preferred Stock, dividend rate | 7.625% | |||||||
Preferred stock redemption price | $ / shares | $ 25 | $ 25 | ||||||
Preferred stock, issued | 2,010,278 | 2,010,278 | 2,010,000 | |||||
Preferred stock, outstanding | 2,010,278 | 2,010,278 | 2,010,000 | |||||
Issuance of stock (in shares) | 300,000 | |||||||
Preferred stock, par value | $ / shares | $ 24.50 | |||||||
Public offering net proceeds | $ | $ 7,000,000 |
Transactions with Affiliates -
Transactions with Affiliates - Additional Information (Detail) | Jul. 01, 2020 | Jul. 01, 2012$ / mo | Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($) | Jul. 02, 2012ft²$ / ft² |
Related Party Transaction [Line Items] | |||||||
Description of management fee | In exchange for these services, our Manager receives a management fee, paid monthly in arrears, in an amount equal to one-twelfth of 1.20% of our Equity (as defined in the Management Agreement). | ||||||
Annual management fee as a percent of equity | 1.20% | ||||||
Number of days prior notice of non-renewal of the Management Agreement | 180 days | ||||||
Sublease agreement, square feet leased | ft² | 7,300 | ||||||
Rent paid for leased office space per square foot | $ / ft² | 73.65 | ||||||
New sublease agreement, base monthly rent | $ / mo | 44,802.57 | ||||||
Sublease agreement, base monthly rent percentage increase starting July 1, 2017 | 3.00% | ||||||
Rent | $ 143,000 | $ 143,000 | $ 430,000 | $ 422,000 | |||
Stockholders equity amount used to calculate administrative service fees | 225,000,000 | $ 225,000,000 | |||||
Prior written notice to terminate administrative agreement | 30 days | ||||||
Administrative service fees | $ 34,000 | $ 43,000 | $ 109,000 | $ 139,000 | |||
First $225 million of Stockholders' Equity | |||||||
Related Party Transaction [Line Items] | |||||||
Basis points on equity for the annual fee | 5.00% | ||||||
Above $225 million of Stockholders' Equity | |||||||
Related Party Transaction [Line Items] | |||||||
Basis points on equity for the annual fee | 2.25% | ||||||
Mr. Lloyd McAdams | |||||||
Related Party Transaction [Line Items] | |||||||
Outstanding membership interests | 47.40% | ||||||
Mr. Joseph E. McAdams | |||||||
Related Party Transaction [Line Items] | |||||||
Outstanding membership interests | 47.40% | ||||||
Mr. Brett Roth | |||||||
Related Party Transaction [Line Items] | |||||||
Additional payment for change in control and arbitration agreements | $ 350,000 | ||||||
Ms. Heather U. Baines | |||||||
Related Party Transaction [Line Items] | |||||||
Outstanding membership interests | 5.20% |
Transactions with Affiliates _2
Transactions with Affiliates - Future Minimum Lease Commitment (Detail) $ in Thousands | Sep. 30, 2020USD ($) |
Operating Lease Liabilities, Payments Due | |
2020 | $ 134 |
2021 | 545 |
2022 | 277 |
Total Commitment | 956 |
Operating Lease Liabilities, Discounted Cash Flows | |
2020 | 129 |
2021 | 516 |
2022 | 257 |
Total Commitment | $ 902 |
Equity Compensation Plan - Addi
Equity Compensation Plan - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||||||
Dec. 31, 2017 | Aug. 31, 2016 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Aug. 05, 2014 | Aug. 04, 2014 | May 08, 2014 | |
Performance-Based Restricted Stock Units | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Grant of restricted stock | 162,613 | 146,552 | |||||||
Restricted shares, vesting term | 3 years | 3 years | |||||||
Closing price of common stock on grant date | $ 5.66 | $ 4.96 | |||||||
Unrecognized stock compensation expense | $ 124 | $ 124 | |||||||
Compensation expense related to restricted stock grant | $ 4 | $ 4 | $ 12 | $ 12 | |||||
Dividend equivalent rights, granted | 0 | 0 | |||||||
Performance-Based Restricted Stock Units | Return to Capital Exceeds 10% | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Restricted shares, vesting term | 10 years | 10 years | |||||||
Performance-Based Restricted Stock Units | Involuntary Termination | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Restricted shares, vesting term | 3 years | 3 years | |||||||
Performance-Based Restricted Stock Units | Minimum | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Percentage of total return to stockholders | 10.00% | 10.00% | |||||||
Anworth Mortgage Asset Corporation 2014 Equity Plan | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Maximum authorized shares of common stock under grant of stock options and other stock-based awards | 2,000,000 | 2,000,000 | |||||||
Anworth Mortgage Asset Corporation 2014 Equity Plan | Independent Directors | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Grant of restricted stock | 8,000 | ||||||||
Total restricted stock issued | 70,000 | ||||||||
Anworth Mortgage Asset Corporation 2004 Equity Plan | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Maximum authorized shares of common stock under grant of stock options and other stock-based awards | 3,500,000 | ||||||||
Anworth Mortgage Asset Corporation 2007 Dividend Equivalent Rights Plan | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Dividend equivalent right issued, term | 5 years | ||||||||
Dividend equivalent right issued | 754,611 | 754,611 | |||||||
Dividend equivalent rights outstanding | 754,611 | 754,611 | |||||||
Paid or accrued compensation related to dividend equivalent right issued | $ 34 | 70 | $ 103 | 238 | |||||
2016 Award Grants | Performance-Based Restricted Stock Units | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Compensation expense related to restricted stock grant | $ 21 | $ 62 |
Derivative Instruments - Fair v
Derivative Instruments - Fair value of Derivative Instruments (Detail) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020USD ($)item | Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($) | Dec. 31, 2019USD ($) | |
Derivative [Line Items] | |||||
Fair value of derivative assets | $ 1,609 | $ 1,609 | $ 5,833 | ||
Fair value of derivative liabilities | 88,723 | 88,723 | 52,197 | ||
AOCI relating to interest rate swaps | 4,900 | ||||
Interest rate cash flow hedge gain (loss) to be reclassified during next 12 months | (2,300) | (2,300) | |||
Loss on interest rate swaps, net | 1,201 | $ 28,720 | 105,799 | $ 120,146 | |
Interest rate swaps | |||||
Derivative [Line Items] | |||||
Fair value of derivative assets | 5,302 | ||||
Fair value of derivative liabilities | $ 88,723 | $ 88,723 | 52,197 | ||
Interest rate swap agreements | |||||
Derivative [Line Items] | |||||
Fair value of derivative assets | 5,300 | ||||
Derivative contract, weighted average maturity (in months) | 70 months | ||||
Number of matured or terminated interest rate swap agreements | item | 2 | ||||
Notional amount of swap agreements matured or terminated during period | $ 150,000 | ||||
TBA Agency MBS | |||||
Derivative [Line Items] | |||||
Fair value of derivative assets | $ 1,609 | $ 1,609 | $ 531 | ||
Minimum | Interest rate swap agreements | |||||
Derivative [Line Items] | |||||
Fixed interest rate | 1.5455% | 1.5455% | |||
Minimum | TBA Agency MBS | |||||
Derivative [Line Items] | |||||
Fixed interest rate | 2.00% | 2.00% | |||
Maximum | Interest rate swap agreements | |||||
Derivative [Line Items] | |||||
Fixed interest rate | 3.2205% | 3.2205% | |||
Maximum | TBA Agency MBS | |||||
Derivative [Line Items] | |||||
Fixed interest rate | 3.00% | 3.00% |
Notional Amounts of Swap Agreem
Notional Amounts of Swap Agreement, Weighted Average Interest Rates and Remaining Term (Detail) - Interest rate swap agreements - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 765,000 | $ 2,501,000 |
Weighted Average Fixed Rate | 2.34% | 2.02% |
Remaining Term in Months | 70 months | 48 months |
Less than 1 year | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 50,000 | $ 541,000 |
Weighted Average Fixed Rate | 1.86% | 1.70% |
Remaining Term in Months | 1 month | 7 months |
1 year to 2 years | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 190,000 | |
Weighted Average Fixed Rate | 1.63% | |
Remaining Term in Months | 0 months | 21 months |
2 years to 3 years | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 335,000 | |
Weighted Average Fixed Rate | 1.65% | |
Remaining Term in Months | 0 months | 34 months |
3 years to 4 years | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 50,000 | $ 295,000 |
Weighted Average Fixed Rate | 1.55% | 1.71% |
Remaining Term in Months | 37 months | 45 months |
4 years to 5 years | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 250,000 | $ 550,000 |
Weighted Average Fixed Rate | 1.84% | 2.18% |
Remaining Term in Months | 60 months | 61 months |
5 years to 7 years | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 365,000 | $ 390,000 |
Weighted Average Fixed Rate | 2.75% | 2.51% |
Remaining Term in Months | 86 months | 85 months |
7 years to 10 years | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 50,000 | $ 200,000 |
Weighted Average Fixed Rate | 3.22% | 2.94% |
Remaining Term in Months | 99 months | 103 months |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Derivative [Line Items] | |||||
Gain (loss) on derivatives | $ 3,986 | $ (24,734) | $ (90,972) | $ (105,565) | |
Interest rate swap agreements | |||||
Derivative [Line Items] | |||||
Derivative contract, weighted average maturity (in months) | 70 months | ||||
Derivative, Notional Amount | 765,000 | $ 765,000 | $ 2,501,000 | ||
Gain (loss) on derivatives | $ (300) | (28,700) | $ (110,300) | (120,100) | |
Interest rate swap agreements | Minimum | |||||
Derivative [Line Items] | |||||
Fixed interest rate | 1.5455% | 1.5455% | |||
Interest rate swap agreements | Maximum | |||||
Derivative [Line Items] | |||||
Fixed interest rate | 3.2205% | 3.2205% | |||
TBA Agency MBS | |||||
Derivative [Line Items] | |||||
Derivative, Notional Amount | $ 700,000 | $ 700,000 | |||
Gain (loss) on derivatives | $ 4,327 | $ 3,986 | $ 19,376 | $ 14,582 | |
Term of contract | 30 years | ||||
TBA Agency MBS | Minimum | |||||
Derivative [Line Items] | |||||
Fixed interest rate | 2.00% | 2.00% | |||
TBA Agency MBS | Maximum | |||||
Derivative [Line Items] | |||||
Fixed interest rate | 3.00% | 3.00% |
Earnings Per Share (Detail)
Earnings Per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Earnings Per Share [Abstract] | ||||
Net Income (Loss) to Common Stockholders, Basic EPS | $ 19,572 | $ (19,789) | $ (134,004) | $ (92,054) |
Net Income (Loss) Income to Common Stockholders, Effect of dilutive securities | 305 | |||
Net Income (Loss) Income to Common Stockholders, Diluted EPS | $ 19,877 | $ (19,789) | $ (134,004) | $ (92,054) |
Average Shares, Basic EPS | 99,108 | 98,739 | 98,995 | 98,638 |
Average Shares, Effect of dilutive securities | 4,680 | |||
Average Shares, Diluted EPS | 103,788 | 98,739 | 98,995 | 98,638 |
Income (Loss) per Share, Basic EPS | $ 0.20 | $ (0.20) | $ (1.35) | $ (0.93) |
Income (Loss) per Share, Effect of dilutive securities | (0.01) | |||
Income (Loss) per Share, Diluted EPS | $ 0.19 | $ (0.20) | $ (1.35) | $ (0.93) |