Cover page
Cover page - shares | 3 Months Ended | |
Mar. 31, 2022 | Apr. 28, 2022 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2022 | |
Document Transition Report | false | |
Entity File Number | 1-13991 | |
Entity Registrant Name | MFA FINANCIAL, INC. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 13-3974868 | |
Entity Address, Address Line One | One Vanderbilt Ave., 48th Floor | |
Entity Address, City or Town | New York | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10017 | |
City Area Code | 212 | |
Local Phone Number | 207-6400 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 102,455,065 | |
Entity Central Index Key | 0001055160 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q1 | |
Common Stock, par value $0.01 per share | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | MFA | |
Security Exchange Name | NYSE | |
7.50% Series B Cumulative Redeemable Preferred Stock, par value $0.01 per share | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.50% Series B Cumulative RedeemablePreferred Stock, par value $0.01 per share | |
Trading Symbol | MFA/PB | |
Security Exchange Name | NYSE | |
6.50% Series C Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 6.50% Series C Fixed-to-Floating Rate Cumulative RedeemablePreferred Stock, par value $0.01 per share | |
Trading Symbol | MFA/PC | |
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | |
Assets: | |||
Residential whole loans, net ($5,977,315 and $5,305,349 held at fair value, respectively) | [1],[2] | $ 8,261,905 | $ 7,913,000 |
Securities, at fair value | [2] | 250,171 | 256,685 |
Cash and cash equivalents | 410,939 | 304,696 | |
Restricted cash | 144,600 | 99,751 | |
Other assets | [2] | 857,343 | 565,556 |
Total Assets | 9,924,958 | 9,139,688 | |
Liabilities: | |||
Financing agreements ($3,804,906 and $3,266,773 held at fair value, respectively) | 7,028,211 | 6,378,782 | |
Other liabilities | 547,792 | 218,058 | |
Total Liabilities | 7,576,003 | 6,596,840 | |
Commitments and contingencies (See Note 9) | |||
Stockholders’ Equity: | |||
Common stock, $0.01 par value; 874,300 and 874,300 shares authorized; 105,036 and 108,138 shares issued and outstanding, respectively | 1,050 | 1,082 | |
Additional paid-in capital, in excess of par | 3,722,974 | 3,775,482 | |
Accumulated deficit | (1,417,115) | (1,279,484) | |
Accumulated other comprehensive income | 41,856 | 45,578 | |
Total Stockholders’ Equity | 2,348,955 | 2,542,848 | |
Total Liabilities and Stockholders’ Equity | 9,924,958 | 9,139,688 | |
Series B Preferred Stock | |||
Stockholders’ Equity: | |||
Preferred stock | 80 | 80 | |
Series C Preferred Stock | |||
Stockholders’ Equity: | |||
Preferred stock | $ 110 | $ 110 | |
[1] | Includes approximately $3.2 billion and $3.0 billion of Residential whole loans transferred to consolidated variable interest entities (“VIEs”) at March 31, 2022 and December 31, 2021, respectively. Such assets can be used only to settle the obligations of each respective VIE. | ||
[2] | See Note 6 for information regarding the Company’s pledged assets. |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Residential whole loans, fair value | $ 5,977,315 | $ 5,305,349 |
Financial agreements held at fair value | $ 3,804,906 | $ 3,266,773 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 874,300 | 874,300 |
Common stock, shares issued (in shares) | 105,036 | 108,138 |
Common stock, shares outstanding (in shares) | 105,036 | 108,138 |
Non-Agency MBS Transferred to Consolidated VIEs | ||
Residential whole loans, at carrying value | $ 3,200,000 | $ 3,000,000 |
Series B Preferred Stock | ||
Preferred stock par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Stock, dividend rate | 7.50% | 7.50% |
Preferred stock, shares authorized (in shares) | 8,050 | 8,050 |
Preferred stock, shares issued (in shares) | 8,000 | 8,000 |
Preferred stock, shares outstanding (in shares) | 8,000 | 8,000 |
Preferred stock, liquidation preference, value | $ 200,000 | $ 200,000 |
Series C Preferred Stock | ||
Preferred stock par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Stock, dividend rate | 6.50% | 6.50% |
Preferred stock, shares authorized (in shares) | 12,650 | 12,650 |
Preferred stock, shares issued (in shares) | 11,000 | 11,000 |
Preferred stock, shares outstanding (in shares) | 11,000 | 11,000 |
Preferred stock, liquidation preference, value | $ 275,000 | $ 275,000 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Interest Income: | ||
Residential whole loans | $ 99,466 | $ 64,538 |
Securities, at fair value | 5,275 | 16,459 |
Other interest-earning assets | 1,506 | 0 |
Cash and cash equivalent investments | 102 | 54 |
Interest Income | 106,349 | 81,051 |
Interest Expense: | ||
Asset-backed and other collateralized financing arrangements | 39,365 | 26,050 |
Other interest expense | 3,931 | 4,020 |
Interest Expense | 43,296 | 30,070 |
Net Interest Income | 63,053 | 50,981 |
Reversal of Provision for Credit Losses on Residential Whole Loans | 3,511 | 22,750 |
Net Interest Income after Reversal of Provision for Credit Losses | 66,564 | 73,731 |
Other Income, net: | ||
Net mark-to-market and other net (loss)/gain on residential whole loans measured at fair value | (288,375) | 31,490 |
Net gains on derivatives used for risk management purposes | 94,101 | 0 |
Net mark-to-market on Securitized debt measured at fair value | 64,117 | (1,011) |
Net gain on real estate owned | 8,732 | 2,440 |
Lima One - origination, servicing and other fee income | 14,494 | 0 |
Other, net | (585) | 1,400 |
Other (Loss)/Income, net | (107,516) | 34,319 |
Operating and Other Expense: | ||
Compensation and benefits | 19,556 | 8,437 |
Other general and administrative expense | 8,697 | 6,792 |
Loan servicing, financing and other related costs | 10,401 | 7,299 |
Amortization of intangible assets | 3,300 | 0 |
Operating and Other Expense | 41,954 | 22,528 |
Net (Loss)/Income | (82,906) | 85,522 |
Less Preferred Stock Dividend Requirement | 8,219 | 8,219 |
Net (Loss)/Income Available to Common Stock and Participating Securities | $ (91,125) | $ 77,303 |
Basic (Loss)/Earnings per Common Share (in dollars per share) | $ (0.86) | $ 0.68 |
Diluted (Loss)/Earnings per Common Share (in dollars per share) | $ (0.86) | $ 0.67 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Statement of Comprehensive Income [Abstract] | ||
Net (loss)/income | $ (82,906) | $ 85,522 |
Other Comprehensive (Loss): | ||
Unrealized (losses) on securities available-for-sale | (4,977) | (3,855) |
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk | 1,255 | 235 |
Other Comprehensive (Loss) | (3,722) | (3,620) |
Comprehensive (loss)/income before preferred stock dividends | (86,628) | 81,902 |
Dividends required on preferred stock | (8,219) | (8,219) |
Comprehensive (Loss)/Income Available to Common Stock and Participating Securities | $ (94,847) | $ 73,683 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands | Total | Series B Preferred Stock | Series C Preferred Stock | Preferred StockSeries B Preferred Stock | Preferred StockSeries C Preferred Stock | Common Stock | Additional Paid-in Capital | Accumulated Deficit | Accumulated DeficitSeries B Preferred Stock | Accumulated DeficitSeries C Preferred Stock | Accumulated Other Comprehensive Income | |
Balance (in shares) at Dec. 31, 2020 | 8,000 | 11,000 | 112,929 | |||||||||
Beginning balance at Dec. 31, 2020 | $ 2,524,802 | $ 80 | $ 110 | $ 1,129 | $ 3,851,517 | $ (1,405,327) | $ 77,293 | |||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||
Net (loss)/income | 85,522 | 85,522 | ||||||||||
Issuance of stock, net of expenses (in shares) | 139 | |||||||||||
Issuance of common stock, net of expenses | 382 | $ 1 | 381 | |||||||||
Repurchase of shares of common stock (in shares) | [1] | (1,540) | ||||||||||
Repurchase of shares of common stock | [1] | (25,136) | $ (15) | (25,121) | ||||||||
Equity based compensation expense | 1,686 | 1,686 | ||||||||||
Change in accrued dividends attributable to stock-based awards | 489 | 489 | ||||||||||
Dividends declared on common stock | [2] | (33,521) | (33,521) | |||||||||
Dividends declared on preferred stock | (8,219) | $ (3,750) | $ (4,468) | $ (3,750) | $ (4,468) | |||||||
Dividends attributable to dividend equivalents | (120) | (120) | ||||||||||
Change in unrealized gains on securities, net | (3,855) | (3,855) | ||||||||||
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk | 235 | 235 | ||||||||||
Balance (in shares) at Mar. 31, 2021 | 8,000 | 11,000 | 111,528 | |||||||||
Ending balance at Mar. 31, 2021 | 2,542,266 | $ 80 | $ 110 | $ 1,115 | 3,828,952 | (1,361,664) | 73,673 | |||||
Balance (in shares) at Dec. 31, 2021 | 8,000 | 11,000 | 108,138 | |||||||||
Beginning balance at Dec. 31, 2021 | 2,542,848 | $ 80 | $ 110 | $ 1,082 | 3,775,482 | (1,279,484) | 45,578 | |||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||
Net (loss)/income | (82,906) | (82,906) | ||||||||||
Issuance of stock, net of expenses (in shares) | 150 | |||||||||||
Issuance of common stock, net of expenses | 486 | $ 1 | 485 | |||||||||
Repurchase of shares of common stock (in shares) | [3] | (3,252) | ||||||||||
Repurchase of shares of common stock | [3] | (55,742) | $ (33) | (55,709) | ||||||||
Equity based compensation expense | 2,642 | 2,642 | ||||||||||
Change in accrued dividends attributable to stock-based awards | (76) | 74 | (150) | |||||||||
Dividends declared on common stock | [4] | (46,215) | (46,215) | |||||||||
Dividends declared on preferred stock | (8,219) | $ (3,750) | $ (4,469) | $ (3,750) | $ (4,469) | |||||||
Dividends attributable to dividend equivalents | (141) | (141) | ||||||||||
Change in unrealized gains on securities, net | (4,977) | (4,977) | ||||||||||
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk | 1,255 | 1,255 | ||||||||||
Balance (in shares) at Mar. 31, 2022 | 8,000 | 11,000 | 105,036 | |||||||||
Ending balance at Mar. 31, 2022 | $ 2,348,955 | $ 80 | $ 110 | $ 1,050 | $ 3,722,974 | $ (1,417,115) | $ 41,856 | |||||
[1] | For the three months ended March 31, 2021, includes approximately $799,000 (53,281 shares) surrendered for tax purposes related to equity-based compensation awards | |||||||||||
[2] | Based on the number of shares held by stockholders at the record date and before giving effect to the Company’s 1 for 4 reverse stock split effected on April 4, 2022. | |||||||||||
[3] | For the three months ended March 31, 2022 includes approximately $1.0 million (56,690 shares) surrendered for tax purposes related to equity-based compensation awards. | |||||||||||
[4] | Based on the number of shares held by stockholders at the record date and before giving effect to the Company’s 1 for 4 reverse stock split effected on April 4, 2022. |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (UNAUDITED) (Parenthetical) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022USD ($)$ / sharesshares | Mar. 31, 2021USD ($)$ / sharesshares | |
Common stock, cash dividends declared (in dollars per share) | $ 0.110 | $ 0.075 |
Stock split ratio, common stock | 0.25 | 0.25 |
Series B Preferred Stock | ||
Preferred Stock, dividend rate | 7.50% | |
Dividend declared per share, preferred stock (in dollars per share) | $ 0.46875 | $ 0.46875 |
Series C Preferred Stock | ||
Preferred Stock, dividend rate | 6.50% | |
Dividend declared per share, preferred stock (in dollars per share) | $ 0.40625 | $ 0.40625 |
Preferred Stock | Series B Preferred Stock | ||
Preferred Stock, dividend rate | 7.50% | 7.50% |
Preferred Stock, liquidation preference per share (in dollars per share) | $ 25 | $ 25 |
Preferred Stock | Series C Preferred Stock | ||
Preferred Stock, dividend rate | 6.50% | 6.50% |
Preferred Stock, liquidation preference per share (in dollars per share) | $ 25 | $ 25 |
Common Stock | ||
Adjustments related to tax withholding for share-based compensation | $ | $ 1,000 | $ 799 |
Shares paid for tax withholding for share based compensation (in shares) | shares | 56,690 | 53,281 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Cash Flows From Operating Activities: | ||
Net (loss)/income | $ (82,906) | $ 85,522 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
(Gains)/losses on residential whole loans and real estate owned, net | 277,273 | (35,893) |
(Gains)/losses on securities, net | 2,921 | (100) |
Accretion of purchase discounts and amortization of purchase premiums on residential whole loans and securities, and amortization of terminated hedging instruments | (4,135) | (9,645) |
(Reversal of provision)/provision for credit and valuation losses on residential whole loans and other financial instruments | (4,038) | (23,967) |
Net other non-cash (gains)/losses included in net income | (134,618) | 5,212 |
(Increase)/Decrease in other assets | 78,454 | (1,939) |
Increase/(Decrease) in other liabilities | 609 | 4,975 |
Net cash provided by operating activities | 133,560 | 24,165 |
Cash Flows From Investing Activities: | ||
Purchases of residential whole loans, loan related investments and capitalized advances | (1,192,437) | (184,707) |
Proceeds from sales of residential whole loans, and residential whole loan repurchases | 0 | 0 |
Principal payments on residential whole loans and loan related investments | 567,114 | 425,300 |
Proceeds from sales of securities and other assets | 369 | 0 |
Principal payments on securities | 1,470 | 58,896 |
Purchases of real estate owned and capital improvements | (353) | (217) |
Proceeds from sales of real estate owned | 41,336 | 50,619 |
Additions to leasehold improvements, furniture and fixtures | (953) | (4,415) |
Net cash (used in)/provided by investing activities | (583,454) | 345,476 |
Cash Flows From Financing Activities: | ||
Principal payments on financing agreements with mark-to-market collateral provisions | (586,883) | (821,716) |
Proceeds from borrowings under financing agreements with mark-to-market collateral provisions | 965,270 | 663,926 |
Principal payments on other collateralized financing agreements | (761,122) | (521,259) |
Proceeds from borrowings under other collateralized financing agreements | 1,096,258 | 437,915 |
Payment made for other collateralized financing agreement related costs | (2,870) | (1,371) |
Principal payment on redemption of Senior notes | 0 | (100,000) |
Proceeds from issuances of common stock | 581 | 376 |
Payments made for the repurchase of common stock through the stock repurchase program | (54,799) | (20,933) |
Dividends paid on preferred stock | (8,219) | (8,219) |
Dividends paid on common stock and dividend equivalents | (47,230) | (34,015) |
Net cash provided by/(used in) financing activities | 600,986 | (405,296) |
Net (decrease)/increase in cash, cash equivalents and restricted cash | 151,092 | (35,655) |
Cash, cash equivalents and restricted cash at beginning of period | 404,447 | 821,519 |
Cash, cash equivalents and restricted cash at end of period | 555,539 | 785,864 |
Supplemental Disclosure of Cash Flow Information | ||
Interest Paid | 34,727 | 29,554 |
Non-cash Investing and Financing Activities: | ||
Transfer from residential whole loans to real estate owned | 22,079 | 20,068 |
Dividends and dividend equivalents declared and unpaid | 46,357 | 33,640 |
Payable for unsettled residential whole loan and Treasury Bill purchases | $ 329,706 | $ 112,202 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization MFA Financial, Inc. (the “Company”) was incorporated in Maryland on July 24, 1997 and began operations on April 10, 1998. The Company has elected to be treated as a real estate investment trust (“REIT”) for U.S. federal income tax purposes. In order to maintain its qualification as a REIT, the Company must comply with a number of requirements under federal tax law, including that it must distribute at least 90% of its annual REIT taxable income to its stockholders. The Company has elected to treat certain of its subsidiaries as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business (see Note 8). |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2022 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies (a) Basis of Presentation and Consolidation For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company’s one-for-four reverse stock split which was effected following the close of business on April 4, 2022. The interim unaudited consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (the “SEC”). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) have been condensed or omitted in accordance with these SEC rules and regulations. Management believes that the disclosures included in these interim unaudited consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2022 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2022 should not be construed as indicative of the results to be expected for the full year. The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with 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 revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas: impairment, valuation allowances and loss allowances on residential whole loans (see Note 3), mortgage-backed securities (‘MBS”), credit risk transfer (“CRT”) securities and mortgage servicing rights (“MSR”)-related assets (collectively, “Securities, at fair value”) (see Note 4) and Other assets (see Note 5), valuation of Securities, at fair value (see Notes 4 and 13), income recognition and valuation of residential whole loans (see Notes 3 and 13), and valuation of derivative instruments (see Notes 5(d) and 13). In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest (see Note 8). Actual results could differ from those estimates. The Company has one reportable segment as it manages its business and analyzes and reports its results of operations on the basis of one operating segment: investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries. All intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. In particular, prior period disclosures have been conformed to the current period presentation of interest income from residential whole loans at fair value. Starting in the second quarter of 2021, interest income for these loans is presented in interest income in the Company’s consolidated statements of operations. Previously, interest income received on residential whole loans at fair value was presented in other income in the Company’s consolidated statements of operations. On July 1, 2021, the Company completed the acquisition of Lima One Holdings, LLC, the parent company of Lima One Capital, LLC (collectively referred to as “Lima One”), a leading nationwide originator and servicer of business purpose loans (“BPLs”). Lima One’s financial results are consolidated with MFA’s results from that date. (b) Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions or originated by Lima One. The accounting model utilized by the Company is determined at the time each loan package is initially acquired. Prior to the second quarter of 2021, the fair value option was typically elected on loans that were 60 or more days delinquent at purchase (“Purchased Non-performing Loans”). Purchased Credit Deteriorated Loans acquired prior to the second quarter of 2021, and where the underlying borrower had a delinquency status of less than 60 days at the acquisition date, are typically held at carrying value. Purchased Performing Loans acquired prior to the second quarter of 2021 are also typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required credit loss reserves (as discussed below) differ from those used for Purchased Credit Deteriorated Loans held at carrying value. Starting in the second quarter of 2021, the Company elected the fair value option for all loans acquired, irrespective of borrower delinquency status at acquisition. Over time, the Company expects that election of the fair value option should serve to simplify reporting of the results of its loan investment activities as fair value accounting will be used for the majority of loans in the Company’s portfolio. The accounting model initially applied to loan acquisitions is not permitted to be subsequently changed. Consequently, the Company is not permitted to retroactively apply fair value accounting to loans held at carrying value acquired in periods prior to the second quarter of 2021. The Company’s residential whole loans pledged as collateral against financing agreements are included in the consolidated balance sheets with amounts pledged disclosed in Note 6. Purchases and sales of residential whole loans that are subject to an extended period of due diligence that crosses a reporting date are recorded in the Company’s balance sheet at amounts reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Residential whole loans purchased under flow arrangements with loan origination partners are generally recorded at the transaction settlement date. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any financing agreement until the closing of the purchase transaction. Interest income, credit related losses and changes in the fair value of loans held at fair value are recorded post settlement for acquired loans and until transaction settlement for sold loans (see Notes 3, 6, 13 and 14). Purchased Performing Loans Acquisitions of Purchased Performing Loans to date (which include loans purchased from third parties or loans originated by Lima One) have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by non-owner occupied residential properties made to borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), (iv) loans on investor properties that conform to the standards for purchase by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (“Agency eligible investor loans”), and (v) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased Performing Loans are initially recorded at their purchase price (or amount funded for originated loans). Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate. Interest income on such loans acquired at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. For Purchased Performing Loans acquired prior to the second quarter of 2021 and where the fair value option was not elected, an allowance for credit losses is recorded at acquisition, and maintained on an ongoing basis, for all losses expected over the life of the respective loan. Any required credit loss allowance would reduce the net carrying value of the loan with a corresponding charge to earnings, and may increase or decrease over time. Significant judgments are required in determining any allowance for credit loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended, and interest accruals are reversed against income, for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful (i.e., such loans are placed on nonaccrual status). For nonaccrual loans, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current. A loan is written off when it is no longer realizable and/or it is legally discharged. Modified loans are considered “troubled debt restructurings” if the Company grants a concession to a borrower who is experiencing financial difficulty (including the interpretation of this definition set forth in OCC Bulletin 2020-35). Charge-offs to the allowance for loan losses occur when losses are confirmed through the receipt of cash or other consideration from the completion of a sale; when a modification or restructuring takes place in which we grant a concession to a borrower or agree to a discount in full or partial satisfaction of the loan; when we take ownership and control of the underlying collateral in full satisfaction of the loan; when loans are reclassified as other investments; or when significant collection efforts have ceased and it is highly likely that a loss has been realized. The aggregate allowance for credit losses is equal to the sum of the losses expected over the life of each respective loan. Expected losses are generally calculated based on the estimated probability of default and loss severity of loans in the portfolio, which involves projecting each loan’s expected cash flows based on their contractual terms, expected prepayments, and estimated default and loss severity rates. The results were not discounted. The default and severity rates were estimated based on the following steps: (i) obtained the Company’s historical experience through an entire economic cycle for each loan type or, to the extent the Company did not have sufficient historical loss experience for a given loan type, publicly available data derived from the historical loss experience of certain banks, which data the Company believes is generally representative of its portfolio, (ii) obtained historical economic data (U.S. unemployment rates and home price appreciation) over the same period, and (iii) estimated default and severity rates during three distinct future periods based on historical default and severity rates during periods when economic conditions similar to those forecasted were experienced. The default and severity rates were applied to the estimated amount of loans outstanding during each future period, based on contractual terms and expected prepayments. Expected prepayments are estimated based on historical experience and current and expected future economic conditions, including market interest rates. The three periods were as follows: (i) a one-year forecast of economic conditions based on U.S. unemployment rates and home price appreciation, followed by (ii) a two-year “reversion” period during which economic conditions (U.S. unemployment rates and home price appreciation) are projected to revert to historical averages on a straight line basis, followed by (iii) the remaining life of each loan, during which period economic conditions (U.S. unemployment rates and home price appreciation) are projected to equal historical averages. In addition, a liability is established (and recorded in Other Liabilities) each period using a similar methodology for committed but undrawn loan amounts. The Company forecasts future economic conditions based on forecasts provided by an external preparer of economic forecasts, as well as its own knowledge of the market and its portfolio. The Company may consider multiple scenarios and select the one that it believes results in the most reasonable estimate of expected losses. The Company may apply qualitative adjustments to these results as further described in Note 3. For certain loans where foreclosure has been deemed to be probable, loss estimates are based on whether the value of the underlying collateral is sufficient to recover the carrying value of the loan. This methodology has not changed significantly from the calculation of the allowance for credit losses on January 1, 2021. Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit deteriorated as they have experienced a more-than-insignificant deterioration in credit quality since origination and were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with loan-to-value ratios (“LTVs”) of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit deteriorated are initially recorded at the purchase price on a net basis, after establishing an initial allowance for credit losses (their initial cost basis is equal to their purchase price plus the initial allowance for credit losses). Subsequent to acquisition, the gross recorded amount for these loans reflects the initial cost basis, plus accretion of interest income, less principal and interest cash flows received. Purchased Credit Deteriorated Loans acquired prior to the second quarter of 2021, or where the fair value option was not otherwise elected, are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded cost basis reduced by any allowance for credit losses. Interest income on such loans purchased is recorded each period based on the contractual coupon net of amortization of the difference between their cost basis and unpaid principal balance (“UPB”), subject to the Company’s nonaccrual policy. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. Prior to the second quarter of 2021, this accounting election was made primarily on Purchased Non-performing Loans. Starting in the second quarter of 2021, the Company made the fair value election on all loan acquisitions, which, to date, have been comprised exclusively of Purchased Performing Loans including loans originated by Lima One since its consolidation. The Company generally considers accounting for these loans at fair value to be more reflective of the expected pattern of returns from these loans under current economic conditions. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans and trading activity observed in the marketplace. Subsequent changes in fair value are reported in current period earnings and presented in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Interest income is recorded on these loans based on their yield and is presented as part of interest income in the Company’s consolidated statements of operations. Cash outflows associated with loan-related advances made by the Company on behalf of the borrower are included in the basis of the loan and are reflected in unrealized gains or losses reported each period. Income and costs associated with originating loans on which the fair value option was elected are recorded in other income and expense respectively in the period in which they are earned or incurred. (c) Securities, at Fair Value MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets, are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed in Note 6. Purchases and sales of MSR-related assets are recorded on the trade date (see Notes 4, 6, and 13). Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as “available-for-sale” (“AFS”) securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity, subject to impairment and loss allowances. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral, as applicable, and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Residential Mortgage Securities Prior to the quarter ended June 30, 2020, the Company had invested in residential MBS that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). The Company disposed of its investments in Agency MBS during 2020 and disposed of its remaining investments in Non-Agency MBS during the second quarter of 2021. In addition, the Company has investments in CRT securities that are issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation Securities that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as AFS. Such securities are carried at their fair value with unrealized gains and losses excluded from earnings (except when an allowance for loan losses is recognized, as discussed below) and reported in AOCI, a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. In addition, the Company has elected the fair value option for certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk-sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on their outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity (see Note 13). Allowance for credit losses When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities, as well as securities for which a credit loss allowance had been previously recorded, on at least a quarterly basis and determines whether any changes to the allowance for credit losses are required. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize a write-down through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an impaired security, only the portion of the impairment related to credit losses is recognized through a loss allowance charged to earnings with the remainder recognized through AOCI on the Company’s consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Credit loss allowances are subject to reversal through earnings resulting from improvements in expected cash flows. The determination as to whether to record (or reverse) a credit loss allowance is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of losses constitute material estimates that are susceptible to significant change (see Note 4). Balance Sheet Presentation The Company’s residential mortgage securities pledged as collateral against financing agreements and interest rate swap agreements (“Swaps”) are included on the consolidated balance sheets with the fair value of the securities pledged disclosed in Note 6. Purchases and sales of securities are recorded on the trade date. (d) Cash and Cash Equivalents Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less. Cash and cash equivalents may also include cash pledged as collateral to the Company by its financing counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). The Company did not hold any cash pledged by its counterparties at March 31, 2022 and December 31, 2021. At March 31, 2022 and December 31, 2021, the Company had cash and cash equivalents of $410.9 million and $304.7 million, respectively. At March 31, 2022, the Company had $320.7 million of investments in overnight money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. As of December 31, 2021, the Company had $215.8 million worth of investments in overnight money market funds. In addition, deposits in FDIC insured accounts generally exceed insured limits (see Notes 6 and 13). (e) Restricted Cash Restricted cash primarily represents the Company’s cash collections held in connection with certain of the Company’s financing agreements, Swaps and/or loan servicing activities that are not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to financing agreements and/or Swaps counterparties, or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of financing agreements and/or Swaps. The Company had aggregate restricted cash of $144.6 million and $99.8 million at March 31, 2022 and December 31, 2021, respectively (see Notes 5(d), 6 and 13). (f) Goodwill & Intangible Assets At March 31, 2022 and December 31, 2021, the Company had goodwill of $61.1 million, which represents the excess of the fair value of consideration paid over the fair value of net assets acquired in connection with the acquisition of Lima One, and other intangible assets of $18.1 million and $21.4 million, respectively (net of amortization), primarily comprised of customer relationships, non-competition agreements, trademarks and trade names, and internally developed software recognized as part of the acquisition of Lima One (see Note 5(b). The intangible assets are amortized over their expected useful lives, which range from one (g) Real Estate Owned (“REO”) REO represents real estate acquired by the Company, including through foreclosure, deed in lieu of foreclosure, or purchased in connection with the acquisition of residential whole loans. REO acquired through foreclosure or deed in lieu of foreclosure is initially recorded at fair value less estimated selling costs. REO acquired in connection with the acquisition of residential whole loans is initially recorded at its purchase price. Subsequent to acquisition, REO is reported, at each reporting date, at the lower of the current carrying amount or fair value less estimated selling costs and for presentation purposes is included in Other assets on the Company’s consolidated balance sheets. Changes in fair value that result in an adjustment to the reported amount of an REO property that has a fair value at or below its carrying amount are reported in Other Income, net on the Company’s consolidated statements of operations. The Company has acquired certain properties that it holds for investment purposes, including rentals to third parties. These properties are held at their historical basis less depreciation, and are subject to impairment. Related rental income and expenses are recorded in Other Income, net (see Note 5). (h) Leases and Depreciation Leases The Company records its operating lease liabilities and operating lease right-of-use assets on its consolidated balance sheets. The operating lease liabilities are equal to the present value of the remaining fixed lease payments (excluding real estate tax and operating expense escalations) discounted at the Company’s estimated incremental borrowing rate at the date of lease commencement, and the operating lease right-of-use assets are equal to the operating lease liabilities adjusted for lease incentives and initial direct costs. As lease payments are made, the operating lease liabilities are reduced to the present value of the remaining lease payments and the operating lease right-of-use assets are reduced by the difference between the lease expense (straight-lined over the lease term) and the theoretical interest expense amount (calculated using the incremental borrowing rate at the date of lease commencement). See Notes 5 and 9 for further discussion on leases. Leasehold Improvements, Real estate and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from five (i) Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges (unless the debt is recorded at fair value, as discussed below), are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For certain financing agreements, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and, in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Compan |
Residential Whole Loans
Residential Whole Loans | 3 Months Ended |
Mar. 31, 2022 | |
Receivables [Abstract] | |
Residential Whole Loans | Residential Whole Loans Included on the Company’s consolidated balance sheets at March 31, 2022 and December 31, 2021 are approximately $8.3 billion and $7.9 billion, respectively, of residential whole loans arising from the Company’s interests in certain trusts established to acquire the loans and certain entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated for financial reporting purposes. Starting in the second quarter of 2021, the Company elected the fair value option for all loan acquisitions, including loans originated by Lima One subsequent to its acquisition by the Company. Prior to the second quarter of 2021, the fair value option was typically elected only for Purchased Non-performing Loans. The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at March 31, 2022 and December 31, 2021: Held at Carrying Value Held at Fair Value Total (Dollars in Thousands) March 31, 2022 December 31, 2021 March 31, 2022 December 31, 2021 March 31, 2022 December 31, 2021 Purchased Performing Loans: Non-QM loans $ 1,265,731 $ 1,448,162 $ 2,391,632 $ 2,013,369 $ 3,657,363 $ 3,461,531 Rehabilitation loans 154,508 217,315 735,849 517,530 890,357 734,845 Single-family rental loans 283,090 331,808 870,407 619,415 1,153,497 951,223 Seasoned performing loans 98,269 102,041 — — 98,269 102,041 Agency eligible investor loans — — 991,633 1,082,765 991,633 1,082,765 Total Purchased Performing Loans $ 1,801,598 $ 2,099,326 $ 4,989,521 $ 4,233,079 $ 6,791,119 $ 6,332,405 Purchased Credit Deteriorated Loans $ 518,450 $ 547,772 $ — $ — $ 518,450 $ 547,772 Allowance for Credit Losses $ (35,457) $ (39,447) $ — $ — $ (35,457) $ (39,447) Purchased Non-Performing Loans $ — $ — $ 987,794 $ 1,072,270 $ 987,794 $ 1,072,270 Total Residential Whole Loans $ 2,284,591 $ 2,607,651 $ 5,977,315 $ 5,305,349 $ 8,261,906 $ 7,913,000 Number of loans 8,506 9,361 16,706 14,734 25,212 24,095 The following table presents additional information regarding the Company’s Residential whole loans at March 31, 2022 and December 31, 2021: March 31, 2022 Fair Value / Carrying Value Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by UPB Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4) $ 3,621,124 $ 3,670,937 4.92 % 356 65 % 733 $ 3,431,011 $ 119,445 $ 30,355 $ 90,126 Rehabilitation loans 885,155 886,942 7.11 12 67 740 783,366 14,118 3,178 86,280 Single-family rental loans 1,152,195 1,168,778 5.26 324 70 735 1,133,996 13,436 547 20,799 Seasoned performing loans 98,224 107,624 2.71 159 36 722 98,569 634 97 8,324 Agency eligible investor loans 991,633 1,034,815 3.40 351 62 767 1,026,214 7,595 814 192 Total Purchased Performing Loans 6,748,331 $ 6,869,096 5.00 % 302 Purchased Credit Deteriorated Loans $ 496,871 $ 610,651 4.57 % 280 69 % N/A 428,302 51,517 18,942 111,890 Purchased Non-Performing Loans $ 987,794 $ 1,017,658 4.89 % 280 73 % N/A $ 464,770 $ 85,856 $ 40,454 $ 426,578 Residential whole loans, total or weighted average $ 8,232,996 $ 8,497,405 4.96 % 298 December 31, 2021 Fair Value / Carrying Value Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by UPB Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans $ 3,453,242 $ 3,361,164 5.07 % 355 66 % 731 $ 3,165,964 $ 77,581 $ 22,864 $ 94,755 Rehabilitation loans 727,964 731,154 7.18 11 67 735 616,733 5,834 5,553 103,034 Single-family rental loans 949,772 924,498 5.46 329 70 732 898,166 2,150 695 23,487 Seasoned performing loans 101,995 111,710 2.76 162 37 722 102,047 938 481 8,244 Agency eligible investor loans 1,082,765 1,060,486 3.40 354 62 767 1,039,257 21,229 — — Total Purchased Performing Loans 6,315,738 $ 6,189,012 5.05 % 307 Purchased Credit Deteriorated Loans 524,992 $ 643,187 4.55 % 283 69 N/A 456,924 50,048 18,736 117,479 Purchased Non-Performing Loans 1,072,270 $ 1,073,544 4.87 % 283 73 N/A 492,481 87,041 40,876 453,146 Residential whole loans, total or weighted average $ 7,913,000 $ 7,905,743 4.99 % 301 (1) Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $160.5 million and $137.3 million at March 31, 2022 and December 31, 2021, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 74% and 71% at March 31, 2022 and December 31, 2021, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3) Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. (4) Excluded from the table above are approximately $28.9 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2022. No Residential whole loans were sold during the three months ended March 31, 2022 and 2021. Allowance for Credit Losses The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value: Three Months Ended March 31, 2022 (Dollars In Thousands) Non-QM Loans Rehabilitation Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2021 $ 8,289 $ 6,881 $ 1,451 $ 46 $ 22,780 $ 39,447 Current provision (909) (1,460) (122) (1) (975) (3,467) Write-offs (51) (219) (27) — (226) (523) Allowance for credit losses at March 31, 2022 $ 7,329 $ 5,202 $ 1,302 $ 45 $ 21,579 $ 35,457 Three Months Ended March 31, 2021 (Dollars In Thousands) Non-QM Loans Rehabilitation Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2020 $ 21,068 $ 18,371 $ 3,918 $ 107 $ 43,369 $ 86,833 Current provision (6,523) (3,700) (1,172) (41) (10,936) (22,372) Write-offs — (1,003) — — (214) (1,217) Allowance for credit losses at March 31, 2021 $ 14,545 $ 13,668 $ 2,746 $ 66 $ 32,219 $ 63,244 (1) In connection with purchased Rehabilitation loans at carrying value, the Company had unfunded commitments of $12.9 million and $54.4 million as of March 31, 2022 and 2021, respectively, with an allowance for credit losses of $156,000 and $795,905 at March 31, 2022 and 2021, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7). (2) Includes $80.2 million and $149.2 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2022 and 2021, respectively. (3) Includes $69.1 million and $87.7 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2022 and 2021, respectively. The Company’s estimates of expected losses that form the basis of the Allowance for Credit Losses include certain qualitative adjustments which have the effect of increasing expected loss estimates. These qualitative adjustments were determined based on a variety of factors, including differences between the Company’s loan portfolio and the loan portfolios represented by data available in regulatory filings of certain banks that are considered to have similar loan portfolios (available proxy data), and differences between current (and expected future) market conditions in comparison to market conditions that occurred in historical periods. Such differences include uncertainty with respect to the ongoing impact of the COVID-19 pandemic, the extent and timing of government stimulus efforts, anticipated inflation and increasing market interest rates, and heightened political uncertainty. The Company’s estimates of credit losses reflect the Company’s expectation that full recovery to pre-pandemic economic conditions will take an extended period, resulting in increased delinquencies and defaults during this period compared to historical periods. Estimates of credit losses under credit losses on financial instruments (“CECL”) are highly sensitive to changes in assumptions and current economic conditions have increased the difficulty of accurately forecasting future conditions. The amortized cost basis of Purchased Performing Loans on nonaccrual status as of March 31, 2022 and December 31, 2021 was $221.1 million and $240.2 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of March 31, 2022 and December 31, 2021 was $101.2 million and $108.9 million, respectively. The fair value of Purchased Non-performing Loans on nonaccrual status as of March 31, 2022 and December 31, 2021 was $550.8 million and $588.1 million, respectively. During the three months ended March 31, 2022, the Company recognized $4.3 million of interest income on loans on nonaccrual status, including $3.0 million on its portfolio of loans which were non-performing at acquisition. At March 31, 2022 and December 31, 2021, there were approximately $107.2 million and $107.4 million, respectively, of loans held at carrying value on nonaccrual status that did not have an associated allowance for credit losses because they were determined to be collateral dependent and the estimated fair value of the related collateral exceeded the carrying value of each loan, respectively. The following table presents certain additional credit-related information regarding our Residential whole loans, at Carrying Value: Amortized Cost Basis by Origination Year and LTV Bands (Dollars In Thousands) 2022 2021 2020 2019 2018 Prior Total Non-QM loans LTV <= 80% (1) $ — $ 55,222 $ 246,102 $ 584,293 $ 302,545 $ 34,265 $ 1,222,427 LTV > 80% (1) — 2,762 18,918 9,580 10,416 1,628 43,304 Total Non-QM loans $ — $ 57,984 $ 265,020 $ 593,873 $ 312,961 $ 35,893 $ 1,265,731 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ 51 $ — $ 51 Rehabilitation loans LTV <= 80% (1) $ — $ 4,046 $ 19,342 $ 92,938 $ 14,673 $ 3,057 $ 134,056 LTV > 80% (1) — — 2,280 11,739 4,734 1,699 20,452 Total Rehabilitation loans $ — $ 4,046 $ 21,622 $ 104,677 $ 19,407 $ 4,756 $ 154,508 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ 199 $ 20 $ — $ 219 Single family rental loans LTV <= 80% (1) $ — $ 14,747 $ 30,245 $ 165,098 $ 57,566 $ 9,602 $ 277,258 LTV > 80% (1) — — 512 5,234 86 — 5,832 Total Single family rental loans $ — $ 14,747 $ 30,757 $ 170,332 $ 57,652 $ 9,602 $ 283,090 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ 27 $ — $ — $ 27 Seasoned performing loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 95,307 $ 95,307 LTV > 80% (1) — — — — — 2,962 2,962 Total Seasoned performing loans $ — $ — $ — $ — $ — $ 98,269 $ 98,269 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 387,985 $ 387,985 LTV > 80% (1) — — — — — 130,465 130,465 Total Purchased credit deteriorated loans $ — $ — $ — $ — $ — $ 518,450 $ 518,450 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ — $ 226 $ 226 Total LTV <= 80% (1) $ — $ 74,015 $ 295,689 $ 842,329 $ 374,784 $ 530,216 $ 2,117,033 Total LTV > 80% (1) — 2,762 21,710 26,553 15,236 136,754 203,015 Total residential whole loans, at carrying value $ — $ 76,777 $ 317,399 $ 868,882 $ 390,020 $ 666,970 $ 2,320,048 Total Gross write-offs $ — $ — $ — $ 226 $ 71 $ 226 $ 523 (1) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $160.5 million at March 31, 2022, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting is 74% at March 31, 2022. Certain low value loans secured by vacant lots are categorized as LTV > 80%. The following tables present certain information regarding the LTVs of the Company’s Residential whole loans that are 90 days or more delinquent: March 31, 2022 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 91,200 $ 90,126 65.6 % Rehabilitation loans $ 86,272 $ 86,280 73.3 % Single-family rental loans $ 20,845 $ 20,799 73.5 % Seasoned performing loans $ 7,780 $ 8,324 43.7 % Agency eligible investor loans $ 180 $ 192 73.7 % Total Purchased Performing Loans $ 206,277 $ 205,721 Purchased Credit Deteriorated Loans $ 90,190 $ 111,890 78.2 % Purchased Non-Performing Loans $ 424,871 $ 426,578 79.4 % Total Residential whole loans $ 721,338 $ 744,189 December 31, 2021 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 96,473 $ 94,755 64.6 % Rehabilitation loans $ 103,166 $ 103,034 67.6 % Single-family rental loans $ 23,524 $ 23,487 73.4 % Seasoned performing loans $ 7,740 $ 8,244 45.6 % Agency eligible investor loans $ — $ — — % Total Purchased Performing Loans $ 230,903 $ 229,520 Purchased Credit Deteriorated Loans $ 95,899 $ 117,479 79.1 % Purchased Non-Performing Loans $ 454,443 $ 453,146 80.2 % Total Residential whole loans $ 781,245 $ 800,145 (1) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. The following tables present the components of interest income on the Company’s Residential whole loans for the three months ended March 31, 2022 and 2021: Held at Carrying Value Held at Fair Value Total Three Months Ended Three Months Ended Three Months Ended (In Thousands) 2022 2021 2022 2021 2022 2021 Purchased Performing Loans: Non-QM loans $ 13,141 $ 22,189 $ 19,811 $ — $ 32,952 $ 22,189 Rehabilitation loans 3,567 6,668 11,294 — 14,861 6,668 Single-family rental loans 4,693 7,081 8,632 — 13,325 7,081 Seasoned performing loans 1,010 1,991 — — 1,010 1,991 Agency eligible investor loans — — 7,583 — 7,583 — Total Purchased Performing Loans $ 22,411 $ 37,929 $ 47,320 $ — $ 69,731 $ 37,929 Purchased Credit Deteriorated Loans $ 9,009 $ 8,290 $ — $ — $ 9,009 $ 8,290 Purchased Non-Performing Loans $ — $ — $ 20,726 $ 18,319 $ 20,726 $ 18,319 Total Residential Whole Loans $ 31,420 $ 46,219 $ 68,046 $ 18,319 $ 99,466 $ 64,538 The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 Net unrealized (losses)/gains $ (287,935) $ 32,088 Other Income (1) (440) (598) Total $ (288,375) $ 31,490 |
Securities, at Fair Value
Securities, at Fair Value | 3 Months Ended |
Mar. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Securities, at Fair Value | Securities, at Fair Value MSR-Related Assets Term Notes Backed by MSR-Related Collateral At both March 31, 2022 and December 31, 2021, the Company had $153.8 million of term notes issued by SPVs that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes is considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes. At March 31, 2022, these term notes had an amortized cost of $123.3 million, gross unrealized gains of approximately $30.4 million, a weighted average yield of 10.22% and a weighted average term to maturity of 1.4 years. At December 31, 2021, the term notes had an amortized cost of $121.4 million, gross unrealized gains of approximately $32.4 million, a weighted average yield of 10.3% and a weighted average term to maturity of 1.7 years. CRT Securities CRT securities are debt obligations issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with its investments in CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements (see Note 6). The following tables present certain information about the Company’s residential mortgage securities at March 31, 2022 and December 31, 2021: March 31, 2022 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Total residential mortgage securities (2)(3) $ 98,172 $ 8,722 $ (44) $ (20,768) $ 86,082 $ 11,699 $ (1,381) $ 10,318 $ 96,400 December 31, 2021 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Value Total residential mortgage securities (2)(3) $ 99,999 $ 7,466 $ (55) $ (20,768) $ 86,642 $ 16,282 $ (10) $ 16,272 $ 102,914 (1) Discount designated as Credit Reserve is generally not expected to be accreted into interest income. (2) Based on management ’ s current estimates of future principal cash flows expected to be received. (3) Amounts disclosed at March 31, 2022 includes CRT securities with a fair value of $64.2 million for which the fair value option has been elected. Such securities had $281.0 thousand gross unrealized gains and gross unrealized losses of approximately $1.38 million at March 31, 2022. Amounts disclosed at December 31, 2021 includes CRT securities with a fair value of $67.5 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $1.8 million and gross unrealized losses of approximately $10,000 at December 31, 2021. Sales of Residential Mortgage Securities During the three months ended March 31, 2022, the Company sold a CRT security for approximately $369,000, realizing a gain of $13,000. The Company did not sell any of its residential mortgage securities during the three months ended March 31, 2021. Unrealized Losses on Residential Mortgage Securities There were no gross unrealized losses on the Company’s AFS securities at March 31, 2022. There were no allowances for credit losses recorded with respect to the Company’s AFS securities for any of the periods presented. The Company did not recognize an allowance for credit losses through earnings related to its AFS securities for the three months ended March 31, 2022 and 2021. Impact of AFS Securities on AOCI The following table presents the impact of the Company’s AFS securities on its AOCI for the three months ended March 31, 2022 and 2021: Three Months Ended March 31, (In Thousands) 2022 2021 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 46,833 $ 79,607 Unrealized (losses) on securities available-for-sale (4,977) (3,855) Change in AOCI from AFS securities (4,977) (3,855) Balance at end of period $ 41,856 $ 75,752 Interest Income on Securities, at Fair Value The following table presents the components of interest income on the Company’s Securities, at fair value for the three months ended March 31, 2022 and 2021: Three Months Ended March 31, (In Thousands) 2022 2021 Residential Mortgage Securities Coupon interest $ 895 $ 1,287 Effective yield adjustment (1)(2)(3) 1,265 9,549 Interest income $ 2,160 $ 10,836 MSR-related assets Coupon interest $ 1,157 $ 2,405 Effective yield adjustment (2) 1,958 3,218 Interest income $ 3,115 $ 5,623 (1) Includes amortization of premium paid net of accretion of purchase discount. For RPL/NPL MBS, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. (2) The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or in the instrument’s contractual cash flows, depending on the relevant accounting standards. |
Other Assets
Other Assets | 3 Months Ended |
Mar. 31, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets | Other Assets The following table presents the components of the Company’s Other assets at March 31, 2022 and December 31, 2021: (In Thousands) March 31, 2022 December 31, 2021 Treasury Bills (1) $ 299,998 $ — REO (2) 145,568 156,223 Goodwill 61,076 61,076 Intangibles, net (3) 18,100 21,400 Capital contributions made to loan origination partners 70,783 71,673 Other interest-earning assets 53,636 57,522 Interest receivable 57,090 50,191 Other loan related receivables 49,612 34,191 Lease right-of-use asset (4) 39,243 39,370 Other 62,237 73,910 Total Other Assets $ 857,343 $ 565,556 (1) Held on a short-term basis in connection with managing the Company’s REIT compliance. Classified as Level 1 in the fair value hierarchy. (2) Includes $6.5 million and $11.3 million of REO that is held-for-investment at March 31, 2022 and December 31, 2021, respectively. (3) Net of aggregate accumulated amortization of $9.9 million and $6.6 million as of March 31, 2022 and December 31, 2021, respectively. (4) An estimated incremental borrowing rate of 7.5% was used in connection with the Company’s primary operating lease (see Notes 2 and 9). (a) Real Estate Owned At March 31, 2022, the Company had 492 REO properties with an aggregate carrying value of $145.6 million. At December 31, 2021, the Company had 553 REO properties with an aggregate carrying value of $156.2 million. At March 31, 2022, $144.5 million of residential real estate property was held by the Company that was acquired either through a completed foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement. In addition, formal foreclosure proceedings were in process with respect to $76.3 million of residential whole loans held at carrying value and $330.6 million of residential whole loans held at fair value at March 31, 2022. The following table presents the activity in the Company’s REO for the three months ended March 31, 2022 and 2021: Three Months Ended March 31, (Dollars In Thousands) 2022 2021 Balance at beginning of period $ 156,223 $ 249,699 Adjustments to record at lower of cost or fair value (448) (874) Transfer from residential whole loans (1) 22,079 20,068 Purchases and capital improvements, net 353 217 Disposals and other (2) (32,639) (48,717) Balance at end of period $ 145,568 $ 220,393 Number of properties 492 835 (1) Includes a net loss recorded on transfer of approximately $100,000 and a net gain recorded on transfer of approximately $1.1 million for the three months ended March 31, 2022 and 2021, respectively. (b) Goodwill and Intangible Assets On July 1, 2021, the Company completed the acquisition from affiliates of Magnetar Capital of their ownership interests in Lima One Holdings, LLC, the parent company of Lima One Capital, LLC (collectively, “Lima One”), a leading originator and servicer of business purpose loans. In connection with the acquisition of Lima One, the Company identified and recorded goodwill of $61.1 million and finite-lived intangible assets totaling $28.0 million. The amortization period for each of the finite lived intangible assets and the activity for the three months ended March 31, 2022 is summarized in the table below: (Dollars in Thousands) Carrying Value at December 31, 2021 Amortization Carrying Value at March 31, 2022 Amortization Period (Years) (1) Trademarks / Trade Names $ 3,800 $ (100) $ 3,700 10 Customer Relationships 12,000 (2,000) 10,000 4 Internally Developed Software 3,600 (200) 3,400 5 Non-Compete Agreements 2,000 (1,000) 1,000 1 Total Identified Intangibles $ 21,400 $ (3,300) $ 18,100 (1) Amortization is calculated on a straight-line basis over the amortization period, except for Customer Relationships, where amortization is calculated based on expected levels of customer attrition. (c ) Capital Contributions Made to Loan Origination Partners The Company has made investments in several loan originators as part of its strategy to be a reliable source of capital to select partners from whom it sources residential mortgage loans through both flow arrangements and bulk purchases. To date, such contributions of capital include the following investments (based on their carrying value prior to any impairments or mark-to-market): $23.2 million of common equity (including partnership interests) and $78.8 million of preferred equity. In addition, for certain partners, options or warrants may have also been acquired that provide the Company the ability to increase the level of its investment if certain conditions are met. At the end of each reporting period, or earlier if circumstances warrant, the Company evaluates whether the nature of its interests and other involvement with the investee entity requires the Company to apply equity method accounting or consolidate the results of the investee entity with the Company’s financial results. On July 1, 2021, the Company completed the acquisition of certain ownership interests in Lima One, which resulted in the Company owning all of Lima One’s outstanding ownership interests. Accordingly, the Company consolidated Lima One’s financial (d) Derivative Instruments Swaps The Company’s derivative instruments include Swaps, which are used to economically hedge the interest rate risk associated with certain borrowings. Pursuant to these arrangements, the Company agreed to pay a fixed rate of interest and receive a variable interest rate, generally based on Secured Overnight Financing Rate (“SOFR”), on the notional amount of the Swap. At March 31, 2022, none of the Company’s Swaps are designated as hedges for accounting purposes. The following table presents the assets pledged as collateral against the Company’s Swap contracts at March 31, 2022 and December 31, 2021: (In Thousands) March 31, December 31, Restricted Cash $ 54,804 $ 14,446 At March 31, 2022, the Company had Swaps with an aggregate notional amount of $2.4 billion and an average maturity of approximately 46 months with a maximum term of approximately 59 months. The following table presents information about the Company’s Swaps at March 31, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 Maturity (1) Notional Weighted Weighted Average Variable Interest Rate (2) Notional Weighted Weighted Average Variable Interest Rate (2) (Dollars in Thousands) Within 30 days to 12 months $ — — % — % $ — — % — % Over 12 months to 24 months 100,000 1.49 0.29 — — — Over 24 months to 36 months 1,000,010 1.09 0.29 450,010 0.90 0.05 Over 36 months to 48 months — — — — — — Over 48 months to 60 months 1,300,000 1.42 0.29 450,000 1.12 0.05 Total Swaps $ 2,400,010 1.29 % 0.29 % $ 900,010 1.01 % 0.05 % (1) Each maturity category reflects contractual amortization and/or maturity of notional amounts. (2) Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts annually based on SOFR. During the three months ended March 31, 2022, the Company recorded net gains on Swaps not designated in hedging relationships of approximately $75.2 million, which includes net swap expense of $5.5 million. These amounts are included in Other income, net on the Company’s consolidated statements of operations. The Company did not have any Swaps during the three months ended March 31, 2021. TBA Securities In order to economically hedge the risks arising from the investments in Agency eligible investor loans, the Company has entered into short positions in certain TBA securities. The table below summarizes open short positions in TBA securities as of March 31, 2022 and December 31, 2021, which had an aggregate value of $5.8 million and $(1.3) million, respectively, and were included in Other assets/liabilities on the Company’s consolidated balance sheets. March 31, 2022 December 31, 2021 (Dollars in Thousands) Notional Amount Settlement Date Notional Amount Settlement Date TBA Security FNCL 2.5 $ 180,000 April 13, 2022 $ 180,000 January 13, 2022 FNCL 2 $ 130,000 April 13, 2022 $ 130,000 January 13, 2022 TBA short positions are subject to margining requirements which serve to mitigate counterparty credit risk associated with these transactions. Open TBA positions are measured at fair value each reporting date, with realized and unrealized changes in the fair value of these positions recorded in Other income, net in the Company’s consolidated statements of operations. For the three months ended March 31, 2022, the Company recorded realized and unrealized changes in fair value on TBA short positions of $18.9 million. No TBA short positions had been entered into in the prior periods presented. |
Financing Agreements
Financing Agreements | 3 Months Ended |
Mar. 31, 2022 | |
Disclosure of Repurchase Agreements [Abstract] | |
Financing Agreements | Financing Agreements The following tables present the components of the Company’s Financing agreements at March 31, 2022 and December 31, 2021: March 31, 2022 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with mark-to-market collateral provisions $ 1,555,250 $ 1,555,250 $ 1,555,250 Agreements with non-mark-to-market collateral provisions 563,860 563,860 563,860 Securitized debt 1,741,305 1,751,112 1,685,796 Total Financing agreements, at fair value $ 3,860,415 $ 3,870,222 $ 3,804,906 Financing agreements, at carrying value Securitized debt $ 1,178,650 $ 1,173,265 Agreements with mark-to-market collateral provisions 1,386,009 1,385,685 Agreements with non-mark-to-market collateral provisions 438,374 437,548 Convertible senior notes 230,000 226,807 Total Financing agreements, at carrying value $ 3,233,033 $ 3,223,305 Total Financing agreements $ 7,093,448 $ 7,028,211 December 31, 2021 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with mark-to-market collateral provisions $ 1,322,362 $ 1,322,362 $ 1,322,362 Agreements with non-mark-to-market collateral provisions 627,026 627,026 628,280 Securitized debt 1,304,912 1,318,593 1,316,131 Total Financing agreements, at fair value $ 3,254,300 $ 3,267,981 $ 3,266,773 Financing agreements, at carrying value Securitized debt $ 1,340,583 $ 1,334,342 Agreements with mark-to-market collateral provisions 1,240,510 1,239,937 Agreements with non-mark-to-market collateral provisions 311,977 311,260 Convertible senior notes 230,000 226,470 Total Financing agreements, at carrying value $ 3,123,070 $ 3,112,009 Total Financing agreements $ 6,377,370 $ 6,378,782 (1) Financing agreements at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. Other financing arrangements are reported at their carrying value (amortized cost basis) as the fair value option was not elected on these liabilities. Consequently, Total Financing agreements as presented reflects a summation of balances reported at fair and carrying value. The following table presents information with respect to the Company’s financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at March 31, 2022 and December 31, 2021: (Dollars in Thousands) March 31, December 31, Mark-to-market financing agreements secured by residential whole loans $ 2,769,019 $ 2,391,602 Fair value of residential whole loans pledged as collateral under financing agreements $ 3,559,415 $ 3,301,288 Weighted average haircut on residential whole loans (1) 21.15 % 25.27 % Mark-to-market financing agreements secured by securities at fair value $ 159,019 $ 159,148 Securities at fair value pledged as collateral under financing agreements $ 250,171 $ 256,685 Weighted average haircut on securities at fair value (1) 37.01 % 37.00 % Mark-to-market financing agreements secured by real estate owned $ 12,897 $ 11,549 Fair value of real estate owned pledged as collateral under financing agreements $ 35,753 $ 34,606 Weighted average haircut on real estate owned (1) 51.51 % 58.46 % (1) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at March 31, 2022 and December 31, 2021: (Dollars in Thousands) March 31, December 31, Non-mark-to-market financing secured by residential whole loans $ 989,612 $ 928,055 Fair value of residential whole loans pledged as collateral under financing agreements $ 1,422,837 $ 1,420,283 Weighted average haircut on residential whole loans 26.88 % 29.98 % Non-mark-to-market financing secured by real estate owned $ 11,796 $ 11,485 Fair value of real estate owned pledged as collateral under financing agreements $ 31,921 $ 29,894 Weighted average haircut on real estate owned 62.36 % 61.28 % In addition, the Company had aggregate restricted cash held in connection with its financing agreements of $13.2 million and $10.2 million at March 31, 2022 and December 31, 2021, respectively. The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at March 31, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 Amortized Cost Basis Weighted Average Interest Rate Amortized Cost Basis Weighted Average Interest Rate Time Until Interest Rate Reset (Dollars in Thousands) Within 30 days $ 3,629,100 2.57 % $ 3,222,268 2.36 % Over 30 days to 3 months 268,202 2.46 257,444 2.49 Over 3 months to 12 months 46,191 4.36 22,164 4.50 Over 12 months — — — — Total financing agreements $ 3,943,493 2.59 % $ 3,501,876 2.38 % (a) Financing Agreements The Company elected the fair value option on certain of its financing arrangements, primarily to simplify the accounting associated with costs incurred to establish the new facilities or renegotiate existing facilities. The Company considers the most relevant feature that distinguishes between the various asset backed financing arrangements is how the financing arrangement is collateralized, including the ability of the lender to make margin calls on the Company based on changes in value of the underlying collateral securing the financing. Accordingly, further details are provided below regarding assets that are financed with agreements that have non-mark-to-market collateral provisions and assets that are financed with agreements that have mark-to-market collateral provisions. Agreements with mark-to-market collateral provisions The Company has entered into financing arrangements which contain mark-to-market provisions that permit the lending counterparties to make margin calls on the Company should the value of the pledged collateral decline. The Company is also permitted to recover previously posted margin payments, should values of the pledged collateral subsequently increase. These facilities generally reset on a monthly or quarterly basis and can be renewed at the discretion of the lending counterparty at financing costs reflecting prevailing market pricing. Agreements with non-mark-to-market collateral provisions The Company has also entered into financing arrangements which do not contain mark-to-market provisions. The Company has generally pledged, as collateral security for these facilities, certain of its residential whole loans, as well as the equity in subsidiaries that own the loans. These facilities have maturities ranging from 3 to 42 months and $511.6 million of the facilities contain extension options, with maximum extensions ranging from 13 to 39 months, subject to certain conditions, in some cases including the payment of an extension fee and provided that no events of default have occurred. The financing cost for these facilities is generally calculated at a spread over prevailing short term market interest rates, which generally reset monthly. Securitized Debt Securitized debt represents third-party liabilities of consolidated VIEs and excludes liabilities of the VIEs acquired by the Company that are eliminated in consolidation. The third-party beneficial interest holders in the VIEs have no recourse to the general credit of the Company. The weighted average fixed rate on the securitized debt was 2.41% at March 31, 2022 (see Notes 9 and 14 for further discussion). Convertible Senior Notes On June 3, 2019, the Company issued $230.0 million in aggregate principal amount of its Convertible Senior Notes in an underwritten public offering, including an additional $30.0 million issued pursuant to the exercise of the underwriters’ option to purchase additional Convertible Senior Notes. The total net proceeds the Company received from the offering were approximately $223.3 million, after deducting offering expenses and the underwriting discount. The Convertible Senior Notes bear interest at a fixed rate of 6.25% per year, paid semiannually on June 15 and December 15 of each year commencing December 15, 2019 and will mature on June 15, 2024, unless earlier converted, redeemed or repurchased in accordance with their terms. The Convertible Senior Notes are convertible at the option of the holders at any time until the close of business on the business day immediately preceding the maturity date into shares of the Company’s common stock based on a conversion rate of 31.4346 shares (which reflects an adjustment resulting from the Company’s 1-for-4 reverse stock split effected on April 4, 2022) of the Company’s common stock for each $1,000 principal amount of the Convertible Senior Notes, which is equivalent to a conversion price of approximately $31.81 per share of common stock. The Convertible Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 6.94%. The Company does not have the right to redeem the Convertible Senior Notes prior to maturity, except to the extent necessary to preserve its status as a REIT, in which case the Company may redeem the Convertible Senior Notes, in whole or in part, at a redemption price equal to the principal amount redeemed plus accrued and unpaid interest. The Convertible Senior Notes are the Company’s senior unsecured obligations and are effectively junior to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness and equal in right of payment to the Company’s existing and future senior unsecured obligations, including the Senior Notes. Senior Notes On April 11, 2012, the Company issued $100.0 million in aggregate principal amount of its Senior Notes in an underwritten public offering. On January 6, 2021, the Company redeemed all of its outstanding Senior Notes. The Senior Notes bore interest at a fixed rate of 8.00% per year, paid quarterly in arrears on January 15, April 15, July 15 and October 15. The Senior Notes had an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 8.31%. (b) Counterparties The Company had financing agreements, including repurchase agreements and other forms of secured financing, with 14 counterparties at both March 31, 2022 and December 31, 2021. The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at March 31, 2022: March 31, 2022 Counterparty Rating (1) Amount at Risk (2) Weighted Percent of Counterparty (Dollars in Thousands) Barclays Bank (3) BBB/Aa3/A $ 562,272 1 23.9 % Credit Suisse BBB+/Baa1/A- 301,857 1 12.9 Wells Fargo A+/Aa2/AA- 256,657 1 10.9 (1) As rated at March 31, 2022 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published rating for these entities. (2) The amount at risk reflects the difference between (a) the amount loaned to the Company through financing agreements, including interest payable, and (b) the cash and the fair value of the assets pledged by the Company as collateral, including accrued interest receivable on such assets. (3) Includes amounts at risk with various affiliates of Athene Holding, Ltd., held via participation in a loan syndication administered by Barclays Bank. (c) Pledged Collateral The following tables present the Company’s assets (based on carrying value) pledged as collateral for its various financing arrangements as of March 31, 2022 and December 31, 2021: March 31, 2022 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 580,181 $ 380,393 $ 1,344,110 $ 2,304,684 Residential whole loans, at fair value 838,789 3,164,378 1,898,120 5,901,287 Securities, at fair value — 250,171 — 250,171 Other assets: REO 27,391 30,681 36,321 94,393 Total $ 1,446,361 $ 3,825,623 $ 3,278,551 $ 8,550,535 December 31, 2021 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 693,982 $ 459,349 $ 1,476,588 $ 2,629,919 Residential whole loans, at fair value 706,377 2,810,865 1,525,114 5,042,356 Securities, at fair value — 256,685 — 256,685 Other assets: REO 25,692 29,374 35,379 90,445 Total $ 1,426,051 $ 3,556,273 $ 3,037,081 $ 8,019,405 (1) An aggregate of $31.2 million and $25.7 million of accrued interest on those assets pledged against non-mark-to-market and mark-to-market financings agreements had also been pledged as of March 31, 2022 and December 31, 2021, respectively. The Company pledges securities or cash as collateral to its counterparties in relation to certain of its financing arrangements. The Company exchanges collateral with its counterparties based on changes in the fair value, notional amount and term of the associated financing arrangements and Swap contracts, as applicable. In connection with these margining practices, either the Company or its counterparty may be required to pledge cash or securities as collateral. When the Company’s pledged collateral exceeds the required margin, the Company may initiate a reverse margin call, at which time the counterparty may either return the excess collateral or provide collateral to the Company in the form of cash or equivalent securities. The Company’s assets pledged as collateral are also described in Notes 2(e) - Restricted Cash and 5(d) - Derivative Instruments. Certain of the Company’s financing arrangements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff in the event of default or in the event of a bankruptcy of either party to the transaction. In the Company’s consolidated balance sheets, all balances associated with repurchase agreements are presented on a gross basis. |
Other Liabilities
Other Liabilities | 3 Months Ended |
Mar. 31, 2022 | |
Other Liabilities [Abstract] | |
Other Liabilities | Other Liabilities The following table presents the components of the Company’s Other liabilities at March 31, 2022 and December 31, 2021: (In Thousands) March 31, 2022 December 31, 2021 Payable for unsettled residential whole loans and Treasury Bills $ 329,706 $ — Dividends and dividend equivalents payable 46,357 47,751 Lease liability 44,825 44,977 Accrued interest payable 16,040 9,621 Accrued expenses and other 110,864 115,709 Total Other Liabilities $ 547,792 $ 218,058 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT under the provisions of the Internal Revenue Code of 1986, as amended, (the “Code”), and the corresponding provisions of state law. The Company expects to operate in a manner that will enable it to satisfy the various requirements to maintain its status as a REIT for federal income tax purposes. In order to maintain its status as a REIT, the Company must, among other things, distribute at least 90% of its REIT taxable income (excluding net long-term capital gains) to stockholders in the timeframe permitted by the Code. As long as the Company maintains its status as a REIT, the Company will not be subject to regular federal income tax at the REIT level to the extent that it distributes 100% of its REIT taxable income (including net long-term capital gains) to its stockholders within the permitted timeframe. Should this not occur, the Company would be subject to federal taxes at prevailing corporate tax rates on the difference between its REIT taxable income and the amounts deemed to be distributed for that tax year. The Company’s objective is to distribute 100% of its REIT taxable income to its stockholders within the permitted timeframe. If the Company fails to distribute during each calendar year, or by the end of January following the calendar year in the case of distributions with declaration and record dates falling in the last three months of the calendar year, at least the sum of (i) 85% of its REIT ordinary income for such year, (ii) 95% of its REIT capital gain income for such year, and (iii) any undistributed taxable income from prior periods, the Company would be subject to a 4% nondeductible excise tax on the excess of the required distribution over the amounts actually distributed. To the extent that the Company incurs interest, penalties or related excise taxes in connection with its tax obligations, including as a result of its assessment of uncertain tax positions, such amounts will be included in Operating and Other Expense on the Company’s consolidated statements of operations. In addition, the Company has elected to treat certain of its subsidiaries as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. Generally, a domestic TRS is subject to U.S. federal, state and local corporate income taxes. Given that a portion of the Company’s business is conducted through one or more TRS, the net taxable income earned by its domestic TRS, if any, is subject to corporate income taxation. To maintain the Company’s REIT election, no more than 20% of the value of the Company’s assets at the end of each calendar quarter may consist of stock or securities in TRS. For purposes of the determination of U.S. federal and state income taxes, the Company’s subsidiaries that elected to be treated as TRS record current or deferred income taxes based on differences (both permanent and timing) between the determination of their taxable income and net income under GAAP. Based on its analysis of any potentially uncertain tax positions, the Company concluded that it does not have any material uncertain tax positions that meet the relevant recognition or measurement criteria as of March 31, 2022, December 31, 2021 or March 31, 2021. As of the date of this filing, the Company’s tax returns for tax years 2018 through 2021 are open to examination. The tax effects of temporary differences that give rise to significant portions of net deferred tax assets (“DTAs”) recorded at the Company’s domestic TRS entities at March 31, 2022 and December 31, 2021 are presented in the following table: (In Thousands) March 31, 2022 December 31, 2021 Deferred tax assets (DTAs): Net operating loss and tax credit carryforwards $ 37,872 $ 35,796 Unrealized mark-to-market, impairments and loss provisions 465 3,753 Other realized / unrealized treatment differences 12,893 12,131 Total deferred tax assets 51,230 51,680 Less: valuation allowance (51,230) (51,680) Net deferred tax assets $ — $ — Realization of the Company’s DTAs at March 31, 2022 is dependent on several factors, including generating sufficient taxable income prior to the expiration of net operating loss (“NOL”) carryforwards and generating sufficient capital gains in future periods prior to the expiration of capital loss carryforwards. The Company determines the extent to which realization of the deferred assets is not expected to be more likely than not and establishes a valuation allowance accordingly. No net deferred tax benefit was recorded by the Company for the three months ended March 31, 2022 and 2021, related to the net taxable losses in TRS entities, since a valuation allowance for the full amount of the associated deferred tax asset at the ends of those periods was recognized as its recovery was not considered more likely than not. The related NOL carryforwards generated prior to 2018 will begin to expire in 2037; those generated in 2018 and later can be carried forward indefinitely, until fully utilized. The Company’s estimate of net DTAs could change in future periods to the extent that actual or revised estimates of future taxable income change from current expectations. At March 31, 2022, the Company’s federal NOL carryforward was $150.4 million, which may be carried forward indefinitely. If certain substantial changes in the Company’s ownership occur, there could be an annual limitation on the amount of the carryforwards that can be utilized. The income tax provision (benefit) is included in Other general and administrative expense in the Company’s consolidated statements of operations. The following table summarizes the Company’s income tax provision (benefit) primarily recorded at the Company’s domestic TRS entities for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands) March 31, 2022 March 31, 2021 Current provision (benefit) Federal $ 106 $ — State 25 — Total current provision (benefit) 131 — Deferred provision (benefit) Federal 150 — State 50 — Total deferred provision (benefit) 200 — Total provision (benefit) $ 331 $ — The following is a reconciliation of the statutory federal tax rate to the Company’s effective tax rate at March 31, 2022 and 2021: Three Months Ended March 31, 2022 March 31, 2021 Federal statutory rate 21.0 % 21.0 % Non-taxable REIT income (dividends paid deduction) 3.2 % 2.3 % Other differences in taxable income (loss) from GAAP (24.6) % (23.5) % State and local taxes — % (0.1) % Change in valuation allowance on DTAs 0.1 % 2.0 % Effective tax rate (0.3) % 1.7 % |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies (a) Lease Commitments The Company’s primary lease commitment relates to its corporate headquarters. In April 2021, the Company relocated its corporate headquarters, terminating its prior lease on April 30, 2021. For the three months ended March 31, 2022, the Company recorded aggregate lease expense of approximately $1.1 million in connection with its current lease. The term specified in the current lease is approximately fifteen years with an option to renew for an additional five years. At March 31, 2022, the contractual minimum rental payments (exclusive of possible rent escalation charges and normal recurring charges for maintenance, insurance and taxes) were as follows: Year Ending December 31, Minimum Rental Payments (In Thousands) 2022 (1) $ 4,085 2023 5,498 2024 5,500 2025 4,659 2026 4,552 Thereafter 49,604 Total $ 73,898 (1) Reflects contractual minimum rental payments due for the period from April 1, 2022 through December 31, 2022. (b) Representations and Warranties in Connection with Loan Securitization and Other Loan Sale Transactions In connection with the loan securitization and sale transactions entered into by the Company, the Company has the obligation under certain circumstances to repurchase assets previously transferred to securitization vehicles, or otherwise sold, upon breach of certain representations and warranties. As of March 31, 2022, the Company was not aware of any material unsettled repurchase claims that would require a reserve (see Note 14). (c) Rehabilitation Loan Commitments At March 31, 2022, the Company had unfunded commitments of $355.0 million in connection with its purchased Rehabilitation loans. (d) Residential Whole Loan Purchase Commitments At March 31, 2022, the Company has agreed, subject to the completion of due diligence and customary closing conditions, to purchase residential whole loans held at fair value with an aggregate estimated purchase price of $29.7 million, with a corresponding liability recorded in Other Liabilities and included in Payable for unsettled residential whole loan purchases. As the loans we have agreed to purchase had an estimated fair value of $28.9 million at March 31, 2022, the difference between the purchase price and the estimated fair value was included in Other income for the three month period ended March 31, 2022. |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2022 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity | Stockholders’ Equity (a) Preferred Stock 7.50% Series B Cumulative Redeemable Preferred Stock (“Series B Preferred Stock”) On April 15, 2013, the Company completed the issuance of 8.0 million shares of its Series B Preferred Stock with a par value of $0.01 per share, and a liquidation preference of $25.00 per share plus accrued and unpaid dividends, in an underwritten public offering. The Company’s Series B Preferred Stock is entitled to receive a dividend at a rate of 7.50% per year on the $25.00 liquidation preference before the Company’s common stock is paid any dividends and is senior to the Company’s common stock with respect to distributions upon liquidation, dissolution or winding up. Dividends on the Series B Preferred Stock are payable quarterly in arrears on or about March 31, June 30, September 30 and December 31 of each year. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not authorized or declared), exclusively at the Company’s option. The Series B Preferred Stock generally does not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series B Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors (the “Board”), until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of the Series B Preferred Stock cannot be made without the affirmative vote of holders of at least 66 2/3% of the outstanding shares of Series B Preferred Stock. The following table presents cash dividends declared by the Company on its Series B Preferred Stock from January 1, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share February 17, 2022 March 1, 2022 March 31, 2022 $0.46875 6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”) On February 28, 2020, the Company amended its charter through the filing of articles supplementary to reclassify 12,650,000 shares of the Company’s authorized but unissued common stock as shares of the Company’s Series C Preferred Stock. On March 2, 2020, the Company completed the issuance of 11.0 million shares of its Series C Preferred Stock with a par value of $0.01 per share, and a liquidation preference of $25.00 per share plus accrued and unpaid dividends, in an underwritten public offering. The total net proceeds the Company received from the offering were approximately $266.0 million, after deducting offering expenses and the underwriting discount. The Company’s Series C Preferred Stock is entitled to receive dividends (i) from and including the original issue date to, but excluding, March 31, 2025, at a fixed rate of 6.50% per year on the $25.00 liquidation preference and (ii) from and including March 31, 2025, at a floating rate equal to three-month LIBOR plus a spread of 5.345% per year of the $25.00 per share liquidation preference before the Company’s common stock is paid any dividends, and is senior to the Company’s common stock with respect to distributions upon liquidation, dissolution or winding up. Dividends on the Series C Preferred Stock are payable quarterly in arrears on or about March 31, June 30, September 30 and December 31 of each year. The Series C Preferred Stock is not redeemable by the Company prior to March 31, 2025, except under circumstances where it is necessary to preserve the Company’s qualification as a REIT for U.S. federal income tax purposes and upon the occurrence of certain specified change in control transactions. On or after March 31, 2025, the Company may, at its option, subject to certain procedural requirements, redeem any or all of the shares of the Series C Preferred Stock for cash at a redemption price of $25.00 per share, plus any accrued and unpaid dividends thereon (whether or not authorized or declared) to, but excluding, the redemption date. The Series C Preferred Stock generally does not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board, until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of the Series C Preferred Stock cannot be made without the affirmative vote of holders of at least 66 2/3% of the outstanding shares of Series C Preferred Stock. The following table presents cash dividends declared by the Company on its Series C Preferred Stock from January 1, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share February 17, 2022 March 1, 2022 March 31, 2022 $0.40625 (b) Dividends on Common Stock The following table presents cash dividends declared by the Company on its common stock from January 1, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share March 11, 2022 March 22, 2022 April 29, 2022 $0.110 (1) (1) At March 31, 2022, the Company had accrued dividends and dividend equivalents payable of $46.4 million related to the common stock dividend declared on March 11, 2022 The $0.11 per share dividend paid was based on the number of shares held by stockholders at the record date (March 22, 2022) and before giving effect to the Company’s 1-for-4 reverse stock split effected on April 4, 2022) . (c) Discount Waiver, Direct Stock Purchase and Dividend Reinvestment Plan (“DRSPP”) On October 15, 2019, the Company filed a shelf registration statement on Form S-3 with the SEC under the Securities Act of 1933, as amended (the “Securities Act”), for the purpose of registering additional common stock for sale through its DRSPP. Pursuant to Rule 462(e) under the Securities Act, this shelf registration statement became effective automatically upon filing with the SEC and, when combined with the unused portion of the Company’s previous DRSPP shelf registration statements, registered an aggregate of 2.25 million shares of common stock. The Company’s DRSPP is designed to provide existing stockholders and new investors with a convenient and economical way to purchase shares of common stock through the automatic reinvestment of dividends and/or optional cash investments. At March 31, 2022, approximately 2.0 million shares of common stock remained available for issuance pursuant to the DRSPP shelf registration statement. During the three months ended March 31, 2022, the Company issued 32,460 shares of common stock through the DRSPP, raising net proceeds of approximately $594,000. From the inception of the DRSPP in September 2003 through March 31, 2022, the Company issued 8,793,986 shares pursuant to the DRSPP, raising net proceeds of $290.1 million. ( d) At-the-Market Offering Program On August 16, 2019 the Company entered into a three-year distribution agreement under the terms of which the Company may offer and sell shares of its common stock having an aggregate gross sales price of up to $400.0 million (the “ATM Shares”), from time to time, through various sales agents, pursuant to an at-the-market equity offering program (the “ATM Program”). Sales of the ATM Shares, if any, may be made in negotiated transactions or by transactions that are deemed to be “at-the-market” offerings, as defined in Rule 415 under the Securities Act, including sales made directly on the New York Stock Exchange (“NYSE”) or sales made to or through a market maker other than an exchange. The sales agents are entitled to compensation of up to two percent of the gross sales price per share for any shares of common stock sold under the distribution agreement. During the three months ended March 31, 2022, the Company did not sell any shares of common stock through the ATM Program. At March 31, 2022, approximately $390.0 million remained outstanding for future offerings under this program. (e) Stock Repurchase Program On March 11, 2022, the Company’s Board authorized a stock repurchase program (the “March 2022 Repurchase Authorization”) under which the Company may repurchase up to $250 million of its common stock through the end of 2023. The Board’s authorization replaces the authorization under a prior stock repurchase program that was adopted in November 2020 (the “November 2020 Repurchase Authorization”), which had also authorized the Company to repurchase up to $250 million. The stock repurchase program does not require the purchase of any minimum number of shares. The timing and extent to which the Company repurchases its shares will depend upon, among other things, market conditions, share price, liquidity, regulatory requirements and other factors, and repurchases may be commenced or suspended at any time without prior notice. Acquisitions under the stock repurchase program may be made in the open market, through privately negotiated transactions or block trades or other means, in accordance with applicable securities laws (including, in the Company’s discretion, through the use of one or more plans adopted under Rule 10b5-1 promulgated under the Exchange Act of 1934, as amended (the “Exchange Act”)). During the three months ended March 31, 2022 and 2021, the Company repurchased 3,195,769 and 1,486,670 shares of its common stock through the stock repurchase program at an average cost of $17.15 and $16.37 per share and a total cost of approximately $54.7 million and $24.3 million, net of fees and commissions paid to the sales agent of approximately $128,000 and $59,000, respectively. All stock repurchases for the three months ended March 31, 2022 were executed under the November 2020 Repurchase Authorization and prior to the Board’s adoption of the March 2022 Repurchase Authorization. As of March 31, 2022, the Company was permitted to purchase an additional $250.0 million of its common stock. (f) Accumulated Other Comprehensive Income/(Loss) The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2022: Three Months Ended (In Thousands) Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 46,833 $ (1,255) $ 45,578 OCI before reclassifications (4,977) 1,255 (3,722) Amounts reclassified from AOCI — — — Net OCI during the period (2) (4,977) 1,255 (3,722) Balance at end of period $ 41,856 $ — $ 41,856 (1) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2021: Three Months Ended (In Thousands) Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 79,607 $ (2,314) $ 77,293 OCI before reclassifications (3,855) 235 (3,620) Amounts reclassified from AOCI — — — Net OCI during the period (2) (3,855) 235 (3,620) Balance at end of period $ 75,752 $ (2,079) $ 73,673 (1) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). |
EPS Calculation
EPS Calculation | 3 Months Ended |
Mar. 31, 2022 | |
Earnings Per Share [Abstract] | |
EPS Calculation | EPS Calculation The following table presents a reconciliation of the (loss)/earnings and shares used in calculating basic and diluted (loss)/earnings per share for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands, Except Per Share Amounts) 2022 2021 Basic (Loss)/Earnings per Share: Net (loss)/income $ (82,906) $ 85,522 Dividends declared on preferred stock (8,219) (8,219) Dividends, dividend equivalents and undistributed earnings allocated to participating securities (141) (274) Net (loss)/income to available common stockholders - basic $ (91,266) $ 77,029 Basic weighted average common shares outstanding 106,568 112,784 Basic (Loss)/Earnings per Share $ (0.86) $ 0.68 Diluted (Loss)/Earnings per Share: Net (loss)/income to available common stockholders - basic $ (91,266) $ 77,029 Interest expense on Convertible Senior Notes — 3,909 Net (loss)/income available to common stockholders - diluted $ (91,266) $ 80,938 Basic weighted average common shares outstanding 106,568 112,784 Effect of assumed conversion of Convertible Senior Notes to common shares — 7,230 Diluted weighted average common shares outstanding (1) 106,568 120,014 Diluted (Loss)/Earnings per Share $ (0.86) $ 0.67 (1) The Company had approximately 2.1 million equity instruments outstanding that were determined to be anti-dilutive and were excluded from the calculation of diluted EPS for the three months ended March 31, 2022. These equity instruments reflect RSUs (based on current estimate of expected share settlement amount) with a weighted average grant date fair value of $16.00. These equity instruments may continue to have a dilutive impact on future EPS. |
Equity Compensation and Other B
Equity Compensation and Other Benefit Plans | 3 Months Ended |
Mar. 31, 2022 | |
Compensation Related Costs [Abstract] | |
Equity Compensation and Other Benefit Plans | Equity Compensation and Other Benefit Plans (a) Equity Compensation Plan In accordance with the terms of the Company’s Equity Plan, which was adopted by the Company’s stockholders on June 10, 2020 (and which amended and restated the Company’s 2010 Equity Compensation Plan), directors, officers and employees of the Company and any of its subsidiaries and other persons expected to provide significant services for the Company and any of its subsidiaries are eligible to receive grants of stock options (“Options”), restricted stock, RSUs, dividend equivalent rights and other stock-based awards under the Equity Plan. Subject to certain exceptions, stock-based awards relating to a maximum of 4.5 million shares of common stock may be granted under the Equity Plan; forfeitures and/or awards that expire unexercised do not count toward this limit. At March 31, 2022, approximately 2.1 million shares of common stock remained available for grant in connection with stock-based awards under the Equity Plan. A participant may generally not receive stock-based awards in excess of 500,000 shares of common stock in any one year and no award may be granted to any person who, assuming exercise of all Options and payment of all awards held by such person, would own or be deemed to own more than 9.8% of the outstanding shares of the Company’s common stock. Unless previously terminated by the Board, awards may be granted under the Equity Plan until June 10, 2030. Restricted Stock Units Under the terms of the Equity Plan, RSUs are instruments that provide the holder with the right to receive, subject to the satisfaction of conditions set by the Compensation Committee at the time of grant, a payment of a specified value, which may be a share of the Company’s common stock, the fair market value of a share of the Company’s common stock, or such fair market value to the extent in excess of an established base value, on the applicable settlement date. Although the Equity Plan permits the Company to issue RSUs that can settle in cash, all of the Company’s outstanding RSUs as of March 31, 2022 are designated to be settled in shares of the Company’s common stock. The Company granted 603,485 and 621,281 RSUs during the three months ended March 31, 2022 and 2021, respectively. There were no RSUs forfeited during the three months ended March 31, 2022 and 2021. All RSUs outstanding at March 31, 2022 may be entitled to receive dividend equivalent payments depending on the terms and conditions of the award either in cash at the time dividends are paid by the Company, or for certain time-based and performance-based RSU awards, as a grant of stock at the time such awards are settled. At March 31, 2022 and December 31, 2021, the Company had unrecognized compensation expense of $19.8 million and $12.3 million, respectively, related to RSUs. The unrecognized compensation expense at March 31, 2022 is expected to be recognized over a weighted average period of 2.1 years. Restricted Stock The Company did not grant any shares of restricted common stock during the three months ended March 31, 2022 and 2021. At March 31, 2022, the Company did not have any unvested shares of restricted common stock outstanding. Dividend Equivalents A dividend equivalent is a right to receive a distribution equal to the dividend distributions that would be paid on a share of the Company’s common stock. Dividend equivalents may be granted as a separate instrument or may be a right associated with the grant of another award (e.g., an RSU) under the Equity Plan, and they are paid in cash or other consideration at such times and in accordance with such rules as the Compensation Committee of the Board shall determine in its discretion. Payments made on the Company’s outstanding dividend equivalent rights are generally charged to Stockholders’ Equity when common stock dividends are declared to the extent that such equivalents are expected to vest. The Company made dividend equivalent payments associated with RSU awards of approximately $170,000 and $137,000 during the three months ended March 31, 2022 and 2021. In addition, no dividend equivalents rights awarded as separate instruments were granted during the three months ended March 31, 2022 and 2021. Expense Recognized for Equity-Based Compensation Instruments The following table presents the Company’s expenses related to its equity-based compensation instruments for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 RSUs $ 2,645 $ 1,688 Total $ 2,645 $ 1,688 (b) Deferred Compensation Plans The Company administers deferred compensation plans for its senior officers and non-employee directors (collectively, the “Deferred Plans”), pursuant to which participants may elect to defer up to 100% of certain cash compensation. The Deferred Plans are designed to align participants’ interests with those of the Company’s stockholders. Amounts deferred under the Deferred Plans are considered to be converted into “stock units” of the Company. Stock units do not represent stock of the Company, but rather are a liability of the Company that changes in value as would equivalent shares of the Company’s common stock. Deferred compensation liabilities are settled in cash at the termination of the deferral period, based on the value of the stock units at that time. The Deferred Plans are non-qualified plans under the Employee Retirement Income Security Act of 1974 and, as such, are not funded. Prior to the time that the deferred accounts are settled, participants are unsecured creditors of the Company. The Company’s liability for stock units in the Deferred Plans is based on the market price of the Company’s common stock at the measurement date. The following table presents the Company’s expenses related to its Deferred Plans for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 Non-employee directors $ (278) $ 131 Total $ (278) $ 131 The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through March 31, 2022 and December 31, 2021 that had not been distributed and the Company’s associated liability for such deferrals at March 31, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 (In Thousands) Undistributed Income Deferred (1) Liability Under Deferred Plans Undistributed Income Deferred (1) Liability Under Deferred Plans Non-employee directors $ 2,743 $ 2,628 $ 2,687 $ 2,836 Total $ 2,743 $ 2,628 $ 2,687 $ 2,836 (1) Represents the cumulative amounts that were deferred by participants through March 31, 2022 and December 31, 2021, which had not been distributed through such respective date. (c) Savings Plan |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 3 Months Ended |
Mar. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments GAAP requires the categorization of fair value measurements into three broad levels that form a hierarchy. A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: Level 1 — Inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. Level 2 — Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 — Inputs to the valuation methodology are unobservable and significant to the fair value measurement. The following describes the valuation methodologies used for the Company’s financial instruments measured at fair value on a recurring basis, as well as the general classification of such instruments pursuant to the valuation hierarchy. Residential Whole Loans, at Fair Value The Company determines the fair value of its residential whole loans held at fair value after considering valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans. The valuation approach applied generally depends on whether the loan is considered performing or non-performing at the date the valuation is performed. For performing loans, estimates of fair value are derived using a discounted cash flow approach, where estimates of cash flows are determined from the scheduled payments, adjusted using forecasted prepayment, default and loss given default rates. For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, the estimated value of the collateral, expected costs and estimated home price levels. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Indications of loan value such as actual trades, bids, offers and generic market color may be used in determining the appropriate discount yield. The Company’s residential whole loans held at fair value are generally classified as Level 3 in the fair value hierarchy; however, the Company determined that the market inputs used in valuing its Agency eligible investor loans were sufficiently observable to be classified as Level 2. $598.7 million of these loans were valued based on the observable prices of the related securitized debt as of March 31, 2022. Securities, at Fair Value Term Notes Backed by MSR-Related Collateral The Company’s valuation process for term notes backed by MSR-related collateral is similar to that used for other residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral and, as applicable, the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Based on its evaluation of the observability of the data used in its fair value estimation process, these assets are classified as Level 2 in the fair value hierarchy. Other Residential Mortgage Securities (including short positions in TBA securities) In determining the fair value of the Company’s other residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services and brokers as well as dialogue with market participants. Valuations of TBA securities positions are based on executed levels for positions entered into and subsequently rolled forward, as well as prices obtained from pricing services for outstanding positions at each reporting date. These valuations are assessed for reasonableness by considering market TBA levels observed via Bloomberg for the same coupon and term to maturity. In valuing Non-Agency MBS, the Company understands that pricing services use observable inputs that include, in addition to trading activity observed in the marketplace, loan delinquency data, credit enhancement levels and vintage, which are taken into account to assign pricing factors such as spread and prepayment assumptions. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. The Company’s residential mortgage securities are valued using various market data points as described above, which management considers directly or indirectly observable parameters. Accordingly, these securities are classified as Level 2 in the fair value hierarchy. Financing Agreements, at Fair Value Agreements with mark-to-market collateral provisions These agreements are secured and subject to margin calls and their base interest rates reset frequently to market based rates. As a result, no credit valuation adjustment is required, and the primary factor in determining their fair value is the credit spread paid over the base rate, which is a non-observable input as it is determined based on negotiations with the counterparty. The Company’s financing agreements with mark-to-market collateral provisions held at fair value are classified as Level 2 in the fair value hierarchy if the credit spreads used to price the instrument reset frequently, which is typically the case with shorter term repurchase agreement contracts collateralized by securities. Financing agreements with mark-to-market collateral provisions that are typically longer term and are collateralized by residential whole loans where the credit spread paid over the base rate on the instrument is not reset frequently are classified as Level 3 in the fair value hierarchy. Agreements with non-mark-to-market collateral provisions These agreements are secured, but not subject to margin calls, and their base interest rates reset frequently to market based rates. As a result, a credit valuation adjustment would only be required if there were a significant decrease in collateral value, and the primary factor in determining their fair value is the credit spread paid over the base rate, which is a non-observable input as it is determined based on negotiations with the counterparty. The Company’s financing agreements with non-mark-to-market collateral provisions held at fair value are classified as Level 3 in the fair value hierarchy. Securitized Debt In determining the fair value of securitized debt, management considers a number of observable market data points, including prices obtained from pricing services and brokers as well as dialogue with market participants. Accordingly, the Company’s securitized debt is classified as Level 2 in the fair value hierarchy. Swaps Variation margin payments on the Company’s Swaps are treated as a legal settlement of the exposure under the related Swap contract, the effect of which reduces what would have otherwise been reported as the fair value of the Swap, generally to zero. Changes to the valuation methodologies used with respect to the Company’s financial instruments are reviewed by management to ensure any such changes result in appropriate exit price valuations. The Company will refine its valuation methodologies as markets and products develop and pricing methodologies evolve. The methods described above may produce fair value estimates that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with those used by market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. The Company reviews the classification of its financial instruments within the fair value hierarchy on a quarterly basis, and management may conclude that its financial instruments should be reclassified to a different level in the future. The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of March 31, 2022 and December 31, 2021, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at March 31, 2022 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 991,633 $ 4,985,682 $ 5,977,315 Securities, at fair value — 250,171 — 250,171 Total assets carried at fair value $ — $ 1,241,804 $ 4,985,682 $ 6,227,486 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 563,860 $ 563,860 Agreements with mark-to-market collateral provisions — — 1,555,250 1,555,250 Securitized debt — 1,685,796 — 1,685,796 Total liabilities carried at fair value $ — $ 1,685,796 $ 2,119,110 $ 3,804,906 Fair Value at December 31, 2021 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 1,082,765 $ 4,222,584 $ 5,305,349 Securities, at fair value — 256,685 — 256,685 Total assets carried at fair value $ — $ 1,339,450 $ 4,222,584 $ 5,562,034 Liabilities: Agreements with non-mark-to-market collateral provisions — — 628,280 628,280 Agreements with mark-to-market collateral provisions $ — $ — $ 1,322,362 $ 1,322,362 Securitized debt — 1,316,131 — 1,316,131 Total liabilities carried at fair value $ — $ 1,316,131 $ 1,950,642 $ 3,266,773 Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis The following table presents additional information for the three months ended March 31, 2022 and 2021 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis: Residential Whole Loans, at Fair Value Three Months Ended March 31, (In Thousands) 2022 2021 Balance at beginning of period $ 4,222,583 $ 1,216,902 Purchases and originations (1) 1,114,043 — Draws 61,340 — Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings (223,412) 32,088 Repayments (202,084) (25,571) Sales and repurchases (1,547) — Transfer to REO (14,151) (15,422) Balance at end of period $ 4,956,772 $ 1,207,997 (1) Excluded from the table above are approximately $28.9 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2022. The following table presents additional information for the three months ended March 31, 2022 and 2021 about the Company’s financing agreements with non-mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis: Agreements with Non-mark-to-market Collateral Provisions Three Months Ended March 31, (In Thousands) 2022 2021 Balance at beginning of period $ 628,280 $ 1,159,213 Issuances — — Payment of principal (63,165) (117,695) Changes in unrealized losses (1,255) (235) Balance at end of period $ 563,860 $ 1,041,283 The following table presents additional information for the three months ended March 31, 2022 and 2021 about the Company’s financing agreements with mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis: Agreements with Mark-to-market Collateral Provisions Three Months Ended March 31, (In Thousands) 2022 2021 Balance at beginning of period $ 1,322,362 $ 1,124,162 Issuances 469,484 91,997 Payment of principal (236,596) (236,618) Changes in unrealized losses — — Balance at end of period $ 1,555,250 $ 979,541 Fair Value Methodology for Level 3 Financial Instruments Residential Whole Loans, at Fair Value The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of March 31, 2022 and December 31, 2021: March 31, 2022 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 653,523 Discounted cash flow Discount rate 5.0 % 2.4 - 9.7% Prepayment rate 11.8 % 0.0 - 40.3% Default rate 3.7 % 0.0 - 52.4% Loss severity 11.8 % 0.0 - 100.0% $ 333,970 Liquidation model Discount rate 7.9 % 6.7 - 50.0% Annual change in home prices 9.6 % 4.8 - 20.6% Liquidation timeline (in years) 1.8 0.1 - 4.5 Current value of underlying properties (3) $ 763 $28 - $4,000 Total $ 987,493 December 31, 2021 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 720,766 Discounted cash flow Discount rate 3.6 % 1.5 - 9.8% Prepayment rate 14.4 % 0.0 - 44.0% Default rate 3.9 % 0.0 - 50.8% Loss severity 11.7 % 0.0 - 100.0% $ 351,008 Liquidation model Discount rate 8.0 % 6.7 - 50.0% Annual change in home prices 9.7 % 4.5 - 21.9% Liquidation timeline (in years) 1.7 0.1 - 4.5 Current value of underlying properties (3) $ 770 $10 - $3,995 Total $ 1,071,774 (1) Excludes approximately $301,000 and $496,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at March 31, 2022 and December 31, 2021, respectively. (2) Amounts are weighted based on the fair value of the underlying loan. (3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $434,000 and $421,000 as of March 31, 2022 and December 31, 2021, respectively. March 31, 2022 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Performing Loans $ 3,956,992 Discounted cash flow Discount rate 5.4 % 3.1-31.6% Prepayment rate 13.3 % 0.0-41.0% Default rate 0.5 % 0.0-14.8% Loss severity 8.1 % 0.0-42.0% $ 12,952 Liquidation model Discount rate 7.0 % 7.0-7.0% Annual change in home prices 10.7 % 0.0-15.5% Liquidation timeline (in years) 1.9 0.8-4.2 Current value of underlying properties $ 1,590 $60-$3,470 Total $ 3,969,944 (1) Amounts are weighted based on the fair value of the underlying loan. Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant increase or decrease in the fair value of residential whole loans. Loans valued using a discounted cash flow model are most sensitive to changes in the discount rate assumption, while loans valued using the liquidation model technique are most sensitive to changes in the current value of the underlying properties and the liquidation timeline. Increases in discount rates, default rates, loss severities, or liquidation timelines, either in isolation or collectively, would generally result in a lower fair value measurement, whereas increases in the current or expected value of the underlying properties, in isolation, would result in a higher fair value measurement. In practice, changes in valuation assumptions may not occur in isolation and the changes in any particular assumption may result in changes in other assumptions, which could offset or amplify the impact on the overall valuation. The following table presents the carrying values and estimated fair values of the Company’s financial instruments at March 31, 2022 and December 31, 2021: March 31, 2022 March 31, 2022 December 31, 2021 Level in Fair Value Hierarchy Carrying Estimated Fair Value Carrying Estimated Fair Value (In Thousands) Financial Assets: Residential whole loans 3 $ 7,270,272 $ 7,324,320 $ 6,830,235 $ 6,983,686 Residential whole loans 2 991,633 991,633 1,082,765 1,082,765 Securities, at fair value 2 250,171 250,171 256,685 256,685 Cash and cash equivalents 1 410,939 410,939 304,696 304,696 Restricted cash 1 144,600 144,600 99,751 99,751 Financial Liabilities (1) : Financing agreements with non-mark-to-market collateral provisions 3 1,001,408 1,002,234 939,540 940,257 Financing agreements with mark-to-market collateral provisions 3 2,781,916 2,782,240 2,403,151 2,403,724 Financing agreements with mark-to-market collateral provisions 2 159,019 159,019 159,148 159,148 Securitized debt (2) 2 2,859,061 2,811,392 2,650,473 2,646,203 Convertible senior notes 2 226,807 231,758 226,470 239,292 (1) Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. (2) Includes Securitized debt that is carried at amortized cost basis and fair value. Other Assets Measured at Fair Value on a Nonrecurring Basis The Company holds REO at the lower of the current carrying amount or fair value less estimated selling costs. During the three months ended March 31, 2022 and 2021, the Company recorded REO with an aggregate estimated fair value, less estimated cost to sell, of $22.1 million and $20.1 million, respectively, at the time of foreclosure. The Company classifies fair value measurements of REO as Level 3 in the fair value hierarchy. |
Use of Special Purpose Entities
Use of Special Purpose Entities and Variable Interest Entities | 3 Months Ended |
Mar. 31, 2022 | |
Use of Special Purpose Entities and Variable Interest Entities | |
Use of Special Purpose Entities and Variable Interest Entities | Use of Special Purpose Entities and Variable Interest Entities A Special Purpose Entity (“SPE”) is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or re-securitizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying financial assets on improved terms. Securitization involves transferring assets to a SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business, through the SPE’s issuance of debt or equity instruments. Investors in a SPE usually have recourse only to the assets in the SPE and, depending on the overall structure of the transaction, may benefit from various forms of credit enhancement such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company has entered into several financing transactions that resulted in the Company consolidating as VIEs the SPEs that were created to facilitate these transactions. See Note 2(p) for a discussion of the accounting policies applied to the consolidation of VIEs and transfers of financial assets in connection with financing transactions. The Company has engaged in loan securitizations primarily for the purpose of obtaining improved overall financing terms as well as non-recourse financing on a portion of its residential whole loan portfolio. Notwithstanding the Company’s participation in these transactions, the risks facing the Company are largely unchanged as the Company remains economically exposed to the first loss position on the underlying assets transferred to the VIEs. Loan Securitization Transactions The following table summarizes the key details of the Company’s loan securitization transactions currently outstanding as of March 31, 2022 and December 31, 2021: (Dollars in Thousands) March 31, 2022 December 31, 2021 Aggregate unpaid principal balance of residential whole loans sold $ 4,554,495 $ 3,984,355 Face amount of Senior Bonds issued by the VIE and purchased by third-party investors $ 4,181,681 $ 3,667,790 Outstanding amount of Senior Bonds, at carrying value $ 1,173,265 (1) $ 1,334,342 (1) Outstanding amount of Senior Bonds, at fair value $ 1,685,796 $ 1,316,131 Outstanding amount of Senior Bonds, total $ 2,859,061 $ 2,650,473 Weighted average fixed rate for Senior Bonds issued 2.41 % (2) 2.01 % (2) Weighted average contractual maturity of Senior Bonds 38 years (2) 36 years (2) Face amount of Senior Support Certificates received by the Company (3) $ 339,975 $ 283,930 Cash received $ 4,193,362 $ 3,682,082 (1) Net of $5.6 million and $6.8 million of deferred financing costs at March 31, 2022 and December 31, 2021, respectively. (2) At March 31, 2022 and December 31, 2021, $707.6 million and $329.0 million, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by either 100 or 300 basis points or more at 36 months from issuance if the bond is not redeemed before such date. (3) Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions. During the three months ended March 31, 2022, the Company issued Senior Bonds with a current face of $513.9 million to third-party investors for proceeds of $511.3 million, before offering costs and accrued interest. The Senior Bonds issued by the Company during the three months ended March 31, 2022 are included in “Financing agreements, at carrying value” (at carrying value) on the Company’s consolidated balance sheets (see Note 6). As of March 31, 2022 and December 31, 2021, as a result of the transactions described above, securitized loans of approximately $3.2 billion and $3.0 billion are included in “Residential whole loans” and REO with a carrying value of approximately $36.3 million and $35.4 million are included in “Other assets” on the Company’s consolidated balance sheets, respectively. As of March 31, 2022 and December 31, 2021, the aggregate carrying value of Senior Bonds issued by consolidated VIEs was $2.9 billion and $2.7 billion, respectively. These Senior Bonds are disclosed as “Securitized debt” and are included in Financing agreements on the Company’s consolidated balance sheets. The holders of the securitized debt have no recourse to the general credit of the Company, but the Company does have the obligation, under certain circumstances, to repurchase assets from the VIE upon the breach of certain representations and warranties with respect to the residential whole loans sold to the VIE. In the absence of such a breach, the Company has no obligation to provide any other explicit or implicit support to any VIE. The Company concluded that the entities created to facilitate the loan securitization transactions are VIEs. The Company completed an analysis of whether each VIE created to facilitate the securitization transactions should be consolidated by the Company, based on consideration of its involvement in each VIE, including the design and purpose of the SPE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of each VIE. In determining whether the Company would be considered the primary beneficiary, the following factors were assessed: • whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and • whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. Based on its evaluation of the factors discussed above, including its involvement in the purpose and design of the entity, the Company determined that it was required to consolidate each VIE created to facilitate the loan securitization transactions. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Securitizations of Business Purpose LoansSubsequent to quarter end, the Company completed two securitizations of business purpose loans, totaling $509.5 million, including its first securitization of approximately $250.0 million of Rehabilitation loans. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2022 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company’s one-for-four reverse stock split which was effected following the close of business on April 4, 2022. The interim unaudited consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (the “SEC”). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) have been condensed or omitted in accordance with these SEC rules and regulations. Management believes that the disclosures included in these interim unaudited consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2022 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2022 should not be construed as indicative of the results to be expected for the full year. The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with 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 revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas: impairment, valuation allowances and loss allowances on residential whole loans (see Note 3), mortgage-backed securities (‘MBS”), credit risk transfer (“CRT”) securities and mortgage servicing rights (“MSR”)-related assets (collectively, “Securities, at fair value”) (see Note 4) and Other assets (see Note 5), valuation of Securities, at fair value (see Notes 4 and 13), income recognition and valuation of residential whole loans (see Notes 3 and 13), and valuation of derivative instruments (see Notes 5(d) and 13). In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest (see Note 8). Actual results could differ from those estimates. The Company has one reportable segment as it manages its business and analyzes and reports its results of operations on the basis of one operating segment: investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries. All intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. In particular, prior period disclosures have been conformed to the current period presentation of interest income from residential whole loans at fair value. Starting in the second quarter of 2021, interest income for these loans is presented in interest income in the Company’s consolidated statements of operations. Previously, interest income received on residential whole loans at fair value was presented in other income in the Company’s consolidated statements of operations. On July 1, 2021, the Company completed the acquisition of Lima One Holdings, LLC, the parent company of Lima One Capital, LLC (collectively referred to as “Lima One”), a leading |
Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) | Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions or originated by Lima One. The accounting model utilized by the Company is determined at the time each loan package is initially acquired. Prior to the second quarter of 2021, the fair value option was typically elected on loans that were 60 or more days delinquent at purchase (“Purchased Non-performing Loans”). Purchased Credit Deteriorated Loans acquired prior to the second quarter of 2021, and where the underlying borrower had a delinquency status of less than 60 days at the acquisition date, are typically held at carrying value. Purchased Performing Loans acquired prior to the second quarter of 2021 are also typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required credit loss reserves (as discussed below) differ from those used for Purchased Credit Deteriorated Loans held at carrying value. Starting in the second quarter of 2021, the Company elected the fair value option for all loans acquired, irrespective of borrower delinquency status at acquisition. Over time, the Company expects that election of the fair value option should serve to simplify reporting of the results of its loan investment activities as fair value accounting will be used for the majority of loans in the Company’s portfolio. The accounting model initially applied to loan acquisitions is not permitted to be subsequently changed. Consequently, the Company is not permitted to retroactively apply fair value accounting to loans held at carrying value acquired in periods prior to the second quarter of 2021. The Company’s residential whole loans pledged as collateral against financing agreements are included in the consolidated balance sheets with amounts pledged disclosed in Note 6. Purchases and sales of residential whole loans that are subject to an extended period of due diligence that crosses a reporting date are recorded in the Company’s balance sheet at amounts reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Residential whole loans purchased under flow arrangements with loan origination partners are generally recorded at the transaction settlement date. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any financing agreement until the closing of the purchase transaction. Interest income, credit related losses and changes in the fair value of loans held at fair value are recorded post settlement for acquired loans and until transaction settlement for sold loans (see Notes 3, 6, 13 and 14). Purchased Performing Loans Acquisitions of Purchased Performing Loans to date (which include loans purchased from third parties or loans originated by Lima One) have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by non-owner occupied residential properties made to borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), (iv) loans on investor properties that conform to the standards for purchase by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (“Agency eligible investor loans”), and (v) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased Performing Loans are initially recorded at their purchase price (or amount funded for originated loans). Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate. Interest income on such loans acquired at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. For Purchased Performing Loans acquired prior to the second quarter of 2021 and where the fair value option was not elected, an allowance for credit losses is recorded at acquisition, and maintained on an ongoing basis, for all losses expected over the life of the respective loan. Any required credit loss allowance would reduce the net carrying value of the loan with a corresponding charge to earnings, and may increase or decrease over time. Significant judgments are required in determining any allowance for credit loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended, and interest accruals are reversed against income, for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful (i.e., such loans are placed on nonaccrual status). For nonaccrual loans, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current. A loan is written off when it is no longer realizable and/or it is legally discharged. Modified loans are considered “troubled debt restructurings” if the Company grants a concession to a borrower who is experiencing financial difficulty (including the interpretation of this definition set forth in OCC Bulletin 2020-35). Charge-offs to the allowance for loan losses occur when losses are confirmed through the receipt of cash or other consideration from the completion of a sale; when a modification or restructuring takes place in which we grant a concession to a borrower or agree to a discount in full or partial satisfaction of the loan; when we take ownership and control of the underlying collateral in full satisfaction of the loan; when loans are reclassified as other investments; or when significant collection efforts have ceased and it is highly likely that a loss has been realized. The aggregate allowance for credit losses is equal to the sum of the losses expected over the life of each respective loan. Expected losses are generally calculated based on the estimated probability of default and loss severity of loans in the portfolio, which involves projecting each loan’s expected cash flows based on their contractual terms, expected prepayments, and estimated default and loss severity rates. The results were not discounted. The default and severity rates were estimated based on the following steps: (i) obtained the Company’s historical experience through an entire economic cycle for each loan type or, to the extent the Company did not have sufficient historical loss experience for a given loan type, publicly available data derived from the historical loss experience of certain banks, which data the Company believes is generally representative of its portfolio, (ii) obtained historical economic data (U.S. unemployment rates and home price appreciation) over the same period, and (iii) estimated default and severity rates during three distinct future periods based on historical default and severity rates during periods when economic conditions similar to those forecasted were experienced. The default and severity rates were applied to the estimated amount of loans outstanding during each future period, based on contractual terms and expected prepayments. Expected prepayments are estimated based on historical experience and current and expected future economic conditions, including market interest rates. The three periods were as follows: (i) a one-year forecast of economic conditions based on U.S. unemployment rates and home price appreciation, followed by (ii) a two-year “reversion” period during which economic conditions (U.S. unemployment rates and home price appreciation) are projected to revert to historical averages on a straight line basis, followed by (iii) the remaining life of each loan, during which period economic conditions (U.S. unemployment rates and home price appreciation) are projected to equal historical averages. In addition, a liability is established (and recorded in Other Liabilities) each period using a similar methodology for committed but undrawn loan amounts. The Company forecasts future economic conditions based on forecasts provided by an external preparer of economic forecasts, as well as its own knowledge of the market and its portfolio. The Company may consider multiple scenarios and select the one that it believes results in the most reasonable estimate of expected losses. The Company may apply qualitative adjustments to these results as further described in Note 3. For certain loans where foreclosure has been deemed to be probable, loss estimates are based on whether the value of the underlying collateral is sufficient to recover the carrying value of the loan. This methodology has not changed significantly from the calculation of the allowance for credit losses on January 1, 2021. Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit deteriorated as they have experienced a more-than-insignificant deterioration in credit quality since origination and were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with loan-to-value ratios (“LTVs”) of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit deteriorated are initially recorded at the purchase price on a net basis, after establishing an initial allowance for credit losses (their initial cost basis is equal to their purchase price plus the initial allowance for credit losses). Subsequent to acquisition, the gross recorded amount for these loans reflects the initial cost basis, plus accretion of interest income, less principal and interest cash flows received. Purchased Credit Deteriorated Loans acquired prior to the second quarter of 2021, or where the fair value option was not otherwise elected, are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded cost basis reduced by any allowance for credit losses. Interest income on such loans purchased is recorded each period based on the contractual coupon net of amortization of the difference between their cost basis and unpaid principal balance (“UPB”), subject to the Company’s nonaccrual policy. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. Prior to the second quarter of 2021, this accounting election was made primarily on Purchased Non-performing Loans. Starting in the second quarter of 2021, the Company made the fair value election on all loan acquisitions, which, to date, have been comprised exclusively of Purchased Performing Loans including loans originated by Lima One since its consolidation. The Company generally considers accounting for these loans at fair value to be more reflective of the expected pattern of returns from these loans under current economic conditions. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans and trading activity observed in the marketplace. Subsequent changes in fair value are reported in current period earnings and presented in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Interest income is recorded on these loans based on their yield and is presented as part of interest income in the Company’s consolidated statements of operations. Cash outflows associated with loan-related advances made by the Company on behalf of the borrower are included in the basis of the loan and are reflected in unrealized gains or losses reported each period. Income and costs associated with originating loans on which the fair value option was elected are recorded in other income and expense respectively in the period in which they are earned or incurred. |
Securities, at Fair Value | Securities, at Fair Value MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets, are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed in Note 6. Purchases and sales of MSR-related assets are recorded on the trade date (see Notes 4, 6, and 13). Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as “available-for-sale” (“AFS”) securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity, subject to impairment and loss allowances. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral, as applicable, and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Residential Mortgage Securities Prior to the quarter ended June 30, 2020, the Company had invested in residential MBS that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). The Company disposed of its investments in Agency MBS during 2020 and disposed of its remaining investments in Non-Agency MBS during the second quarter of 2021. In addition, the Company has investments in CRT securities that are issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation Securities that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as AFS. Such securities are carried at their fair value with unrealized gains and losses excluded from earnings (except when an allowance for loan losses is recognized, as discussed below) and reported in AOCI, a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. In addition, the Company has elected the fair value option for certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk-sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on their outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity (see Note 13). Allowance for credit losses When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities, as well as securities for which a credit loss allowance had been previously recorded, on at least a quarterly basis and determines whether any changes to the allowance for credit losses are required. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize a write-down through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an impaired security, only the portion of the impairment related to credit losses is recognized through a loss allowance charged to earnings with the remainder recognized through AOCI on the Company’s consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Credit loss allowances are subject to reversal through earnings resulting from improvements in expected cash flows. The determination as to whether to record (or reverse) a credit loss allowance is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of losses constitute material estimates that are susceptible to significant change (see Note 4). Balance Sheet Presentation |
Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less. Cash and cash equivalents may also include cash pledged as collateral to the Company by its financing counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). The Company did not hold any cash pledged by its counterparties at March 31, 2022 and December 31, 2021. |
Restricted Cash | Restricted Cash |
Goodwill & Intangible Assets | Goodwill & Intangible Assets At March 31, 2022 and December 31, 2021, the Company had goodwill of $61.1 million, which represents the excess of the fair value of consideration paid over the fair value of net assets acquired in connection with the acquisition of Lima One, and other intangible assets of $18.1 million and $21.4 million, respectively (net of amortization), primarily comprised of customer relationships, non-competition agreements, trademarks and trade names, and internally developed software recognized as part of the acquisition of Lima One (see Note 5(b). The intangible assets are amortized over their expected useful lives, which range from one |
Real Estate Owned (REO) | Real Estate Owned (“REO”) REO represents real estate acquired by the Company, including through foreclosure, deed in lieu of foreclosure, or purchased in connection with the acquisition of residential whole loans. REO acquired through foreclosure or deed in lieu of foreclosure is initially recorded at fair value less estimated selling costs. REO acquired in connection with the acquisition of residential whole loans is initially recorded at its purchase price. Subsequent to acquisition, REO is reported, at each reporting date, at the lower of the current carrying amount or fair value less estimated selling costs and for presentation purposes is included in Other assets on the Company’s consolidated balance sheets. Changes in fair value that result in an adjustment to the reported amount of an REO property that has a fair value at or below its carrying amount are reported in Other Income, net on the Company’s consolidated statements of operations. The Company has acquired certain properties that it holds for investment purposes, including rentals to third parties. These properties are held at their historical basis less depreciation, and are subject to impairment. Related rental income and expenses are recorded in Other Income, net |
Leases | LeasesThe Company records its operating lease liabilities and operating lease right-of-use assets on its consolidated balance sheets. The operating lease liabilities are equal to the present value of the remaining fixed lease payments (excluding real estate tax and operating expense escalations) discounted at the Company’s estimated incremental borrowing rate at the date of lease commencement, and the operating lease right-of-use assets are equal to the operating lease liabilities adjusted for lease incentives and initial direct costs. As lease payments are made, the operating lease liabilities are reduced to the present value of the remaining lease payments and the operating lease right-of-use assets are reduced by the difference between the lease expense (straight-lined over the lease term) and the theoretical interest expense amount (calculated using the incremental borrowing rate at the date of lease commencement). |
Leasehold Improvements, Real estate and Other Depreciable Assets | Leasehold Improvements, Real estate and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from five |
Loan Securitization and Other Debt Issuance Costs | Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges (unless the debt is recorded at fair value, as discussed below), are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For certain financing agreements, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and, in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Company’s consolidated statements of operations. To the extent that the Company has elected the fair value option for the related debt liability, these costs are expensed at the closing of the transaction. |
Financing Arrangements | Financing Agreements The Company finances the majority of its residential mortgage assets with financing agreements that include repurchase agreements and other forms of collateralized financing. Under repurchase agreements, the Company sells assets to a lender and agrees to repurchase the same assets in the future for a price that is higher than the original sale price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although legally structured as sale and repurchase transactions, the Company accounts for repurchase agreements as secured borrowings. Under its repurchase agreements and other forms of collateralized financing, the Company pledges its assets as collateral to secure the borrowing, in an amount which is equal to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase financing, unless the repurchase financing is renewed with the same counterparty, the Company is required to repay the loan including any accrued interest and concurrently receives back its pledged collateral from the lender. With the consent of the lender, the Company may renew a repurchase financing at the then prevailing financing terms. Margin calls, whereby a lender requires that the Company pledge additional assets or cash as collateral to secure borrowings under its repurchase financing with such lender, are routinely experienced by the Company when the value of the assets pledged as collateral declines as a result of principal amortization and prepayments or due to changes in market interest rates, spreads or other market conditions. The Company also may make margin calls on counterparties when collateral values increase. Should a counterparty decide not to renew a financing arrangement at maturity, the Company must either refinance elsewhere or be in a position to satisfy the obligation. If, during the term of a financing, a lender should default on its obligation, the Company might experience difficulty recovering its pledged assets which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged by the Company to such lender, including accrued interest receivable on such collateral (see Notes 6 and 13). The Company has elected the fair value option on certain of its financing agreements. These agreements are reported at their fair value, with changes in fair value being recorded in earnings each period (or other comprehensive income, to the extent the change results from a change in instrument specific credit risk), as further detailed in Note 6. Financing costs, including “up front” fees paid at inception related to financing agreements at fair value are expensed as incurred. Interest expense is recorded based on the current interest rate in effect for the related agreement. |
Equity-Based Compensation | Equity-Based Compensation Compensation expense for equity-based awards that are subject to vesting conditions, is recognized ratably over the vesting period of such awards, based upon the fair value of such awards at the grant date. The Company has made annual grants of restricted stock units (“RSUs”), certain of which cliff vest after a three-year period, subject only to continued employment, and others of which cliff vest after a three-year period, subject to both continued employment and the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total shareholder return (“TSR”) during that three-year period, as well as the TSR of the Company relative to the TSR of a group of peer companies (over the three-year period) selected by the Compensation Committee of the Company’s Board of Directors (the “Compensation Committee”) at the date of grant. The features in these awards related to the attainment of TSR over a specified period constitute a “market condition,” which impacts the amount of compensation expense recognized for these awards. Specifically, the uncertainty regarding the achievement of the market condition was reflected in the grant date fair valuation of the RSUs, which is recognized as compensation expense over the relevant vesting period. The amount of compensation expense recognized is not dependent on whether the market condition was or will be achieved. |
Earnings per Common Share (EPS) | Earnings per Common Share (“EPS”) Basic EPS is computed using the two-class method, which includes the weighted-average number of shares of common stock outstanding during the period and an estimate of other securities that participate in dividends, such as the Company’s dividend equivalents attached to/associated with RSUs, to arrive at total common equivalent shares. In applying the two-class method, earnings are allocated to both shares of common stock and estimated securities that participate in dividends based on their respective weighted-average shares outstanding for the period. For the diluted EPS calculation, common equivalent shares are further adjusted for the effect of RSUs outstanding that are unvested and have dividends that are subject to forfeiture, and for the effect of outstanding warrants, using the treasury stock method. Under the treasury stock method, common equivalent |
Comprehensive Income/(Loss) | Comprehensive Income/(Loss) The Company’s comprehensive income/(loss) available to common stock and participating securities includes net income, the change in net unrealized gains/(losses) on its AFS securities and derivative hedging instruments (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of AOCI for sold AFS securities and terminated hedging relationships, as well as the portion of unrealized gains/(losses) on its financing agreements held at fair value related to instrument-specific credit risk, and is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock. |
Derivative Financial Instruments | Derivative Financial Instruments The Company may use a variety of derivative instruments to economically hedge a portion of its exposure to market risks, including interest rate risk and prepayment risk. The objective of the Company’s risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. Swaps The Company has entered into Swaps that were not designated as hedges for accounting purposes. Changes in the fair value of the Company’s Swaps not designated in hedging transactions are recorded in Other income, net on the Company’s consolidated statements of operations. To Be Announced (“TBA”) Securities The Company has entered into transactions to take short positions in TBA securities in connection with the management of interest rate and other market risks associated with purchases of Agency eligible investor loans. As the Company does not intend to physically settle its transactions in TBA securities, they are required to be accounted for as derivative financial instruments. The Company does not apply hedge accounting to its TBA securities. Accordingly, TBA securities are recorded on the Company’s balance sheets at fair value, with realized and unrealized changes in fair value each period recorded in Other income, net in the Company’s consolidated statements of operations. |
Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities | Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities The Company’s presentation of fair value for its financial assets and liabilities is determined within a framework that stipulates that the fair value of a financial asset or liability is an exchange price in an orderly transaction between market participants to sell the asset or transfer the liability in the market in which the reporting entity would transact for the asset or liability, that is, the principal or most advantageous market for the asset or liability. The transaction to sell the asset or transfer the liability is a hypothetical transaction at the measurement date, considered from the perspective of a market participant that holds the asset or owes the liability. This definition of fair value focuses on exit price and prioritizes the use of market-based inputs over entity-specific inputs when determining fair value. In addition, the framework for measuring fair value establishes a three-level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. |
Variable Interest Entities | Variable Interest Entities An entity is referred to as a VIE if it meets at least one of the following criteria: (i) the entity has equity that is insufficient to permit the entity to finance its activities without the additional subordinated financial support of other parties; or (ii) as a group, the holders of the equity investment at risk lack (a) the power to direct the activities of an entity that most significantly impact the entity’s economic performance; (b) the obligation to absorb the expected losses; or (c) the right to receive the expected residual returns; or (iii) the holders of the equity investment at risk have disproportional voting rights and the entity’s activities are conducted on behalf of the investor that has disproportionately few voting rights. The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. The Company has entered into several financing transactions which resulted in the Company forming entities to facilitate these transactions. In determining the accounting treatment to be applied to these transactions, the Company concluded that the entities used to facilitate these transactions are VIEs and that they should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfers of the underlying assets would qualify as sales or should be accounted for as secured financings under GAAP (see Note 14). The Company also includes on its consolidated balance sheets certain financial assets and liabilities that are acquired/issued by trusts and/or other special purpose entities that have been evaluated as being required to be consolidated by the Company under the applicable accounting guidance. |
Offering Costs Related to Issuance and Redemption of Preferred Stock | Offering Costs Related to Issuance and Redemption of Preferred Stock Offering costs related to the issuance of preferred stock are recorded as a reduction in Additional paid-in capital, a component of Stockholders’ Equity, at the time such preferred stock is issued. On redemption of preferred stock, any excess of the fair value of the consideration transferred to the holders of the preferred stock over the carrying amount of the preferred stock in the Company’s consolidated balance sheets is included in the determination of Net Income Available to Common Stock and Participating Securities in the calculation of EPS. |
New Accounting Standards and Interpretations | New Accounting Standards and Interpretations As of the date of this filing, there have been no new accounting standards and interpretations adopted by the Company in 2022. |
Residential Whole Loans (Tables
Residential Whole Loans (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Receivables [Abstract] | |
Residential whole loans, at carrying and fair value | The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at March 31, 2022 and December 31, 2021: Held at Carrying Value Held at Fair Value Total (Dollars in Thousands) March 31, 2022 December 31, 2021 March 31, 2022 December 31, 2021 March 31, 2022 December 31, 2021 Purchased Performing Loans: Non-QM loans $ 1,265,731 $ 1,448,162 $ 2,391,632 $ 2,013,369 $ 3,657,363 $ 3,461,531 Rehabilitation loans 154,508 217,315 735,849 517,530 890,357 734,845 Single-family rental loans 283,090 331,808 870,407 619,415 1,153,497 951,223 Seasoned performing loans 98,269 102,041 — — 98,269 102,041 Agency eligible investor loans — — 991,633 1,082,765 991,633 1,082,765 Total Purchased Performing Loans $ 1,801,598 $ 2,099,326 $ 4,989,521 $ 4,233,079 $ 6,791,119 $ 6,332,405 Purchased Credit Deteriorated Loans $ 518,450 $ 547,772 $ — $ — $ 518,450 $ 547,772 Allowance for Credit Losses $ (35,457) $ (39,447) $ — $ — $ (35,457) $ (39,447) Purchased Non-Performing Loans $ — $ — $ 987,794 $ 1,072,270 $ 987,794 $ 1,072,270 Total Residential Whole Loans $ 2,284,591 $ 2,607,651 $ 5,977,315 $ 5,305,349 $ 8,261,906 $ 7,913,000 Number of loans 8,506 9,361 16,706 14,734 25,212 24,095 |
Financing receivable credit quality indicators | The following table presents additional information regarding the Company’s Residential whole loans at March 31, 2022 and December 31, 2021: March 31, 2022 Fair Value / Carrying Value Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by UPB Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4) $ 3,621,124 $ 3,670,937 4.92 % 356 65 % 733 $ 3,431,011 $ 119,445 $ 30,355 $ 90,126 Rehabilitation loans 885,155 886,942 7.11 12 67 740 783,366 14,118 3,178 86,280 Single-family rental loans 1,152,195 1,168,778 5.26 324 70 735 1,133,996 13,436 547 20,799 Seasoned performing loans 98,224 107,624 2.71 159 36 722 98,569 634 97 8,324 Agency eligible investor loans 991,633 1,034,815 3.40 351 62 767 1,026,214 7,595 814 192 Total Purchased Performing Loans 6,748,331 $ 6,869,096 5.00 % 302 Purchased Credit Deteriorated Loans $ 496,871 $ 610,651 4.57 % 280 69 % N/A 428,302 51,517 18,942 111,890 Purchased Non-Performing Loans $ 987,794 $ 1,017,658 4.89 % 280 73 % N/A $ 464,770 $ 85,856 $ 40,454 $ 426,578 Residential whole loans, total or weighted average $ 8,232,996 $ 8,497,405 4.96 % 298 December 31, 2021 Fair Value / Carrying Value Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by UPB Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans $ 3,453,242 $ 3,361,164 5.07 % 355 66 % 731 $ 3,165,964 $ 77,581 $ 22,864 $ 94,755 Rehabilitation loans 727,964 731,154 7.18 11 67 735 616,733 5,834 5,553 103,034 Single-family rental loans 949,772 924,498 5.46 329 70 732 898,166 2,150 695 23,487 Seasoned performing loans 101,995 111,710 2.76 162 37 722 102,047 938 481 8,244 Agency eligible investor loans 1,082,765 1,060,486 3.40 354 62 767 1,039,257 21,229 — — Total Purchased Performing Loans 6,315,738 $ 6,189,012 5.05 % 307 Purchased Credit Deteriorated Loans 524,992 $ 643,187 4.55 % 283 69 N/A 456,924 50,048 18,736 117,479 Purchased Non-Performing Loans 1,072,270 $ 1,073,544 4.87 % 283 73 N/A 492,481 87,041 40,876 453,146 Residential whole loans, total or weighted average $ 7,913,000 $ 7,905,743 4.99 % 301 (1) Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $160.5 million and $137.3 million at March 31, 2022 and December 31, 2021, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 74% and 71% at March 31, 2022 and December 31, 2021, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3) Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. (4) Excluded from the table above are approximately $28.9 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2022. The following table presents certain additional credit-related information regarding our Residential whole loans, at Carrying Value: Amortized Cost Basis by Origination Year and LTV Bands (Dollars In Thousands) 2022 2021 2020 2019 2018 Prior Total Non-QM loans LTV <= 80% (1) $ — $ 55,222 $ 246,102 $ 584,293 $ 302,545 $ 34,265 $ 1,222,427 LTV > 80% (1) — 2,762 18,918 9,580 10,416 1,628 43,304 Total Non-QM loans $ — $ 57,984 $ 265,020 $ 593,873 $ 312,961 $ 35,893 $ 1,265,731 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ 51 $ — $ 51 Rehabilitation loans LTV <= 80% (1) $ — $ 4,046 $ 19,342 $ 92,938 $ 14,673 $ 3,057 $ 134,056 LTV > 80% (1) — — 2,280 11,739 4,734 1,699 20,452 Total Rehabilitation loans $ — $ 4,046 $ 21,622 $ 104,677 $ 19,407 $ 4,756 $ 154,508 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ 199 $ 20 $ — $ 219 Single family rental loans LTV <= 80% (1) $ — $ 14,747 $ 30,245 $ 165,098 $ 57,566 $ 9,602 $ 277,258 LTV > 80% (1) — — 512 5,234 86 — 5,832 Total Single family rental loans $ — $ 14,747 $ 30,757 $ 170,332 $ 57,652 $ 9,602 $ 283,090 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ 27 $ — $ — $ 27 Seasoned performing loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 95,307 $ 95,307 LTV > 80% (1) — — — — — 2,962 2,962 Total Seasoned performing loans $ — $ — $ — $ — $ — $ 98,269 $ 98,269 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV <= 80% (1) $ — $ — $ — $ — $ — $ 387,985 $ 387,985 LTV > 80% (1) — — — — — 130,465 130,465 Total Purchased credit deteriorated loans $ — $ — $ — $ — $ — $ 518,450 $ 518,450 Three Months Ended March 31, 2022 Gross write-offs $ — $ — $ — $ — $ — $ 226 $ 226 Total LTV <= 80% (1) $ — $ 74,015 $ 295,689 $ 842,329 $ 374,784 $ 530,216 $ 2,117,033 Total LTV > 80% (1) — 2,762 21,710 26,553 15,236 136,754 203,015 Total residential whole loans, at carrying value $ — $ 76,777 $ 317,399 $ 868,882 $ 390,020 $ 666,970 $ 2,320,048 Total Gross write-offs $ — $ — $ — $ 226 $ 71 $ 226 $ 523 (1) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $160.5 million at March 31, 2022, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting is 74% at March 31, 2022. Certain low value loans secured by vacant lots are categorized as LTV > 80%. The following tables present certain information regarding the LTVs of the Company’s Residential whole loans that are 90 days or more delinquent: March 31, 2022 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 91,200 $ 90,126 65.6 % Rehabilitation loans $ 86,272 $ 86,280 73.3 % Single-family rental loans $ 20,845 $ 20,799 73.5 % Seasoned performing loans $ 7,780 $ 8,324 43.7 % Agency eligible investor loans $ 180 $ 192 73.7 % Total Purchased Performing Loans $ 206,277 $ 205,721 Purchased Credit Deteriorated Loans $ 90,190 $ 111,890 78.2 % Purchased Non-Performing Loans $ 424,871 $ 426,578 79.4 % Total Residential whole loans $ 721,338 $ 744,189 December 31, 2021 (Dollars In Thousands) Carrying Value / Fair Value UPB LTV (1) Purchased Performing Loans Non-QM loans $ 96,473 $ 94,755 64.6 % Rehabilitation loans $ 103,166 $ 103,034 67.6 % Single-family rental loans $ 23,524 $ 23,487 73.4 % Seasoned performing loans $ 7,740 $ 8,244 45.6 % Agency eligible investor loans $ — $ — — % Total Purchased Performing Loans $ 230,903 $ 229,520 Purchased Credit Deteriorated Loans $ 95,899 $ 117,479 79.1 % Purchased Non-Performing Loans $ 454,443 $ 453,146 80.2 % Total Residential whole loans $ 781,245 $ 800,145 (1) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. |
Financing receivable, allowance for credit loss | The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value: Three Months Ended March 31, 2022 (Dollars In Thousands) Non-QM Loans Rehabilitation Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2021 $ 8,289 $ 6,881 $ 1,451 $ 46 $ 22,780 $ 39,447 Current provision (909) (1,460) (122) (1) (975) (3,467) Write-offs (51) (219) (27) — (226) (523) Allowance for credit losses at March 31, 2022 $ 7,329 $ 5,202 $ 1,302 $ 45 $ 21,579 $ 35,457 Three Months Ended March 31, 2021 (Dollars In Thousands) Non-QM Loans Rehabilitation Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2020 $ 21,068 $ 18,371 $ 3,918 $ 107 $ 43,369 $ 86,833 Current provision (6,523) (3,700) (1,172) (41) (10,936) (22,372) Write-offs — (1,003) — — (214) (1,217) Allowance for credit losses at March 31, 2021 $ 14,545 $ 13,668 $ 2,746 $ 66 $ 32,219 $ 63,244 (1) In connection with purchased Rehabilitation loans at carrying value, the Company had unfunded commitments of $12.9 million and $54.4 million as of March 31, 2022 and 2021, respectively, with an allowance for credit losses of $156,000 and $795,905 at March 31, 2022 and 2021, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7). (2) Includes $80.2 million and $149.2 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2022 and 2021, respectively. |
Schedule of interest income components | The following tables present the components of interest income on the Company’s Residential whole loans for the three months ended March 31, 2022 and 2021: Held at Carrying Value Held at Fair Value Total Three Months Ended Three Months Ended Three Months Ended (In Thousands) 2022 2021 2022 2021 2022 2021 Purchased Performing Loans: Non-QM loans $ 13,141 $ 22,189 $ 19,811 $ — $ 32,952 $ 22,189 Rehabilitation loans 3,567 6,668 11,294 — 14,861 6,668 Single-family rental loans 4,693 7,081 8,632 — 13,325 7,081 Seasoned performing loans 1,010 1,991 — — 1,010 1,991 Agency eligible investor loans — — 7,583 — 7,583 — Total Purchased Performing Loans $ 22,411 $ 37,929 $ 47,320 $ — $ 69,731 $ 37,929 Purchased Credit Deteriorated Loans $ 9,009 $ 8,290 $ — $ — $ 9,009 $ 8,290 Purchased Non-Performing Loans $ — $ — $ 20,726 $ 18,319 $ 20,726 $ 18,319 Total Residential Whole Loans $ 31,420 $ 46,219 $ 68,046 $ 18,319 $ 99,466 $ 64,538 |
Residential whole loans, fair value, component of net gain on residential whole loans | The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 Net unrealized (losses)/gains $ (287,935) $ 32,088 Other Income (1) (440) (598) Total $ (288,375) $ 31,490 |
Securities, at Fair Value (Tabl
Securities, at Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of information about MBS and CRT Securities | The following tables present certain information about the Company’s residential mortgage securities at March 31, 2022 and December 31, 2021: March 31, 2022 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Total residential mortgage securities (2)(3) $ 98,172 $ 8,722 $ (44) $ (20,768) $ 86,082 $ 11,699 $ (1,381) $ 10,318 $ 96,400 December 31, 2021 (In Thousands) Principal/ Current Purchase Accretable Discount Designated as Credit Reserve (1) Gross Amortized Gross Gross Net Fair Value Total residential mortgage securities (2)(3) $ 99,999 $ 7,466 $ (55) $ (20,768) $ 86,642 $ 16,282 $ (10) $ 16,272 $ 102,914 (1) Discount designated as Credit Reserve is generally not expected to be accreted into interest income. (2) Based on management ’ s current estimates of future principal cash flows expected to be received. (3) Amounts disclosed at March 31, 2022 includes CRT securities with a fair value of $64.2 million for which the fair value option has been elected. Such securities had $281.0 thousand gross unrealized gains and gross unrealized losses of approximately |
Schedule of impact of AFS on AOCI | The following table presents the impact of the Company’s AFS securities on its AOCI for the three months ended March 31, 2022 and 2021: Three Months Ended March 31, (In Thousands) 2022 2021 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 46,833 $ 79,607 Unrealized (losses) on securities available-for-sale (4,977) (3,855) Change in AOCI from AFS securities (4,977) (3,855) Balance at end of period $ 41,856 $ 75,752 |
Schedule of interest income on MBS, CRT Securities and MSR Related Assets | The following table presents the components of interest income on the Company’s Securities, at fair value for the three months ended March 31, 2022 and 2021: Three Months Ended March 31, (In Thousands) 2022 2021 Residential Mortgage Securities Coupon interest $ 895 $ 1,287 Effective yield adjustment (1)(2)(3) 1,265 9,549 Interest income $ 2,160 $ 10,836 MSR-related assets Coupon interest $ 1,157 $ 2,405 Effective yield adjustment (2) 1,958 3,218 Interest income $ 3,115 $ 5,623 (1) Includes amortization of premium paid net of accretion of purchase discount. For RPL/NPL MBS, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. (2) The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or in the instrument’s contractual cash flows, depending on the relevant accounting standards. |
Other Assets (Tables)
Other Assets (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Schedule of other assets | The following table presents the components of the Company’s Other assets at March 31, 2022 and December 31, 2021: (In Thousands) March 31, 2022 December 31, 2021 Treasury Bills (1) $ 299,998 $ — REO (2) 145,568 156,223 Goodwill 61,076 61,076 Intangibles, net (3) 18,100 21,400 Capital contributions made to loan origination partners 70,783 71,673 Other interest-earning assets 53,636 57,522 Interest receivable 57,090 50,191 Other loan related receivables 49,612 34,191 Lease right-of-use asset (4) 39,243 39,370 Other 62,237 73,910 Total Other Assets $ 857,343 $ 565,556 (1) Held on a short-term basis in connection with managing the Company’s REIT compliance. Classified as Level 1 in the fair value hierarchy. (2) Includes $6.5 million and $11.3 million of REO that is held-for-investment at March 31, 2022 and December 31, 2021, respectively. (3) Net of aggregate accumulated amortization of $9.9 million and $6.6 million as of March 31, 2022 and December 31, 2021, respectively. (4) An estimated incremental borrowing rate of 7.5% was used in connection with the Company’s primary operating lease (see Notes 2 and 9). |
Schedule of activity for real estate owned | The following table presents the activity in the Company’s REO for the three months ended March 31, 2022 and 2021: Three Months Ended March 31, (Dollars In Thousands) 2022 2021 Balance at beginning of period $ 156,223 $ 249,699 Adjustments to record at lower of cost or fair value (448) (874) Transfer from residential whole loans (1) 22,079 20,068 Purchases and capital improvements, net 353 217 Disposals and other (2) (32,639) (48,717) Balance at end of period $ 145,568 $ 220,393 Number of properties 492 835 (1) Includes a net loss recorded on transfer of approximately $100,000 and a net gain recorded on transfer of approximately $1.1 million for the three months ended March 31, 2022 and 2021, respectively. |
Finite-lived intangible assets amortization expense | The amortization period for each of the finite lived intangible assets and the activity for the three months ended March 31, 2022 is summarized in the table below: (Dollars in Thousands) Carrying Value at December 31, 2021 Amortization Carrying Value at March 31, 2022 Amortization Period (Years) (1) Trademarks / Trade Names $ 3,800 $ (100) $ 3,700 10 Customer Relationships 12,000 (2,000) 10,000 4 Internally Developed Software 3,600 (200) 3,400 5 Non-Compete Agreements 2,000 (1,000) 1,000 1 Total Identified Intangibles $ 21,400 $ (3,300) $ 18,100 |
Schedule of assets pledged as collateral against derivative contracts | The following table presents the assets pledged as collateral against the Company’s Swap contracts at March 31, 2022 and December 31, 2021: (In Thousands) March 31, December 31, Restricted Cash $ 54,804 $ 14,446 |
Schedule of information about swaps | The following table presents information about the Company’s Swaps at March 31, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 Maturity (1) Notional Weighted Weighted Average Variable Interest Rate (2) Notional Weighted Weighted Average Variable Interest Rate (2) (Dollars in Thousands) Within 30 days to 12 months $ — — % — % $ — — % — % Over 12 months to 24 months 100,000 1.49 0.29 — — — Over 24 months to 36 months 1,000,010 1.09 0.29 450,010 0.90 0.05 Over 36 months to 48 months — — — — — — Over 48 months to 60 months 1,300,000 1.42 0.29 450,000 1.12 0.05 Total Swaps $ 2,400,010 1.29 % 0.29 % $ 900,010 1.01 % 0.05 % (1) Each maturity category reflects contractual amortization and/or maturity of notional amounts. |
Summary of open short positions in TBA securities | The table below summarizes open short positions in TBA securities as of March 31, 2022 and December 31, 2021, which had an aggregate value of $5.8 million and $(1.3) million, respectively, and were included in Other assets/liabilities on the Company’s consolidated balance sheets. March 31, 2022 December 31, 2021 (Dollars in Thousands) Notional Amount Settlement Date Notional Amount Settlement Date TBA Security FNCL 2.5 $ 180,000 April 13, 2022 $ 180,000 January 13, 2022 FNCL 2 $ 130,000 April 13, 2022 $ 130,000 January 13, 2022 |
Financing Agreements (Tables)
Financing Agreements (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Disclosure of Repurchase Agreements [Abstract] | |
Financing agreements | The following tables present the components of the Company’s Financing agreements at March 31, 2022 and December 31, 2021: March 31, 2022 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with mark-to-market collateral provisions $ 1,555,250 $ 1,555,250 $ 1,555,250 Agreements with non-mark-to-market collateral provisions 563,860 563,860 563,860 Securitized debt 1,741,305 1,751,112 1,685,796 Total Financing agreements, at fair value $ 3,860,415 $ 3,870,222 $ 3,804,906 Financing agreements, at carrying value Securitized debt $ 1,178,650 $ 1,173,265 Agreements with mark-to-market collateral provisions 1,386,009 1,385,685 Agreements with non-mark-to-market collateral provisions 438,374 437,548 Convertible senior notes 230,000 226,807 Total Financing agreements, at carrying value $ 3,233,033 $ 3,223,305 Total Financing agreements $ 7,093,448 $ 7,028,211 December 31, 2021 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with mark-to-market collateral provisions $ 1,322,362 $ 1,322,362 $ 1,322,362 Agreements with non-mark-to-market collateral provisions 627,026 627,026 628,280 Securitized debt 1,304,912 1,318,593 1,316,131 Total Financing agreements, at fair value $ 3,254,300 $ 3,267,981 $ 3,266,773 Financing agreements, at carrying value Securitized debt $ 1,340,583 $ 1,334,342 Agreements with mark-to-market collateral provisions 1,240,510 1,239,937 Agreements with non-mark-to-market collateral provisions 311,977 311,260 Convertible senior notes 230,000 226,470 Total Financing agreements, at carrying value $ 3,123,070 $ 3,112,009 Total Financing agreements $ 6,377,370 $ 6,378,782 |
Financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral | The following table presents information with respect to the Company’s financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at March 31, 2022 and December 31, 2021: (Dollars in Thousands) March 31, December 31, Mark-to-market financing agreements secured by residential whole loans $ 2,769,019 $ 2,391,602 Fair value of residential whole loans pledged as collateral under financing agreements $ 3,559,415 $ 3,301,288 Weighted average haircut on residential whole loans (1) 21.15 % 25.27 % Mark-to-market financing agreements secured by securities at fair value $ 159,019 $ 159,148 Securities at fair value pledged as collateral under financing agreements $ 250,171 $ 256,685 Weighted average haircut on securities at fair value (1) 37.01 % 37.00 % Mark-to-market financing agreements secured by real estate owned $ 12,897 $ 11,549 Fair value of real estate owned pledged as collateral under financing agreements $ 35,753 $ 34,606 Weighted average haircut on real estate owned (1) 51.51 % 58.46 % |
Financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral | The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at March 31, 2022 and December 31, 2021: (Dollars in Thousands) March 31, December 31, Non-mark-to-market financing secured by residential whole loans $ 989,612 $ 928,055 Fair value of residential whole loans pledged as collateral under financing agreements $ 1,422,837 $ 1,420,283 Weighted average haircut on residential whole loans 26.88 % 29.98 % Non-mark-to-market financing secured by real estate owned $ 11,796 $ 11,485 Fair value of real estate owned pledged as collateral under financing agreements $ 31,921 $ 29,894 Weighted average haircut on real estate owned 62.36 % 61.28 % |
Schedule of repricing information about borrowings under financing agreements | The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at March 31, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 Amortized Cost Basis Weighted Average Interest Rate Amortized Cost Basis Weighted Average Interest Rate Time Until Interest Rate Reset (Dollars in Thousands) Within 30 days $ 3,629,100 2.57 % $ 3,222,268 2.36 % Over 30 days to 3 months 268,202 2.46 257,444 2.49 Over 3 months to 12 months 46,191 4.36 22,164 4.50 Over 12 months — — — — Total financing agreements $ 3,943,493 2.59 % $ 3,501,876 2.38 % |
Schedule of information about counterparty for financing agreements for which the entity had greater than 5% of stockholders' equity at risk | The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at March 31, 2022: March 31, 2022 Counterparty Rating (1) Amount at Risk (2) Weighted Percent of Counterparty (Dollars in Thousands) Barclays Bank (3) BBB/Aa3/A $ 562,272 1 23.9 % Credit Suisse BBB+/Baa1/A- 301,857 1 12.9 Wells Fargo A+/Aa2/AA- 256,657 1 10.9 (1) As rated at March 31, 2022 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published rating for these entities. (2) The amount at risk reflects the difference between (a) the amount loaned to the Company through financing agreements, including interest payable, and (b) the cash and the fair value of the assets pledged by the Company as collateral, including accrued interest receivable on such assets. (3) Includes amounts at risk with various affiliates of Athene Holding, Ltd., held via participation in a loan syndication administered by Barclays Bank. |
Schedule of company's assets (based on carrying value) pledged as collateral for its various financing arrangements | The following tables present the Company’s assets (based on carrying value) pledged as collateral for its various financing arrangements as of March 31, 2022 and December 31, 2021: March 31, 2022 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 580,181 $ 380,393 $ 1,344,110 $ 2,304,684 Residential whole loans, at fair value 838,789 3,164,378 1,898,120 5,901,287 Securities, at fair value — 250,171 — 250,171 Other assets: REO 27,391 30,681 36,321 94,393 Total $ 1,446,361 $ 3,825,623 $ 3,278,551 $ 8,550,535 December 31, 2021 Financing Agreements (In Thousands) Non-Mark-to-Market (1) Mark-to-Market (1) Securitized Total Assets: Residential whole loans, at carrying value $ 693,982 $ 459,349 $ 1,476,588 $ 2,629,919 Residential whole loans, at fair value 706,377 2,810,865 1,525,114 5,042,356 Securities, at fair value — 256,685 — 256,685 Other assets: REO 25,692 29,374 35,379 90,445 Total $ 1,426,051 $ 3,556,273 $ 3,037,081 $ 8,019,405 |
Other Liabilities (Tables)
Other Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Other Liabilities [Abstract] | |
Other liabilities | The following table presents the components of the Company’s Other liabilities at March 31, 2022 and December 31, 2021: (In Thousands) March 31, 2022 December 31, 2021 Payable for unsettled residential whole loans and Treasury Bills $ 329,706 $ — Dividends and dividend equivalents payable 46,357 47,751 Lease liability 44,825 44,977 Accrued interest payable 16,040 9,621 Accrued expenses and other 110,864 115,709 Total Other Liabilities $ 547,792 $ 218,058 |
Income Taxes (Tables)
Income Taxes (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Schedule of net deferred tax assets | The tax effects of temporary differences that give rise to significant portions of net deferred tax assets (“DTAs”) recorded at the Company’s domestic TRS entities at March 31, 2022 and December 31, 2021 are presented in the following table: (In Thousands) March 31, 2022 December 31, 2021 Deferred tax assets (DTAs): Net operating loss and tax credit carryforwards $ 37,872 $ 35,796 Unrealized mark-to-market, impairments and loss provisions 465 3,753 Other realized / unrealized treatment differences 12,893 12,131 Total deferred tax assets 51,230 51,680 Less: valuation allowance (51,230) (51,680) Net deferred tax assets $ — $ — |
Schedule of income tax provision (benefit) | The following table summarizes the Company’s income tax provision (benefit) primarily recorded at the Company’s domestic TRS entities for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands) March 31, 2022 March 31, 2021 Current provision (benefit) Federal $ 106 $ — State 25 — Total current provision (benefit) 131 — Deferred provision (benefit) Federal 150 — State 50 — Total deferred provision (benefit) 200 — Total provision (benefit) $ 331 $ — |
Schedule of statutory federal tax rate to our effective tax rate | The following is a reconciliation of the statutory federal tax rate to the Company’s effective tax rate at March 31, 2022 and 2021: Three Months Ended March 31, 2022 March 31, 2021 Federal statutory rate 21.0 % 21.0 % Non-taxable REIT income (dividends paid deduction) 3.2 % 2.3 % Other differences in taxable income (loss) from GAAP (24.6) % (23.5) % State and local taxes — % (0.1) % Change in valuation allowance on DTAs 0.1 % 2.0 % Effective tax rate (0.3) % 1.7 % |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Lessee, operating lease, liability, maturity | At March 31, 2022, the contractual minimum rental payments (exclusive of possible rent escalation charges and normal recurring charges for maintenance, insurance and taxes) were as follows: Year Ending December 31, Minimum Rental Payments (In Thousands) 2022 (1) $ 4,085 2023 5,498 2024 5,500 2025 4,659 2026 4,552 Thereafter 49,604 Total $ 73,898 (1) Reflects contractual minimum rental payments due for the period from April 1, 2022 through December 31, 2022. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Stockholders' Equity Note [Abstract] | |
Schedule of preferred stock dividend declaration and payment | The following table presents cash dividends declared by the Company on its Series B Preferred Stock from January 1, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share February 17, 2022 March 1, 2022 March 31, 2022 $0.46875 The following table presents cash dividends declared by the Company on its Series C Preferred Stock from January 1, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share February 17, 2022 March 1, 2022 March 31, 2022 $0.40625 |
Schedule of common stock dividend declaration and payment | The following table presents cash dividends declared by the Company on its common stock from January 1, 2022 through March 31, 2022: Declaration Date Record Date Payment Date Dividend Per Share March 11, 2022 March 22, 2022 April 29, 2022 $0.110 (1) (1) At March 31, 2022, the Company had accrued dividends and dividend equivalents payable of $46.4 million related to the common stock dividend declared on March 11, 2022 The $0.11 per share dividend paid was based on the number of shares held by stockholders at the record date (March 22, 2022) and before giving effect to the Company’s 1-for-4 reverse stock split effected on April 4, 2022) . |
Schedule of changes in balances of each component of the entity's AOCI | The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2022: Three Months Ended (In Thousands) Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 46,833 $ (1,255) $ 45,578 OCI before reclassifications (4,977) 1,255 (3,722) Amounts reclassified from AOCI — — — Net OCI during the period (2) (4,977) 1,255 (3,722) Balance at end of period $ 41,856 $ — $ 41,856 (1) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2021: Three Months Ended (In Thousands) Net Unrealized Net Unrealized Gain/(Loss) on Financing Agreements (1) Total Balance at beginning of period $ 79,607 $ (2,314) $ 77,293 OCI before reclassifications (3,855) 235 (3,620) Amounts reclassified from AOCI — — — Net OCI during the period (2) (3,855) 235 (3,620) Balance at end of period $ 75,752 $ (2,079) $ 73,673 (1) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). |
EPS Calculation (Tables)
EPS Calculation (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Earnings Per Share [Abstract] | |
Schedule of reconciliation of the earnings and shares used in calculating basic and diluted EPS | The following table presents a reconciliation of the (loss)/earnings and shares used in calculating basic and diluted (loss)/earnings per share for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands, Except Per Share Amounts) 2022 2021 Basic (Loss)/Earnings per Share: Net (loss)/income $ (82,906) $ 85,522 Dividends declared on preferred stock (8,219) (8,219) Dividends, dividend equivalents and undistributed earnings allocated to participating securities (141) (274) Net (loss)/income to available common stockholders - basic $ (91,266) $ 77,029 Basic weighted average common shares outstanding 106,568 112,784 Basic (Loss)/Earnings per Share $ (0.86) $ 0.68 Diluted (Loss)/Earnings per Share: Net (loss)/income to available common stockholders - basic $ (91,266) $ 77,029 Interest expense on Convertible Senior Notes — 3,909 Net (loss)/income available to common stockholders - diluted $ (91,266) $ 80,938 Basic weighted average common shares outstanding 106,568 112,784 Effect of assumed conversion of Convertible Senior Notes to common shares — 7,230 Diluted weighted average common shares outstanding (1) 106,568 120,014 Diluted (Loss)/Earnings per Share $ (0.86) $ 0.67 |
Equity Compensation and Other_2
Equity Compensation and Other Benefit Plans (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Compensation Related Costs [Abstract] | |
Schedule of expenses related to equity-based compensation | The following table presents the Company’s expenses related to its equity-based compensation instruments for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 RSUs $ 2,645 $ 1,688 Total $ 2,645 $ 1,688 |
Schedule of expenses related to deferred compensation plans | The following table presents the Company’s expenses related to its Deferred Plans for the three months ended March 31, 2022 and 2021: Three Months Ended (In Thousands) 2022 2021 Non-employee directors $ (278) $ 131 Total $ (278) $ 131 |
Schedule of aggregate income deferred by participants and associated liability under deferred compensation plans | The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through March 31, 2022 and December 31, 2021 that had not been distributed and the Company’s associated liability for such deferrals at March 31, 2022 and December 31, 2021: March 31, 2022 December 31, 2021 (In Thousands) Undistributed Income Deferred (1) Liability Under Deferred Plans Undistributed Income Deferred (1) Liability Under Deferred Plans Non-employee directors $ 2,743 $ 2,628 $ 2,687 $ 2,836 Total $ 2,743 $ 2,628 $ 2,687 $ 2,836 (1) Represents the cumulative amounts that were deferred by participants through March 31, 2022 and December 31, 2021, which had not been distributed through such respective date. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Schedule of fair value measurement inputs and valuation techniques | The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of March 31, 2022 and December 31, 2021, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at March 31, 2022 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 991,633 $ 4,985,682 $ 5,977,315 Securities, at fair value — 250,171 — 250,171 Total assets carried at fair value $ — $ 1,241,804 $ 4,985,682 $ 6,227,486 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ — $ 563,860 $ 563,860 Agreements with mark-to-market collateral provisions — — 1,555,250 1,555,250 Securitized debt — 1,685,796 — 1,685,796 Total liabilities carried at fair value $ — $ 1,685,796 $ 2,119,110 $ 3,804,906 Fair Value at December 31, 2021 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ 1,082,765 $ 4,222,584 $ 5,305,349 Securities, at fair value — 256,685 — 256,685 Total assets carried at fair value $ — $ 1,339,450 $ 4,222,584 $ 5,562,034 Liabilities: Agreements with non-mark-to-market collateral provisions — — 628,280 628,280 Agreements with mark-to-market collateral provisions $ — $ — $ 1,322,362 $ 1,322,362 Securitized debt — 1,316,131 — 1,316,131 Total liabilities carried at fair value $ — $ 1,316,131 $ 1,950,642 $ 3,266,773 The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of March 31, 2022 and December 31, 2021: March 31, 2022 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 653,523 Discounted cash flow Discount rate 5.0 % 2.4 - 9.7% Prepayment rate 11.8 % 0.0 - 40.3% Default rate 3.7 % 0.0 - 52.4% Loss severity 11.8 % 0.0 - 100.0% $ 333,970 Liquidation model Discount rate 7.9 % 6.7 - 50.0% Annual change in home prices 9.6 % 4.8 - 20.6% Liquidation timeline (in years) 1.8 0.1 - 4.5 Current value of underlying properties (3) $ 763 $28 - $4,000 Total $ 987,493 December 31, 2021 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Non-Performing Loans $ 720,766 Discounted cash flow Discount rate 3.6 % 1.5 - 9.8% Prepayment rate 14.4 % 0.0 - 44.0% Default rate 3.9 % 0.0 - 50.8% Loss severity 11.7 % 0.0 - 100.0% $ 351,008 Liquidation model Discount rate 8.0 % 6.7 - 50.0% Annual change in home prices 9.7 % 4.5 - 21.9% Liquidation timeline (in years) 1.7 0.1 - 4.5 Current value of underlying properties (3) $ 770 $10 - $3,995 Total $ 1,071,774 (1) Excludes approximately $301,000 and $496,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at March 31, 2022 and December 31, 2021, respectively. (2) Amounts are weighted based on the fair value of the underlying loan. (3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $434,000 and $421,000 as of March 31, 2022 and December 31, 2021, respectively. March 31, 2022 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Purchased Performing Loans $ 3,956,992 Discounted cash flow Discount rate 5.4 % 3.1-31.6% Prepayment rate 13.3 % 0.0-41.0% Default rate 0.5 % 0.0-14.8% Loss severity 8.1 % 0.0-42.0% $ 12,952 Liquidation model Discount rate 7.0 % 7.0-7.0% Annual change in home prices 10.7 % 0.0-15.5% Liquidation timeline (in years) 1.9 0.8-4.2 Current value of underlying properties $ 1,590 $60-$3,470 Total $ 3,969,944 (1) Amounts are weighted based on the fair value of the underlying loan. |
Schedule of significant unobservable inputs used in fair value measurement of residential whole loans | The following table presents additional information for the three months ended March 31, 2022 and 2021 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis: Residential Whole Loans, at Fair Value Three Months Ended March 31, (In Thousands) 2022 2021 Balance at beginning of period $ 4,222,583 $ 1,216,902 Purchases and originations (1) 1,114,043 — Draws 61,340 — Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings (223,412) 32,088 Repayments (202,084) (25,571) Sales and repurchases (1,547) — Transfer to REO (14,151) (15,422) Balance at end of period $ 4,956,772 $ 1,207,997 (1) Excluded from the table above are approximately $28.9 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2022. The following table presents additional information for the three months ended March 31, 2022 and 2021 about the Company’s financing agreements with non-mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis: Agreements with Non-mark-to-market Collateral Provisions Three Months Ended March 31, (In Thousands) 2022 2021 Balance at beginning of period $ 628,280 $ 1,159,213 Issuances — — Payment of principal (63,165) (117,695) Changes in unrealized losses (1,255) (235) Balance at end of period $ 563,860 $ 1,041,283 The following table presents additional information for the three months ended March 31, 2022 and 2021 about the Company’s financing agreements with mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis: Agreements with Mark-to-market Collateral Provisions Three Months Ended March 31, (In Thousands) 2022 2021 Balance at beginning of period $ 1,322,362 $ 1,124,162 Issuances 469,484 91,997 Payment of principal (236,596) (236,618) Changes in unrealized losses — — Balance at end of period $ 1,555,250 $ 979,541 |
Schedule of carrying value and fair value of financial instruments | The following table presents the carrying values and estimated fair values of the Company’s financial instruments at March 31, 2022 and December 31, 2021: March 31, 2022 March 31, 2022 December 31, 2021 Level in Fair Value Hierarchy Carrying Estimated Fair Value Carrying Estimated Fair Value (In Thousands) Financial Assets: Residential whole loans 3 $ 7,270,272 $ 7,324,320 $ 6,830,235 $ 6,983,686 Residential whole loans 2 991,633 991,633 1,082,765 1,082,765 Securities, at fair value 2 250,171 250,171 256,685 256,685 Cash and cash equivalents 1 410,939 410,939 304,696 304,696 Restricted cash 1 144,600 144,600 99,751 99,751 Financial Liabilities (1) : Financing agreements with non-mark-to-market collateral provisions 3 1,001,408 1,002,234 939,540 940,257 Financing agreements with mark-to-market collateral provisions 3 2,781,916 2,782,240 2,403,151 2,403,724 Financing agreements with mark-to-market collateral provisions 2 159,019 159,019 159,148 159,148 Securitized debt (2) 2 2,859,061 2,811,392 2,650,473 2,646,203 Convertible senior notes 2 226,807 231,758 226,470 239,292 (1) Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. |
Use of Special Purpose Entiti_2
Use of Special Purpose Entities and Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Use of Special Purpose Entities and Variable Interest Entities | |
Summary of key details related to securitization transactions | The following table summarizes the key details of the Company’s loan securitization transactions currently outstanding as of March 31, 2022 and December 31, 2021: (Dollars in Thousands) March 31, 2022 December 31, 2021 Aggregate unpaid principal balance of residential whole loans sold $ 4,554,495 $ 3,984,355 Face amount of Senior Bonds issued by the VIE and purchased by third-party investors $ 4,181,681 $ 3,667,790 Outstanding amount of Senior Bonds, at carrying value $ 1,173,265 (1) $ 1,334,342 (1) Outstanding amount of Senior Bonds, at fair value $ 1,685,796 $ 1,316,131 Outstanding amount of Senior Bonds, total $ 2,859,061 $ 2,650,473 Weighted average fixed rate for Senior Bonds issued 2.41 % (2) 2.01 % (2) Weighted average contractual maturity of Senior Bonds 38 years (2) 36 years (2) Face amount of Senior Support Certificates received by the Company (3) $ 339,975 $ 283,930 Cash received $ 4,193,362 $ 3,682,082 (1) Net of $5.6 million and $6.8 million of deferred financing costs at March 31, 2022 and December 31, 2021, respectively. (2) At March 31, 2022 and December 31, 2021, $707.6 million and $329.0 million, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by either 100 or 300 basis points or more at 36 months from issuance if the bond is not redeemed before such date. (3) Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies - Basis of Presentation and Consolidation (Details) | Apr. 04, 2022 | Mar. 31, 2022segment | Mar. 31, 2021 |
Accounting Policies [Abstract] | |||
Number of reportable segments | 1 | ||
Number of operating segments | 1 | ||
Subsequent Event [Line Items] | |||
Stock split ratio, common stock | 0.25 | 0.25 | |
Subsequent Event | |||
Subsequent Event [Line Items] | |||
Stock split ratio, common stock | 0.25 |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies - Residential Whole Loans (Details) | 3 Months Ended |
Mar. 31, 2022 | |
Accounting Policies [Abstract] | |
Number of days considered to classify loans delinquent | 60 days |
Weighted Average LTV Ratio | 80.00% |
Summary of Significant Accoun_5
Summary of Significant Accounting Policies - Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Accounting Policies [Abstract] | ||
Cash and cash equivalents | $ 410,939 | $ 304,696 |
Overnight money market funds | 320,700 | 215,800 |
Restricted cash | $ 144,600 | $ 99,751 |
Summary of Significant Accoun_6
Summary of Significant Accounting Policies - Goodwill (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Dec. 31, 2021 | Jul. 01, 2021 | |
Business Combination, Separately Recognized Transactions [Line Items] | |||
Goodwill | $ 61,076 | $ 61,076 | |
Intangible assets, net | $ 18,100 | $ 21,400 | |
Minimum | |||
Business Combination, Separately Recognized Transactions [Line Items] | |||
Expected useful lives (in years) | 1 year | ||
Maximum | |||
Business Combination, Separately Recognized Transactions [Line Items] | |||
Expected useful lives (in years) | 10 years | ||
Lima One | |||
Business Combination, Separately Recognized Transactions [Line Items] | |||
Goodwill | $ 61,100 | $ 61,100 |
Summary of Significant Accoun_7
Summary of Significant Accounting Policies - Leases and Depreciation (Details) | 3 Months Ended |
Mar. 31, 2022 | |
Furniture, fixtures, computers and related hardwares | Minimum | |
Estimated useful life of long-lived assets | |
Estimated useful life | 5 years |
Furniture, fixtures, computers and related hardwares | Maximum | |
Estimated useful life of long-lived assets | |
Estimated useful life | 15 years |
Building | |
Estimated useful life of long-lived assets | |
Estimated useful life | 27 years 6 months |
Summary of Significant Accoun_8
Summary of Significant Accounting Policies - Equity Based Compensation (Details) - RSUs | 3 Months Ended |
Mar. 31, 2022 | |
Share based compensation | |
Vesting period of restricted share units (RSUs) | 3 years |
Period for measuring market condition of award | 3 years |
Summary of Significant Accoun_9
Summary of Significant Accounting Policies - Earnings per Common Share (Details) | Mar. 31, 2022 | Jun. 03, 2019 |
6.25% Convertible Senior Notes | Convertible Debt | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Stated interest rate | 6.25% | 6.25% |
Residential Whole Loans - Narra
Residential Whole Loans - Narrative (Details) $ in Millions | 3 Months Ended | ||
Mar. 31, 2022USD ($)loan | Mar. 31, 2021loan | Dec. 31, 2021USD ($) | |
Receivables [Abstract] | |||
Total residential whole loans | $ 8,300 | $ 7,900 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Number of whole loans sold | loan | 0 | 0 | |
Nonperforming | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Financing receivable, nonaccrual | $ 550.8 | 588.1 | |
Purchased Performing Loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Financing receivable, nonaccrual | 221.1 | 240.2 | |
Purchased Credit Deteriorated Loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Financing receivable, nonaccrual | 101.2 | 108.9 | |
Interest Income On Loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Financing receivable, nonaccrual | 4.3 | 3 | |
Without Associated Credit Losses | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Financing receivable, nonaccrual | $ 107.2 | $ 107.4 |
Residential Whole Loans - Resid
Residential Whole Loans - Residential Whole Loans (Details) $ in Thousands | Mar. 31, 2022USD ($)loan | Dec. 31, 2021USD ($)loan |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | $ 2,320,048 | |
Allowance for Credit Losses | (35,457) | $ (39,447) |
Total Residential Whole Loans | $ 8,261,906 | $ 7,913,000 |
Number of loans | loan | 25,212 | 24,095 |
Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Allowance for Credit Losses | $ (35,457) | $ (39,447) |
Total Residential Whole Loans | $ 2,284,591 | $ 2,607,651 |
Number of loans | loan | 8,506 | 9,361 |
Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Allowance for Credit Losses | $ 0 | $ 0 |
Total Residential Whole Loans | $ 5,977,315 | $ 5,305,349 |
Number of loans | loan | 16,706 | 14,734 |
Performing | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | $ 6,791,119 | $ 6,332,405 |
Performing | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 1,801,598 | 2,099,326 |
Performing | Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 4,989,521 | 4,233,079 |
Nonperforming | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 987,794 | 1,072,270 |
Nonperforming | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 0 | 0 |
Nonperforming | Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 987,794 | 1,072,270 |
Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 1,265,731 | |
Non-QM loans | Performing | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 3,657,363 | 3,461,531 |
Non-QM loans | Performing | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 1,265,731 | 1,448,162 |
Non-QM loans | Performing | Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 2,391,632 | 2,013,369 |
Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 154,508 | |
Rehabilitation loans | Performing | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 890,357 | 734,845 |
Rehabilitation loans | Performing | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 154,508 | 217,315 |
Rehabilitation loans | Performing | Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 735,849 | 517,530 |
Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 283,090 | |
Single-family rental loans | Performing | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 1,153,497 | 951,223 |
Single-family rental loans | Performing | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 283,090 | 331,808 |
Single-family rental loans | Performing | Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 870,407 | 619,415 |
Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 98,269 | |
Seasoned performing loans | Performing | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 98,269 | 102,041 |
Seasoned performing loans | Performing | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 98,269 | 102,041 |
Seasoned performing loans | Performing | Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 0 | 0 |
Agency eligible investor loans | Performing | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 991,633 | 1,082,765 |
Agency eligible investor loans | Performing | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 0 | 0 |
Agency eligible investor loans | Performing | Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 991,633 | 1,082,765 |
Purchased Credit Deteriorated Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 518,450 | 547,772 |
Purchased Credit Deteriorated Loans | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | 518,450 | 547,772 |
Purchased Credit Deteriorated Loans | Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans | $ 0 | $ 0 |
Residential Whole Loans - Res_2
Residential Whole Loans - Residential Whole Loans, at Carrying Value Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Weighted Average LTV Ratio | 80.00% | |
Unsettled residential whole loans | $ 28,900 | |
Settled Whole Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Total Purchased Performing Loans | 6,748,331 | $ 6,315,738 |
Unpaid Principal Balance (“UPB”) | $ 6,869,096 | $ 6,189,012 |
Weighted Average Coupon | 5.00% | 5.05% |
Weighted Average Term to Maturity (Months) | 302 months | 307 months |
Settled Whole Loans | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased performing loans | $ 3,621,124 | $ 3,453,242 |
Unpaid Principal Balance (“UPB”) | $ 3,670,937 | $ 3,361,164 |
Weighted Average Coupon | 4.92% | 5.07% |
Weighted Average Term to Maturity (Months) | 356 months | 355 months |
Weighted Average LTV Ratio | 65.00% | 66.00% |
Weighted Average FICO Scores | 733 | 731 |
Settled Whole Loans | Non-QM loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | $ 3,431,011 | $ 3,165,964 |
Settled Whole Loans | Non-QM loans | 30-59 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 119,445 | 77,581 |
Settled Whole Loans | Non-QM loans | 60-89 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 30,355 | 22,864 |
Settled Whole Loans | Non-QM loans | 90 or more | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 90,126 | 94,755 |
Settled Whole Loans | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased performing loans | 885,155 | 727,964 |
Unpaid Principal Balance (“UPB”) | $ 886,942 | $ 731,154 |
Weighted Average Coupon | 7.11% | 7.18% |
Weighted Average Term to Maturity (Months) | 12 months | 11 months |
Weighted Average LTV Ratio | 67.00% | 67.00% |
Weighted Average FICO Scores | 740 | 735 |
Settled Whole Loans | Rehabilitation loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | $ 783,366 | $ 616,733 |
Settled Whole Loans | Rehabilitation loans | 30-59 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 14,118 | 5,834 |
Settled Whole Loans | Rehabilitation loans | 60-89 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 3,178 | 5,553 |
Settled Whole Loans | Rehabilitation loans | 90 or more | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 86,280 | 103,034 |
Settled Whole Loans | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased performing loans | 1,152,195 | 949,772 |
Unpaid Principal Balance (“UPB”) | $ 1,168,778 | $ 924,498 |
Weighted Average Coupon | 5.26% | 5.46% |
Weighted Average Term to Maturity (Months) | 324 months | 329 months |
Weighted Average LTV Ratio | 70.00% | 70.00% |
Weighted Average FICO Scores | 735 | 732 |
Settled Whole Loans | Single-family rental loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | $ 1,133,996 | $ 898,166 |
Settled Whole Loans | Single-family rental loans | 30-59 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 13,436 | 2,150 |
Settled Whole Loans | Single-family rental loans | 60-89 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 547 | 695 |
Settled Whole Loans | Single-family rental loans | 90 or more | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 20,799 | 23,487 |
Settled Whole Loans | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased performing loans | 98,224 | 101,995 |
Unpaid Principal Balance (“UPB”) | $ 107,624 | $ 111,710 |
Weighted Average Coupon | 2.71% | 2.76% |
Weighted Average Term to Maturity (Months) | 159 months | 162 months |
Weighted Average LTV Ratio | 36.00% | 37.00% |
Weighted Average FICO Scores | 722 | 722 |
Settled Whole Loans | Seasoned performing loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | $ 98,569 | $ 102,047 |
Settled Whole Loans | Seasoned performing loans | 30-59 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 634 | 938 |
Settled Whole Loans | Seasoned performing loans | 60-89 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 97 | 481 |
Settled Whole Loans | Seasoned performing loans | 90 or more | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 8,324 | 8,244 |
Settled Whole Loans | Agency eligible investor loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased performing loans | 991,633 | 1,082,765 |
Unpaid Principal Balance (“UPB”) | $ 1,034,815 | $ 1,060,486 |
Weighted Average Coupon | 3.40% | 3.40% |
Weighted Average Term to Maturity (Months) | 351 months | 354 months |
Weighted Average LTV Ratio | 62.00% | 62.00% |
Weighted Average FICO Scores | 767 | 767 |
Settled Whole Loans | Agency eligible investor loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | $ 1,026,214 | $ 1,039,257 |
Settled Whole Loans | Agency eligible investor loans | 30-59 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 7,595 | 21,229 |
Settled Whole Loans | Agency eligible investor loans | 60-89 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 814 | 0 |
Settled Whole Loans | Agency eligible investor loans | 90 or more | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 192 | 0 |
Settled Whole Loans | Purchased Credit Deteriorated Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased Credit Deteriorated Loans | 496,871 | 524,992 |
Unpaid Principal Balance (“UPB”) | $ 610,651 | $ 643,187 |
Weighted Average Coupon | 4.57% | 4.55% |
Weighted Average Term to Maturity (Months) | 280 months | 283 months |
Weighted Average LTV Ratio | 69.00% | 69.00% |
Settled Whole Loans | Purchased Credit Deteriorated Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | $ 428,302 | $ 456,924 |
Settled Whole Loans | Purchased Credit Deteriorated Loans | 30-59 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 51,517 | 50,048 |
Settled Whole Loans | Purchased Credit Deteriorated Loans | 60-89 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 18,942 | 18,736 |
Settled Whole Loans | Purchased Credit Deteriorated Loans | 90 or more | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 111,890 | 117,479 |
Settled Whole Loans | Purchased Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased Credit Deteriorated Loans | 987,794 | 1,072,270 |
Unpaid Principal Balance (“UPB”) | $ 1,017,658 | $ 1,073,544 |
Weighted Average Coupon | 4.89% | 4.87% |
Weighted Average Term to Maturity (Months) | 280 months | 283 months |
Weighted Average LTV Ratio | 73.00% | 73.00% |
Settled Whole Loans | Purchased Non-Performing Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | $ 464,770 | $ 492,481 |
Settled Whole Loans | Purchased Non-Performing Loans | 30-59 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 85,856 | 87,041 |
Settled Whole Loans | Purchased Non-Performing Loans | 60-89 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 40,454 | 40,876 |
Settled Whole Loans | Purchased Non-Performing Loans | 90 or more | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Aging by UPB | 426,578 | 453,146 |
Settled Whole Loans | Residential whole loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased Credit Deteriorated Loans | 8,232,996 | 7,913,000 |
Unpaid Principal Balance (“UPB”) | $ 8,497,405 | $ 7,905,743 |
Weighted Average Coupon | 4.96% | 4.99% |
Weighted Average Term to Maturity (Months) | 298 months | 301 months |
Settled Whole Loans | Certain rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased performing loans | $ 160,500 | $ 137,300 |
Weighted Average LTV Ratio | 74.00% | 71.00% |
Residential Whole Loans - Allow
Residential Whole Loans - Allowance for Credit Losses (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||
Beginning balance | $ 39,447,000 | $ 86,833,000 |
Current provision | (3,467,000) | (22,372,000) |
Write-offs | (523,000) | (1,217,000) |
Ending balance | 35,457,000 | 63,244,000 |
Allowance for loan loss | 35,457,000 | 63,244,000 |
Loans | 2,320,048,000 | |
Non-QM loans | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||
Beginning balance | 8,289,000 | 21,068,000 |
Current provision | (909,000) | (6,523,000) |
Write-offs | (51,000) | 0 |
Ending balance | 7,329,000 | 14,545,000 |
Allowance for loan loss | 7,329,000 | 14,545,000 |
Rehabilitation loans | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||
Beginning balance | 6,881,000 | 18,371,000 |
Current provision | (1,460,000) | (3,700,000) |
Write-offs | (219,000) | (1,003,000) |
Ending balance | 5,202,000 | 13,668,000 |
Allowance for loan loss | 5,202,000 | 13,668,000 |
Loans | 80,200,000 | 149,200,000 |
Single-family rental loans | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||
Beginning balance | 1,451,000 | 3,918,000 |
Current provision | (122,000) | (1,172,000) |
Write-offs | (27,000) | 0 |
Ending balance | 1,302,000 | 2,746,000 |
Allowance for loan loss | 1,302,000 | 2,746,000 |
Seasoned performing loans | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||
Beginning balance | 46,000 | 107,000 |
Current provision | (1,000) | (41,000) |
Write-offs | 0 | 0 |
Ending balance | 45,000 | 66,000 |
Allowance for loan loss | 45,000 | 66,000 |
Purchased Credit Deteriorated Loans | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||
Beginning balance | 22,780,000 | 43,369,000 |
Current provision | (975,000) | (10,936,000) |
Write-offs | (226,000) | (214,000) |
Ending balance | 21,579,000 | 32,219,000 |
Allowance for loan loss | 21,579,000 | 32,219,000 |
Loans | 69,100,000 | 87,700,000 |
Unfunded Loan Commitment | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||
Ending balance | 156,000 | 795,905 |
Commitment to lend, unfunded | 12,900,000 | 54,400,000 |
Allowance for loan loss | $ 156,000 | $ 795,905 |
Residential Whole Loans - Addit
Residential Whole Loans - Additional Credit Related Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | $ 0 | ||
2021 | 76,777 | ||
2020 | 317,399 | ||
2019 | 868,882 | ||
2018 | 390,020 | ||
Prior | 666,970 | ||
Residential whole loans, total or weighted average | 2,320,048 | ||
Gross write-offs, 2019 | 226 | ||
Gross write-offs, 2018 | 71 | ||
Gross write-offs, prior | 226 | ||
Three Months Ended March 31, 2022 Gross write-offs | $ 523 | $ 1,217 | |
Ratio Loan-To-Value | 80.00% | ||
Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | $ 0 | ||
2021 | 74,015 | ||
2020 | 295,689 | ||
2019 | 842,329 | ||
2018 | 374,784 | ||
Prior | 530,216 | ||
Residential whole loans, total or weighted average | 2,117,033 | ||
Debt-to-Value Ratio, 81 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 2,762 | ||
2020 | 21,710 | ||
2019 | 26,553 | ||
2018 | 15,236 | ||
Prior | 136,754 | ||
Residential whole loans, total or weighted average | 203,015 | ||
Non-QM loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 57,984 | ||
2020 | 265,020 | ||
2019 | 593,873 | ||
2018 | 312,961 | ||
Prior | 35,893 | ||
Residential whole loans, total or weighted average | 1,265,731 | ||
Gross write-offs, 2018 | 51 | ||
Three Months Ended March 31, 2022 Gross write-offs | 51 | ||
Non-QM loans | Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 55,222 | ||
2020 | 246,102 | ||
2019 | 584,293 | ||
2018 | 302,545 | ||
Prior | 34,265 | ||
Residential whole loans, total or weighted average | 1,222,427 | ||
Non-QM loans | Debt-to-Value Ratio, 81 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 2,762 | ||
2020 | 18,918 | ||
2019 | 9,580 | ||
2018 | 10,416 | ||
Prior | 1,628 | ||
Residential whole loans, total or weighted average | 43,304 | ||
Non-QM loans | Settled Whole Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Purchased performing loans | $ 3,621,124 | $ 3,453,242 | |
Ratio Loan-To-Value | 65.00% | 66.00% | |
Rehabilitation loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | $ 0 | ||
2021 | 4,046 | ||
2020 | 21,622 | ||
2019 | 104,677 | ||
2018 | 19,407 | ||
Prior | 4,756 | ||
Residential whole loans, total or weighted average | 154,508 | ||
Gross write-offs, 2019 | 199 | ||
Gross write-offs, 2018 | 20 | ||
Three Months Ended March 31, 2022 Gross write-offs | 219 | ||
Rehabilitation loans | Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 4,046 | ||
2020 | 19,342 | ||
2019 | 92,938 | ||
2018 | 14,673 | ||
Prior | 3,057 | ||
Residential whole loans, total or weighted average | 134,056 | ||
Rehabilitation loans | Debt-to-Value Ratio, 81 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 0 | ||
2020 | 2,280 | ||
2019 | 11,739 | ||
2018 | 4,734 | ||
Prior | 1,699 | ||
Residential whole loans, total or weighted average | 20,452 | ||
Rehabilitation loans | Settled Whole Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Purchased performing loans | $ 885,155 | $ 727,964 | |
Ratio Loan-To-Value | 67.00% | 67.00% | |
Single-family rental loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | $ 0 | ||
2021 | 14,747 | ||
2020 | 30,757 | ||
2019 | 170,332 | ||
2018 | 57,652 | ||
Prior | 9,602 | ||
Residential whole loans, total or weighted average | 283,090 | ||
Gross write-offs, 2019 | 27 | ||
Three Months Ended March 31, 2022 Gross write-offs | 27 | ||
Single-family rental loans | Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 14,747 | ||
2020 | 30,245 | ||
2019 | 165,098 | ||
2018 | 57,566 | ||
Prior | 9,602 | ||
Residential whole loans, total or weighted average | 277,258 | ||
Single-family rental loans | Debt-to-Value Ratio, 81 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 0 | ||
2020 | 512 | ||
2019 | 5,234 | ||
2018 | 86 | ||
Prior | 0 | ||
Residential whole loans, total or weighted average | 5,832 | ||
Single-family rental loans | Settled Whole Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Purchased performing loans | $ 1,152,195 | $ 949,772 | |
Ratio Loan-To-Value | 70.00% | 70.00% | |
Seasoned performing loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | $ 0 | ||
2021 | 0 | ||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
Prior | 98,269 | ||
Residential whole loans, total or weighted average | 98,269 | ||
Seasoned performing loans | Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 0 | ||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
Prior | 95,307 | ||
Residential whole loans, total or weighted average | 95,307 | ||
Seasoned performing loans | Debt-to-Value Ratio, 81 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 0 | ||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
Prior | 2,962 | ||
Residential whole loans, total or weighted average | 2,962 | ||
Seasoned performing loans | Settled Whole Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Purchased performing loans | $ 98,224 | $ 101,995 | |
Ratio Loan-To-Value | 36.00% | 37.00% | |
Purchased Credit Deteriorated Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | $ 0 | ||
2021 | 0 | ||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
Prior | 518,450 | ||
Residential whole loans, total or weighted average | 518,450 | $ 547,772 | |
Gross write-offs, prior | 226 | ||
Three Months Ended March 31, 2022 Gross write-offs | 226 | ||
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 0 | ||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
Prior | 387,985 | ||
Residential whole loans, total or weighted average | 387,985 | ||
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, 81 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2022 | 0 | ||
2021 | 0 | ||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
Prior | 130,465 | ||
Residential whole loans, total or weighted average | 130,465 | ||
Certain rehabilitation loans | Settled Whole Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Purchased performing loans | $ 160,500 | $ 137,300 | |
Ratio Loan-To-Value | 74.00% | 71.00% |
Residential Whole Loans - LTV o
Residential Whole Loans - LTV on Loans (Details) - 90 or more $ in Thousands | Mar. 31, 2022USD ($) | Dec. 31, 2021USD ($) |
Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value / Fair Value | $ 206,277 | $ 230,903 |
UPB | 205,721 | 229,520 |
Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value / Fair Value | 721,338 | 781,245 |
UPB | 744,189 | 800,145 |
Fair Value | Nonperforming | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value / Fair Value | 424,871 | 454,443 |
UPB | $ 426,578 | $ 453,146 |
LTV (as a percent) | 0.794 | 0.802 |
Non-QM loans | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value / Fair Value | $ 91,200 | $ 96,473 |
UPB | $ 90,126 | $ 94,755 |
LTV (as a percent) | 0.656 | 0.646 |
Rehabilitation loans | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value / Fair Value | $ 86,272 | $ 103,166 |
UPB | $ 86,280 | $ 103,034 |
LTV (as a percent) | 0.733 | 0.676 |
Single-family rental loans | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value / Fair Value | $ 20,845 | $ 23,524 |
UPB | $ 20,799 | $ 23,487 |
LTV (as a percent) | 0.735 | 0.734 |
Seasoned performing loans | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value / Fair Value | $ 7,780 | $ 7,740 |
UPB | $ 8,324 | $ 8,244 |
LTV (as a percent) | 0.437 | 0.456 |
Agency eligible investor loans | Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value / Fair Value | $ 180 | $ 0 |
UPB | $ 192 | $ 0 |
LTV (as a percent) | 0.737 | 0 |
Purchased Credit Deteriorated Loans | Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value / Fair Value | $ 90,190 | $ 95,899 |
UPB | $ 111,890 | $ 117,479 |
LTV (as a percent) | 0.782 | 0.791 |
Residential Whole Loans (Intere
Residential Whole Loans (Interest Income Components) (Details) - Residential whole loans - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | $ 99,466 | $ 64,538 |
Purchased Credit Deteriorated Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 9,009 | 8,290 |
Performing | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 69,731 | 37,929 |
Performing | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 32,952 | 22,189 |
Performing | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 14,861 | 6,668 |
Performing | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 13,325 | 7,081 |
Performing | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 1,010 | 1,991 |
Performing | Agency eligible investor loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 7,583 | 0 |
Nonperforming | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 20,726 | 18,319 |
Carrying Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 31,420 | 46,219 |
Carrying Value | Purchased Credit Deteriorated Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 9,009 | 8,290 |
Carrying Value | Performing | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 22,411 | 37,929 |
Carrying Value | Performing | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 13,141 | 22,189 |
Carrying Value | Performing | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 3,567 | 6,668 |
Carrying Value | Performing | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 4,693 | 7,081 |
Carrying Value | Performing | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 1,010 | 1,991 |
Carrying Value | Performing | Agency eligible investor loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 0 | 0 |
Carrying Value | Nonperforming | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 0 | 0 |
Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 68,046 | 18,319 |
Fair Value | Purchased Credit Deteriorated Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 0 | 0 |
Fair Value | Performing | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 47,320 | 0 |
Fair Value | Performing | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 19,811 | 0 |
Fair Value | Performing | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 11,294 | 0 |
Fair Value | Performing | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 8,632 | 0 |
Fair Value | Performing | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 0 | 0 |
Fair Value | Performing | Agency eligible investor loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 7,583 | 0 |
Fair Value | Nonperforming | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | $ 20,726 | $ 18,319 |
Residential Whole Loans (Fair V
Residential Whole Loans (Fair Value Components of Net Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Receivables [Abstract] | ||
Net unrealized (losses)/gains | $ (287,935) | $ 32,088 |
Other Income | (440) | (598) |
Total | $ (288,375) | $ 31,490 |
Securities, at Fair Value - Nar
Securities, at Fair Value - Narrative (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Allowance for loan loss | $ 35,457,000 | $ 63,244,000 | $ 39,447,000 | $ 86,833,000 |
Securities, at fair value | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Securities, at fair value | 153,800,000 | 153,800,000 | ||
Amortized costs | 123,300,000 | 121,400,000 | ||
Gross unrealized gains | $ 30,400,000 | $ 32,400,000 | ||
Weighted average yield | 10.22% | 10.30% | ||
Weighted average to maturity | 1 year 4 months 24 days | 1 year 8 months 12 days | ||
CRT, Fair Value Option | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt securities, sold | $ 369,000 | 0 | ||
Realized gain | 13,000 | |||
Gross unrealized losses | 1,380,000 | $ 10,000 | ||
Non-Agency MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Gross unrealized losses | 0 | |||
Allowance for loan loss | $ 0 | $ 0 |
Securities, at Fair Value - Res
Securities, at Fair Value - Residential Mortgage Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | |||
Fair Value | [1] | $ 250,171 | $ 256,685 |
Residential Mortgage Securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | 98,172 | 99,999 | |
Purchase Premiums | 8,722 | 7,466 | |
Accretable Purchase Discounts | (44) | (55) | |
Discount Designated as Credit Reserve | (20,768) | (20,768) | |
Gross Amortized Cost | 86,082 | 86,642 | |
Gross Unrealized Gains | 11,699 | 16,282 | |
Gross Unrealized Losses | (1,381) | (10) | |
Net Unrealized Gain/(Loss) | 10,318 | 16,272 | |
Fair Value | 96,400 | 102,914 | |
CRT, Fair Value Option | |||
Debt Securities, Available-for-sale [Line Items] | |||
Gross Unrealized Gains | 281 | 1,800 | |
Gross Unrealized Losses | (1,380) | (10) | |
Fair Value | $ 64,200 | $ 67,500 | |
[1] | See Note 6 for information regarding the Company’s pledged assets. |
Securities, at Fair Value - Imp
Securities, at Fair Value - Impact of AFS Securities on AOCI (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
AOCI from AFS Securities: | ||
Unrealized gain on AFS securities at beginning of period | $ 46,833 | $ 79,607 |
Unrealized (losses) on securities available-for-sale | (4,977) | (3,855) |
Change in AOCI from AFS securities | (4,977) | (3,855) |
Balance at end of period | 41,856 | 75,752 |
Agency MBS | ||
AOCI from AFS Securities: | ||
Unrealized (losses) on securities available-for-sale | $ (4,977) | $ (3,855) |
Securities, at Fair Value - Int
Securities, at Fair Value - Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | ||
Interest income | $ 5,275 | $ 16,459 |
Residential Mortgage Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon interest | 895 | 1,287 |
Effective yield adjustment | 1,265 | 9,549 |
Interest income | 2,160 | 10,836 |
MSR-related assets | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon interest | 1,157 | 2,405 |
Effective yield adjustment | 1,958 | 3,218 |
Interest income | 3,115 | $ 5,623 |
RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Accretion Income | $ 8,800 |
Other Assets (Details)
Other Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | Jul. 01, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||||
Treasury Bills | $ 299,998 | $ 0 | ||||
REO | 145,568 | 156,223 | $ 220,393 | $ 249,699 | ||
Goodwill | 61,076 | $ 61,076 | ||||
Intangible assets, net | 18,100 | 21,400 | ||||
Capital contributions made to loan origination partners | 70,783 | 71,673 | ||||
Other interest-earning assets | 53,636 | 57,522 | ||||
Interest receivable | 57,090 | 50,191 | ||||
Other loan related receivables | 49,612 | 34,191 | ||||
Lease right-of-use asset | 39,243 | 39,370 | ||||
Other | 62,237 | 73,910 | ||||
Total Other Assets | [1] | $ 857,343 | $ 565,556 | |||
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible Enumeration] | Total Other Assets | Total Other Assets | ||||
Real estate held-for-investment | $ 6,500 | $ 11,300 | ||||
Accumulated amortization | $ 9,900 | $ 6,600 | ||||
Borrowing rate | 7.50% | |||||
[1] | See Note 6 for information regarding the Company’s pledged assets. |
Other Assets - Real Estate Owne
Other Assets - Real Estate Owned (Details) $ in Thousands | Mar. 31, 2022USD ($)property | Dec. 31, 2021USD ($)property | Mar. 31, 2021USD ($)property | Dec. 31, 2020USD ($) |
Real Estate Properties [Line Items] | ||||
Number of real estate owned properties | property | 492 | 553 | 835 | |
Real estate owned | $ 145,568 | $ 156,223 | $ 220,393 | $ 249,699 |
Residential whole loans acquired through foreclosure ordered in lieu | 144,500 | |||
Carrying Value | ||||
Real Estate Properties [Line Items] | ||||
Mortgage loans in process of foreclosure | 76,300 | |||
Estimated Fair Value | ||||
Real Estate Properties [Line Items] | ||||
Mortgage loans in process of foreclosure | $ 330,600 |
Other Assets - Real Estate Ow_2
Other Assets - Real Estate Owned - Activity (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022USD ($)property | Mar. 31, 2021USD ($)property | Dec. 31, 2021property | |
Real Estate Owned [Roll Forward] | |||
Balance at beginning of period | $ 156,223 | $ 249,699 | |
Adjustments to record at lower of cost or fair value | (448) | (874) | |
Transfer from residential whole loans | 22,079 | 20,068 | |
Purchases and capital improvements, net | 353 | 217 | |
Disposals and other | (32,639) | (48,717) | |
Balance at end of period | $ 145,568 | $ 220,393 | |
Number of properties | property | 492 | 835 | 553 |
Gain recorded on transfer from residential whole loans to real estate owned | $ (100) | $ 1,100 | |
Properties sold during period | property | 135 | 177 | |
Proceeds from sale of real estate | $ 41,500 | $ 50,600 | |
Gain on sales of real estate owned | $ 8,700 | $ 2,200 |
Other Assets - Goodwill and Int
Other Assets - Goodwill and Intangible Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | Jul. 01, 2021 |
Business Combination, Separately Recognized Transactions [Line Items] | |||
Goodwill | $ 61,076 | $ 61,076 | |
Lima One | |||
Business Combination, Separately Recognized Transactions [Line Items] | |||
Goodwill | $ 61,100 | 61,100 | |
Finite-lived intangible assets | $ 28,000 |
Other Assets - Finite-Lived Int
Other Assets - Finite-Lived Intangible Assets Amortization Expense (Details) - Lima One - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Dec. 31, 2021 | |
Acquired Finite-Lived Intangible Assets [Line Items] | ||
Finite-Lived Intangibles | $ 18,100 | $ 21,400 |
Amortization | (3,300) | |
Trademarks / Trade Names | ||
Acquired Finite-Lived Intangible Assets [Line Items] | ||
Finite-Lived Intangibles | 3,700 | 3,800 |
Amortization | $ (100) | |
Amortization Period | 10 years | |
Customer Relationships | ||
Acquired Finite-Lived Intangible Assets [Line Items] | ||
Finite-Lived Intangibles | $ 10,000 | 12,000 |
Amortization | $ (2,000) | |
Amortization Period | 4 years | |
Internally Developed Software | ||
Acquired Finite-Lived Intangible Assets [Line Items] | ||
Finite-Lived Intangibles | $ 3,400 | 3,600 |
Amortization | $ (200) | |
Amortization Period | 5 years | |
Non-Compete Agreements | ||
Acquired Finite-Lived Intangible Assets [Line Items] | ||
Finite-Lived Intangibles | $ 1,000 | $ 2,000 |
Amortization | $ (1,000) | |
Amortization Period | 1 year |
Other Assets - Capital Contribu
Other Assets - Capital Contributions Made to Loan Origination Partners (Details) - Loan Originators - USD ($) | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Other Assets [Line Items] | ||
Equity method investments | $ 23,200,000 | |
Impairment (reversal) on investment | 0 | $ 0 |
Preferred Stock | ||
Other Assets [Line Items] | ||
Equity method investments | $ 78,800,000 |
Other Assets - Collateral Pledg
Other Assets - Collateral Pledged Against Derivative Contracts (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Swaps | ||
Derivative [Line Items] | ||
Restricted Cash | $ 54,804 | $ 14,446 |
Other Assets - Derivative Instr
Other Assets - Derivative Instruments Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Derivative [Line Items] | ||
Notional Amount | $ 2,400 | |
Average maturity term of swaps | 46 months | |
Maximum maturity term of swaps | 59 months | |
Swap | Not Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Loss on derivative | $ 75.2 | |
Swap expense, net | $ (5.5) |
Other Assets - Derivative Ins_2
Other Assets - Derivative Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Derivative [Line Items] | ||
Notional Amount | $ 2,400,000 | |
Swaps, at fair value | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,400,010 | $ 900,010 |
Weighted Average Fixed-Pay Interest Rate | 1.29% | 1.01% |
Weighted Average Variable Interest Rate | 0.29% | 0.05% |
Swaps, at fair value | Within 30 days to 12 months | ||
Derivative [Line Items] | ||
Notional Amount | $ 0 | $ 0 |
Weighted Average Fixed-Pay Interest Rate | 0.00% | 0.00% |
Weighted Average Variable Interest Rate | 0.00% | 0.00% |
Swaps, at fair value | Over 12 months to 24 months | ||
Derivative [Line Items] | ||
Notional Amount | $ 100,000 | $ 0 |
Weighted Average Fixed-Pay Interest Rate | 1.49% | 0.00% |
Weighted Average Variable Interest Rate | 0.29% | 0.00% |
Swaps, at fair value | Over 24 months to 36 months | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,000,010 | $ 450,010 |
Weighted Average Fixed-Pay Interest Rate | 1.09% | 0.90% |
Weighted Average Variable Interest Rate | 0.29% | 0.05% |
Swaps, at fair value | Over 36 months to 48 months | ||
Derivative [Line Items] | ||
Notional Amount | $ 0 | $ 0 |
Weighted Average Fixed-Pay Interest Rate | 0.00% | 0.00% |
Weighted Average Variable Interest Rate | 0.00% | 0.00% |
Swaps, at fair value | Over 48 months to 60 months | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,300,000 | $ 450,000 |
Weighted Average Fixed-Pay Interest Rate | 1.42% | 1.12% |
Weighted Average Variable Interest Rate | 0.29% | 0.05% |
Other Assets - TBA Securities (
Other Assets - TBA Securities (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2022 | Dec. 31, 2021 | |
Derivative [Line Items] | ||
Notional Amount | $ 2,400,000,000 | |
TBA Securities | Short | ||
Derivative [Line Items] | ||
Aggregate value | 5,800,000 | $ (1,300,000) |
Gain on derivative | 18,900,000 | |
FNCL 2.5 | Short | ||
Derivative [Line Items] | ||
Notional Amount | 180,000,000 | 180,000,000 |
FNCL 2 | Short | ||
Derivative [Line Items] | ||
Notional Amount | $ 130,000,000 | $ 130,000,000 |
Financing Agreements - Financin
Financing Agreements - Financing Agreements (Details) $ in Thousands | Apr. 04, 2022 | Mar. 31, 2022USD ($) | Mar. 31, 2021 | Dec. 31, 2021USD ($) |
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | $ 7,093,448 | $ 6,377,370 | ||
Fair value / Carrying Value | $ 7,028,211 | 6,378,782 | ||
Stock split ratio, common stock | 0.25 | 0.25 | ||
Subsequent Event | ||||
Financing Agreements [Line Items] | ||||
Stock split ratio, common stock | 0.25 | |||
6.25% Convertible Senior Notes | Convertible Debt | Subsequent Event | ||||
Financing Agreements [Line Items] | ||||
Stock split ratio, common stock | 0.25 | |||
Fair Value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | $ 3,860,415 | 3,254,300 | ||
Amortized Cost Balance | 3,870,222 | 3,267,981 | ||
Fair value / Carrying Value | 3,804,906 | 3,266,773 | ||
Carrying Value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 3,233,033 | 3,123,070 | ||
Fair value / Carrying Value | 3,223,305 | 3,112,009 | ||
Agreements with mark-to-market collateral provisions | Fair Value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 1,555,250 | 627,026 | ||
Amortized Cost Balance | 1,555,250 | 627,026 | ||
Fair value / Carrying Value | 1,555,250 | 628,280 | ||
Agreements with mark-to-market collateral provisions | Carrying Value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 1,386,009 | 1,240,510 | ||
Fair value / Carrying Value | 1,385,685 | 1,239,937 | ||
Financing agreements with non-mark-to-market collateral provisions | Fair Value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 563,860 | 1,322,362 | ||
Amortized Cost Balance | 563,860 | 1,322,362 | ||
Fair value / Carrying Value | 563,860 | 1,322,362 | ||
Financing agreements with non-mark-to-market collateral provisions | Carrying Value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 438,374 | 311,977 | ||
Fair value / Carrying Value | 437,548 | 311,260 | ||
Securitized debt | Fair Value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 1,741,305 | 1,304,912 | ||
Amortized Cost Balance | 1,751,112 | 1,318,593 | ||
Fair value / Carrying Value | 1,685,796 | 1,316,131 | ||
Securitized debt | Carrying Value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 1,178,650 | 1,340,583 | ||
Fair value / Carrying Value | 1,173,265 | 1,334,342 | ||
Convertible senior notes | Carrying Value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 230,000 | 230,000 | ||
Fair value / Carrying Value | $ 226,807 | $ 226,470 |
Financing Agreements - Borrowin
Financing Agreements - Borrowings Under Repurchase Agreement And Associated Assets Pledged as Collateral (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | $ 8,550,535 | $ 8,019,405 |
Mark-to-market financing agreements secured by residential whole loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 2,304,684 | 2,629,919 |
Mark-to-market financing agreements secured by residential whole loans | Fair Value | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 2,769,019 | 2,391,602 |
Fair value of securities pledged as collateral under financing agreements | $ 3,559,415 | $ 3,301,288 |
Weighted average haircut (percent) | 21.15% | 25.27% |
Mark-to-market financing agreements secured by securities at fair value | Fair Value | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 159,019 | $ 159,148 |
Fair value of securities pledged as collateral under financing agreements | $ 250,171 | $ 256,685 |
Weighted average haircut (percent) | 37.01% | 37.00% |
Mark-to-market financing agreements secured by real estate owned | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | $ 94,393 | $ 90,445 |
Mark-to-market financing agreements secured by real estate owned | Fair Value | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 12,897 | 11,549 |
Fair value of securities pledged as collateral under financing agreements | $ 35,753 | $ 34,606 |
Weighted average haircut (percent) | 51.51% | 58.46% |
Non-mark-to-market financing secured by residential whole loans | Fair Value | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 989,612 | $ 928,055 |
Fair value of securities pledged as collateral under financing agreements | $ 1,422,837 | $ 1,420,283 |
Weighted average haircut (percent) | 26.88% | 29.98% |
Non-mark-to-market financing secured by real estate owned | Fair Value | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 11,796 | $ 11,485 |
Fair value of securities pledged as collateral under financing agreements | $ 31,921 | $ 29,894 |
Weighted average haircut (percent) | 62.36% | 61.28% |
Financing Agreements - Borrow_2
Financing Agreements - Borrowings Under Repurchase Agreement (Details) - Repurchase Agreement Borrowings - Fair Value - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | $ 3,943,493 | $ 3,501,876 |
Weighted Average Interest Rate | 2.59% | 2.38% |
Within 30 days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | $ 3,629,100 | $ 3,222,268 |
Weighted Average Interest Rate | 2.57% | 2.36% |
Over 30 days to 3 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | $ 268,202 | $ 257,444 |
Weighted Average Interest Rate | 2.46% | 2.49% |
Over 3 months to 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | $ 46,191 | $ 22,164 |
Weighted Average Interest Rate | 4.36% | 4.50% |
Over 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | $ 0 | $ 0 |
Weighted Average Interest Rate | 0.00% | 0.00% |
Financing Agreements - Financ_2
Financing Agreements - Financing Agreements, at Fair Values Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Dec. 31, 2021 | |
Financing Agreement | ||
Financing Agreements [Line Items] | ||
Cash pledged as collateral | $ 13.2 | $ 10.2 |
Non Mark to Market Financing Facilities | ||
Financing Agreements [Line Items] | ||
Financial instruments | $ 511.6 | |
Minimum | Non Mark to Market Financing Facilities | ||
Financing Agreements [Line Items] | ||
Facility maturity period | 3 months | |
Extension term | 13 months | |
Maximum | Non Mark to Market Financing Facilities | ||
Financing Agreements [Line Items] | ||
Facility maturity period | 42 months | |
Extension term | 39 months |
Financing Agreements - Securiti
Financing Agreements - Securitized Debt (Details) | Mar. 31, 2022 | Dec. 31, 2021 |
Asset-backed Securities, Securitized Loans and Receivables | ||
Debt Instrument [Line Items] | ||
Weighted average interest rate | 2.41% | 2.01% |
Financing Agreements - Converti
Financing Agreements - Convertible Senior Notes (Details) | Jun. 03, 2019USD ($)$ / shares | Mar. 31, 2022 | Apr. 11, 2012 |
6.25% Convertible Senior Notes | Convertible Debt | |||
Debt Instrument [Line Items] | |||
Proceeds from issuance of Series C Preferred Stock | $ 230,000,000 | ||
Proceed from debt net of offering expenses and underwriting discount | $ 223,300,000 | ||
Stated interest rate | 6.25% | 6.25% | |
Conversion ratio | 31.4346 | ||
Debt instrument, face amount | $ 1,000 | ||
Conversion price (in dollars per share) | $ / shares | $ 31.81 | ||
Effective interest rate | 6.94% | ||
Additional Convertible Senior Notes | Convertible Debt | |||
Debt Instrument [Line Items] | |||
Proceeds from issuance of Series C Preferred Stock | $ 30,000,000 | ||
8.00% Senior Notes | Senior Notes | |||
Debt Instrument [Line Items] | |||
Stated interest rate | 8.00% | ||
Effective interest rate | 8.31% |
Financing Agreements - Senior N
Financing Agreements - Senior Notes (Details) - 8.00% Senior Notes - Senior Notes $ in Millions | Apr. 11, 2012USD ($) |
Debt Instrument [Line Items] | |
Proceeds from issuance of debt | $ 100 |
Stated interest rate | 8.00% |
Effective interest rate | 8.31% |
Financing Agreements - Counterp
Financing Agreements - Counterparty for Repurchase Agreement (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022USD ($)counterparty | Dec. 31, 2021counterparty | |
Repurchase agreements counterparty risk | ||
Number of counterparties | counterparty | 14 | 14 |
Threshold of stockholders' equity at risk with single counterparty to financing agreements or linked transactions (greater than) (percent) | 5.00% | |
Barclays Bank | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 562,272 | |
Weighted Average Months to Repricing for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 23.90% | |
Credit Suisse | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 301,857 | |
Weighted Average Months to Repricing for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 12.90% | |
Wells Fargo | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 256,657 | |
Weighted Average Months to Repricing for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 10.90% |
Financing Agreements - Pledged
Financing Agreements - Pledged Collateral (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | $ 8,550,535 | $ 8,019,405 |
Accrued interest on assets | 31,200 | 25,700 |
Non-Mark-to-Market | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 1,446,361 | 1,426,051 |
Mark-to-Market | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 3,825,623 | 3,556,273 |
Securitized | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 3,278,551 | 3,037,081 |
Residential whole loans, at carrying value | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 2,304,684 | 2,629,919 |
Residential whole loans, at carrying value | Non-Mark-to-Market | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 580,181 | 693,982 |
Residential whole loans, at carrying value | Mark-to-Market | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 380,393 | 459,349 |
Residential whole loans, at carrying value | Securitized | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 1,344,110 | 1,476,588 |
Residential whole loans, at fair value | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 5,901,287 | 5,042,356 |
Residential whole loans, at fair value | Non-Mark-to-Market | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 838,789 | 706,377 |
Residential whole loans, at fair value | Mark-to-Market | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 3,164,378 | 2,810,865 |
Residential whole loans, at fair value | Securitized | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 1,898,120 | 1,525,114 |
Securities, at fair value | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 250,171 | 256,685 |
Securities, at fair value | Non-Mark-to-Market | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 0 | 0 |
Securities, at fair value | Mark-to-Market | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 250,171 | 256,685 |
Securities, at fair value | Securitized | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 0 | 0 |
Other assets: REO | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 94,393 | 90,445 |
Other assets: REO | Non-Mark-to-Market | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 27,391 | 25,692 |
Other assets: REO | Mark-to-Market | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | 30,681 | 29,374 |
Other assets: REO | Securitized | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged as collateral under financing agreements | $ 36,321 | $ 35,379 |
Other Liabilities (Details)
Other Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Other Liabilities [Abstract] | ||
Payable for unsettled residential whole loans and Treasury Bills | $ 329,706 | $ 0 |
Dividends and dividend equivalents payable | 46,357 | 47,751 |
Lease liability | 44,825 | 44,977 |
Accrued interest payable | 16,040 | 9,621 |
Accrued expenses and other | 110,864 | 115,709 |
Total Other Liabilities | $ 547,792 | $ 218,058 |
Operating Lease, Liability, Statement of Financial Position [Extensible Enumeration] | Total Other Liabilities | Total Other Liabilities |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) $ in Millions | Mar. 31, 2022USD ($) |
Income Tax Disclosure [Abstract] | |
Percentage of REIT taxable income that is the Company's objective to distribute within the permitted timeframe | 100.00% |
Federal net operating loss carryforward | $ 150.4 |
Income Taxes - Net Deferred Tax
Income Taxes - Net Deferred Tax Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Deferred tax assets (DTAs): | ||
Net operating loss and tax credit carryforwards | $ 37,872 | $ 35,796 |
Unrealized mark-to-market, impairments and loss provisions | 465 | 3,753 |
Other realized / unrealized treatment differences | 12,893 | 12,131 |
Total deferred tax assets | 51,230 | 51,680 |
Less: valuation allowance | (51,230) | (51,680) |
Net deferred tax assets | $ 0 | $ 0 |
Income Taxes - Income Tax Provi
Income Taxes - Income Tax Provision (Benefit) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Current provision (benefit) | ||
Federal | $ 106 | $ 0 |
State | 25 | 0 |
Total current provision (benefit) | 131 | 0 |
Deferred provision (benefit) | ||
Federal | 150 | 0 |
State | 50 | 0 |
Total deferred provision (benefit) | 200 | 0 |
Total provision (benefit) | $ 331 | $ 0 |
Income Taxes - Statutory Federa
Income Taxes - Statutory Federal Tax Rate to our Effective Tax Rate (Details) | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Income Tax Disclosure [Abstract] | ||
Federal statutory rate | 21.00% | 21.00% |
Non-taxable REIT income (dividends paid deduction) | 3.20% | 2.30% |
Other differences in taxable income (loss) from GAAP | (24.60%) | (23.50%) |
State and local taxes | 0.00% | (0.10%) |
Change in valuation allowance on DTAs | 0.10% | 2.00% |
Effective tax rate | (0.30%) | 1.70% |
Commitments and Contingencies_2
Commitments and Contingencies (Minimum Payments) (Details) $ in Thousands | Mar. 31, 2022USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2022 | $ 4,085 |
2023 | 5,498 |
2024 | 5,500 |
2025 | 4,659 |
2026 | 4,552 |
Thereafter | 49,604 |
Total | $ 73,898 |
Commitments and Contingencies -
Commitments and Contingencies - Lease Commitments (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2022USD ($) | |
Corporate headquarters | |
Lease Commitments | |
Lease cost | $ 1.1 |
New Corporate Headquarters Location | |
Lease Commitments | |
Lease term | 15 years |
Renewal term | 5 years |
Commitments and Contingencies_3
Commitments and Contingencies - Rehabilitation Loan Commitments (Details) $ in Millions | Mar. 31, 2022USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Unfunded commitment for rehabilitation loans | $ 355 |
Commitments and Contingencies_4
Commitments and Contingencies - Residential Whole Loan Purchase Commitments (Details) $ in Millions | Mar. 31, 2022USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Estimated purchase price | $ 29.7 |
Unsettled residential whole loans | $ 28.9 |
Stockholders' Equity - Series B
Stockholders' Equity - Series B (Details) - Series B Preferred Stock shares in Thousands | Apr. 15, 2013$ / sharesshares | Mar. 31, 2022quarterdirector$ / sharesshares | Mar. 31, 2021$ / shares | Dec. 31, 2021$ / sharesshares |
Class of Stock [Line Items] | ||||
Preferred Stock, dividend rate | 7.50% | 7.50% | ||
Preferred stock, shares issued (in shares) | shares | 8,000 | 8,000 | ||
Preferred stock par value (in dollars per share) | $ 0.01 | $ 0.01 | ||
Percentage required for making material changes | 66.67% | |||
Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred Stock, dividend rate | 7.50% | 7.50% | 7.50% | |
Preferred stock, shares issued (in shares) | shares | 8,000 | |||
Preferred stock par value (in dollars per share) | $ 0.01 | |||
Preferred stock, liquidation preference (in dollars per share) | 25 | $ 25 | $ 25 | |
Preferred stock, redemption price (in dollars per share) | $ 25 | |||
Maximum quarters without dividends to get voting rights, in quarters | quarter | 6 | |||
Number of additional directors that can be elected by preferred stock holders | director | 2 |
Stockholders' Equity - Series C
Stockholders' Equity - Series C (Details) - Series C Preferred Stock $ / shares in Units, $ in Millions | Mar. 02, 2020USD ($) | Feb. 28, 2020quarterdirector$ / sharesshares | Mar. 31, 2022$ / sharesshares | Mar. 31, 2021$ / shares | Dec. 31, 2021$ / sharesshares |
Class of Stock [Line Items] | |||||
Preferred Stock, dividend rate | 6.50% | 6.50% | |||
Preferred stock, shares issued (in shares) | shares | 11,000,000 | 11,000,000 | |||
Preferred stock par value (in dollars per share) | $ 0.01 | $ 0.01 | |||
Percentage required for making material changes | 66.67% | ||||
Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred Stock, dividend rate | 6.50% | 6.50% | 6.50% | ||
Shares reclassified to redeemable capital stock (in shares) | shares | 12,650,000 | ||||
Preferred stock, shares issued (in shares) | shares | 11,000,000 | ||||
Preferred stock par value (in dollars per share) | $ 0.01 | ||||
Preferred stock, liquidation preference (in dollars per share) | 25 | $ 25 | $ 25 | ||
Proceeds from issuance of series C preferred stock | $ | $ 266 | ||||
Preferred stock, redemption price (in dollars per share) | $ 25 | ||||
Maximum quarters without dividends to get voting rights, in quarters | quarter | 6 | ||||
Number of additional directors that can be elected by preferred stock holders | director | 2 | ||||
Preferred Stock | LIBOR | |||||
Class of Stock [Line Items] | |||||
Debt instrument, basis spread on variable rate | 5.345% |
Stockholders' Equity - Dividend
Stockholders' Equity - Dividends on Series C (Details) - $ / shares | Feb. 17, 2022 | Mar. 31, 2022 | Mar. 31, 2021 |
Series B Preferred Stock | |||
Class of Stock [Line Items] | |||
Dividend declared per share, preferred stock (in dollars per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 |
Series C Preferred Stock | |||
Class of Stock [Line Items] | |||
Dividend declared per share, preferred stock (in dollars per share) | $ 0.40625 | $ 0.40625 | $ 0.40625 |
Stockholders' Equity - Divide_2
Stockholders' Equity - Dividends on Common Stock (Details) $ / shares in Units, $ in Thousands | Apr. 04, 2022 | Mar. 11, 2022$ / shares | Mar. 31, 2022USD ($)$ / shares | Mar. 31, 2021USD ($)$ / shares |
Class of Stock [Line Items] | ||||
Common stock, cash dividends declared (in dollars per share) | $ / shares | $ 0.110 | $ 0.110 | $ 0.075 | |
Dividends and dividend equivalents declared and unpaid | $ | $ 46,357 | $ 33,640 | ||
Stock split ratio, common stock | 0.25 | 0.25 | ||
Subsequent Event | ||||
Class of Stock [Line Items] | ||||
Stock split ratio, common stock | 0.25 |
Stockholders' Equity - DRSPP (D
Stockholders' Equity - DRSPP (Details) - USD ($) $ in Thousands | 3 Months Ended | 223 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | Oct. 15, 2019 | |
Class of Stock [Line Items] | ||||
Common stock, shares authorized (in shares) | 874,300,000 | 874,300,000 | 874,300,000 | |
DRSPP | ||||
Class of Stock [Line Items] | ||||
Common stock, shares authorized (in shares) | 2,250,000 | |||
Shares of common stock authorized and available for issuance (in shares) | 2,000,000 | 2,000,000 | ||
Common shares issued through DRSPP (in shares) | 32,460 | 8,793,986 | ||
Value of shares issued net of expenses | $ 594 | $ 290,100 |
Stockholders' Equity - At-the-M
Stockholders' Equity - At-the-Market (Details) - At The Market - USD ($) $ in Millions | Aug. 16, 2019 | Mar. 31, 2022 |
Class of Stock [Line Items] | ||
Distribution agreement term | 3 years | |
At-the-market, maximum potential proceeds | $ 400 | |
Sales commission of gross sales price | 2.00% | |
Number of shares issued (in shares) | 0 | |
Value remaining outstanding for future offerings | $ 390 |
Stockholders' Equity - Stock Re
Stockholders' Equity - Stock Repurchase Program (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2022 | Mar. 31, 2021 | Mar. 11, 2022 | Nov. 02, 2021 | |
Stockholders' Equity Note [Abstract] | ||||
Stock repurchase program, authorized amount | $ 250,000,000 | $ 250,000,000 | ||
Number of shares authorized to be repurchased under the Repurchase Program (in shares) | 250,000,000 | |||
Shares repurchased and retired (in shares) | 3,195,769 | 1,486,670 | ||
Average cost per share (in dollars per share) | $ 17.15 | $ 16.37 | ||
Cost for shares repurchased | $ 54,700,000 | $ 24,300,000 | ||
Payments for fees and commissions paid to the sales agent | $ 128,000 | $ 59,000 |
Stockholders' Equity - Accumula
Stockholders' Equity - Accumulated Other Comprehensive Income/(Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Components of accumulated other comprehensive income/(loss) | ||
Beginning balance | $ 2,542,848 | $ 2,524,802 |
OCI before reclassifications | (3,722) | (3,620) |
Amounts reclassified from AOCI | 0 | 0 |
Other Comprehensive (Loss) | (3,722) | (3,620) |
Ending balance | 2,348,955 | 2,542,266 |
Total AOCI | ||
Components of accumulated other comprehensive income/(loss) | ||
Beginning balance | 45,578 | 77,293 |
Ending balance | 41,856 | 73,673 |
Net Unrealized Gain/(Loss) on AFS Securities | ||
Components of accumulated other comprehensive income/(loss) | ||
Beginning balance | 46,833 | 79,607 |
OCI before reclassifications | (4,977) | (3,855) |
Amounts reclassified from AOCI | 0 | 0 |
Other Comprehensive (Loss) | (4,977) | (3,855) |
Ending balance | 41,856 | 75,752 |
Net Unrealized Gain/(Loss) on Financing Agreements | ||
Components of accumulated other comprehensive income/(loss) | ||
Beginning balance | (1,255) | (2,314) |
OCI before reclassifications | 1,255 | 235 |
Amounts reclassified from AOCI | 0 | 0 |
Other Comprehensive (Loss) | 1,255 | 235 |
Ending balance | $ 0 | $ (2,079) |
EPS Calculation (Details)
EPS Calculation (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Basic (Loss)/Earnings per Share: | ||
Net (loss)/income | $ (82,906) | $ 85,522 |
Dividends declared on preferred stock | (8,219) | (8,219) |
Dividends, dividend equivalents and undistributed earnings allocated to participating securities | (141) | (274) |
Net (loss)/income to available common stockholders - basic | $ (91,266) | $ 77,029 |
Basic weighted average common shares outstanding (in shares) | 106,568 | 112,784 |
Basic (Loss)/Earnings per Share (in dollars per share) | $ (0.86) | $ 0.68 |
Diluted (Loss)/Earnings per Share: | ||
Net (loss)/income to available common stockholders - basic | $ (91,266) | $ 77,029 |
Interest expense on Convertible Senior Notes | 0 | 3,909 |
Net (loss)/income available to common stockholders - diluted | $ (91,266) | $ 80,938 |
Basic weighted average common shares outstanding (in shares) | 106,568 | 112,784 |
Effect of assumed Convertible Senior Notes conversion to common shares (in shares) | 0 | 7,230 |
Diluted weighted average common shares outstanding (in shares) | 106,568 | 120,014 |
Diluted (Loss)/Earnings per Common Share (in dollars per share) | $ (0.86) | $ 0.67 |
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares) | 2,100 | |
RSUs | ||
Diluted (Loss)/Earnings per Share: | ||
Weighted average grant date fair value (in dollars per share) | $ 16 |
Equity Compensation and Other_3
Equity Compensation and Other Benefit Plans - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Share based compensation | |||
Maximum shares authorized for grant | 4,500,000 | ||
Shares available for grant (in shares) | 2,100,000 | ||
RSUs | |||
Share based compensation | |||
Granted (in shares) | 603,485 | 621,281 | |
Forfeitures (in shares) | 0 | 0 | |
Unrecognized compensation cost | $ 19,800 | $ 12,300 | |
Period for recognizing unrecognized compensation cost | 2 years 1 month 6 days | ||
Restricted shares of common stock | |||
Share based compensation | |||
Granted (in shares) | 0 | ||
Share-based awards outstanding (in shares) | 0 | ||
Dividend Equivalent Rights | |||
Share based compensation | |||
Share-based awards outstanding (in shares) | 0 | 0 | |
Equivalent rights payment | $ 170 | $ 137 | |
Equity Compensation Plan | |||
Share based compensation | |||
Maximum number of common shares that can be granted to participant in any one year | 500,000 | ||
Period during which a participant can be awarded the maximum number of shares allowable under the Plan | 1 year | ||
Maximum percentage of common shares that can be owned or deemed to be owned by a participant (more than) | 9.80% |
Equity Compensation and Other_4
Equity Compensation and Other Benefit Plans - Allocated Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Share based compensation | ||
Allocated expense | $ 2,645 | $ 1,688 |
RSUs | ||
Share based compensation | ||
Allocated expense | $ 2,645 | $ 1,688 |
Equity Compensation and Other_5
Equity Compensation and Other Benefit Plans - Deferred Compensation Plans (Details) - Deferred Compensation Plans - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Deferred Compensation Activity | |||
Deferrable compensation by the employee, maximum | 100.00% | ||
Non-employee directors | $ (278) | $ 131 | |
Undistributed Income Deferred | 2,743 | $ 2,687 | |
Liability Under Deferred Plans | 2,628 | 2,836 | |
Non-employee directors | |||
Deferred Compensation Activity | |||
Non-employee directors | (278) | $ 131 | |
Undistributed Income Deferred | 2,743 | 2,687 | |
Liability Under Deferred Plans | $ 2,628 | $ 2,836 |
Equity Compensation and Other_6
Equity Compensation and Other Benefit Plans - Savings Plan (Details) - Savings Plan - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Share based compensation | ||
Employer contribution percentage on first 3 percent of eligible compensation deferred by employees (percent) | 100.00% | |
Percentage of eligible compensation deferred by employees qualifying for 100 percent matching contribution (percent) | 3.00% | |
Employer contribution percentage on next 2 percent of eligible compensation deferred by employees (percent) | 50.00% | |
Percentage of eligible compensation deferred by employees qualifying for 50 percent matching contribution (percent) | 2.00% | |
Percentage of employer matching contributions that vest immediately (percent) | 100.00% | |
Expenses for matching contributions | $ 316 | $ 125 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Value Hierarchy (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Dec. 31, 2021 | |
Assets: | ||
Total assets carried at fair value | $ 6,227,486 | $ 5,562,034 |
Liabilities: | ||
Securitized debt | 1,685,796 | 1,316,131 |
Residential whole loans, at fair value | ||
Assets: | ||
Residential whole loans, at fair value | 5,977,315 | 5,305,349 |
Liabilities: | ||
Total liabilities carried at fair value | 3,804,906 | 3,266,773 |
Securities, at fair value | ||
Assets: | ||
Securities, at fair value | 250,171 | 256,685 |
Agreements with Non-mark-to-market Collateral Provisions | ||
Liabilities: | ||
Liabilities carried at fair value | 563,860 | 1,322,362 |
Agreements with Mark-to-market Collateral Provisions | ||
Liabilities: | ||
Liabilities carried at fair value | 1,555,250 | 628,280 |
Level 1 | ||
Assets: | ||
Total assets carried at fair value | 0 | 0 |
Liabilities: | ||
Securitized debt | 0 | 0 |
Level 1 | Residential whole loans, at fair value | ||
Assets: | ||
Residential whole loans, at fair value | 0 | 0 |
Liabilities: | ||
Total liabilities carried at fair value | 0 | 0 |
Level 1 | Securities, at fair value | ||
Assets: | ||
Securities, at fair value | 0 | 0 |
Level 1 | Agreements with Non-mark-to-market Collateral Provisions | ||
Liabilities: | ||
Liabilities carried at fair value | 0 | 0 |
Level 1 | Agreements with Mark-to-market Collateral Provisions | ||
Liabilities: | ||
Liabilities carried at fair value | 0 | 0 |
Level 2 | ||
Assets: | ||
Total assets carried at fair value | 1,241,804 | 1,339,450 |
Liabilities: | ||
Securitized debt | 1,685,796 | 1,316,131 |
Transfer to Level 2 | 598,700 | |
Level 2 | Residential whole loans, at fair value | ||
Assets: | ||
Residential whole loans, at fair value | 991,633 | 1,082,765 |
Liabilities: | ||
Total liabilities carried at fair value | 1,685,796 | 1,316,131 |
Level 2 | Securities, at fair value | ||
Assets: | ||
Securities, at fair value | 250,171 | 256,685 |
Level 2 | Agreements with Non-mark-to-market Collateral Provisions | ||
Liabilities: | ||
Liabilities carried at fair value | 0 | 0 |
Level 2 | Agreements with Mark-to-market Collateral Provisions | ||
Liabilities: | ||
Liabilities carried at fair value | 0 | 0 |
Level 3 | ||
Assets: | ||
Total assets carried at fair value | 4,985,682 | 4,222,584 |
Liabilities: | ||
Securitized debt | 0 | 0 |
Level 3 | Residential whole loans, at fair value | ||
Assets: | ||
Residential whole loans, at fair value | 4,985,682 | 4,222,584 |
Liabilities: | ||
Total liabilities carried at fair value | 2,119,110 | 1,950,642 |
Level 3 | Securities, at fair value | ||
Assets: | ||
Securities, at fair value | 0 | 0 |
Level 3 | Agreements with Non-mark-to-market Collateral Provisions | ||
Liabilities: | ||
Liabilities carried at fair value | 563,860 | 1,322,362 |
Level 3 | Agreements with Mark-to-market Collateral Provisions | ||
Liabilities: | ||
Liabilities carried at fair value | $ 1,555,250 | $ 628,280 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Level 3 Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Unsettled residential whole loans | $ 28,900 | |
Recurring basis | Level 3 | Residential whole loans, at fair value | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of period | 4,222,583 | $ 1,216,902 |
Purchases and originations | 1,114,043 | 0 |
Draws | 61,340 | 0 |
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings | (223,412) | 32,088 |
Repayments | (202,084) | (25,571) |
Sales and repurchases | (1,547) | 0 |
Transfer to REO | (14,151) | (15,422) |
Balance at end of period | $ 4,956,772 | $ 1,207,997 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Level 3 Liabilities (Details) - Level 3 - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Agreements with Non-mark-to-market Collateral Provisions | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of period | $ 628,280 | $ 1,159,213 |
Issuances | 0 | 0 |
Payment of principal | (63,165) | (117,695) |
Changes in unrealized losses | (1,255) | (235) |
Balance at end of period | 563,860 | 1,041,283 |
Agreements with Mark-to-market Collateral Provisions | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of period | 1,322,362 | 1,124,162 |
Issuances | 469,484 | 91,997 |
Payment of principal | (236,596) | (236,618) |
Changes in unrealized losses | 0 | 0 |
Balance at end of period | $ 1,555,250 | $ 979,541 |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Fair Value Methodology (Details) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022USD ($) | Dec. 31, 2021USD ($) | |
Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Purchased loans | $ 987,493 | $ 1,071,774 |
Purchases excluded from level 2 fair value | 301 | 496 |
Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Purchased loans | 3,969,944 | |
Discounted cash flow | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Purchased loans | 653,523 | 720,766 |
Discounted cash flow | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Purchased loans | 3,956,992 | |
Liquidation model | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Purchased loans | 333,970 | 351,008 |
Simple average amount | 434 | $ 421 |
Liquidation model | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Purchased loans | $ 12,952 | |
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value inputs, annual change in home prices | 4.80% | 4.50% |
Liquidation timeline (in years) | 1 month 6 days | 1 month 6 days |
Fair value inputs, value of underlying property | $ 28 | $ 10 |
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value inputs, annual change in home prices | 0.00% | |
Liquidation timeline (in years) | 9 months 18 days | |
Fair value inputs, value of underlying property | $ 60 | |
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value inputs, annual change in home prices | 20.60% | 21.90% |
Liquidation timeline (in years) | 4 years 6 months | 4 years 6 months |
Fair value inputs, value of underlying property | $ 4,000 | $ 3,995 |
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value inputs, annual change in home prices | 15.50% | |
Liquidation timeline (in years) | 4 years 2 months 12 days | |
Fair value inputs, value of underlying property | $ 3,470 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.024 | 0.015 |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.031 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.097 | 0.098 |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.316 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.050 | 0.036 |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.054 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.067 | 0.067 |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.070 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.500 | 0.500 |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.070 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.079 | 0.080 |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.070 | |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0 | 0 |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0 | |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.403 | 0.440 |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.410 | |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.118 | 0.144 |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.133 | |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value inputs, annual change in home prices | 9.60% | 9.70% |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value inputs, annual change in home prices | 10.70% | |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0 | 0 |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0 | |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.524 | 0.508 |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.148 | |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.037 | 0.039 |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.005 | |
Default rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liquidation timeline (in years) | 1 year 9 months 18 days | 1 year 8 months 12 days |
Default rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liquidation timeline (in years) | 1 year 10 months 24 days | |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0 | 0 |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0 | |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 1 | 1 |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.420 | |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.118 | 0.117 |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.081 | |
Loss severity | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value inputs, value of underlying property | $ 763 | $ 770 |
Loss severity | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value inputs, value of underlying property | $ 1,590 |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Carrying Value vs Fair Value (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | |
Financial Assets: | |||
Securities, at fair value | [1] | $ 250,171 | $ 256,685 |
Restricted cash | 144,600 | 99,751 | |
Carrying Value | Level 1 | |||
Financial Assets: | |||
Cash and cash equivalents | 410,939 | 304,696 | |
Restricted cash | 144,600 | 99,751 | |
Carrying Value | Level 2 | |||
Financial Assets: | |||
Securities, at fair value | 250,171 | 256,685 | |
Financial Liabilities: | |||
Securitized debt | 2,859,061 | 2,650,473 | |
Convertible senior notes | 226,807 | 226,470 | |
Estimated Fair Value | Level 1 | |||
Financial Assets: | |||
Cash and cash equivalents | 410,939 | 304,696 | |
Restricted cash | 144,600 | 99,751 | |
Estimated Fair Value | Level 2 | |||
Financial Assets: | |||
Securities, at fair value | 250,171 | 256,685 | |
Financial Liabilities: | |||
Securitized debt | 2,811,392 | 2,646,203 | |
Convertible senior notes | 231,758 | 239,292 | |
Residential whole loans, at fair value | Carrying Value | Level 2 | |||
Financial Assets: | |||
Residential whole loans | 991,633 | 1,082,765 | |
Residential whole loans, at fair value | Carrying Value | Level 3 | |||
Financial Assets: | |||
Residential whole loans | 7,270,272 | 6,830,235 | |
Residential whole loans, at fair value | Estimated Fair Value | Level 2 | |||
Financial Assets: | |||
Residential whole loans | 991,633 | 1,082,765 | |
Residential whole loans, at fair value | Estimated Fair Value | Level 3 | |||
Financial Assets: | |||
Residential whole loans | 7,324,320 | 6,983,686 | |
Financing agreements with non-mark-to-market collateral provisions | Carrying Value | Level 3 | |||
Financial Liabilities: | |||
Financing agreements with mark-to-market collateral provisions | 1,001,408 | 939,540 | |
Financing agreements with non-mark-to-market collateral provisions | Estimated Fair Value | Level 3 | |||
Financial Liabilities: | |||
Financing agreements with mark-to-market collateral provisions | 1,002,234 | 940,257 | |
Agreements with mark-to-market collateral provisions | Carrying Value | Level 3 | |||
Financial Liabilities: | |||
Financing agreements with mark-to-market collateral provisions | 2,781,916 | 2,403,151 | |
Agreements with mark-to-market collateral provisions | Estimated Fair Value | Level 3 | |||
Financial Liabilities: | |||
Financing agreements with mark-to-market collateral provisions | 2,782,240 | 2,403,724 | |
Financing agreements with mark-to-market collateral provisions | Carrying Value | Level 2 | |||
Financial Liabilities: | |||
Financing agreements with mark-to-market collateral provisions | 159,019 | 159,148 | |
Financing agreements with mark-to-market collateral provisions | Estimated Fair Value | Level 2 | |||
Financial Liabilities: | |||
Financing agreements with mark-to-market collateral provisions | $ 159,019 | $ 159,148 | |
[1] | See Note 6 for information regarding the Company’s pledged assets. |
Fair Value of Financial Instr_8
Fair Value of Financial Instruments - Assets Measured at Fair Value on a Nonrecurring Basis (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Mar. 31, 2021 |
Fair Value Disclosures [Abstract] | ||
Other real estate, fair value | $ 22.1 | $ 20.1 |
Use of Special Purpose Entiti_3
Use of Special Purpose Entities and Variable Interest Entities - Loan Securitization Transaction (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Asset-backed Securities, Securitized Loans and Receivables | ||
Variable Interest Entity [Line Items] | ||
Aggregate unpaid principal balance of residential whole loans sold | $ 4,554,495 | $ 3,984,355 |
Outstanding amount of Senior Bonds, at carrying value | 1,173,265 | 1,334,342 |
Outstanding amount of Senior Bonds, at fair value | 1,685,796 | 1,316,131 |
Outstanding amount of Senior Bonds, total | $ 2,859,061 | $ 2,650,473 |
Weighted average interest rate | 2.41% | 2.01% |
Weighted average contractual maturity of Senior Bonds | 38 years | 36 years |
Cash received | $ 4,193,362 | $ 3,682,082 |
Debt issuance cost | 5,600 | 6,800 |
Senior Notes | ||
Variable Interest Entity [Line Items] | ||
Cash received | 513,900 | |
Senior Notes | Asset-backed Securities, Securitized Loans and Receivables | ||
Variable Interest Entity [Line Items] | ||
Debt instrument, face amount | 4,181,681 | 3,667,790 |
Proceeds from Senior bond sold with Step up feature | $ 707,600 | 329,000 |
Debt instrument, coupon step-up period | 36 months | |
Senior Notes | Asset-backed Securities, Securitized Loans and Receivables | Minimum | ||
Variable Interest Entity [Line Items] | ||
Debt instrument, basis spread on variable rate | 1.00% | |
Senior Notes | Asset-backed Securities, Securitized Loans and Receivables | Maximum | ||
Variable Interest Entity [Line Items] | ||
Debt instrument, basis spread on variable rate | 3.00% | |
Senior Support Certificates | Asset-backed Securities, Securitized Loans and Receivables | ||
Variable Interest Entity [Line Items] | ||
Debt instrument, face amount | $ 339,975 | $ 283,930 |
Use of Special Purpose Entiti_4
Use of Special Purpose Entities and Variable Interest Entities - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Variable Interest Entity [Line Items] | ||
Total residential whole loans | $ 8,300,000 | $ 7,900,000 |
Asset-backed Securities, Securitized Loans and Receivables | ||
Variable Interest Entity [Line Items] | ||
Proceeds from issuance of debt | 4,193,362 | 3,682,082 |
Residential whole loans | 3,200,000 | 3,000,000 |
Securitized debt | 2,900,000 | 2,700,000 |
Asset-backed Securities, Securitized Loans and Receivables | Other Assets | ||
Variable Interest Entity [Line Items] | ||
Real estate owned at fair value | 36,300 | $ 35,400 |
Senior Bonds | ||
Variable Interest Entity [Line Items] | ||
Proceeds from issuance of debt | 513,900 | |
Proceed from debt net of offering expenses and underwriting discount | $ 511,300 |
Subsequent Events (Details)
Subsequent Events (Details) - Subsequent Event $ in Millions | 1 Months Ended |
May 04, 2022USD ($)securitization | |
Subsequent Event [Line Items] | |
Number of securitizations | securitization | 2 |
Securitization of eligible investor loans | $ 509.5 |
Rehabilitation loans | |
Subsequent Event [Line Items] | |
Securitization of eligible investor loans | $ 250 |