Document And Entity Information
Document And Entity Information - shares | 6 Months Ended | |
Jun. 30, 2022 | Jul. 29, 2022 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2022 | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | ARLINGTON ASSET INVESTMENT CORP. | |
Entity Central Index Key | 0001209028 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Emerging Growth Company | false | |
Entity Small Business | true | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Shell Company | false | |
Entity File Number | 001-34374 | |
Entity Incorporation, State or Country Code | VA | |
Entity Tax Identification Number | 54-1873198 | |
Entity Common Stock, Shares Outstanding | 28,890,953 | |
Entity Address, Address Line One | 6862 Elm Street | |
Entity Address, Address Line Two | Suite 320 | |
Entity Address, City or Town | McLean | |
Entity Address, State or Province | VA | |
Entity Address, Postal Zip Code | 22101 | |
City Area Code | 703 | |
Local Phone Number | 373-0200 | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Class A Common | ||
Document Information [Line Items] | ||
Title of 12(b) Security | Class A Common Stock | |
Security Exchange Name | NYSE | |
Trading Symbol | AAIC | |
7.00% Series B Cumulative Perpetual Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 7.00% Series B Cumulative Perpetual Redeemable Preferred Stock | |
Security Exchange Name | NYSE | |
Trading Symbol | AAIC PrB | |
8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Security Exchange Name | NYSE | |
Trading Symbol | AAIC PrC | |
6.000% Senior Notes due 2026 | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 6.000% Senior Notes due 2026 | |
Security Exchange Name | NYSE | |
Trading Symbol | AAIN | |
6.75% Senior Notes due 2025 | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 6.75% Senior Notes due 2025 | |
Security Exchange Name | NYSE | |
Trading Symbol | AIC |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | ||
ASSETS | ||||
Cash and cash equivalents (includes $247 and $2,118, respectively, from consolidated VIEs) | $ 9,575 | $ 20,543 | ||
Restricted cash | 1,270 | 1,132 | ||
Sold securities receivable | 28,219 | |||
MSR financing receivables, at fair value | 120,260 | 125,018 | ||
Credit securities, at fair value | 113,419 | 26,222 | ||
Loans, at fair value | 29,484 | 29,697 | ||
Single-family residential real estate | 68,190 | 60,889 | ||
Deposits | 4,623 | 4,549 | ||
Other assets (includes $1,401 and $547, respectively, from consolidated VIEs) | 12,945 | 15,287 | ||
Total assets | 1,084,755 | 803,036 | ||
Liabilities: | ||||
Repurchase agreements | 329,994 | 446,624 | ||
Purchased Securities Payable | 114,410 | |||
Long-term unsecured debt | 86,199 | 85,994 | ||
Long-term debt secured by single-family properties | 122,770 | 39,178 | ||
Other liabilities (includes $275 and $2, respectively, from consolidated VIEs) | 12,187 | 6,605 | ||
Total liabilities | 871,057 | 578,909 | ||
Commitments and contingencies | ||||
Stockholders’ Equity: | ||||
Additional paid-in capital | 2,025,345 | 2,030,315 | ||
Accumulated deficit | (1,846,546) | (1,842,703) | ||
Total stockholders’ equity | 213,698 | 224,127 | ||
Total liabilities and stockholders’ equity | 1,084,755 | 803,036 | ||
Variable Interest Entity, Primary Beneficiary | ||||
ASSETS | ||||
Cash and cash equivalents (includes $247 and $2,118, respectively, from consolidated VIEs) | 247 | 2,118 | ||
Restricted cash | 4,649 | [1] | 111 | [2] |
Loans, at fair value | 225,004 | 7,442 | ||
Other assets (includes $1,401 and $547, respectively, from consolidated VIEs) | 1,401 | 547 | ||
Liabilities: | ||||
Secured debt of consolidated VIEs, at fair value | 205,497 | 508 | ||
Other liabilities (includes $275 and $2, respectively, from consolidated VIEs) | 275 | 2 | ||
Held-for-sale | ||||
ASSETS | ||||
Single-family residential real estate | 112,979 | |||
Agency MBS | ||||
ASSETS | ||||
Agency mortgage-backed securities, at fair value | 382,357 | 483,927 | ||
Liabilities: | ||||
Repurchase agreements | 224,566 | 425,836 | ||
Series B Preferred Stock | ||||
Stockholders’ Equity: | ||||
Preferred stock | 9,001 | 8,852 | ||
Series C Preferred Stock | ||||
Stockholders’ Equity: | ||||
Preferred stock | 25,607 | 27,356 | ||
Common Class A | ||||
Stockholders’ Equity: | ||||
Common stock | $ 291 | $ 307 | ||
[1] Restricted cash represents cash collected by the trust that must be used solely to satisfy the liabilities of the VIE in the month following collection. Restricted cash represents cash collected by the trust that must be used solely to satisfy the liabilities of the VIE in the month following collection. |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Mortgage loans, at fair value | $ 29,484 | $ 29,697 |
Other assets | 12,945 | 15,287 |
Other liabilities | (12,187) | (6,605) |
Cash and cash equivalents of consolidated VIE | 9,575 | 20,543 |
Single-family residential real estate, accumulated depreciation | $ 1,614 | $ 299 |
Common stock, shares outstanding (in shares) | 0 | 0 |
Single-family Residential Real Estate [Member] | ||
Single-family residential real estate, accumulated depreciation | $ 326 | $ 299 |
Series B Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, issued (in shares) | 379,668 | 373,610 |
Preferred stock, outstanding (in shares) | 379,668 | 373,610 |
Preferred stock, liquidation preference | $ 9,492 | $ 9,340 |
Series C Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, issued (in shares) | 1,044,671 | 1,117,034 |
Preferred stock, outstanding (in shares) | 1,044,671 | 1,117,034 |
Preferred stock, liquidation preference | $ 26,117 | $ 27,926 |
Common Class A | ||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 |
Common stock, shares issued (in shares) | 29,112,374 | 30,676,931 |
Common stock, shares outstanding (in shares) | 29,112,374 | 30,676,931 |
Variable Interest Entity, Primary Beneficiary | ||
Cash and restricted cash | $ 4,896 | $ 2,229 |
Mortgage loans, at fair value | 225,004 | 7,442 |
Other assets | 1,401 | 547 |
Secured debt, at fair value | (205,497) | (508) |
Other liabilities | (275) | (2) |
Net investment in consolidated VIEs | 25,529 | 9,708 |
Cash and cash equivalents of consolidated VIE | 247 | 2,118 |
Held-for-sale | ||
Single-family residential real estate, accumulated depreciation | $ 1,288 | $ 0 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Interest income | ||||
MSR financing receivables | $ 3,983 | $ 1,390 | $ 7,365 | $ 1,748 |
Credit securities and loans | 991 | 1,770 | 1,844 | 3,039 |
Other | 113 | 125 | 438 | 286 |
Total interest and other income | 8,763 | 7,045 | 16,169 | 13,304 |
Rent revenues from single-family properties | 2,137 | 3,201 | ||
Interest expense | ||||
Repurchase agreements | 763 | 403 | 1,039 | 891 |
Total interest expense | 4,459 | 1,958 | 7,701 | 4,459 |
Net operating income | 4,526 | 5,087 | 8,223 | 8,845 |
Investment and derivative gain (loss), net | 370 | (9,032) | (457) | (15,795) |
General and administrative expenses | ||||
Compensation and benefits | 2,324 | 1,841 | 4,389 | 3,236 |
Other general and administrative expenses | 1,463 | 1,349 | 2,682 | 2,591 |
Total general and administrative expenses | 3,787 | 3,190 | 7,071 | 5,827 |
Income (loss) before income taxes | 1,109 | (7,135) | 695 | (12,777) |
Income tax provision (benefit) | 802 | (76) | 3,089 | 322 |
Net income (loss) | 307 | (7,059) | (2,394) | (13,099) |
Dividend on preferred stock | (707) | (723) | (1,449) | (1,446) |
Net loss attributable to common stock | $ (400) | $ (7,782) | $ (3,843) | $ (14,545) |
Basic loss per common share | $ (0.01) | $ (0.24) | $ (0.13) | $ (0.44) |
Diluted loss per common share | $ (0.01) | $ (0.24) | $ (0.13) | $ (0.44) |
Weighted-average common shares outstanding (in thousands) | ||||
Basic | 28,766 | 33,066 | 29,296 | 33,123 |
Diluted | 28,766 | 33,066 | 29,296 | 33,123 |
Single Family properties | ||||
Interest expense | ||||
Single-family property operating expenses | $ 1,915 | $ 3,446 | ||
Variable Interest Entity, Primary Beneficiary | ||||
Interest income | ||||
Loans | 1,611 | $ 776 | 2,965 | $ 2,463 |
Secured Debt | Single Family properties | ||||
Interest expense | ||||
Long-term debt | 718 | 1,126 | ||
Secured Debt | Variable Interest Entity, Primary Beneficiary | ||||
Interest expense | ||||
Secured debt of consolidated VIEs | 1,578 | 405 | 2,766 | 1,267 |
Unsecured Debt | ||||
Interest expense | ||||
Long-term debt | 1,400 | 1,150 | 2,770 | 2,301 |
Agency MBS | ||||
Interest income | ||||
Mortgage-backed credit securities | $ 2,065 | $ 2,984 | $ 3,557 | $ 5,768 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Unaudited) - USD ($) $ in Thousands | Total | Common Class A | Preferred Stock | Preferred Stock Series B Preferred Stock | Preferred Stock Series C Preferred Stock | Common Stock Common Class A | Additional Paid-in Capital | Accumulated Deficit |
Balances at Dec. 31, 2020 | $ 246,270 | $ 7,933 | $ 27,356 | $ 335 | $ 2,040,918 | $ (1,830,272) | ||
Balances (in shares) at Dec. 31, 2020 | 336,273 | 1,117,034 | 33,517,018 | |||||
Net loss | (6,040) | (6,040) | ||||||
Issuance of Class A common stock under stock-based compensation plans | $ 1 | (1) | ||||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 101,818 | |||||||
Repurchase of stock | $ (523) | $ (1) | (522) | |||||
Repurchase of stock (in shares) | 137,655 | |||||||
Stock-based compensation | 503 | 503 | ||||||
Dividends declared | (723) | (723) | ||||||
Balances at Mar. 31, 2021 | 239,487 | $ 7,933 | $ 27,356 | $ 335 | 2,040,898 | (1,837,035) | ||
Balances (in shares) at Mar. 31, 2021 | 336,273 | 1,117,034 | 33,481,181 | |||||
Balances at Dec. 31, 2020 | 246,270 | $ 7,933 | $ 27,356 | $ 335 | 2,040,918 | (1,830,272) | ||
Balances (in shares) at Dec. 31, 2020 | 336,273 | 1,117,034 | 33,517,018 | |||||
Net loss | (13,099) | |||||||
Balances at Jun. 30, 2021 | 228,752 | $ 7,933 | $ 27,356 | $ 327 | 2,037,953 | (1,844,817) | ||
Balances (in shares) at Jun. 30, 2021 | 336,273 | 1,117,034 | 32,679,938 | |||||
Balances at Dec. 31, 2020 | 246,270 | $ 7,933 | $ 27,356 | $ 335 | 2,040,918 | (1,830,272) | ||
Balances (in shares) at Dec. 31, 2020 | 336,273 | 1,117,034 | 33,517,018 | |||||
Repurchase of stock | (12,475) | |||||||
Repurchase of stock (in shares) | 0 | (3,242,371,000) | ||||||
Balances at Dec. 31, 2021 | 224,127 | $ 8,852 | $ 27,356 | $ 307 | 2,030,315 | (1,842,703) | ||
Balances (in shares) at Dec. 31, 2021 | 373,610 | 1,117,034 | 30,676,931 | |||||
Balances at Mar. 31, 2021 | 239,487 | $ 7,933 | $ 27,356 | $ 335 | 2,040,898 | (1,837,035) | ||
Balances (in shares) at Mar. 31, 2021 | 336,273 | 1,117,034 | 33,481,181 | |||||
Net loss | (7,059) | (7,059) | ||||||
Issuance of Class A common stock under stock-based compensation plans | $ 1 | (1) | ||||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 76,592 | |||||||
Forfeiture of Class A common stock under stock-based compensation plans (in shares) | (22,000) | |||||||
Repurchase of stock | (3,490) | $ (9) | (3,481) | |||||
Repurchase of stock (in shares) | (855,835) | |||||||
Stock-based compensation | 537 | 537 | ||||||
Dividends declared | (723) | (723) | ||||||
Balances at Jun. 30, 2021 | 228,752 | $ 7,933 | $ 27,356 | $ 327 | 2,037,953 | (1,844,817) | ||
Balances (in shares) at Jun. 30, 2021 | 336,273 | 1,117,034 | 32,679,938 | |||||
Balances at Dec. 31, 2021 | 224,127 | $ 8,852 | $ 27,356 | $ 307 | 2,030,315 | (1,842,703) | ||
Balances (in shares) at Dec. 31, 2021 | 373,610 | 1,117,034 | 30,676,931 | |||||
Net loss | (2,701) | (2,701) | ||||||
Issuance of Class A common stock under stock-based compensation plans | $ 4 | (4) | ||||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 404,746 | |||||||
Forfeiture of Class A common stock under stock-based compensation plans (in shares) | (12,167) | |||||||
Repurchase of stock | (3,497) | $ (10) | (3,487) | |||||
Repurchase of stock (in shares) | (1,009,566) | |||||||
Issuance of preferred stock | 149 | $ 149 | ||||||
Issuance of stock (in shares) | 6,058 | |||||||
Stock-based compensation | 761 | 761 | ||||||
Dividends declared | (742) | (742) | ||||||
Balances at Mar. 31, 2022 | 218,097 | $ 9,001 | $ 27,356 | $ 301 | 2,027,585 | (1,846,146) | ||
Balances (in shares) at Mar. 31, 2022 | 379,668 | 1,117,034 | 30,059,944 | |||||
Balances at Dec. 31, 2021 | 224,127 | $ 8,852 | $ 27,356 | $ 307 | 2,030,315 | (1,842,703) | ||
Balances (in shares) at Dec. 31, 2021 | 373,610 | 1,117,034 | 30,676,931 | |||||
Net loss | (2,394) | |||||||
Repurchase of stock | (6,739) | $ (1,749) | ||||||
Repurchase of stock (in shares) | (72,363) | (1,957,136) | ||||||
Balances at Jun. 30, 2022 | 213,698 | $ 9,001 | $ 25,607 | $ 291 | 2,025,345 | (1,846,546) | ||
Balances (in shares) at Jun. 30, 2022 | 379,668 | 1,044,671 | 29,112,374 | |||||
Balances at Mar. 31, 2022 | 218,097 | $ 9,001 | $ 27,356 | $ 301 | 2,027,585 | (1,846,146) | ||
Balances (in shares) at Mar. 31, 2022 | 379,668 | 1,117,034 | 30,059,944 | |||||
Net loss | 307 | 307 | ||||||
Repurchase of stock | $ (3,242) | $ 1,749 | $ (1,749) | $ (10) | (3,232) | |||
Repurchase of stock (in shares) | (72,363) | (947,570) | ||||||
Stock-based compensation | 992 | 992 | ||||||
Dividends declared | (707) | (707) | ||||||
Balances at Jun. 30, 2022 | $ 213,698 | $ 9,001 | $ 25,607 | $ 291 | $ 2,025,345 | $ (1,846,546) | ||
Balances (in shares) at Jun. 30, 2022 | 379,668 | 1,044,671 | 29,112,374 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | |
Cash flows from operating activities: | ||
Net loss | $ (2,394) | $ (13,099) |
Adjustments to reconcile net loss to net cash (used in) provided by operating activities | ||
Investment and derivative loss, net | 457 | 15,795 |
Net (discount) premium (accretion) amortization | (3,694) | (1,297) |
Other | 3,316 | 1,131 |
Changes in operating assets | ||
Interest receivable | 67 | 312 |
Other assets | (2,743) | (537) |
Changes in operating liabilities | ||
Interest payable and other liabilities | 3,693 | 1,087 |
Accrued compensation and benefits | (1,337) | (1,223) |
Net cash (used in) provided by operating activities | (2,635) | 2,169 |
Cash flows from investing activities: | ||
Purchases of credit securities | (120,335) | (28,356) |
Purchases of MSR financing receivables | (21,220) | (60,556) |
Purchases of single-family residential real estate | (121,919) | |
Purchases of loans | (29,967) | |
Proceeds from sales of agency mortgage-backed securities | 586,693 | 625,812 |
Proceeds from sales of credit securities | 10,395 | 13,640 |
Proceeds from sales of single-family residential real estate | 351 | |
Receipt of principal payments on agency mortgage-backed securities | 20,463 | 29,735 |
Receipt of principal payments on credit securities | 862 | |
Receipt of principal payments on loans | 212 | 282 |
Receipt of principal payments on mortgage loans of consolidated VIE | 29,278 | 58,948 |
Receipt of distributions on MSR financing receivables | 64,552 | |
Restricted cash balance of VIE upon consolidation | 9,637 | |
Proceeds from (payments for) derivatives and deposits, net | 5,979 | (9,349) |
Other | 6,231 | 3,583 |
Net cash provided by investing activities | 70,848 | (3,887) |
Cash flows from financing activities: | ||
Repayments of repurchase agreements, net | (116,630) | 39,374 |
Repayments of secured debt of consolidated VIE | (31,652) | (65,350) |
Repurchase of common stock | (6,739) | (4,013) |
Repurchase of preferred stock | (1,749) | |
Proceeds from issuance of preferred stock | 149 | |
Proceeds from long-term debt secured by single-family properties | 83,565 | |
Repurchase of long-term unsecured debt | (7) | |
Dividends paid | (1,449) | (1,446) |
Net cash used in financing activities | (74,505) | (31,442) |
Net increase in cash, cash equivalents and restricted cash | (6,292) | (33,160) |
Cash, cash equivalents and restricted cash, beginning of period | 21,786 | 39,965 |
Cash, cash equivalents and restricted cash, end of period | 15,494 | 6,805 |
Supplemental cash flow information: | ||
Cash payments for interest | 6,625 | 4,468 |
Cash payments for taxes | 753 | |
Non-cash investing activity: | ||
Assets of VIE upon consolidation | 287,282 | |
Non-cash financing activity: | ||
Liabilities of VIE upon consolidation | 266,697 | |
Agency MBS | ||
Cash flows from investing activities: | ||
Purchases of mortgage-backed securities | $ (400,331) | $ (607,659) |
Organization and Basis of Prese
Organization and Basis of Presentation | 6 Months Ended |
Jun. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Basis of Presentation | Note 1. Organization and Basis of Presentation Arlington Asset Investment Corp. (“Arlington Asset”) and its consolidated subsidiaries (unless the context otherwise provides, collectively, the “Company”) is an investment firm that focuses primarily on investing in mortgage related assets and residential real estate. The Company’s investment capital is currently allocated between mortgage servicing right (“MSR”) related assets, credit investments, single-family residential (“SFR”) properties and agency mortgage-backed securities (“MBS”). The Company’s MSR related assets represent investments for which the return is based on the economic performance of a pool of specific MSRs. The Company’s credit investments generally include investments in mortgage loans secured by either residential or commercial real property or MBS collateralized by residential or commercial mortgage loans (“non-agency MBS”) or asset-backed securities (“ABS”) collateralized by residential solar panel loans. The Company’s SFR investment strategy is to acquire, lease and operate single-family residential homes as rental properties. The Company’s agency MBS consist of residential mortgage pass-through certificates for which the principal and interest payments are guaranteed by a U.S. government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”). The Company is a Virginia corporation. The Company is internally managed and does not have an external investment advisor. The Company has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). As a REIT, the Company is required to distribute annually 90 % of its REIT taxable income (subject to certain adjustments). So long as the Company continues to qualify as a REIT, it will generally not be subject to U.S. Federal or state corporate income taxes on its taxable income that it distributes to its shareholders on a timely basis. At present, it is the Company’s intention to distribute 100 % of its taxable income, although the Company will not be required to do so. The Company intends to make distributions of its taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. The unaudited interim consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The Company’s unaudited interim consolidated financial statements and notes thereto should be read in conjunction with the Company’s audited annual consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021. The Company’s consolidated financial statements include the accounts of Arlington Asset and all other entities in which the Company has a controlling financial interest. All intercompany accounts and transactions have been eliminated in consolidation. The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect amounts reported in the consolidated financial statements. Although the Company bases these estimates and assumptions on historical experience and all other reasonably available information that the Company believes to be relevant under the circumstances, such estimates frequently require management to exercise significant subjective judgment about matters that are inherently uncertain. Actual results may differ materially from these estimates. Certain prior period amounts in the consolidated financial statements and the accompanying notes may have been reclassified to conform to the current year’s presentation. These reclassifications had no impact on the previously reported net income, total assets or total liabilities. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2022 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 2. Summary of Significant Accounting Policies Cash Equivalents Cash equivalents include demand deposits with banks, money market accounts and highly liquid investments with original maturities of three months or less. As of June 30, 2022 and December 31, 2021 , approximately 0 % and 67 %, respectively, of the Company’s cash equivalents were invested in money market funds that invest primarily in U.S. Treasuries and other securities backed by the U.S. government. Investment Security Purchases and Sales Purchases and sales of investment securities are recorded on the settlement date of the transfer unless the trade qualifies as a “regular-way” trade and the associated commitment qualifies for an exemption from the accounting guidance applicable to derivative instruments. A regular-way trade is an investment security purchase or sale transaction that is expected to settle within the period of time following the trade date that is prevalent or traditional for that specific type of security. Any amounts payable or receivable for unsettled security trades are recorded as “sold securities receivable” or “purchased securities payable” in the consolidated balance sheets. Interest Income Recognition for Investments in Agency MBS, Mortgage Loans of Consolidated VIEs and Credit Securities of High Credit Quality The Company recognizes interest income for its investments in agency MBS, mortgage loans of consolidated variable interest entities (“VIEs”) and credit securities that are considered to be of high credit quality (that is, those with a Standard & Poor's rating of AA or higher or an equivalent rating from another rating agency) by applying the “interest method” permitted by GAAP, whereby purchase premiums and discounts are amortized and accreted, respectively, as an adjustment to contractual interest income accrued at each investment’s stated interest rate. The interest method is applied at the individual instrument level based upon each instrument’s effective interest rate. The Company calculates each instrument’s effective interest rate at the time of purchase or initial recognition by solving for the discount rate that equates the present value of that instrument's remaining contractual cash flows (assuming no principal prepayments) to its purchase cost. Because each instrument’s effective interest rate does not reflect an estimate of future prepayments, the Company refers to this manner of applying the interest method as the “contractual effective interest method.” When applying the contractual effective interest method, as principal prepayments occur, a proportional amount of the unamortized premium or unaccreted discount is recognized in interest income such that the contractual effective interest rate on any remaining security or loan balance is unaffected. For mortgage loans of consolidated VIEs, the Company ceases the accrual of interest income (i.e., places the loan in non-accrual status) when it believes collectability of principal and interest in full is not reasonably assured, which generally occurs when a loan is three or more monthly payments past due, unless the loan is well secured and in the process of collection based upon an individual loan assessment. Upon placing a loan in non-accrual status, any previously accrued but uncollected interest is derecognized and a corresponding reduction to current period interest income is recorded. While a loan is in non-accrual status, the Company recognizes interest income only when interest payments occur. Interest Income Recognition for Investments in Other Credit Securities and MSR Financing Receivables The Company recognizes interest income for its investments in credit securities (other than those considered to be of high credit quality) and MSR financing receivables by applying the prospective level-yield methodology required by GAAP for financial assets that are either not of high credit quality at the time of acquisition or can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. The amount of periodic interest income recognized is determined by applying the investment’s effective interest rate to its amortized cost basis (or “reference amount”). At the time of acquisition, the investment’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the investment to its purchase cost. To prepare its best estimate of cash flows expected to be collected, the Company develops a number of assumptions about the future performance of the pool of loans that serve as collateral for its investment, including assumptions about the timing and amount of prepayments and credit losses. For investments in MSR financing receivables, the Company's estimate of cash flows expected to be collected reflects all components of its mortgage servicing counterparty's payment obligation, which is comprised of cash flows referenced to the monthly net cash flows of the underlying reference pool of MSRs net of (i) the counterparty's periodic interest payments and principal repayments related to advances obtained via its third-party secured financing facility collateralized by MSRs to which the Company's MSR financing receivables are referenced and (ii) fees payable to the counterparty. In each subsequent quarterly reporting period, the amount and timing of cash flows expected to be collected from the investment are re-estimated based upon current information and events. The following table provides a description of how periodic changes in the estimate of cash flows expected to be collected affect interest income recognition prospectively for investments in credit securities and MSR financing receivables: Scenario: Effect on Interest Income Recognition: A positive change in cash flows occurs. Actual cash flows exceed prior estimates and/or a positive change occurs in the estimate of expected remaining cash flows. A revised effective interest rate is calculated and applied prospectively such that the positive change in cash flows is recognized as incremental interest income over the remaining life of the investment. The amount of periodic interest income recognized over the remaining life of the investment will be reduced accordingly. Generally, the investment’s effective interest rate is reduced accordingly and applied on a prospective basis. However, if the revised effective interest rate is negative, the investment’s existing effective interest rate is retained while the reference amount to which the existing effective interest rate will be prospectively applied is reduced to the present value of cash flows expected to be collected, discounted at the investment’s existing effective interest rate. An adverse change in cash flows occurs. Actual cash flows fall short of prior estimates and/or an adverse change occurs in the estimate of expected remaining cash flows. Other Significant Accounting Policies Certain of the Company’s other significant accounting policies are summarized in the following notes: Investments in agency MBS, subsequent measurement Note 3 Investments in credit securities, subsequent measurement Loans held for investment, subsequent measurement Investments in MSR financing receivables, subsequent measurement Investments in SFR properties Note 4 Note 5 Note 6 Note 7 Consolidation of variable interest entities Borrowings Note 8 Note 9 To-be-announced agency MBS transactions, including “dollar rolls” Note 10 Derivative instruments Note 10 Balance sheet offsetting Note 11 Fair value measurements Income taxes Note 12 Note 13 Stock-based compensation Note 16 Refer to the Company’s 2021 Annual Report on Form 10-K for a complete inventory and summary of the Company’s significant accounting policies. Recent Accounting Pronouncements The following table provides a brief description of recently issued accounting pronouncements and their actual or expected effect on the Company’s consolidated financial statements: Standard Description Date of Adoption Effect on the Consolidated Financial Statements Recently Issued Accounting Guidance Not Yet Adopted ASU Nos. 2020-04 and 2021-01, Reference Rate Reform (Topic 848) The amendments in these updates provide optional practical expedients and exceptions for applying GAAP to the modification of receivables, debt or lease contracts as well as cash flow and fair value hedge accounting relationships that reference a rate, such as the London Interbank Offered Rate (“LIBOR”), that is expected to be discontinued because of reference rate reform. The practical expedients and exceptions provided by these updates are effective from March 12, 2020 through December 31, 2022. Not yet adopted. To date, any modifications due to reference rate reform have not had a material impact to the Company. The Company has not elected to apply hedge accounting for financial reporting purposes. The Company does not currently expect the adoption of ASU Nos. 2020-04 and 2021-01 to have a material effect on its consolidated financial statements. |
Investments in Agency MBS
Investments in Agency MBS | 6 Months Ended |
Jun. 30, 2022 | |
Agency MBS | |
Investments in MBS | Note 3. Investments in Agency MBS The Company has elected to classify its investments in agency MBS as trading securities. Accordingly, the Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value. As of June 30, 2022 and December 31, 2021 , the fair value of the Company’s investments in agency MBS was $ 382,357 and $ 483,927 , respectively. As of June 30, 2022, all the Company’s investments in agency MBS represent undivided (or “pass-through”) beneficial interests in specified pools of fixed-rate mortgage loans. All periodic changes in the fair value of agency MBS that are not attributed to interest income are recognized as a component of “investment and derivative gain (loss), net” in the accompanying consolidated statements of comprehensive income. The following table provides additional information about the gains and losses recognized as a component of “investment and derivative gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Net gains (losses) recognized in earnings for: Agency MBS still held at period end $ ( 3,921 ) $ 6,840 $ ( 3,922 ) $ ( 11,861 ) Agency MBS sold during the period ( 6,670 ) 290 ( 32,626 ) ( 10,224 ) Total $ ( 10,591 ) $ 7,130 $ ( 36,548 ) $ ( 22,085 ) The Company also invests in and finances fixed-rate agency MBS on a generic pool basis through sequential series of to-be-announced security transactions commonly referred to as “dollar rolls.” Dollar rolls are accounted for as a sequential series of derivative instruments. Refer to “Note 10. Derivative Instruments” for further information about dollar rolls. |
Investments in Credit Securitie
Investments in Credit Securities | 6 Months Ended |
Jun. 30, 2022 | |
Credit Securities | |
Investments in MBS | Note 4. Investments in Credit Securities The Company has elected to classify its investments in credit securities as trading securities. Accordingly, the Company’s investments in credit securities are reported in the accompanying consolidated balance sheets at fair value. As of June 30, 2022 and December 31, 2021 , the fair value of the Company’s investments in credit securities was $ 113,419 and $ 26,222 , respectively. As of June 30, 2022, the Company’s investments in credit securities primarily consist of non-agency MBS collateralized by pools of business purpose residential mortgage loans or commercial mortgage loans and ABS collateralized by pools of residential solar panel loans. All periodic changes in the fair value of credit securities that are not attributed to interest income are recognized as a component of “investment and derivative gain (loss), net” in the accompanying consolidated statements of comprehensive income. The following table provides additional information about the gains and losses recognized as a component of “investment and derivative gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in credit securities: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Net gains (losses) recognized in earnings for: Credit securities still held at period end $ ( 321 ) $ ( 186 ) $ ( 675 ) $ 1,210 Credit securities sold during the period ( 482 ) ( 75 ) ( 970 ) ( 80 ) Total $ ( 803 ) $ ( 261 ) $ ( 1,645 ) $ 1,130 |
Loans Held for Investment
Loans Held for Investment | 6 Months Ended |
Jun. 30, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Loans Held for Investment | Note 5. Loans Held for Investment As of June 30, 2022 and December 31, 2021 , the Company held a loan secured by a first lien position in healthcare facilities and guaranteed by the operator of the facilities with an outstanding principal outstanding principal balance of $ 29,484 and $ 29,697 , respectively. The loan bears interest at a floating note rate equal to SOFR plus 5.61% . The original maturity date of the loan was March 23, 2022 with a one-year extension available at the option of the borrower. On March 23, 2022, the borrower exercised its one-year extension option resulting in a new maturity date of March 23, 2023 . The loan has monthly principal amortization based upon a 30-year amortization schedule with the remaining principal balance due at loan maturity. The Company has elected to account for its loan held for investment at fair value on a recurring basis with periodic changes in fair value recognized as a component of “investment and derivative gain (loss), net” in the accompanying consolidated statements of comprehensive income. As of June 30, 2022 and December 31, 2021 , the Company’s investment was $ 29,484 and $ 29,697 , respectively, at fair value. The Company recognizes interest income on its loan investment based upon the effective interest rate of the loan which, as of June 30, 2022 and December 31, 2021, was equal to the contractual note rate of the loan. As of June 30, 2022 and December 31, 2021 , the Company was party to a participation agreement pursuant to which the Company has committed to fund up to $ 30,000 of a $ 130,000 revolving credit facility that matures on July 7, 2024 . Under the terms of the participation agreement, the Company funds the last $ 30,000 of advances under the revolving credit facility. Any draws under the revolving credit facility bear interest at SOFR plus 3.86 % with a SOFR floor of 1.00 % and are secured by a first lien on all accounts receivable and a second lien on all other assets of the borrower. The borrower is also required to pay an unused commitment fee of 0.50 %. As of June 30, 2022 and December 31, 2021 , the Company’s advances under the revolving credit facility were $ 314 and $ 0 , respectively, which is included in the line item "other assets" in the accompanying consolidated balance sheets. As of June 30, 2022 and December 31, 2021 , the Company's unfunded commitment was $ 29,686 and $ 30,000 , respectively. |
Investments in MSR Financing Re
Investments in MSR Financing Receivables | 6 Months Ended |
Jun. 30, 2022 | |
Receivables [Abstract] | |
Investments in MSR Financing Receivables | Note 6. Investments in MSR Financing Receivables The Company does not hold the requisite licenses to purchase or hold MSRs directly. However, the Company has entered into agreements with a licensed, GSE approved residential mortgage loan servicer that enable the Company to garner the economic return of an investment in an MSR purchased by the mortgage servicing counterparty through an MSR financing transaction. Under the terms of the arrangement, for an MSR acquired by the mortgage servicing counterparty (i) the Company purchases the “excess servicing spread” from the mortgage servicer counterparty, entitling the Company to monthly distributions of the servicing fees collected by the mortgage servicing counterparty in excess of 12.5 basis points per annum (and to distributions of corresponding proceeds of sale of the MSRs), and (ii) the Company funds the balance of the MSR purchase price to the parent company of the mortgage servicing counterparty and, in exchange, has an unsecured right to payment of certain amounts determined by reference to the MSR, generally equal to the servicing fee revenue less the excess servicing spread and the costs of servicing (and to distributions of corresponding proceeds of sale of the MSRs), net of fees earned by the mortgage servicing counterparty and its affiliates including an incentive fee equal to a percentage of the total return of the MSR in excess of a hurdle rate of return. The Company has committed to invest a total minimum of $ 50,000 in capital with the counterparty with $ 25,000 of the minimum commitment expiring on December 31, 2023 and $ 25,000 of the minimum commitment expiring on April 1, 2024 . Under the arrangement, the Company is obligated to provide funds to the mortgage servicing counterparty to fund the counterparty’s advances of payments on the serviced pool of mortgage loans. The mortgage servicing counterparty is required to return to the Company subsequent servicing advances collected from the underlying borrowers. The mortgage servicing counterparty is entitled to reimbursement from the GSEs of any servicing advances that are not subsequently collected from the underlying borrowers. As of June 30, 2022 and December 31, 2021 , the Company had provided funds of $ 2,348 and $ 3,731 , respectively, to its mortgage servicing counterparty related to the counterparty’s servicing advances made pursuant to the MSRs to which the Company’s MSR financing receivables are referenced. As a means to increase potential returns to the Company, at the Company’s election, it can request the mortgage servicing counterparty utilize leverage on the MSRs to which the Company’s MSR financing receivables are referenced to finance the purchase of additional MSRs. As of June 30, 2022 and December 31, 2021 , the Company’s counterparty had drawn $ 60,868 and $ 40,398 , respectively, of financing secured by the MSRs to which the Company’s MSR financing receivables are referenced. The Company accounts for transactions executed under its arrangement with the mortgage servicing counterparty as financing transactions and reflects the associated financing receivables in the line item “MSR financing receivables” on its consolidated balance sheets. The Company has elected to account for its MSR financing receivables at fair value with changes in fair value that are not attributed to interest income recognized as a component of “investment and derivative gain (loss), net” in the accompanying consolidated statements of comprehensive income. As described in further detail in “Note 2. Summary of Significant Accounting Policies,” the Company recognizes interest income for MSR financing receivables by applying the prospective level-yield methodology required by GAAP for financial assets that are either not of high credit quality at the time of acquisition or can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. As of June 30, 2022 and December 31, 2021 , the fair value of the Company’s investments in MSR financing receivables was $ 120,260 and $ 125,018 , respectively. The following table presents activity related to the carrying value of the Company’s investments in MSR financing receivables for the periods indicated: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Balance at period beginning $ 139,225 $ 36,005 $ 125,018 $ 9,346 Capital investments 18,032 39,278 21,219 59,622 Capital distributions ( 49,432 ) — ( 64,552 ) — Accretion of interest income 3,983 1,390 7,365 1,748 Changes in valuation inputs and assumptions 8,452 ( 2,021 ) 31,210 3,936 Balance at period end $ 120,260 $ 74,652 $ 120,260 $ 74,652 |
Investments in SFR Properties
Investments in SFR Properties | 6 Months Ended |
Jun. 30, 2022 | |
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation Disclosure [Abstract] | |
Investments in SFR Properties | Note 7. Investments in SFR Properties The Company owns a portfolio of SFR homes that it operates as rental properties. The Company is party to an agreement with a third-party investment firm to identify, acquire and manage investments in SFR properties on behalf of the Company. Under the terms of the agreement, the Company has committed to fund up to $ 65,000 of capital to fund the acquisition of SFR properties. The Company’s commitment to fund up to $ 65,000 of capital may be reduced to $ 55,000 to the extent the Company utilizes debt financing to fund certain acquisitions of SFR properties. The Company is obligated to pay the third-party firm a minimum fee plus an incentive fee equal to a percentage of the total investment return in excess of a hurdle rate of return. If the Company were to terminate the commitment, the Company would incur a termination fee equal to a fixed amount less inception to date minimum fees paid to the third-party firm. The Company’s investments in SFR properties are initially recognized on the settlement date of their acquisition at cost. The Company allocates the initial acquisition cost of each property to land and building on the basis of their relative fair values at the time of acquisition. To determine the relative fair value of land and building at the time of acquisition, the Company uses available market data, such as property specific county tax assessment records. Subsequent to the acquisition of a property, expenditures which improve or extend the life of the property are capitalized as a component of the property’s cost basis. Expenditures for ordinary maintenance and repairs are recognized as an expense as incurred and are reported as a component of “single-family property operating expenses” in the Company’s consolidated statements of comprehensive income. The Company subsequently recognizes depreciation of each property’s buildings and capitalized improvements over the expected useful lives of those assets. The Company calculates depreciation on a straight-line basis over a useful life of 27.5 years for buildings and useful lives ranging from five to 27.5 years for capitalized improvements. The Company reports depreciation expense as a component of “single-family property operating expenses” in the Company’s consolidated statements of comprehensive income. Pursuant to its SFR investment strategy, the Company leases its SFR properties to tenants who occupy the properties. The leases generally have terms of one year or more and are classified as operating leases. Rental revenue, net of any concessions, is recognized over the term of each lease on a straight-line basis. If the Company determines that collectability of lease payments is not probable, any lease receivables previously recognized are reversed and rental revenue is limited to cash received. Costs directly associated with the origination of a lease, such as a commission paid to a property manager when a lease agreement is obtained, are deferred at the commencement of the lease and subsequently recognized ratably as an expense over the lease term, consistent with the recognition of rental revenue from the lease. The ratable expense recognition of lease direct costs is reported as a component of “single-family property operating expenses” in the Company’s consolidated statements of comprehensive income. In addition to the expense items previously mentioned, “single-family property operating expenses” also include accruals for, but not limited to, third-party property management fees, local real estate tax assessments, utilities, homeowners’ association dues and insurance. The Company evaluates its SFR properties for impairment whenever circumstances indicate that their carrying amounts may not be recoverable. Significant indicators of potential impairment include, but are not limited to, declines in home values, adverse changes in rental or occupancy rates and relevant unfavorable changes in the broader economy. If indicators of potential impairment exist, the Company performs a recoverability test by comparing the property’s net carrying amount to its estimate of the undiscounted future net cash flows expected to be obtained from the use and eventual disposition of the property. If the property’s carrying amount exceeds the Company’s estimate of the undiscounted future net cash flows expected to be obtained from the property, the Company recognizes an impairment loss equal to the amount that the property’s net carrying amount exceeds the property’s estimated fair value. As of June 30, 2022 and December 31, 2021, the Company had not recognized any impairment losses for its investments in SFR properties. From time to time, the Company may identify SFR properties to be sold. At the time that any such properties are identified, the Company performs an evaluation to determine whether or not such properties should be classified as held for sale. Factors considered as part of the Company's held for sale evaluation process include whether the following conditions have been met: (i) the Company has committed to a plan to sell a property; (ii) the property is immediately available for sale in its present condition; (iii) an active program to locate a buyer and other actions required to complete the plan to sell a property have been initiated; (iv) the sale of a property is probable within one year (generally determined based upon listing for sale); (v) the property is being actively marketed for sale at a price that is reasonable in relation to its current fair value; and (vi) actions required to complete the plan indicate that it is unlikely that significant changes to the plan will be made or that the plan will be withdrawn. To the extent that these factors are all present, the Company ceases depreciating the property, measures the property at the lower of its carrying amount or its fair value less estimated costs to sell, and presents the property separately on its consolidated balance sheets. On May 10, 2022, the Company entered into a purchase and sale agreement to sell 378 SFR properties for $ 132,750 with an original closing date no later than June 23, 2022. Pursuant to the purchase and sale agreement, the buyer made a $ 2,655 initial deposit with an escrow agent. On May 27, 2022, the Company entered into an amendment to the purchase and sale agreement to remove two properties from the sale transaction reducing the total properties to be sold to 376 SFR properties for $ 131,921 . On June 20, 2022, the Company entered into an additional amendment to the purchase and sale agreement that required the buyer to fund an additional $ 2,655 deposit with the escrow agent for a total deposit of $ 5,310 to extend the closing date to no later than August 19, 2022. During the three months ended June 30, 2022, the Company classified the 376 SFR properties as held for sale. As of June 30, 2022 and December 31, 2021 , the Company had investments in 586 and 214 SFR properties, respectively, for a total cost of $ 182,783 and $ 61,188 , respectively. During the three and six months ended June 30, 2022 , the Company recognized $ 604 and $ 1,319 , respectively, of depreciation expense related to its SFR properties. The following table summarizes the Company’s net carrying amount of its SFR properties by component as of June 30, 2022: Single-family Residential Real Estate Single-family Residential Real Estate Held-for-Sale Total Land $ 11,423 $ 18,913 $ 30,336 Buildings and improvements 57,093 95,354 152,447 Investments in single-family residential real estate, at cost 68,516 114,267 182,783 Less: accumulated depreciation ( 326 ) ( 1,288 ) ( 1,614 ) Investments in single-family residential real estate, net $ 68,190 $ 112,979 $ 181,169 The following table summarizes the Company’s net carrying amount of its SFR properties by component as of December 31, 2021: Single-family Residential Real Estate Single-family Residential Real Estate Held-for-Sale Total Land $ 10,128 $ — $ 10,128 Buildings and improvements 51,060 — 51,060 Investments in single-family residential real estate, at cost 61,188 — 61,188 Less: accumulated depreciation ( 299 ) — ( 299 ) Investments in single-family residential real estate, net $ 60,889 $ — $ 60,889 As of June 30, 2022 , the Company had commitments to acquire 25 SFR properties for an aggregate purchase price of $ 9,034 . |
Consolidation of Variable Inter
Consolidation of Variable Interest Entities | 6 Months Ended |
Jun. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Consolidation of Variable Interest Entities | Note 8. Consolidation of Variable Interest Entities The vehicles that issue the Company’s investments in securitized mortgage assets are considered VIEs. The Company is required to consolidate any VIE in which it holds a variable interest if it determines that it holds a controlling financial interest in the VIE and is, therefore, determined to be the primary beneficiary of the VIE. The Company is determined to be the primary beneficiary of a VIE in which it holds a variable interest if it both (i) holds the power to direct the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses or the right to receive benefits that could potentially be significant to the VIE. The economic performance of the trusts that issue the Company’s investments in securitized mortgage assets is most significantly impacted by the performance of the mortgage loans that are held by the trusts. The party that is determined to have the most power to direct the loss mitigation actions that are taken with respect to delinquent or otherwise troubled mortgage loans held by the trust is, therefore, deemed to hold the most power to direct the activities that most significantly impact the trust’s economic performance. As a passive investor, the Company does not have the power to direct the loss mitigation activities of most of the trusts that have issued its securitized mortgage assets. On September 30, 2020, the Company acquired for $ 10,693 an investment that represents a majority interest in the first loss position of a securitized pool of business purpose residential mortgage loans. As majority holder of the first loss position, the Company is required to approve any material loss mitigation action proposed by the servicer with respect to a troubled loan. The Company also has the option (but not the obligation) to purchase delinquent loans from the trust. As a result of these contractual rights, the Company determined that it is the party with the most power to direct the loss mitigation activities and, therefore, the economic performance of the trust. As holder of the majority of the first loss position issued by the trust, the Company has the obligation to absorb losses or the right to receive benefits that could potentially be significant to the trust. Accordingly, the Company determined that it is the primary beneficiary of the trust and consolidated the trust’s assets and liabilities owed to third parties onto its consolidated balance sheets. On February 3, 2022, the Company acquired for $ 20,585 investments in the first loss position and the excess interest-only strip of a securitized pool of recently originated, performing “non-qualified” residential mortgage loans. The Company’s investment in the excess interest-only strip provides it with the option (but not the obligation) to purchase delinquent loans from the trust. As a result of this contractual right, the Company determined that it has the power to circumvent the loss mitigation activities that would otherwise be performed by the servicer and, therefore, is the party with the most power to impact the economic performance of the trust. As a result of its investments, the Company also has the obligation to absorb losses or the right to receive benefits that could potentially be significant to the trust. Accordingly, the Company determined that it is the primary beneficiary of the trust and consolidated the trust’s assets and liabilities owed to third parties onto its consolidated balance sheets. The carrying values of the assets and liabilities of the consolidated VIEs, net of elimination entries, are as follows as of the dates indicated: June 30, 2022 VIE of Business Purpose Residential Mortgage Loans VIE of Residential Mortgage Loans Total Cash of consolidated VIEs $ 247 $ — $ 247 Restricted cash of consolidated VIEs (1) 13 4,636 4,649 Mortgage loans of consolidated VIEs, at fair value 4,548 220,456 225,004 Other assets of consolidated VIEs 657 744 1,401 Secured debt of consolidated VIEs, at fair value ( 272 ) ( 205,225 ) ( 205,497 ) Other liabilities of consolidated VIEs ( 1 ) ( 274 ) ( 275 ) Net investment in consolidated VIEs $ 5,192 $ 20,337 $ 25,529 (1) Restricted cash represents cash collected by the trust that must be used solely to satisfy the liabilities of the VIE in the month following collection. December 31, 2021 VIE of Business Purpose Residential Mortgage Loans VIE of Residential Mortgage Loans Total Cash of consolidated VIEs $ 2,118 $ — $ 2,118 Restricted cash of consolidated VIEs (1) 111 — 111 Mortgage loans of consolidated VIEs, at fair value 7,442 — 7,442 Other assets of consolidated VIEs 547 — 547 Secured debt of consolidated VIEs, at fair value ( 508 ) — ( 508 ) Other liabilities of consolidated VIEs ( 2 ) — ( 2 ) Net investment in consolidated VIEs $ 9,708 $ — $ 9,708 (1) Restricted cash represents cash collected by the trust that must be used solely to satisfy the liabilities of the VIE in the month following collection. The debt of the Company’s consolidated VIEs have recourse solely to the assets of the respective VIE; it has no recourse to the general credit of the Company. Consolidated VIE of Business Purpose Residential Mortgage Loans The pool of business purpose residential mortgage loans and the third-party held debt obligations of the consolidated VIE had aggregate unpaid principal balances of $ 4,835 and $ 291 , respectively, as of June 30, 2022. The trust is contractually entitled to receive monthly interest payments on each underlying mortgage loan net of a loan-specific servicing and asset management fee that is not remitted to the trust but is, rather, retained by the servicer. As of June 30, 2022 , the weighted average net note rate to which the VIE was entitled was 6.01 %. The pool of business purpose residential mortgage loans held by the consolidated VIE consists of fixed-rate, short-term, interest-only mortgage loans (with the full amount of principal due at maturity) made to professional real estate investors and are secured by first lien positions in non-owner occupied residential real estate. The properties that secure these mortgage loans often require construction, repair or rehabilitation. The repayment of the mortgage loans is often largely based on the ability of the borrower to sell the mortgaged property or to convert the property for rental purposes and obtain refinancing in the form of a longer-term loan. Pursuant to the terms of certain of the mortgage loans, the borrower may draw upon a specified amount of additional funds as needed in order to finance construction on, or the repair or rehabilitation of, the mortgaged property (referred to as a “construction draw”). Pursuant to the terms of the securitization transaction, if the monthly principal repayments collected from the mortgage loan pool are insufficient to fund that month’s construction draws, such shortfall is to be funded by the holders of the first loss position on a pro rata basis. Any construction draws funded by holders of the first loss position accrue interest at the net note rate of the mortgage loan. The repayment of any construction draws funded by holders of the first loss position takes priority over the senior debt securities with respect to the cash flows collected from the mortgage loan pool in the following month. As of June 30, 2022 , the aggregate unfunded construction draw balance commitment attributable to the Company’s subordinate debt security investment was $ 121 . Consolidated VIE of Residential Mortgage Loans The pool of mortgage loans and the third-party held debt obligations of the consolidated VIE had aggregate unpaid principal balances of $ 237,483 and $ 239,574 , respectively, as of June 30, 2022. As of June 30, 2022 , the weighted average contractual interest rates of the loans and consolidated debt held by third parties were 4.79 % and 1.37 %, respectively. The pool of mortgage loans of the consolidated VIE consists of performing, first lien “non-qualified” residential mortgage loans. “Non-qualified” residential mortgage loans are loans that do not fully comply with the “ability-to-repay” rule and related guidelines of the Truth-in-Lending Act established by the Consumer Finance Protection Bureau pursuant to the authority granted under the Dodd-Frank Act. A “qualified” residential mortgage loan (i.e., a residential mortgage loan that fully complies with the “ability-to-repay” rule of the Truth-in-Lending Act) must meet certain debt-to-income ratio requirements and cannot have certain features, such as an interest-only period, negative amortization, balloon payments or terms longer than 30 years. Qualified mortgage loans have limited upfront fees and points and, generally, cannot have prepayment penalties except for limited circumstances. Lenders of qualified mortgage loans are afforded certain legal protections not available to non-qualified mortgage loan lenders. Accounting for Consolidated VIEs The Company has elected to account for the mortgage loans and debt of its consolidated VIEs at fair value with changes in fair value that are not attributed to interest income or interest expense, respectively, recognized as a component of “investment and derivative gain (loss), net” in the accompanying consolidated statements of comprehensive income. As described in further detail in “Note 2. Summary of Significant Accounting Policies,” the Company recognizes interest income for the mortgage loans of its consolidated VIEs by applying the “interest method” permitted by GAAP, whereby the premium or discount recognized at the initial recognition of each loan is amortized or accreted as an adjustment to contractual interest income accrued at the loan’s contractual interest rate. The Company ceases the accrual of interest income for a mortgage loan (i.e., places the loan in non-accrual status) when it believes collectability of principal and interest in full is not reasonably assured, which generally occurs when a loan is three or more monthly payments past due, unless the loan is well secured and in the process of collection based upon an individual loan assessment. Upon placing a loan in non-accrual status, any previously accrued but uncollected interest is derecognized and a corresponding reduction to current period interest income is recorded. The following table presents information about the accrual status of the loans of the Company’s consolidated VIE of business purpose residential mortgage loans as of June 30, 2022: Aggregate Fair Value Aggregate Unpaid Principal Balance Difference Less than 90 days past due and in accrual status $ 151 $ 151 $ — 90 days or more past due and in non-accrual status 4,397 4,684 ( 287 ) Total mortgage loans of consolidated VIE $ 4,548 $ 4,835 $ ( 287 ) The following table presents information about the accrual status of the loans of the Company’s consolidated VIE of residential mortgage loans as of June 30, 2022: Aggregate Fair Value Aggregate Unpaid Principal Balance Difference Less than 90 days past due and in accrual status $ 219,118 $ 236,145 $ ( 17,027 ) 90 days or more past due and in non-accrual status 1,338 1,338 — Total mortgage loans of consolidated VIE $ 220,456 $ 237,483 $ ( 17,027 ) |
Borrowings
Borrowings | 6 Months Ended |
Jun. 30, 2022 | |
Debt Disclosure [Abstract] | |
Borrowings | Note 9. Borrowings Repurchase Agreements The Company finances the purchase of mortgage investments through repurchase agreements, which are accounted for as collateralized borrowing arrangements. In a repurchase transaction, the Company sells a mortgage investment to a counterparty under a master repurchase agreement in exchange for cash and concurrently agrees to repurchase the same asset at a future date in an amount equal to the cash initially exchanged plus an agreed-upon amount of interest. Mortgage investments sold under agreements to repurchase remain on the Company’s consolidated balance sheets because the Company maintains effective control over such assets throughout the duration of the arrangement. Throughout the contractual term of a repurchase agreement, the Company recognizes a “repurchase agreement” liability on its consolidated balance sheets to reflect the obligation to repay to the counterparty the proceeds received upon the initial transfer of the mortgage investment. The difference between the proceeds received by the Company upon the initial transfer of the mortgage investment and the contractually agreed-upon repurchase price is recognized as interest expense ratably over the term of the repurchase arrangement. Amounts borrowed pursuant to repurchase agreements are equal in value to a specified percentage of the fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral throughout the term of the repurchase agreement. The counterparty to the repurchase agreements may require that the Company pledge additional securities or cash as additional collateral to secure borrowings when the value of the collateral declines. The Company’s MBS repurchase agreement arrangements generally carry a fixed rate of interest and are short-term in nature with contract durations generally ranging from 30 to 60 days , but may be as short as one day or as long as one year. The Company’s mortgage loan repurchase agreement arrangement has a maturity date of March 17, 2023 and an interest rate that resets monthly at a rate equal to SOFR plus 2.61 % . Under the terms of the Company’s mortgage loan repurchase agreement, the Company may request extensions of the maturity date of the agreement for up to 364 days, subject to the lender’s approval. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of the dates indicated: June 30, 2022 December 31, 2021 Agency MBS repurchase financing: Repurchase agreements outstanding $ 224,566 $ 425,836 Agency MBS collateral, at fair value (1) 237,373 447,979 Net amount (2) 12,807 22,143 Weighted-average rate 1.48 % 0.14 % Weighted-average term to maturity 14.0 days 13.0 days Non-agency MBS repurchase financing: Repurchase agreements outstanding $ 84,788 $ — MBS collateral, at fair value 99,901 — Net amount (2) 15,113 — Weighted-average rate 2.81 % Weighted-average term to maturity 17.0 days Mortgage loans repurchase financing: Repurchase agreements outstanding $ 20,640 $ 20,788 Mortgage loans collateral, at fair value 29,484 29,697 Net amount (2) 8,844 8,909 Weighted-average rate 3.77 % 2.60 % Weighted-average term to maturity 260.0 days 319.0 days Total mortgage investments repurchase financing: Repurchase agreements outstanding $ 329,994 $ 446,624 Mortgage investments collateral, at fair value (1) 366,758 477,676 Net amount (2) 36,764 31,052 Weighted-average rate 1.96 % 0.25 % Weighted-average term to maturity 30.2 days 27.2 days (1) As of December 31, 2021, includes $ 28,219 at sale price of unsettled agency MBS sale commitments which is included in the line item “sold securities receivable” in the accompanying consolidated balance sheets. (2) Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three and six months ended June 30, 2022 and 2021: June 30, 2022 June 30, 2021 Weighted-average outstanding balance during the three months ended $ 282,725 $ 652,624 Weighted-average rate during the three months ended 1.07 % 0.24 % Weighted-average outstanding balance during the six months ended $ 312,544 $ 603,233 Weighted-average rate during the six months ended 0.66 % 0.29 % As of June 30, 2022 , the Company had an amount at risk under repurchase agreements with Credit Suisse Securities (USA) LLC and affiliates that was 11.2 % of shareholders' equity that had a weighted average maturity of 65 days. The amount at risk is calculated as the value of the collateral in excess of the corresponding repurchase obligation. Long-Term Unsecured Debt As of June 30, 2022 and December 31, 2021 , the Company had $ 86,199 and $ 85,994 , respectively, of outstanding long-term unsecured debentures, net of unamortized debt issuance costs of $ 1,482 and $ 1,687 , respectively. The Company’s long-term unsecured debentures consisted of the following as of the dates indicated: June 30, 2022 December 31, 2021 Senior Senior Trust Senior Senior Trust Outstanding $ 34,931 $ 37,750 $ 15,000 $ 34,931 $ 37,750 $ 15,000 Annual 6.75 % 6.000 % LIBOR+ 2.25 - 3.00 % 6.75 % 6.000 % LIBOR+ 2.25 - 3.00 % Interest Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Weighted- 6.75 % 6.000 % 3.79 % 6.75 % 6.000 % 2.87 % Maturity March 15, 2025 August 1, 2026 2033 - 2035 March 15, 2025 August 1, 2026 2033 - 2035 On July 15, 2021, the Company completed a public offering of $ 37,750 of 6.000% Senior Notes due 2026 and received net proceeds of $ 36,570 after deducting underwriter discounts. On August 6, 2021, the Company redeemed all $ 23,821 in principal amount of its outstanding Senior Notes due 2023 at a redemption price of 100 % of the principal amount plus unpaid interest thereon. The Senior Notes due 2025 and the Senior Notes due 2026 are publicly traded on the New York Stock Exchange under the ticker symbols “AIC” and “AAIN,” respectively. The Senior Notes due 2025 and Trust Preferred Debt may be redeemed in whole or in part at any time and from time to time at the Company’s option at a redemption price equal to the principal amount plus accrued and unpaid interest. The Senior Notes due 2026 may be redeemed in whole or in part at any time and from time to time at the Company’s option on or after August 1, 2023 at a redemption price equal to the principal amount plus accrued and unpaid interest. The indenture governing the Senior Notes contains certain covenants, including limitations on the Company’s ability to merge or consolidate with other entities or sell or otherwise dispose of all or substantially all of the Company’s assets. Long-Term Debt Secured by Single-family Properties On September 28, 2021, McLean SFR Investment, LLC (“McLean SFR”), a wholly-owned subsidiary of Arlington Asset, entered into a loan agreement with a third-party lender to fund McLean SFR’s purchases of SFR properties. Under the terms of the loan agreement, loan advances may be drawn up to 74 % of the fair value of eligible SFR properties up to a maximum loan amount of $ 150,000 . Advances under the loan agreement may be drawn during the advance period, which ends on the earlier of the date the outstanding principal balance equals the maximum loan amount or March 28, 2023. The outstanding principal balance is due on October 9, 2026 and advances under the loan agreement bear interest at a fixed rate of 2.76 %. During the advance period, McLean SFR is subject to a commitment fee on the unfunded commitment if the outstanding loan balance is below certain thresholds. As of June 30, 2022 and December 31, 2021 , the outstanding balance was $ 122,770 and $ 39,178 , respectively, net of unamortized debt issuance costs of $ 237 and $ 264 , respectively. Through September 28, 2024, the outstanding principal balance may be prepaid in an amount equal to the excess of (i) the sum of the present value of all remaining scheduled payments of principal and interest on the principal amount of the loan being prepaid discounted using a U.S. Treasury rate over (ii) the outstanding principal balance of the loan. Subsequent to September 28, 2024, the outstanding principal balance may be prepaid in an amount equal to the outstanding principal balance plus accrued interest. On March 25, 2022, McLean SFR entered into a waiver agreement with the lender that would waive any prepayment fee determined in accordance with the prior sentence on the portion of outstanding loan balance prepaid with the sale proceeds from the potential sale of 376 SFR properties if the sale transaction is consummated by August 22, 2022 in exchange for a one-time waiver fee of 0.80% of the outstanding principal balance prepaid (See Footnote 7 - Investments in SFR Properties). The loan is secured by a first priority interest in all the assets of McLean SFR and a first priority pledge of the equity interest of McLean SFR. If the outstanding principal balance of the loan is greater than 74% of the fair value of the eligible collateral, McLean SFR is required to either pledge additional collateral or prepay the loan in an amount so that the outstanding principal balance does not exceed 74% of the fair value of the eligible collateral. Under the terms of the loan agreement, if McLean SFR does not maintain a minimum debt service coverage ratio for a specified time period, then all available cash of McLean SFR will be held as additional collateral for the loan amount until the minimum debt service coverage ratio is met. The obligations under the loan agreement may become recourse to Arlington Asset upon the occurrence of certain enumerated acts committed by McLean SFR or Arlington Asset. The loan agreement contains a minimum net worth financial covenant of Arlington Asset. |
Derivative Instruments
Derivative Instruments | 6 Months Ended |
Jun. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Note 10. Derivative Instruments In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments. Derivative instruments are recorded at fair value as either “other assets” or “other liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment and derivative gain (loss), net” in the consolidated statements of comprehensive income. Cash receipts or payments related to derivative instruments are classified as investing activities within the consolidated statements of cash flows. Types and Uses of Derivative Instruments Interest Rate Hedging Instruments The Company is party to interest rate hedging instruments that are intended to economically hedge changes, attributable to changes in benchmark interest rates, in certain MBS fair values and future interest cash flows on the Company’s short-term financing arrangements. Interest rate hedging instruments may include centrally cleared interest rate swaps, exchange-traded instruments, such as U.S. Treasury note futures, Eurodollar futures, interest rate swap futures and options on futures, and non-exchange-traded instruments such as options on agency MBS. While the Company uses its interest rate hedging instruments to economically hedge a portion of its interest rate risk, it has not designated such contracts as hedging instruments for financial reporting purposes. The Company exchanges cash “variation margin” with the counterparties to its interest rate hedging instruments at least on a daily basis based upon daily changes in fair value as measured by the Chicago Mercantile Exchange (“CME”), the central clearinghouse through which those instruments are cleared. In addition, the CME requires market participants to deposit and maintain an “initial margin” amount which is determined by the CME and is generally intended to be set at a level sufficient to protect the CME from the maximum estimated single-day price movement in that market participant’s contracts. However, futures commission merchants may require “initial margin” in excess of the CME’s requirement. Receivables recognized for the right to reclaim cash initial margin posted in respect of interest rate hedging instruments are included in the line item “deposits” in the accompanying consolidated balance sheets. The daily exchange of variation margin associated with a centrally cleared or exchange-traded hedging instrument is legally characterized as the daily settlement of the instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its interest rate swaps and futures as a direct reduction to the carrying value of the derivative asset or liability, respectively. The carrying amount of interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments generally represents the change in fair value that occurred on the last day of the reporting period. To-Be-Announced Agency MBS Transactions, Including “Dollar Rolls” In addition to interest rate hedging instruments that are used for interest rate risk management, the Company is a party to derivative instruments that economically serve as investments, such as forward commitments to purchase fixed-rate “pass-through” agency MBS on a non-specified pool basis, which are known as to-be-announced (“TBA”) securities. A TBA security is a forward commitment for the purchase or sale of a fixed-rate agency MBS at a predetermined price, face amount, issuer, coupon, and stated maturity for settlement on an agreed upon future date. The specific agency MBS that will be delivered to satisfy the TBA trade is not known at the inception of the trade. The specific agency MBS to be delivered is determined 48 hours prior to the settlement date. The Company accounts for TBA securities as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA commitment that its settlement will result in physical delivery of the underlying agency MBS, or the individual TBA commitment will not settle in the shortest time period possible. The Company’s agency MBS investment portfolio may include net purchase (or “net long”) positions in TBA securities, which are primarily the result of executing sequential series of “dollar roll” transactions. The Company executes dollar roll transactions as a means of investing in and financing non-specified fixed-rate agency MBS. Such transactions involve effectively delaying (or “rolling”) the settlement of a forward purchase of a TBA agency MBS by entering into an offsetting sale with the same counterparty prior to the settlement date, net settling the “paired-off” positions in cash, and contemporaneously entering, with the same counterparty, another forward purchase of a TBA agency MBS of the same characteristics for a later settlement date. TBA securities purchased for a forward settlement month are generally priced at a discount relative to TBA securities sold for settlement in the current month. This discount, often referred to as the dollar roll “price drop,” reflects compensation for the net interest income (interest income less financing costs) that is foregone as a result of relinquishing beneficial ownership of the MBS for the duration of the dollar roll (also known as “dollar roll income”). By executing a sequential series of dollar roll transactions, the Company is able to create the economic experience of investing in an agency MBS, financed with a repurchase agreement, over a period of time. Forward purchases and sales of TBA securities are accounted for as derivative instruments in the Company’s financial statements. Accordingly, dollar roll income is recognized as a component of “investment and derivative gain (loss), net” along with all other periodic changes in the fair value of TBA commitments. In addition to transacting in net long positions in TBA securities for investment purposes, the Company may also, from time to time, transact in net sale (or “net short”) positions in TBA securities for the purpose of economically hedging a portion of the sensitivity of the fair value of the Company’s investments in agency MBS to changes in interest rates. In addition to TBA transactions, the Company may, from time to time, enter into commitments to purchase or sell specified agency MBS that do not qualify as regular-way security trades. Such commitments are also accounted for as derivative instruments. Under the terms of commitments to purchase or sell TBAs or specified agency MBS, the daily exchange of variation margin may occur based on changes in the fair value of the underlying agency MBS if a party to the transaction demands it. Receivables recognized for the right to reclaim cash collateral posted by the Company in respect of agency MBS purchase or sale commitments is included in the line item “deposits” in the accompanying consolidated balance sheets. Liabilities recognized for the obligation to return cash collateral received by the Company in respect of agency MBS purchase or sale commitments is included in the line item “other liabilities” in the accompanying consolidated balance sheets. Derivative Instrument Population and Fair Value The following table presents the fair value of the Company’s derivative instruments as of the dates indicated: June 30, 2022 December 31, 2021 Assets Liabilities Assets Liabilities Interest rate swaps $ — $ ( 1,008 ) $ — $ ( 107 ) 10-year U.S. Treasury note futures — — 16 — Options on U.S. Treasury note futures — — 4 — TBA commitments 1,216 ( 879 ) 230 ( 121 ) Total $ 1,216 $ ( 1,887 ) $ 250 $ ( 228 ) Interest Rate Swaps The Company’s LIBOR based interest rate swap agreements represent agreements to make semiannual interest payments based upon a fixed interest rate and receive quarterly variable interest payments based upon the prevailing three-month LIBOR as of the preceding reset date. The Company’s Secured Overnight Financing Rate (“SOFR”) based interest rate swap agreements represent agreements to make annual interest payments based upon a fixed interest rate and receive annual variable interest payments based upon the daily SOFR over the preceding annual period. T he following table presents information about the Company’s interest rate swap agreements that were in effect as of June 30, 2022: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive (Pay) Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 130,000 1.32 % 1.22 % ( 0.10 )% 1.5 $ ( 279 ) 3 to less than 10 years 100,000 1.68 % 1.30 % ( 0.38 )% 5.4 ( 729 ) Total / weighted-average $ 230,000 1.48 % 1.25 % ( 0.23 )% 3.2 $ ( 1,008 ) The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2021: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 50,000 0.71 % 0.13 % ( 0.58 )% 1.8 $ ( 5 ) 3 to less than 10 years 100,000 0.90 % 0.13 % ( 0.77 )% 6.6 ( 102 ) Total / weighted-average $ 150,000 0.84 % 0.13 % ( 0.71 )% 5.0 $ ( 107 ) U.S. Treasury Note Futures The Company may purchase (“long”) or sell (“short”) exchange-traded U.S. Treasury note futures with the objective of economically hedging a portion of its interest rate risk. Upon the maturity date of these futures contracts, the Company has the option to either net settle each contract in cash in an amount equal to the difference between the then-current fair value of the underlying U.S. Treasury note and the contractual sale price inherent to the futures contract, or to physically settle the contract by purchasing or delivering the underlying U.S. Treasury note. As of June 30, 2022 , the Company had no outstanding positions of U.S. Treasury note futures. As of December 31, 2021, the Company held long positions of 10-year U.S. Treasury note futures with an aggregate notional amount of $ 25,000 with a maturity date in March 2022. Options on U.S. Treasury Note Futures The Company may purchase or sell exchange-traded options on U.S. Treasury note futures contracts with the objective of economically hedging a portion of the sensitivity of its investments in agency MBS to significant changes in interest rates. The Company may purchase put or call options which provide the Company with the right to sell to a counterparty or purchase from a counterparty U.S. Treasury note futures, and the Company may also write put or call options that provide a counterparty with the option to sell to the Company or buy from the Company U.S. Treasury note futures. The options may be exercised at any time prior to their expiry, and if exercised, may be net settled in cash or through physical receipt or delivery of the underlying futures contracts. As of June 30, 2022 , the Company had no outstanding options on U.S. Treasury note futures contracts. Information about the Company’s outstanding options on 10-year U.S. Treasury note futures contracts as of December 31, 2021 is as follows: Notional Amount Weighted-average Strike Price Implied Strike (1) Net Fair Value Purchased call options: January 2022 expiration $ 25,000 134.5 1.00 % $ 4 (1) The implied strike rate is estimated based upon the weighted average strike price per contract and the price of an equivalent 10-year U.S. Treasury note futures contract. TBA Commitments The following tables present information about the Company’s TBA commitments as of the dates indicated: June 30, 2022 Notional Amount: Contractual Forward Price Market Price Fair Value 2.5% 30-year MBS sale commitments $ ( 25,000 ) $ ( 22,649 ) $ ( 22,472 ) $ 177 3.0% 30-year MBS sale commitments ( 30,000 ) ( 27,970 ) ( 27,932 ) 38 3.5% 30-year MBS sale commitments ( 100,000 ) ( 95,486 ) ( 96,172 ) ( 686 ) 4.5% 30-year MBS purchase commitments 50,000 50,121 50,195 74 4.5% 30-year MBS sale commitments ( 50,000 ) ( 50,929 ) ( 50,195 ) 734 Total TBA commitments, net $ ( 155,000 ) $ ( 146,913 ) $ ( 146,576 ) $ 337 December 31, 2021 Notional Amount: Contractual Forward Price Market Price Fair Value 2.5% 30-year MBS purchase commitments $ 225,000 $ 229,043 $ 229,148 $ 105 2.5% 30-year MBS sale commitments ( 225,000 ) ( 229,152 ) ( 229,148 ) 4 Total TBA commitments, net $ — $ ( 109 ) $ — $ 109 Derivative Instrument Gains and Losses The following tables provide information about the derivative gains and losses recognized within the periods indicated: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Interest rate derivatives: Interest rate swaps: Net interest expense (1) $ ( 282 ) $ ( 1,187 ) $ ( 573 ) $ ( 1,897 ) Unrealized gains (losses), net 3,231 ( 13,517 ) 6,697 7,548 Gains (losses) realized upon early termination, net 288 ( 1,258 ) 3,449 ( 1,271 ) Total interest rate swap gains (losses), net 3,237 ( 15,962 ) 9,573 4,380 U.S. Treasury note futures, net — 91 ( 782 ) 2,710 Options on U.S. Treasury note futures, net — — ( 4 ) ( 20 ) Total interest rate derivative gains (losses), net 3,237 ( 15,871 ) 8,787 7,070 TBA commitments: TBA dollar roll income (2) 280 1,778 1,103 2,614 Other losses on TBA commitments, net ( 263 ) ( 890 ) ( 4,969 ) ( 10,122 ) Total gains (losses) on TBA commitments, net 17 888 ( 3,866 ) ( 7,508 ) Total derivative gains (losses), net $ 3,254 $ ( 14,983 ) $ 4,921 $ ( 438 ) (1) Represents the periodic net interest settlement incurred during the period (often referred to as “net interest carry”). Also includes “price alignment interest” income earned or expense incurred on cumulative variation margin paid or received, respectively, associated with centrally cleared interest rate swap agreements. (2) Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase. Derivative Instrument Activity The following tables summarize the volume of activity, in terms of notional amount, related to derivative instruments for the periods indicated: For the Three Months Ended June 30, 2022 Beginning of Additions Scheduled Early End of Period Interest rate swaps $ 175,000 $ 75,000 $ — $ ( 20,000 ) $ 230,000 TBA commitments, net — 430,000 ( 275,000 ) — 155,000 For the Three Months Ended June 30, 2021 Beginning of Additions Scheduled Settlements Early End of Period Interest rate swaps $ 675,000 $ — $ — $ ( 150,000 ) $ 525,000 10-year U.S. Treasury note futures — 165,000 ( 120,000 ) — 45,000 Purchased call options on 10-year U.S. 65,200 — ( 65,200 ) — — TBA commitments, net 100,000 450,000 ( 550,000 ) — — For the Six Months Ended June 30, 2022 Beginning of Additions Scheduled Early End of Period Interest rate swaps $ 150,000 $ 145,000 $ — $ ( 65,000 ) $ 230,000 10-year U.S. Treasury note futures 25,000 50,000 ( 50,000 ) ( 25,000 ) — Purchased call options on 10-year U.S. 25,000 — ( 25,000 ) — — TBA commitments, net — 755,000 ( 600,000 ) — 155,000 For the Six Months Ended June 30, 2021 Beginning of Additions Scheduled Settlements Early End of Period Interest rate swaps $ 275,000 $ 450,000 $ — $ ( 200,000 ) $ 525,000 2-year U.S. Treasury note futures — 50,000 ( 50,000 ) — — 10-year U.S. Treasury note futures — 540,100 ( 320,000 ) ( 175,100 ) 45,000 Purchased call options on 10-year U.S. — 65,200 ( 65,200 ) — — TBA commitments, net — 1,365,000 ( 1,365,000 ) — — Cash Collateral Posted and Received for Derivative and Other Financial Instruments The following table presents information about the cash collateral posted by the Company in respect of its derivative and other financial instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets, for the dates indicated: June 30, 2022 December 31, 2021 Cash collateral posted for: Interest rate swaps (cash initial margin) $ 4,084 $ 4,174 U.S. Treasury note futures (cash initial margin) — 375 Repurchase agreements 539 — Total cash collateral posted, net $ 4,623 $ 4,549 |
Offsetting of Financial Assets
Offsetting of Financial Assets and Liabilities | 6 Months Ended |
Jun. 30, 2022 | |
Offsetting [Abstract] | |
Offsetting of Financial Assets and Liabilities | Note 11. Offsetting of Financial Assets and Liabilities The agreements that govern certain of the Company’s derivative instruments and collateralized short-term financing arrangements provide for a right of setoff in the event of default or bankruptcy with respect to either party to such transactions. The Company presents derivative assets and liabilities as well as collateralized short-term financing arrangements on a gross basis. Receivables recognized for the right to reclaim cash initial margin posted in respect of interest rate derivative instruments are included in the line item “deposits” in the accompanying consolidated balance sheets. The daily exchange of variation margin associated with a centrally cleared or exchange-traded derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its interest rate swaps and futures as a direct reduction to the carrying value of derivative asset or liability, respectively. The carrying amount of interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments generally represents the change in fair value that occurred on the last day of the reporting period. The following tables present information, as of the dates indicated, about the Company’s derivative instruments, short-term borrowing arrangements, and associated collateral, including those subject to master netting (or similar) arrangements: As of June 30, 2022 Gross Amount Amount Offset Net Amount Gross Amount Not Offset in the Net Financial (1) Cash (2) Assets: Derivative instruments: TBA commitments $ 1,216 $ — $ 1,216 $ ( 879 ) $ — $ 337 Total derivative instruments 1,216 — 1,216 ( 879 ) — 337 Total assets $ 1,216 $ — $ 1,216 $ ( 879 ) $ — $ 337 Liabilities: Derivative instruments: Interest rate swaps $ 1,008 $ — $ 1,008 $ — $ ( 1,008 ) $ — TBA commitments 879 — 879 ( 879 ) — — Total derivative instruments 1,887 — 1,887 ( 879 ) ( 1,008 ) — Repurchase agreements 329,994 — 329,994 ( 329,994 ) — — Total liabilities $ 331,881 $ — $ 331,881 $ ( 330,873 ) $ ( 1,008 ) $ — As of December 31, 2021 Gross Amount Amount Offset Net Amount Gross Amount Not Offset in the Net Financial (1) Cash (2) Assets: Derivative instruments: TBA commitments $ 230 $ — $ 230 $ ( 105 ) $ — $ 125 10-year U.S. Treasury note futures 16 — 16 — — 16 Options on U.S. Treasury note futures 4 — 4 — — 4 Total derivative instruments 250 — 250 ( 105 ) — 145 Total assets $ 250 $ — $ 250 $ ( 105 ) $ — $ 145 Liabilities: Derivative instruments: Interest rate swaps $ 107 $ — $ 107 $ — $ ( 107 ) $ — TBA commitments 121 — 121 ( 105 ) — 16 Total derivative instruments 228 — 228 ( 105 ) ( 107 ) 16 Repurchase agreements 446,624 — 446,624 ( 446,624 ) — — Total liabilities $ 446,852 $ — $ 446,852 $ ( 446,729 ) $ ( 107 ) $ 16 (1) Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets. (2) Does not include the amount of cash collateral pledged in respect of derivative instruments and repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets . |
Fair Value Measurements
Fair Value Measurements | 6 Months Ended |
Jun. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements Fair Value of Financial Instruments The accounting principles related to fair value measurements define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures , establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three broad levels, giving the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3) as described below: Level 1 Inputs - Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company at the measurement date; Level 2 Inputs - Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and Level 3 Inputs - Unobservable inputs for the asset or liability, including significant judgments made by the Company about the assumptions that a market participant would use. The Company measures the fair value of the following assets and liabilities: Investments in Financial Assets Agency MBS - The Company’s investments in agency MBS are classified within Level 2 of the fair value hierarchy. Inputs to fair value measurements of the Company’s investments in agency MBS include price estimates obtained from third-party pricing services. In determining fair value, third-party pricing services use a market approach. The inputs used in the fair value measurements performed by the third-party pricing services are based upon readily observable transactions for securities with similar characteristics (such as issuer/guarantor, coupon rate, stated maturity, and collateral pool characteristics) occurring on the measurement date. The Company makes inquiries of the third-party pricing sources and reviews their documented valuation methodologies to understand the significant inputs and assumptions used to determine prices. The Company reviews the various third-party fair value estimates and performs procedures to validate their reasonableness, including comparison to recent trading activity for similar securities and an overall review for consistency with market conditions observed as of the measurement date. Credit securities – The Company's investments in commercial MBS are classified within Level 2 of the fair value hierarchy. Inputs to fair value measurements of the Company's investments in commercial MBS include quoted prices for similar assets in recent market transactions and estimates obtained from third-party sources including pricing services and dealers. In determining fair value, third-party pricing sources use a market approach. The inputs used in the fair value measurements performed by third-party pricing sources are based upon observable transactions for securities with similar characteristics. The Company reviews the third-party fair value estimates and performs procedures to validate their reasonableness, including comparisons to recent trading activity observed for similar securities as well as an internally derived discounted future cash flow measurement. The Company’s investments in a non-agency MBS collateralized by a pool of business purpose residential mortgage loans and ABS collateralized by residential solar panel loans are classified within Level 3 of the fair value hierarchy. To measure the fair value of the Company’s non-agency MBS investment secured by a pool of business purpose residential mortgage loans, the Company uses an income approach by preparing an estimate of the present value of the amount and timing of the cash flows expected to be collected from the security over its expected remaining life. To prepare the estimate of cash flows expected to be collected, the Company uses significant judgment to develop assumptions about the future performance of the pool of business purpose residential mortgage loans that serve as collateral, including loan-level probabilities of default and loss-given-default. As of June 30, 2022 and December 31, 2021 , the remaining population of business purpose residential mortgage loans serving as collateral to the Company's non-agency MBS investment represented less than 10 % of the original collateral pool. Because the repayment of business purpose residential mortgage loans is often largely based on the ability of the borrower to sell the mortgaged property or to convert the property for rental purposes and obtain refinancing in the form of a longer-term loan, relatively high delinquency and default rates are common and expected attributes of this asset class. The following table presents the weighted-average of the significant inputs to the fair value measurement of the Company’s non-agency MBS secured by business purpose residential mortgage loans as of dates indicated: June 30, 2022 December 31, 2021 Annualized default rate 81.6 % 77.7 % Loss-given-default 13.8 % 15.8 % Inputs to fair value measurements of the Company’s investments in ABS collateralized by residential solar panel loans includes quoted prices obtained from dealers and, when available, observable market information for the same or similar securities. In determining fair value, dealers may use a market approach or an income approach, depending upon the type and level of relevant market information available as of the measurement date. The significant inputs used in the fair value measurements performed by dealers are often unobservable as ABS collateralized by residential solar panel loans trade infrequently. The Company reviews the fair value estimates obtained from dealers and performs procedures to validate their reasonableness, including comparisons to an internally derived discounted future cash flow measurement and, when available, recent trading activity observed for similar securities. Loans – The Company’s commercial mortgage loan investment is classified within Level 3 of the fair value hierarchy. To measure the fair value of its mortgage loan investment, the Company uses an income approach by preparing an estimate of the present value of the expected future cash flows of the loan over its expected remaining life, discounted at a current market rate. The significant unobservable inputs to the fair value measurement of the Company’s mortgage loan investment are the estimated probability of default and the discount rate, which is based on current market yields and interest rate spreads for a similar loan. As of June 30, 2022 , the estimated probability of default and discount rate for the Company’s mortgage loan investment were 0 % and 6.6 %, respectively. As of December 31, 2021 , the estimated probability of default and discount rate for the Company’s mortgage loan investment were 0 % and 5.6 %, respectively. Mortgage loans and secured debt of consolidated VIEs – The Company has elected to apply a fair value measurement practical expedient permitted by GAAP to measure the fair value of the mortgage loans and debt obligations of its consolidated VIEs. The fair value measurement practical expedient is permitted to be applied to consolidated “collateralized financing entities,” which are VIEs for which the financial liabilities of the VIE have contractual recourse solely to the financial assets of the VIE. As of June 30, 2022 and December 31, 2021, pursuant to the practical expedient, the Company measured the fair value of both the mortgage loans and the debt obligations of its consolidated VIE of business purpose residential mortgage loans based upon the fair value of the mortgage loans of the VIE. As of December 31, 2021, the senior debt obligations of the consolidated VIE had been fully extinguished and only the subordinate debt obligation of the consolidated VIE remained. The business purpose residential mortgage loans and subordinate debt obligation of the consolidated VIE are classified within Level 3 of the fair value hierarchy. To measure the fair value of the business purpose residential mortgage loans of the consolidated VIE as of June 30, 2022 and December 31, 2021, the Company used significant judgment to develop assumptions about the future performance of each business purpose residential mortgage loan, which included determining loan-level probabilities of default and loss-given-default. As of June 30, 2022 and December 31, 2021 , the remaining population of business purpose residential mortgage loans represented less than 10 % of the original collateral pool. Because the repayment of business purpose residential mortgage loans is often largely based on the ability of the borrower to sell the mortgaged property or to convert the property for rental purposes and obtain refinancing in the form of a longer-term loan, relatively high delinquency and default rates are common and expected attributes of this asset class. The following table presents the weighted-average of the significant inputs to the fair value measurement of the business purpose residential mortgage loans of the Company’s consolidated VIE as of the periods indicated: June 30, 2022 December 31, 2021 Probability of default 85.5 % 66.2 % Loss-given-default 6.8 % 8.6 % As of June 30, 2022, the Company measured the fair value of both the residential mortgage loans and the debt obligations of its consolidated VIE of residential mortgage loans based upon the fair value of the debt obligations as the fair value of the debt securities issued by the VIE were more observable to the Company than the fair value of the underlying mortgage loans. The senior and mezzanine debt obligations of the consolidated VIE of residential mortgage loans are classified within Level 2 of the fair value hierarchy. Inputs to the fair value measurements of the senior and mezzanine debt obligations of the consolidated VIE include quoted prices for similar assets in recent market transactions and estimates obtained from third-party pricing sources, including pricing services and dealers. In determining fair value, third-party pricing sources use a market approach. The inputs used in the fair value measurements performed by third-party pricing sources were based upon observable transactions for securities with similar characteristics. The residential mortgage loans and the subordinate and excess interest-only debt obligations of the consolidated VIE of residential mortgage loans (held by the Company as investments and eliminated against the associated debt of the VIE in consolidation) are classified within Level 3 of the fair value hierarchy. To measure the fair value of the subordinate and excess interest-only debt obligations of the consolidated VIE of residential mortgage loans, the Company uses an income approach by preparing an estimate of the present value of the amount and timing of the cash flows expected to be collected from each security over its expected remaining life. To prepare the estimate of cash flows expected to be collected, the Company uses significant judgment to develop assumptions about the future performance of the pool of residential mortgage loans that serve as collateral, including assumptions about the timing and amount of credit losses and prepayments. The significant unobservable inputs to the fair value measurement include the estimated rate of prepayment, rate of default and loss-given-default for the underlying pool of mortgage loans as well as the discount rate, which represents a market participant’s current required rate of return for a similar instrument. The following table presents the weighted-average of the significant inputs to the fair value measurement of the subordinate and excess interest-only debt obligations of its consolidated VIE of residential mortgage loans as of June 30, 2022: Subordinate Debt Obligation Excess Interest-Only Debt Obligations Annualized voluntary prepayment rate 18.5 % 18.5 % Annualized default rate 0.5 % 0.5 % Loss-given-default 17.5 % 17.5 % Discount rate 7.3 % 17.7 % MSR financing receivables – The Company’s MSR financing receivables are classified within Level 3 of the fair value hierarchy. The Company uses a nationally recognized, independent third-party mortgage analytics and valuation firm to estimate the fair value of the underlying MSRs from which the Company’s MSR financing receivables primarily derive their value. The third-party valuation firm estimates the fair value of the underlying MSRs using a discounted cash flow analysis using their proprietary prepayment models and market analysis. The Company corroborates the third-party valuation firm’s estimate of the fair value of the underlying MSRs and evaluates the estimate for reasonableness. The significant unobservable inputs to the fair value measurement of the underlying MSRs include the following: • the discount rate, which represents a market participant’s current required rate of return for similar MSRs; • expected rates of prepayment within the serviced pools of mortgage loans; and • annual per-loan cost of servicing. The following table presents the significant unobservable inputs to the fair value measurement of the MSRs underlying the Company’s MSR financing receivables as of the periods indicated: June 30, 2022 December 31, 2021 Discount rate 8.0 % 9.0 % Annualized prepayment rate 7.1 % 10.1 % Annual per-loan cost of servicing (current loans) $ 65.00 $ 65.00 Pursuant to the Company’s MSR financing receivable arrangements, upon the consummation of three-year performance periods ending December 31, 2023 and April 1, 2024, the Company’s mortgage servicing counterparty is entitled to an incentive fee payment equal to a percentage of the total return of the underlying MSRs in excess of a hurdle rate of return. Accordingly, the fair value of the Company’s MSR financing receivables reflects the present value of any expected incentive fee payment that would be owed to its counterparty. The present value of the expected incentive fee payment is estimated based upon the timing and amount of capital contributions from (and cash distributions to) the Company to (from) its mortgage servicing counterparty to date as well as the future expected cash flows from the MSR financing receivables over the remaining performance periods, which is derived from the current fair value of the underlying reference MSRs. As of June 30, 2022 and December 31, 2021 , the present value of the expected incentive fee payment reflected in fair value of the Company’s MSR financing receivables was $ 11,511 and $ 3,820 , respectively. Derivative instruments Exchange-traded derivative instruments - Exchange-traded derivative instruments, which include U.S. Treasury note futures, Eurodollar futures, interest rate swap futures, and options on futures, are classified within Level 1 of the fair value hierarchy as they are measured using quoted prices for identical instruments in liquid markets. Interest rate swaps - Interest rate swaps are classified within Level 2 of the fair value hierarchy. The fair values of the Company’s centrally cleared interest rate swaps are measured using the daily valuations reported by the clearinghouse through which the instrument was cleared. In performing its end-of-day valuations, the clearinghouse constructs forward interest rate curves (for example, three-month LIBOR or SOFR forward rates) from its specific observations of that day’s trading activity. The clearinghouse uses the applicable forward interest rate curve to develop a market-based forecast of future remaining contractually required cash flows for each interest rate swap. Each market-based cash flow forecast is then discounted using the SOFR curve (sourced from the Federal Reserve Bank of New York) to determine a net present value amount which represents the instrument’s fair value. Forward-settling purchases and sales of TBA securities – Forward-settling purchases and sales of TBA securities are classified within Level 2 of the fair value hierarchy. The fair value of each forward-settling TBA contract is measured using price estimates obtained from a third-party pricing service, which are based upon readily observable transaction prices occurring on the measurement date for forward-settling contracts to buy or sell TBA securities with the same guarantor, contractual maturity, and coupon rate for delivery on the same forward settlement date as the commitment under measurement. Other Long-term unsecured debt - As of June 30, 2022 and December 31, 2021 , the carrying value of the Company’s long-term unsecured debt was $ 86,199 and $ 85,994 , respectively, net of unamortized debt issuance costs, and consists of Senior Notes and trust preferred debt issued by the Company. The Company’s estimate of the fair value of long-term unsecured debt is $ 81,350 and $ 84,821 as of June 30, 2022 and December 31, 2021, respectively. The Company’s Senior Notes, which are publicly traded on the New York Stock Exchange, are classified within Level 1 of the fair value hierarchy. Trust preferred debt is classified within Level 2 of the fair value hierarchy as the fair value is estimated based on the quoted prices of the Company’s publicly traded Senior Notes. Long-term debt secured by single-family properties – As of June 30, 2022 and December 31, 2021 , the carrying value of the Company’s long-term debt secured by single-family properties was $ 122,770 and $ 39,178 , respectively, net of unamortized debt issuance costs. As of June 30, 2022 and December 31, 2021 , the Company’s estimate of the fair value of its long-term debt secured by single-family properties was $ 112,019 and $ 38,562 , respectively. The Company’s long-term debt secured by single-family properties is classified within Level 3 of the fair value hierarchy. Investments in equity securities of publicly-traded companies – As of June 30, 2022 and December 31, 2021 , the Company had investments in equity securities of publicly-traded companies at fair value of $ 511 and $ 5,267 , respectively, which is included in the line item “other assets” in the accompanying consolidated balance sheets. Investments in publicly traded stock are classified within Level 1 of the fair value hierarchy as their fair value is measured based on unadjusted quoted prices in active exchange markets for identical assets. Investments in equity securities of non-public companies and investment funds – As of June 30, 2022 and December 31, 2021 , the Company had investments in equity securities of non-public companies and investment funds measured at fair value of $ 5,235 and $ 7,388 , respectively, which are included in the line item “other assets” in the accompanying consolidated balance sheets. Investments in equity securities of non-public companies and investment funds are classified within Level 3 of the fair value hierarchy. The fair values of the Company’s investments in equity securities of non-public companies and investment funds are not readily determinable. Accordingly, the Company estimates fair value by estimating the enterprise value of the investee which it then allocates to the investee’s securities in the order of their preference relative to one another. To estimate the enterprise value of the investee, the Company uses traditional valuation methodologies based on income and market approaches, including the consideration of recent investments in, or tender offers for, the equity securities of the investee, a discounted cash flow analysis and a comparable guideline public company valuation. The primary unobservable inputs used in estimating the fair value of an equity security of a non-public company include (i) a stock price to net asset multiple for similar public companies that is applied to the entity’s net assets, (ii) a discount factor for lack of marketability and control, and (iii) a cost of equity discount rate, used to discount to present value the equity cash flows available for distribution and the terminal value of the entity. As of June 30, 2022 , the stock price to net asset multiple for similar public companies, the discount factor for lack of marketability and control, and the cost of equity discount rate used as inputs were 97 percent, 15 per cent, and 16 percent, respectively. As of December 31, 2021 , the stock price to net asset multiple for similar public companies, the discount factor for lack of marketability and control, and the cost of equity discount rate used as inputs were 95 percent, 15 percent, and 16 percent, respectively. For its investments in investment funds, the Company estimates fair value based upon the investee’s net asset value per share. Financial assets and liabilities for which carrying value approximates fair value - Cash and cash equivalents, restricted cash, deposits, receivables, repurchase agreements, payables, and other assets (aside from those previously discussed) and liabilities are generally reflected in the consolidated balance sheets at their cost, which, due to the short-term nature of these instruments and their limited inherent credit risk, approximates fair value. Fair Value Hierarchy Financial Instruments Measured at Fair Value on a Recurring Basis The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of June 30, 2022 and December 31, 2021. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. June 30, 2022 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 382,357 $ — $ 382,357 $ — MSR financing receivables 120,260 — — 120,260 Loans 29,484 — — 29,484 Credit securities 113,419 — 99,901 13,518 Mortgage loans of consolidated VIEs 225,004 — — 225,004 Derivative assets 1,216 — 1,216 — Other assets 5,746 511 — 5,235 Financial liabilities: Secured debt of consolidated VIEs 205,497 — 193,976 11,521 Derivative liabilities 1,887 — 1,887 — December 31, 2021 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 483,927 $ — $ 483,927 $ — MSR financing receivables 125,018 — — 125,018 Loans 29,697 — — 29,697 Credit securities 26,222 — — 26,222 Mortgage loans of consolidated VIE 7,442 — — 7,442 Derivative assets 250 20 230 — Other assets 12,655 5,267 — 7,388 Financial liabilities: Secured debt of consolidated VIE 508 — — 508 Derivative liabilities 228 — 228 — Level 3 Financial Assets and Liabilities The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial assets that are measured at fair value on a recurring basis for the periods indicated: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Beginning balance $ 463,318 $ 157,714 $ 195,767 $ 166,428 Net (loss) gain included in "Investment and derivative ( 13,599 ) ( 1,183 ) 1,616 5,135 Additions from consolidation of VIEs — — 276,594 — Transfers to real estate owned by consolidated VIE ( 199 ) — ( 199 ) — Purchases 18,032 72,669 21,219 93,013 Sales ( 12,406 ) ( 1,662 ) ( 12,406 ) ( 1,662 ) Payments, net ( 64,763 ) ( 22,764 ) ( 95,381 ) ( 59,540 ) Accretion (amortization) of discount (premium), net 3,118 1,955 6,291 3,355 Ending balance $ 393,501 $ 206,729 $ 393,501 $ 206,729 Net unrealized (losses) gains included in earnings for the $ ( 13,037 ) $ ( 1,108 ) $ 2,647 $ 5,215 The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial liabilities that are measured at fair value on a recurring basis for the periods indicated: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Beginning balance $ 13,615 $ 611 $ 508 $ 576 Net (gain) loss included in "Investment and derivative ( 1,081 ) 29 ( 1,332 ) ( 10 ) Additions from consolidation of VIEs — — 14,278 — Payments, net ( 936 ) — ( 1,796 ) — (Amortization) accretion of (premium) discount, net ( 77 ) — ( 137 ) 74 Ending balance $ 11,521 $ 640 $ 11,521 $ 640 Net unrealized (gains) losses included in earnings for the $ ( 1,081 ) $ 29 $ ( 1,332 ) $ ( 10 ) |
Income Taxes
Income Taxes | 6 Months Ended |
Jun. 30, 2022 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 13. Income Taxes The Company has elected to be taxed as a REIT under the Internal Revenue Code commencing upon filing its tax return for its taxable year ended December 31, 2019. As a REIT, the Company is required to distribute annually 90 % of its REIT taxable income. So long as the Company continues to qualify as a REIT, it will generally not be subject to U.S. federal or state corporate income taxes on its taxable income to the extent that it distributes all of its annual taxable income to its shareholders on a timely basis. At present, it is the Company’s intention to distribute 100 % of its taxable income, although the Company will not be required to do so. The Company intends to make distributions of its REIT taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. Accordingly, the Company does not expect to incur an income tax liability on its REIT taxable income. As of June 30, 2022 , the Company had estimated federal net operating loss (“NOL”) carryforwards of $ 167,491 that can be used to offset future taxable ordinary income and reduce its REIT distribution requirements. NOL carryforwards totaling $ 14,588 expire in 2028 and NOL carryforwards totaling $ 152,903 have no expiration period. For the NOL carryforwards that have no expiration period, the Company is limited to utilizing NOL carryforwards to 80 % of the taxable income in any one year. As of June 30, 2022 , the Company had estimated federal net capital loss (“NCL”) carryforwards of $ 171,835 that can be used to offset future net capital gains. The scheduled expirations of the Company’s NCL carryforwards are $ 3,763 in 2022, $ 110,323 in 2023, $ 13,036 in 2026 and $ 44,713 in 2027. The Company’s estimated NOL and NCL carryforwards as of June 30, 2022 are subject to potential adjustments up to the time of filing of the Company’s income tax returns. The Company and certain subsidiaries have made joint elections to treat such subsidiaries as taxable REIT subsidiaries (“TRSs”). 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. As such, each of these TRSs is taxable as a C corporation and subject to federal, state and local income taxes based upon their taxable income. For the three months ended June 30, 2022 and 2021 , the Company recognized a provision (benefit) for income taxes of $ 802 and $( 76 ), respectively, on the pre-tax net income of its TRSs. For the six months ended June 30, 2022 and 2021 , the Company recognized a provision for income taxes of $ 3,089 and $ 322 , respectively, on the pre-tax income of its TRSs. The Company recognizes uncertain tax positions in the financial statements only when it is more-likely-than-not that the position will be sustained upon examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more-likely-than-not be realized upon settlement. A liability is established for differences between positions taken in a tax return and the financial statements. As of June 30, 2022 and December 31, 2021, the Company assessed the need for recording a provision for any uncertain tax position and has made the determination that such provision is not necessary. If the Company were to incur income tax related interest and penalties, the Company’s policy is to classify them as a component of provision for income taxes. The Company is subject to examination by the Internal Revenue Service (“IRS”) and state and local authorities in jurisdictions where the Company has significant business operations. The Company’s federal tax returns for 2018 and forward remain subject to examination by the IRS. |
Earnings (Loss) Per Share
Earnings (Loss) Per Share | 6 Months Ended |
Jun. 30, 2022 | |
Earnings Per Share [Abstract] | |
Earnings (Loss) Per Share | Note 14. Earnings (Loss) Per Share Basic earnings (loss) per share includes no dilution and is computed by dividing net income or loss applicable to common stock by the weighted-average number of common shares outstanding for the respective period. Diluted earnings per share includes the impact of dilutive securities such as unvested shares of restricted stock, restricted stock units, and performance share units. The following table presents the computations of basic and diluted earnings (loss) per share for the periods indicated: Three Months Ended June 30, Six Months Ended June 30, (Shares in thousands) 2022 2021 2022 2021 Basic weighted-average common shares outstanding 28,766 33,066 29,296 33,123 Performance share units, unvested restricted stock units, — — — — Diluted weighted-average common shares outstanding 28,766 33,066 29,296 33,123 Net loss attributable to common stock $ ( 400 ) $ ( 7,782 ) $ ( 3,843 ) $ ( 14,545 ) Basic loss per common share $ ( 0.01 ) $ ( 0.24 ) $ ( 0.13 ) $ ( 0.44 ) Diluted loss per common share $ ( 0.01 ) $ ( 0.24 ) $ ( 0.13 ) $ ( 0.44 ) The diluted loss per share for the three and six months ended June 30, 2022 did not include the antidilutive effect of 534,170 and 508,274 shares of unvested shares of restricted stock, restricted stock units, and performance share units, respectively. The diluted loss per share for the three and six months ended June 30, 2021 did not include the antidilutive effect of 358,127 and 310,769 shares of unvested shares of restricted stock, restricted stock units, and performance share units, respectively. |
Stockholders' Equity
Stockholders' Equity | 6 Months Ended |
Jun. 30, 2022 | |
Equity [Abstract] | |
Stockholders' Equity | Note 15. Stockholders’ Equity Common Stock The Company has authorized common share capital of 450,000,000 shares of Class A common stock, par value $ 0.01 per share, and 100,000,000 shares of Class B common stock, par value $ 0.01 per share. Holders of the Class A and Class B common stock are entitled to one vote and three votes per share, respectively, on all matters voted upon by the shareholders. Shares of Class B common stock are convertible into shares of Class A common stock on a one-for-one basis at the option of the Company in certain circumstances including either (i) upon sale or other transfer, or (ii) at the time the holder of such shares of Class B common stock ceases to be employed by the Company. As of June 30, 2022 and December 31, 2021 , there were no outstanding shares of Class B common stock. The Class A common stock is publicly traded on the New York Stock Exchange under the ticker symbol “AAIC.” Common Equity Distribution Agreements On August 10, 2018, the Company entered into separate common equity distribution agreements with equity sales agents JMP Securities LLC, B. Riley FBR, Inc., JonesTrading Institutional Services LLC and Ladenburg Thalmann & Co. Inc. pursuant to which the Company may offer and sell, from time to time, up to 12,597,423 shares of the Company’s Class A common stock. Pursuant to the common equity distribution agreements, shares of the Company’s common stock may be offered and sold through the equity sales agents in transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange or, subject to the terms of a written notice from the Company, in privately negotiated transactions. During the three and six months ended June 30, 2022 and the year ended December 31, 2021 , there were no issuances of common stock under the common equity distribution agreements. As of June 30, 2022 , the Company had 11,302,160 shares of Class A common stock available for sale under the common equity distribution agreements. Common Share Repurchase Program On July 31, 2020, the Company announced that its Board of Directors authorized a share repurchase program pursuant to which the Company may repurchase up to 18,000,000 shares of Class A common stock (the "Repurchase Program"). Repurchases under the Repurchase Program may be made from time to time on the open market and in private transactions at management’s discretion in accordance with applicable federal securities laws. The timing of repurchases and the exact number of shares of Class A common stock to be repurchased will depend upon market conditions and other factors. The Repurchase Program is funded using the Company’s cash on hand and cash generated from operations. The Repurchase Program has no expiration date and may be suspended or terminated at any time without prior notice. During the three and six months ended June 30, 2022 , the Company repurchased 947,570 and 1,957,136 shares of Class A common stock for a total purchase price of $ 3,242 and $ 6,739 , respectively. During the year ended December 31, 2021 , the Company repurchased 3,242,371 shares of Class A common stock for a total purchase price of $ 12,475 . As of June 30, 2022 , there remain available for repurchase 11,033,142 shares of Class A common stock under the Repurchase Program. Preferred Stock The Company has authorized preferred share capital of (i) 100,000 shares designated as Series A Preferred Stock that is unissued; (ii) 2,000,000 shares designated as 7.00% Series B Cumulative Perpetual Redeemable Preferred Stock (the “Series B Preferred Stock”), par value of $ 0.01 per share; (iii) 2,500,000 shares designated as 8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”), par value of $ 0.01 per share; and (iv) 20,400,000 shares of undesignated preferred stock. The Company’s Board of Directors has the authority, without further action by the shareholders, to issue additional preferred stock in one or more series and to fix the terms and rights of the preferred stock. The Company’s preferred stock ranks senior to its common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution, or winding up of the Company. The Company’s preferred stock ranks on parity with each other. The Series B Preferred Stock and Series C Preferred Stock are publicly traded on the New York Stock Exchange under the ticker symbols “AAIC PrB” and “AAIC PrC,” respectively. The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund and will remain outstanding indefinitely unless repurchased or redeemed by the Company. Holders of Series B Preferred Stock have no voting rights, except under limited conditions, and are entitled to receive a cumulative cash dividend at a rate of 7.00 % per annum of their $ 25.00 per share liquidation preference (equivalent to $ 1.75 per annum per share). Shares of Series B Preferred Stock are redeemable at $ 25.00 per share, plus accumulated and unpaid dividends (whether or not authorized or declared), exclusively at the Company’s option. Dividends are payable quarterly in arrears on the 30th day of March, June, September and December of each year, when and as declared. The Company has declared and paid all required quarterly dividends on the Company’s Series B Preferred Stock to date in 2022. The Series C Preferred Stock has no stated maturity, is not subject to any sinking fund and will remain outstanding indefinitely unless repurchased or redeemed by the Company. Holders of Series C Preferred Stock have no voting rights, except under limited conditions, and are entitled to receive a cumulative cash dividend (i) from and including the original issue date to, but excluding, March 30, 2024 at a fixed rate equal to 8.250 % per annum of the $ 25.00 per share liquidation preference (equivalent to $ 2.0625 per annum per share) and (ii) from and including March 30, 2024, at a floating rate equal to three-month LIBOR plus a spread of 5.664 % per annum of the $ 25.00 per share liquidation preference. Shares of Series C Preferred Stock are redeemable at $ 25.00 per share, plus accumulated and unpaid dividends (whether or not authorized or declared), exclusively at the Company’s option commencing on March 30, 2024 or earlier upon the occurrence of a change in control or under circumstances where it is necessary to preserve the Company’s qualification as a REIT. Dividends are payable quarterly in arrears on the 30th day of March, June, September and December of each year, when and as declared. The Company has declared and paid all required quarterly dividends on the Company’s Series C Preferred Stock to date in 2022. During the three and six months ended June 30, 2022, the Company repurchased 72,363 shares of Series C Preferred Stock for a total purchase price of $ 1,749 . There were no shares of Series C Preferred Stock repurchased by the Company during the year ended December 31, 2021. Preferred Equity Distribution Agreements The Company is party to an amended and restated equity distribution agreement with JonesTrading Institutional Services LLC and Ladenburg Thalmann & Co. Inc., pursuant to which the Company may offer and sell, from time to time, up to 1,647,370 shares of the Company’s Series B Preferred Stock. Pursuant to the Series B preferred equity distribution agreement, shares of the Company’s Series B Preferred stock may be offered and sold through the preferred equity sales agents in transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange or, subject to the terms of a written notice from the Company, in privately negotiated transactions. During the six months ended June 30, 2022 , the Company issued 6,058 shares of Series B Preferred Stock at a weighted average public offering price of $ 24.87 per share for proceeds net of selling commissions and expenses of $ 149 under the Series B preferred equity distribution agreement. There were no issuances of Series B Preferred Stock during the three months ended June 30, 2022. During the year ended December 31, 2021 , the Company issued 37,337 shares of Series B preferred stock at a weighted average public offering price of $ 24.99 per share for proceeds net of selling commissions and expenses of $ 919 under the Series B preferred equity distribution agreement. As of June 30, 2022 , the Company had 1,602,566 shares of Series B Preferred stock available for sale under the preferred equity distribution agreement. Shareholder Rights Agreement On June 1, 2009, the Board of Directors approved a shareholder rights agreement (“Rights Plan”) and the Company’s shareholders approved the Rights Plan at its annual meeting of shareholders on June 2, 2010. On April 9, 2018, the Board of Directors approved a first amendment to the Rights Plan (“First Amendment”) to extend the term for an additional three years and the Company’s shareholders approved the First Amendment at its annual meeting of shareholders on June 14, 2018. On April 11, 2022, the Board of Directors approved a second amendment to the Rights Plan (“Second Amendment”) to further extend the term until June 4, 2025 and the Company's shareholders approved the Second Amendment at its annual meeting of shareholders on June 16, 2022. The Second Amendment also decreased the Purchase Price (as defined under the Rights Plan) from $ 70.00 to $ 21.30 . Under the terms of the Rights Plan, in general, if a person or group acquires or commences a tender or exchange offer for beneficial ownership of 4.9 % or more of the outstanding shares of our Class A common stock upon a determination by our Board of Directors (an “Acquiring Person”), all of our other Class A and Class B common shareholders will have the right to purchase securities from us at a discount to such securities’ fair market value, thus causing substantial dilution to the Acquiring Person. The Board of Directors adopted the Rights Plan in an effort to protect against a possible limitation on the Company’s ability to use its NOL carryforwards, NCL carryforwards, and built-in losses under Sections 382 and 383 of the Internal Revenue Code. The Company’s ability to use its NOLs, NCLs and built-in losses would be limited if it experienced an “ownership change” under Section 382 of the Internal Revenue Code. In general, an “ownership change” would occur if there is a cumulative change in the ownership of the Company’s common stock of more than 50% by one or more “5% shareholders” during a three-year period. The Rights Plan was adopted to dissuade any person or group from acquiring 4.9% or more of the Company’s outstanding Class A common stock, each, an Acquiring Person, without the approval of the Board of Directors and triggering an “ownership change” as defined by Section 382. The Rights Plan, as amended by the Second Amendment, and any outstanding rights will expire at the earliest of (i) June 4, 2025, (ii) the time at which the rights are redeemed or exchanged pursuant to the Rights Plan, (iii) the repeal of Section 382 and 383 of the Internal Revenue Code or any successor statute if the Board of Directors determines that the Rights Plan is no longer necessary for the preservation of the applicable tax benefits, or (iv) the beginning of a taxable year to which the Board of Directors determines that no applicable tax benefits may be carried forward. |
Long-Term Incentive Plan
Long-Term Incentive Plan | 6 Months Ended |
Jun. 30, 2022 | |
Share-Based Payment Arrangement [Abstract] | |
Long-Term Incentive Plan | Note 16. Long-Term Incentive Plan The Company provides its employees and its non-employee directors with long-term incentive compensation in the form of stock-based awards. On April 29, 2021, the Board of Directors adopted the Arlington Asset Investment Corp. 2021 Long-Term Incentive Plan (the “2021 Plan”), which was approved by the Company’s shareholders and became effective on July 15, 2021. The 2021 Plan replaced the Arlington Asset Investment Corp. 2014 Long-Term Incentive Plan (the “2014 Plan”). No additional grants will be made under the 2014 Plan. However, previous grants under the 2014 Plan and any long-term incentive plans prior to the 2014 Plan (collectively, the “Prior Plans”) will remain in effect subject to the terms of the Prior Plans and the applicable award agreement. Under the 2021 Plan, a maximum number of 5,256,076 shares of Class A common stock of the Company, subject to adjustment as set forth in the 2021 Plan, were authorized for issuance and may be issued to employees, directors, consultants, advisors and independent contractors who provide bona fide services to the Company and its affiliates. If an award under the 2021 Plan or Prior Plans is canceled, terminated, forfeited or otherwise settled without the issuance of shares subject to such award, those shares will be available for future grants under the 2021 Plan. In addition, shares delivered or withheld for tax obligations arising from an award, other than a stock option or stock appreciation right (“SAR”), will be available for future grants under the 2021 Plan. As of June 30, 2022 , 4,350,695 shares remained available for issuance under the 2021 Plan; however, the shares remaining available for issuance would be reduced by the potential future issuance of shares of common stock for the settlement of outstanding performance-based stock awards and dividend equivalents for such awards. If these outstanding performance-based stock awards are earned at “target” level performance, an additional 1,939,009 shares would be issued resulting in 2,411,686 shares remaining available for issuance under the 2021 Plan as of June 30, 2022. Under the 2021 Plan, the Compensation Committee of the Company’s Board of Directors may grant restricted stock, restricted stock units (“RSUs”), stock options, SARs and/or other stock-based awards. Under the 2021 Plan, shares issued upon the exercise of a stock option or SAR or shares subject to a restricted stock award and any shares issued in settlement of restricted stock unit award, reduced by the number of any shares withheld to satisfy withholding taxes, may not be sold or transferred before the earlier of (i) the first anniversary of the exercise of the option or SAR or vesting of the restricted stock award or the settlement of restricted stock unit award, or (ii) the date the participant is no longer employed by or providing services to the Company or an affiliate. Non-employee members of the Board of Directors may not be granted awards under the 2021 Plan during any twelve-month period with respect to the number of shares that have a fair market value on the date of grant that exceeds $ 160 . The 2021 Plan will terminate on the tenth anniversary of its effective date unless sooner terminated by the Board of Directors. Stock-based compensation costs are initially measured at the estimated fair value of the awards on the grant date developed using appropriate valuation methodologies, as adjusted for estimates of future award forfeitures. Valuation methodologies used and subsequent expense recognition is dependent upon each award’s service and performance conditions. Performance-based Stock Awards The Company has granted performance-based RSUs and performance stock units (collectively, “Performance-based Stock Awards”) to employees of the Company that are convertible into shares of Class A common stock following the achievement of performance goals over the applicable performance periods. Compensation costs for Performance-based Stock Awards subject to nonmarket-based performance conditions (i.e., performance not predicated on changes in the Company’s stock price) are measured at the closing stock price on the dates of grant, adjusted for the probability of achieving certain benchmarks included in the performance metrics. These initial cost estimates are recognized as expense over the requisite performance periods, as adjusted for changes in estimated, and ultimately actual, performance and forfeitures. Compensation costs for components of Performance-based Stock Awards subject to market-based performance conditions (i.e., performance predicated on changes in the Company’s stock price) are measured at the dates of grant using a Monte Carlo simulation model which incorporates into the valuation the inherent uncertainty regarding the achievement of the market-based performance metrics. These initial valuation amounts are recognized as expense over the requisite performance periods, subject only to adjustments for changes in estimated, and ultimately actual, forfeitures. During the six months ended June 30, 2022 and 2021, the Compensation Committee granted Performance-based Stock Awards with performance goals based on (i) the compound annualized total shareholder return (i.e., share price change plus dividends on a reinvested basis) during the applicable performance period (“Absolute TSR Awards”), (ii) the compound annualized total shareholder return relative to a peer index during the applicable performance period (“Relative TSR Awards”), (iii) the compound annualized growth in the Company’s book value per share (i.e., book value change with such adjustments as determined and approved by the Compensation Committee plus dividends on a reinvested basis) during the applicable performance period (“Book Value Awards”), and (iv) the share price of the Company's common stock during the applicable performance period ("Stock Price Awards"). In addition, the Compensation Committee granted Performance-based Stock Awards in prior years with performance goals based on annual return on equity during the applicable performance period ("ROE Awards"). The Compensation Committee of the Board of Directors of the Company approved the following Performance-based Stock Award grants for the periods indicated: Six Months Ended June 30, 2022 2021 Absolute TSR Awards granted 174,581 90,711 Absolute TSR Award grant date fair value per share $ 6.03 $ 6.89 Relative TSR Awards granted 87,291 47,710 Relative TSR Award grant date fair value per share $ 5.83 $ 6.55 Book Value Awards granted 103,000 — Book Value Award grant date fair value per share $ 3.37 $ — Stock Price Awards granted 1,225,490 — Stock Price Award grant date fair value per share $ 1.72 $ — For the Company’s Book Value Awards and ROE Awards, the grant date fair value per share is based on the close price on the date of grant. For the Company’s Absolute TSR Awards, Relative TSR Awards and Stock Price Awards, the grant date fair value per share is based on a Monte Carlo simulation model. The following assumptions, determined as of the date of grant, were used in the Monte Carlo simulation model to measure the grant date fair value per share of the Company’s Absolute TSR Awards, Relative TSR Awards and Stock Price Awards for the periods indicated: Absolute TSR Awards Relative TSR Awards Stock Price Awards Six Months Ended June 30, Six Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 2022 2021 Closing stock price on date of grant $ 3.58 $ 4.08 $ 3.58 $ 4.08 $ 3.06 $ — Beginning average stock price on (1) $ 3.60 $ 4.07 $ 3.60 $ 4.07 N/A $ — Expected volatility (2) 69.20 % 69.27 % 69.20 % 69.27 % 51.17 % — Dividend yield (3) 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % — Risk-free rate (4) 1.01 % 0.34 % 1.01 % 0.34 % 2.97 % — Discount for illiquidity (5) 0.00 % 0.00 % 0.00 % 0.00 % 8.42 % — (1) Based upon the 30 trading days prior to and including the date of grant. (2) Based upon the most recent three-year volatility as of the date of grant. (3) Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying Performance-based Stock Award is earned. Applying dividend yield assumption of 0.00 % in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. (4) Based upon the yield of a U.S. Treasury bond with a three-year maturity as of the date of grant. (5) Based on restriction on ability to sell vested awards for one year after vesting. The vesting of the Performance-based Stock Awards is subject to both continued employment under the terms of the award agreement and the achievement of the Company performance goals established by the Compensation Committee. For Absolute TSR Awards and Relative TSR Awards granted during the six months ended June 30, 2022 and 2021 , the Compensation Committee established a three-year performance period. The actual number of shares of Class A common stock that will be issued to each participant at the end of the applicable performance period will vary between 0 % and 250 % of the number of the Absolute TSR Awards and Relative TSR Awards granted, depending on performance results. If the minimum threshold level of performance goals is not achieved, no awards are earned. To the extent the performance results are between the minimum threshold level and maximum level of performance goals, between 50 % to 250 % of the number of Absolute TSR Awards and Relative TSR Awards are earned. Upon settlement, vested Absolute TSR Awards and Relative TSR Awards are converted into shares of the Company’s Class A common stock on a one-for-one basis. For Book Value Awards granted during the six months ended June 30, 2022 , the Compensation Committee established a one-year performance period. The actual number of shares of Class A common stock that will be issued to each participant at the end of the applicable performance period will vary between 0 % and 100 % of the number of Book Value Awards granted, depending on performance results. Any Book Value Awards earned at the end of the one-year performance period would be converted into an equal number of shares of restricted stock that will vest on the third anniversary of the original Book Value Award grant date subject to continued employment under the terms of the award agreement. If the threshold level of the annual performance goal is not achieved, no Book Value Awards are earned. For Stock Price Awards granted during the six months ended June 30, 2022 , the Compensation Committee established a three-year performance period. If the market price of the Company's common stock is equal to or greater than a stock price performance goal for 45 consecutive trading days at any time during the performance period, between 75 % to 300 % of the number of Stock Price Awards are earned and converted into an equal number of shares of restricted stock that will vest ratably over a three-year period beginning on the third anniversary of the date of grant subject to continued employment under the terms of the award of the agreement. If the minimum threshold level of stock price performance goals are never achieved, no awards are earned. For the ROE Awards granted in prior years, the Compensation Committee established a one-year performance period. Any ROE Awards earned at the end of the one-year performance period would be converted into an equal number of shares of restricted stock that will vest on the third anniversary of the original ROE Award grant date subject to continued employment under the terms of the award agreement. If the threshold level of the annual performance goal is not achieved, no ROE Awards are earned. Performance-based Stock Awards do not have any voting rights. No dividends are paid on outstanding Performance-based Stock Awards during the applicable performance period. Instead, dividend equivalents are accrued on outstanding Performance-based Stock Awards during the applicable performance period, deemed invested in shares of Class A common stock and are paid out in shares of Class A common stock at the end of the performance period to the extent that the underlying Performance-based Stock Awards vest. For the six months ended June 30, 2022 and 2021 , the Company recognized $ 565 and $ 182 , respectively, of compensation expense related to Performance-based Stock Awards. As of June 30, 2022 , the Company had 1,939,009 Performance-based stock awards outstanding. As disclosed above, the actual number of shares of common stock that could be issued for settlement of the Performance-based shares can be greater or less than the amount of Performance-based shares outstanding depending upon the actual results compared to the performance goals. As of June 30, 2022 and December 31, 2021 , the Company had unrecognized compensation expense related to Performance-based Stock Awards of $ 3,986 and $ 878 , respectively. The unrecognized compensation expense as of June 30, 2022 is expected to be recognized over a weighted average period of 3.61 years. For Absolute TSR Awards, Relative TSR Awards and Book Value Awards that had performance measurement periods ending during the six months ended June 30, 2022 and 2021, none of the performance measures were met and therefore no awards were earned or vested during those periods. For the six months ended June 30, 2022 and 2021 , there were 0 and 82,124 ROE Awards, respectively, including dividend equivalents, that were earned and converted into an equal number of shares of restricted stock that will vest on the third anniversary of the original ROE Award grant date. Employee Restricted Stock Awards Compensation costs for restricted stock awards subject only to service conditions are measured at the closing stock price on the dates of grant and are recognized as expense on a straight-line basis over the requisite service periods for the awards, as adjusted for changes in estimated, and ultimately actual, forfeitures. The Company grants restricted common shares to employees that either vest ratably over a three-year period or cliff vest at the end of a three-year period based on continued employment over these specified periods. A summary of these unvested restricted stock awards is presented below: Number of Shares Weighted-average Weighted- Share Balance as of December 31, 2020 547,688 $ 4.89 1.5 Granted 365,592 3.89 — Conversion of ROE Awards 82,124 5.65 — Forfeitures ( 22,000 ) 6.54 — Vestitures ( 214,369 ) 5.89 — Share Balance as of December 31, 2021 759,035 4.16 1.5 Granted 384,291 3.42 — Forfeitures ( 12,167 ) 3.57 — Share Balance as of June 30, 2022 1,131,159 $ 3.91 1.3 For the six months ended June 30, 2022 and 2021 , the Company recognized $ 988 and $ 604 , respectively, of compensation expense related to restricted stock awards. As of June 30, 2022 and December 31, 2021 , the Company had unrecognized compensation expense related to restricted stock awards of $ 2,129 and $ 1,847 , respectively. The unrecognized compensation expense as of June 30, 2022 is expected to be recognized over a weighted average period of 1.3 years. For the six months ended June 30, 2022 and 2021, there were no restricted stock awards that vested. In addition, as part of the Company’s satisfaction of incentive compensation earned for past service under the Company’s variable compensation programs, employees may receive restricted Class A common stock in lieu of cash payments. These restricted Class A common stock shares are issued to an irrevocable trust and are not returnable to the Company. No such shares were issued during the six months ended June 30, 2022 and 2021. As of June 30, 2022 and December 31, 2021 , the Company had 9,155 vested shares of the undistributed restricted stock issued to the trust. Employee Restricted Stock Units In connection with the announcement in June 2019 that the Company’s Executive Chairman would retire on December 31, 2019 from all positions with the Company, including its Board of Directors, the Company and its Executive Chairman entered into a consulting agreement to provide consulting services through January 1, 2022. Pursuant to the consulting agreement, the Company granted the Executive Chairman 87,847 RSUs with a grant date fair value of $ 6.83 per share. The grant date fair value of the award was based on the closing price of the Class A common stock on the New York Stock Exchange on the date of grant. The RSUs were scheduled to vest equally on each of January 1, 2020, July 1, 2020, January 1, 2021, July 1, 2021 and January 1, 2022, subject to the individual’s continued employment through December 31, 2019 and providing consulting services through January 1, 2022. Upon vesting, the RSUs were convertible into shares of Class A common stock. The RSUs did not have any voting rights, and no dividends were paid on outstanding RSUs. Instead, dividend equivalents were accrued on outstanding RSUs, deemed invested in shares of Class A common stock and were paid out in shares of Class A common stock on the vesting date. For the six months ended June 30, 2022 and 2021 , the Company recognized $ 0 and $ 54 , respectively, of compensation expense related to employee restricted stock units. For the six months ended June 30, 2022 and 2021 , the intrinsic value of RSUs that were converted into shares of Class A common stock were $ 73 and $ 74 , respectively. As of June 30, 2022 and December 31, 2021 , the Company had 0 and 20,455 , respectively, of employee restricted stock units outstanding. Director Restricted Stock Units Compensation costs for RSU awards subject only to service conditions are measured at the closing stock price on the dates of grant and are recognized as expense on a straight-line basis over the requisite service periods for the awards, as adjusted for changes in estimated, and ultimately actual, forfeitures. Compensation costs for RSUs that do not require future service conditions are expensed immediately. The Company’s non-employee directors are compensated in both cash and RSUs. RSUs awarded to non-employee directors vest immediately on the award grant date and are convertible into shares of Class A common stock. For RSUs granted under the Company’s 2021 Plan, 2014 Plan, and certain of the Prior Plans, the RSUs are convertible into shares of Class A common stock at the later of the date the non-employee director ceases to be a member of the Company’s Board or the first anniversary of the grant date. For RSUs granted under certain Prior Plans, the RSUs are convertible into shares of Class A common stock one year after the non-employee director ceases to be a member of the Company’s Board. The non-employee director RSUs do not have any voting rights but are entitled to cash dividend equivalent payments. As of June 30, 2022 and December 31, 2021 , the Company had 548,272 and 415,822 , respectively, of non-employee director RSUs outstanding. A summary of the non-employee director RSUs grants is presented below for the periods indicated: Six Months Ended June 30, 2022 2021 RSUs granted 132,450 98,035 Grant date fair value $ 3.02 $ 4.08 The grant date fair value is based on the closing price of the Class A common stock on the New York Stock Exchange on the date of grant. For the six months ended June 30, 2022 and 2021 , the Company recognized $ 200 and $ 200 , respectively, of director fees related to these RSUs. There were no non-employee director RSUs that were converted into shares of Class A common stock for the six months ended June 30, 2022 and 2021 . |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2022 | |
Cash Equivalents | Cash Equivalents Cash equivalents include demand deposits with banks, money market accounts and highly liquid investments with original maturities of three months or less. As of June 30, 2022 and December 31, 2021 , approximately 0 % and 67 %, respectively, of the Company’s cash equivalents were invested in money market funds that invest primarily in U.S. Treasuries and other securities backed by the U.S. government. |
Investment Security Purchases and Sales | Investment Security Purchases and Sales Purchases and sales of investment securities are recorded on the settlement date of the transfer unless the trade qualifies as a “regular-way” trade and the associated commitment qualifies for an exemption from the accounting guidance applicable to derivative instruments. A regular-way trade is an investment security purchase or sale transaction that is expected to settle within the period of time following the trade date that is prevalent or traditional for that specific type of security. Any amounts payable or receivable for unsettled security trades are recorded as “sold securities receivable” or “purchased securities payable” in the consolidated balance sheets. |
Interest Income Recognition for Investments in Agency MBS and Mortgage Loans of Consolidated VIEs and Credit Securities of High Credit Quality | Interest Income Recognition for Investments in Agency MBS, Mortgage Loans of Consolidated VIEs and Credit Securities of High Credit Quality The Company recognizes interest income for its investments in agency MBS, mortgage loans of consolidated variable interest entities (“VIEs”) and credit securities that are considered to be of high credit quality (that is, those with a Standard & Poor's rating of AA or higher or an equivalent rating from another rating agency) by applying the “interest method” permitted by GAAP, whereby purchase premiums and discounts are amortized and accreted, respectively, as an adjustment to contractual interest income accrued at each investment’s stated interest rate. The interest method is applied at the individual instrument level based upon each instrument’s effective interest rate. The Company calculates each instrument’s effective interest rate at the time of purchase or initial recognition by solving for the discount rate that equates the present value of that instrument's remaining contractual cash flows (assuming no principal prepayments) to its purchase cost. Because each instrument’s effective interest rate does not reflect an estimate of future prepayments, the Company refers to this manner of applying the interest method as the “contractual effective interest method.” When applying the contractual effective interest method, as principal prepayments occur, a proportional amount of the unamortized premium or unaccreted discount is recognized in interest income such that the contractual effective interest rate on any remaining security or loan balance is unaffected. For mortgage loans of consolidated VIEs, the Company ceases the accrual of interest income (i.e., places the loan in non-accrual status) when it believes collectability of principal and interest in full is not reasonably assured, which generally occurs when a loan is three or more monthly payments past due, unless the loan is well secured and in the process of collection based upon an individual loan assessment. Upon placing a loan in non-accrual status, any previously accrued but uncollected interest is derecognized and a corresponding reduction to current period interest income is recorded. While a loan is in non-accrual status, the Company recognizes interest income only when interest payments occur. |
Interest Income Recognition for Investments in Credit Securities and MSR Financing Receivables | Interest Income Recognition for Investments in Other Credit Securities and MSR Financing Receivables The Company recognizes interest income for its investments in credit securities (other than those considered to be of high credit quality) and MSR financing receivables by applying the prospective level-yield methodology required by GAAP for financial assets that are either not of high credit quality at the time of acquisition or can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. The amount of periodic interest income recognized is determined by applying the investment’s effective interest rate to its amortized cost basis (or “reference amount”). At the time of acquisition, the investment’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the investment to its purchase cost. To prepare its best estimate of cash flows expected to be collected, the Company develops a number of assumptions about the future performance of the pool of loans that serve as collateral for its investment, including assumptions about the timing and amount of prepayments and credit losses. For investments in MSR financing receivables, the Company's estimate of cash flows expected to be collected reflects all components of its mortgage servicing counterparty's payment obligation, which is comprised of cash flows referenced to the monthly net cash flows of the underlying reference pool of MSRs net of (i) the counterparty's periodic interest payments and principal repayments related to advances obtained via its third-party secured financing facility collateralized by MSRs to which the Company's MSR financing receivables are referenced and (ii) fees payable to the counterparty. In each subsequent quarterly reporting period, the amount and timing of cash flows expected to be collected from the investment are re-estimated based upon current information and events. The following table provides a description of how periodic changes in the estimate of cash flows expected to be collected affect interest income recognition prospectively for investments in credit securities and MSR financing receivables: Scenario: Effect on Interest Income Recognition: A positive change in cash flows occurs. Actual cash flows exceed prior estimates and/or a positive change occurs in the estimate of expected remaining cash flows. A revised effective interest rate is calculated and applied prospectively such that the positive change in cash flows is recognized as incremental interest income over the remaining life of the investment. The amount of periodic interest income recognized over the remaining life of the investment will be reduced accordingly. Generally, the investment’s effective interest rate is reduced accordingly and applied on a prospective basis. However, if the revised effective interest rate is negative, the investment’s existing effective interest rate is retained while the reference amount to which the existing effective interest rate will be prospectively applied is reduced to the present value of cash flows expected to be collected, discounted at the investment’s existing effective interest rate. An adverse change in cash flows occurs. Actual cash flows fall short of prior estimates and/or an adverse change occurs in the estimate of expected remaining cash flows. |
Other Significant Accounting Policies | Other Significant Accounting Policies Certain of the Company’s other significant accounting policies are summarized in the following notes: Investments in agency MBS, subsequent measurement Note 3 Investments in credit securities, subsequent measurement Loans held for investment, subsequent measurement Investments in MSR financing receivables, subsequent measurement Investments in SFR properties Note 4 Note 5 Note 6 Note 7 Consolidation of variable interest entities Borrowings Note 8 Note 9 To-be-announced agency MBS transactions, including “dollar rolls” Note 10 Derivative instruments Note 10 Balance sheet offsetting Note 11 Fair value measurements Income taxes Note 12 Note 13 Stock-based compensation Note 16 Refer to the Company’s 2021 Annual Report on Form 10-K for a complete inventory and summary of the Company’s significant accounting policies. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements The following table provides a brief description of recently issued accounting pronouncements and their actual or expected effect on the Company’s consolidated financial statements: Standard Description Date of Adoption Effect on the Consolidated Financial Statements Recently Issued Accounting Guidance Not Yet Adopted ASU Nos. 2020-04 and 2021-01, Reference Rate Reform (Topic 848) The amendments in these updates provide optional practical expedients and exceptions for applying GAAP to the modification of receivables, debt or lease contracts as well as cash flow and fair value hedge accounting relationships that reference a rate, such as the London Interbank Offered Rate (“LIBOR”), that is expected to be discontinued because of reference rate reform. The practical expedients and exceptions provided by these updates are effective from March 12, 2020 through December 31, 2022. Not yet adopted. To date, any modifications due to reference rate reform have not had a material impact to the Company. The Company has not elected to apply hedge accounting for financial reporting purposes. The Company does not currently expect the adoption of ASU Nos. 2020-04 and 2021-01 to have a material effect on its consolidated financial statements. |
Consolidation of Variable Interest Entities | The vehicles that issue the Company’s investments in securitized mortgage assets are considered VIEs. The Company is required to consolidate any VIE in which it holds a variable interest if it determines that it holds a controlling financial interest in the VIE and is, therefore, determined to be the primary beneficiary of the VIE. The Company is determined to be the primary beneficiary of a VIE in which it holds a variable interest if it both (i) holds the power to direct the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses or the right to receive benefits that could potentially be significant to the VIE. The economic performance of the trusts that issue the Company’s investments in securitized mortgage assets is most significantly impacted by the performance of the mortgage loans that are held by the trusts. The party that is determined to have the most power to direct the loss mitigation actions that are taken with respect to delinquent or otherwise troubled mortgage loans held by the trust is, therefore, deemed to hold the most power to direct the activities that most significantly impact the trust’s economic performance. As a passive investor, the Company does not have the power to direct the loss mitigation activities of most of the trusts that have issued its securitized mortgage assets. |
Repurchase Agreements | The Company finances the purchase of mortgage investments through repurchase agreements, which are accounted for as collateralized borrowing arrangements. In a repurchase transaction, the Company sells a mortgage investment to a counterparty under a master repurchase agreement in exchange for cash and concurrently agrees to repurchase the same asset at a future date in an amount equal to the cash initially exchanged plus an agreed-upon amount of interest. Mortgage investments sold under agreements to repurchase remain on the Company’s consolidated balance sheets because the Company maintains effective control over such assets throughout the duration of the arrangement. Throughout the contractual term of a repurchase agreement, the Company recognizes a “repurchase agreement” liability on its consolidated balance sheets to reflect the obligation to repay to the counterparty the proceeds received upon the initial transfer of the mortgage investment. The difference between the proceeds received by the Company upon the initial transfer of the mortgage investment and the contractually agreed-upon repurchase price is recognized as interest expense ratably over the term of the repurchase arrangement. |
Derivative Instruments | In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments. Derivative instruments are recorded at fair value as either “other assets” or “other liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment and derivative gain (loss), net” in the consolidated statements of comprehensive income. Cash receipts or payments related to derivative instruments are classified as investing activities within the consolidated statements of cash flows. In addition to interest rate hedging instruments that are used for interest rate risk management, the Company is a party to derivative instruments that economically serve as investments, such as forward commitments to purchase fixed-rate “pass-through” agency MBS on a non-specified pool basis, which are known as to-be-announced (“TBA”) securities. A TBA security is a forward commitment for the purchase or sale of a fixed-rate agency MBS at a predetermined price, face amount, issuer, coupon, and stated maturity for settlement on an agreed upon future date. The specific agency MBS that will be delivered to satisfy the TBA trade is not known at the inception of the trade. The specific agency MBS to be delivered is determined 48 hours prior to the settlement date. The Company accounts for TBA securities as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA commitment that its settlement will result in physical delivery of the underlying agency MBS, or the individual TBA commitment will not settle in the shortest time period possible. |
Derivatives, Offsetting of Financial Assets and Liabilities | The agreements that govern certain of the Company’s derivative instruments and collateralized short-term financing arrangements provide for a right of setoff in the event of default or bankruptcy with respect to either party to such transactions. The Company presents derivative assets and liabilities as well as collateralized short-term financing arrangements on a gross basis. Receivables recognized for the right to reclaim cash initial margin posted in respect of interest rate derivative instruments are included in the line item “deposits” in the accompanying consolidated balance sheets. The daily exchange of variation margin associated with a centrally cleared or exchange-traded derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its interest rate swaps and futures as a direct reduction to the carrying value of derivative asset or liability, respectively. The carrying amount of interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments generally represents the change in fair value that occurred on the last day of the reporting period. |
Fair Value of Financial Instruments | The accounting principles related to fair value measurements define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures , establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three broad levels, giving the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3) as described below: Level 1 Inputs - Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company at the measurement date; Level 2 Inputs - Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and Level 3 Inputs - Unobservable inputs for the asset or liability, including significant judgments made by the Company about the assumptions that a market participant would use. The Company measures the fair value of the following assets and liabilities: |
Variable Interest Entity | |
Investment Security Purchases and Sales | The Company has elected to account for the mortgage loans and debt of its consolidated VIEs at fair value with changes in fair value that are not attributed to interest income or interest expense, respectively, recognized as a component of “investment and derivative gain (loss), net” in the accompanying consolidated statements of comprehensive income. |
Single-Family Residential Properties | |
Investment Security Purchases and Sales | The Company’s investments in SFR properties are initially recognized on the settlement date of their acquisition at cost. The Company allocates the initial acquisition cost of each property to land and building on the basis of their relative fair values at the time of acquisition. To determine the relative fair value of land and building at the time of acquisition, the Company uses available market data, such as property specific county tax assessment records. Subsequent to the acquisition of a property, expenditures which improve or extend the life of the property are capitalized as a component of the property’s cost basis. Expenditures for ordinary maintenance and repairs are recognized as an expense as incurred and are reported as a component of “single-family property operating expenses” in the Company’s consolidated statements of comprehensive income. The Company subsequently recognizes depreciation of each property’s buildings and capitalized improvements over the expected useful lives of those assets. The Company calculates depreciation on a straight-line basis over a useful life of 27.5 years for buildings and useful lives ranging from five to 27.5 years for capitalized improvements. The Company reports depreciation expense as a component of “single-family property operating expenses” in the Company’s consolidated statements of comprehensive income. |
Agency MBS | |
Investment Security Purchases and Sales | The Company has elected to classify its investments in agency MBS as trading securities. Accordingly, the Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value. As of June 30, 2022 and December 31, 2021 , the fair value of the Company’s investments in agency MBS was $ 382,357 and $ 483,927 , respectively. |
Credit Securities | |
Investment Security Purchases and Sales | The Company has elected to classify its investments in credit securities as trading securities. Accordingly, the Company’s investments in credit securities are reported in the accompanying consolidated balance sheets at fair value. As of June 30, 2022 and December 31, 2021 , the fair value of the Company’s investments in credit securities was $ 113,419 and $ 26,222 , respectively. |
Loans Held for Investment | |
Investment Security Purchases and Sales | The Company has elected to account for its loan held for investment at fair value on a recurring basis with periodic changes in fair value recognized as a component of “investment and derivative gain (loss), net” in the accompanying consolidated statements of comprehensive income. |
M S R Financing Receivables | |
Investment Security Purchases and Sales | The Company accounts for transactions executed under its arrangement with the mortgage servicing counterparty as financing transactions and reflects the associated financing receivables in the line item “MSR financing receivables” on its consolidated balance sheets. The Company has elected to account for its MSR financing receivables at fair value with changes in fair value that are not attributed to interest income recognized as a component of “investment and derivative gain (loss), net” in the accompanying consolidated statements of comprehensive income. As described in further detail in “Note 2. Summary of Significant Accounting Policies,” the Company recognizes interest income for MSR financing receivables by applying the prospective level-yield methodology required by GAAP for financial assets that are either not of high credit quality at the time of acquisition or can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. |
Investments in Agency MBS (Tabl
Investments in Agency MBS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Agency MBS | |
Additional Information Realized Gain Loss on Investments | The following table provides additional information about the gains and losses recognized as a component of “investment and derivative gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Net gains (losses) recognized in earnings for: Agency MBS still held at period end $ ( 3,921 ) $ 6,840 $ ( 3,922 ) $ ( 11,861 ) Agency MBS sold during the period ( 6,670 ) 290 ( 32,626 ) ( 10,224 ) Total $ ( 10,591 ) $ 7,130 $ ( 36,548 ) $ ( 22,085 ) |
Investments in Credit Securit_2
Investments in Credit Securities (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Credit Securities | |
Additional Information Realized Gain Loss on Investments | The following table provides additional information about the gains and losses recognized as a component of “investment and derivative gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in credit securities: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Net gains (losses) recognized in earnings for: Credit securities still held at period end $ ( 321 ) $ ( 186 ) $ ( 675 ) $ 1,210 Credit securities sold during the period ( 482 ) ( 75 ) ( 970 ) ( 80 ) Total $ ( 803 ) $ ( 261 ) $ ( 1,645 ) $ 1,130 |
Investments in MSR Financing _2
Investments in MSR Financing Receivables (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Receivables [Abstract] | |
Change in Fair Value of MSR Financing Receivables | The following table presents activity related to the carrying value of the Company’s investments in MSR financing receivables for the periods indicated: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Balance at period beginning $ 139,225 $ 36,005 $ 125,018 $ 9,346 Capital investments 18,032 39,278 21,219 59,622 Capital distributions ( 49,432 ) — ( 64,552 ) — Accretion of interest income 3,983 1,390 7,365 1,748 Changes in valuation inputs and assumptions 8,452 ( 2,021 ) 31,210 3,936 Balance at period end $ 120,260 $ 74,652 $ 120,260 $ 74,652 |
Investments in SFR Properties (
Investments in SFR Properties (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation Disclosure [Abstract] | |
Summary of Net Carrying Amount of SFR Properties | The following table summarizes the Company’s net carrying amount of its SFR properties by component as of June 30, 2022: Single-family Residential Real Estate Single-family Residential Real Estate Held-for-Sale Total Land $ 11,423 $ 18,913 $ 30,336 Buildings and improvements 57,093 95,354 152,447 Investments in single-family residential real estate, at cost 68,516 114,267 182,783 Less: accumulated depreciation ( 326 ) ( 1,288 ) ( 1,614 ) Investments in single-family residential real estate, net $ 68,190 $ 112,979 $ 181,169 The following table summarizes the Company’s net carrying amount of its SFR properties by component as of December 31, 2021: Single-family Residential Real Estate Single-family Residential Real Estate Held-for-Sale Total Land $ 10,128 $ — $ 10,128 Buildings and improvements 51,060 — 51,060 Investments in single-family residential real estate, at cost 61,188 — 61,188 Less: accumulated depreciation ( 299 ) — ( 299 ) Investments in single-family residential real estate, net $ 60,889 $ — $ 60,889 |
Consolidation of Variable Int_2
Consolidation of Variable Interest Entities (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Variable Interest Entity [Line Items] | |
Schedule of Carrying Values of Assets and Liabilities of Consolidated VIE, Net of Elimination Entries | The carrying values of the assets and liabilities of the consolidated VIEs, net of elimination entries, are as follows as of the dates indicated: June 30, 2022 VIE of Business Purpose Residential Mortgage Loans VIE of Residential Mortgage Loans Total Cash of consolidated VIEs $ 247 $ — $ 247 Restricted cash of consolidated VIEs (1) 13 4,636 4,649 Mortgage loans of consolidated VIEs, at fair value 4,548 220,456 225,004 Other assets of consolidated VIEs 657 744 1,401 Secured debt of consolidated VIEs, at fair value ( 272 ) ( 205,225 ) ( 205,497 ) Other liabilities of consolidated VIEs ( 1 ) ( 274 ) ( 275 ) Net investment in consolidated VIEs $ 5,192 $ 20,337 $ 25,529 (1) Restricted cash represents cash collected by the trust that must be used solely to satisfy the liabilities of the VIE in the month following collection. December 31, 2021 VIE of Business Purpose Residential Mortgage Loans VIE of Residential Mortgage Loans Total Cash of consolidated VIEs $ 2,118 $ — $ 2,118 Restricted cash of consolidated VIEs (1) 111 — 111 Mortgage loans of consolidated VIEs, at fair value 7,442 — 7,442 Other assets of consolidated VIEs 547 — 547 Secured debt of consolidated VIEs, at fair value ( 508 ) — ( 508 ) Other liabilities of consolidated VIEs ( 2 ) — ( 2 ) Net investment in consolidated VIEs $ 9,708 $ — $ 9,708 (1) Restricted cash represents cash collected by the trust that must be used solely to satisfy the liabilities of the VIE in the month following collection. |
Business Purpose Residential Mortgage Loans | |
Variable Interest Entity [Line Items] | |
Schedule of Accrual Status of Residential Mortgage Loans of Consolidated VIE | The following table presents information about the accrual status of the loans of the Company’s consolidated VIE of business purpose residential mortgage loans as of June 30, 2022: Aggregate Fair Value Aggregate Unpaid Principal Balance Difference Less than 90 days past due and in accrual status $ 151 $ 151 $ — 90 days or more past due and in non-accrual status 4,397 4,684 ( 287 ) Total mortgage loans of consolidated VIE $ 4,548 $ 4,835 $ ( 287 ) |
Residential Mortgage Loans | |
Variable Interest Entity [Line Items] | |
Schedule of Accrual Status of Residential Mortgage Loans of Consolidated VIE | The following table presents information about the accrual status of the loans of the Company’s consolidated VIE of residential mortgage loans as of June 30, 2022: Aggregate Fair Value Aggregate Unpaid Principal Balance Difference Less than 90 days past due and in accrual status $ 219,118 $ 236,145 $ ( 17,027 ) 90 days or more past due and in non-accrual status 1,338 1,338 — Total mortgage loans of consolidated VIE $ 220,456 $ 237,483 $ ( 17,027 ) |
Borrowings (Tables)
Borrowings (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements | The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of the dates indicated: June 30, 2022 December 31, 2021 Agency MBS repurchase financing: Repurchase agreements outstanding $ 224,566 $ 425,836 Agency MBS collateral, at fair value (1) 237,373 447,979 Net amount (2) 12,807 22,143 Weighted-average rate 1.48 % 0.14 % Weighted-average term to maturity 14.0 days 13.0 days Non-agency MBS repurchase financing: Repurchase agreements outstanding $ 84,788 $ — MBS collateral, at fair value 99,901 — Net amount (2) 15,113 — Weighted-average rate 2.81 % Weighted-average term to maturity 17.0 days Mortgage loans repurchase financing: Repurchase agreements outstanding $ 20,640 $ 20,788 Mortgage loans collateral, at fair value 29,484 29,697 Net amount (2) 8,844 8,909 Weighted-average rate 3.77 % 2.60 % Weighted-average term to maturity 260.0 days 319.0 days Total mortgage investments repurchase financing: Repurchase agreements outstanding $ 329,994 $ 446,624 Mortgage investments collateral, at fair value (1) 366,758 477,676 Net amount (2) 36,764 31,052 Weighted-average rate 1.96 % 0.25 % Weighted-average term to maturity 30.2 days 27.2 days (1) As of December 31, 2021, includes $ 28,219 at sale price of unsettled agency MBS sale commitments which is included in the line item “sold securities receivable” in the accompanying consolidated balance sheets. (2) Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three and six months ended June 30, 2022 and 2021: June 30, 2022 June 30, 2021 Weighted-average outstanding balance during the three months ended $ 282,725 $ 652,624 Weighted-average rate during the three months ended 1.07 % 0.24 % Weighted-average outstanding balance during the six months ended $ 312,544 $ 603,233 Weighted-average rate during the six months ended 0.66 % 0.29 % |
Schedule of Long-term Unsecured Debt Instruments | As of June 30, 2022 and December 31, 2021 , the Company had $ 86,199 and $ 85,994 , respectively, of outstanding long-term unsecured debentures, net of unamortized debt issuance costs of $ 1,482 and $ 1,687 , respectively. The Company’s long-term unsecured debentures consisted of the following as of the dates indicated: June 30, 2022 December 31, 2021 Senior Senior Trust Senior Senior Trust Outstanding $ 34,931 $ 37,750 $ 15,000 $ 34,931 $ 37,750 $ 15,000 Annual 6.75 % 6.000 % LIBOR+ 2.25 - 3.00 % 6.75 % 6.000 % LIBOR+ 2.25 - 3.00 % Interest Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Weighted- 6.75 % 6.000 % 3.79 % 6.75 % 6.000 % 2.87 % Maturity March 15, 2025 August 1, 2026 2033 - 2035 March 15, 2025 August 1, 2026 2033 - 2035 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following table presents the fair value of the Company’s derivative instruments as of the dates indicated: June 30, 2022 December 31, 2021 Assets Liabilities Assets Liabilities Interest rate swaps $ — $ ( 1,008 ) $ — $ ( 107 ) 10-year U.S. Treasury note futures — — 16 — Options on U.S. Treasury note futures — — 4 — TBA commitments 1,216 ( 879 ) 230 ( 121 ) Total $ 1,216 $ ( 1,887 ) $ 250 $ ( 228 ) |
Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location | The following tables provide information about the derivative gains and losses recognized within the periods indicated: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Interest rate derivatives: Interest rate swaps: Net interest expense (1) $ ( 282 ) $ ( 1,187 ) $ ( 573 ) $ ( 1,897 ) Unrealized gains (losses), net 3,231 ( 13,517 ) 6,697 7,548 Gains (losses) realized upon early termination, net 288 ( 1,258 ) 3,449 ( 1,271 ) Total interest rate swap gains (losses), net 3,237 ( 15,962 ) 9,573 4,380 U.S. Treasury note futures, net — 91 ( 782 ) 2,710 Options on U.S. Treasury note futures, net — — ( 4 ) ( 20 ) Total interest rate derivative gains (losses), net 3,237 ( 15,871 ) 8,787 7,070 TBA commitments: TBA dollar roll income (2) 280 1,778 1,103 2,614 Other losses on TBA commitments, net ( 263 ) ( 890 ) ( 4,969 ) ( 10,122 ) Total gains (losses) on TBA commitments, net 17 888 ( 3,866 ) ( 7,508 ) Total derivative gains (losses), net $ 3,254 $ ( 14,983 ) $ 4,921 $ ( 438 ) (1) Represents the periodic net interest settlement incurred during the period (often referred to as “net interest carry”). Also includes “price alignment interest” income earned or expense incurred on cumulative variation margin paid or received, respectively, associated with centrally cleared interest rate swap agreements. (2) Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase. |
Derivative Instrument Volume of Activity | The following tables summarize the volume of activity, in terms of notional amount, related to derivative instruments for the periods indicated: For the Three Months Ended June 30, 2022 Beginning of Additions Scheduled Early End of Period Interest rate swaps $ 175,000 $ 75,000 $ — $ ( 20,000 ) $ 230,000 TBA commitments, net — 430,000 ( 275,000 ) — 155,000 For the Three Months Ended June 30, 2021 Beginning of Additions Scheduled Settlements Early End of Period Interest rate swaps $ 675,000 $ — $ — $ ( 150,000 ) $ 525,000 10-year U.S. Treasury note futures — 165,000 ( 120,000 ) — 45,000 Purchased call options on 10-year U.S. 65,200 — ( 65,200 ) — — TBA commitments, net 100,000 450,000 ( 550,000 ) — — For the Six Months Ended June 30, 2022 Beginning of Additions Scheduled Early End of Period Interest rate swaps $ 150,000 $ 145,000 $ — $ ( 65,000 ) $ 230,000 10-year U.S. Treasury note futures 25,000 50,000 ( 50,000 ) ( 25,000 ) — Purchased call options on 10-year U.S. 25,000 — ( 25,000 ) — — TBA commitments, net — 755,000 ( 600,000 ) — 155,000 For the Six Months Ended June 30, 2021 Beginning of Additions Scheduled Settlements Early End of Period Interest rate swaps $ 275,000 $ 450,000 $ — $ ( 200,000 ) $ 525,000 2-year U.S. Treasury note futures — 50,000 ( 50,000 ) — — 10-year U.S. Treasury note futures — 540,100 ( 320,000 ) ( 175,100 ) 45,000 Purchased call options on 10-year U.S. — 65,200 ( 65,200 ) — — TBA commitments, net — 1,365,000 ( 1,365,000 ) — — |
Derivative Instruments and Other Financial Instrument Cash Collateral | The following table presents information about the cash collateral posted by the Company in respect of its derivative and other financial instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets, for the dates indicated: June 30, 2022 December 31, 2021 Cash collateral posted for: Interest rate swaps (cash initial margin) $ 4,084 $ 4,174 U.S. Treasury note futures (cash initial margin) — 375 Repurchase agreements 539 — Total cash collateral posted, net $ 4,623 $ 4,549 |
Options on 10-Year U.S. Treasury Note Futures | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | Information about the Company’s outstanding options on 10-year U.S. Treasury note futures contracts as of December 31, 2021 is as follows: Notional Amount Weighted-average Strike Price Implied Strike (1) Net Fair Value Purchased call options: January 2022 expiration $ 25,000 134.5 1.00 % $ 4 (1) The implied strike rate is estimated based upon the weighted average strike price per contract and the price of an equivalent 10-year U.S. Treasury note futures contract. |
TBA Commitments | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following tables present information about the Company’s TBA commitments as of the dates indicated: June 30, 2022 Notional Amount: Contractual Forward Price Market Price Fair Value 2.5% 30-year MBS sale commitments $ ( 25,000 ) $ ( 22,649 ) $ ( 22,472 ) $ 177 3.0% 30-year MBS sale commitments ( 30,000 ) ( 27,970 ) ( 27,932 ) 38 3.5% 30-year MBS sale commitments ( 100,000 ) ( 95,486 ) ( 96,172 ) ( 686 ) 4.5% 30-year MBS purchase commitments 50,000 50,121 50,195 74 4.5% 30-year MBS sale commitments ( 50,000 ) ( 50,929 ) ( 50,195 ) 734 Total TBA commitments, net $ ( 155,000 ) $ ( 146,913 ) $ ( 146,576 ) $ 337 December 31, 2021 Notional Amount: Contractual Forward Price Market Price Fair Value 2.5% 30-year MBS purchase commitments $ 225,000 $ 229,043 $ 229,148 $ 105 2.5% 30-year MBS sale commitments ( 225,000 ) ( 229,152 ) ( 229,148 ) 4 Total TBA commitments, net $ — $ ( 109 ) $ — $ 109 |
Interest Rate Swap | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | he following table presents information about the Company’s interest rate swap agreements that were in effect as of June 30, 2022: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive (Pay) Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 130,000 1.32 % 1.22 % ( 0.10 )% 1.5 $ ( 279 ) 3 to less than 10 years 100,000 1.68 % 1.30 % ( 0.38 )% 5.4 ( 729 ) Total / weighted-average $ 230,000 1.48 % 1.25 % ( 0.23 )% 3.2 $ ( 1,008 ) The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2021: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 50,000 0.71 % 0.13 % ( 0.58 )% 1.8 $ ( 5 ) 3 to less than 10 years 100,000 0.90 % 0.13 % ( 0.77 )% 6.6 ( 102 ) Total / weighted-average $ 150,000 0.84 % 0.13 % ( 0.71 )% 5.0 $ ( 107 ) |
Offsetting of Financial Asset_2
Offsetting of Financial Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Offsetting [Abstract] | |
Offsetting of Financial Assets and Liabilities | The following tables present information, as of the dates indicated, about the Company’s derivative instruments, short-term borrowing arrangements, and associated collateral, including those subject to master netting (or similar) arrangements: As of June 30, 2022 Gross Amount Amount Offset Net Amount Gross Amount Not Offset in the Net Financial (1) Cash (2) Assets: Derivative instruments: TBA commitments $ 1,216 $ — $ 1,216 $ ( 879 ) $ — $ 337 Total derivative instruments 1,216 — 1,216 ( 879 ) — 337 Total assets $ 1,216 $ — $ 1,216 $ ( 879 ) $ — $ 337 Liabilities: Derivative instruments: Interest rate swaps $ 1,008 $ — $ 1,008 $ — $ ( 1,008 ) $ — TBA commitments 879 — 879 ( 879 ) — — Total derivative instruments 1,887 — 1,887 ( 879 ) ( 1,008 ) — Repurchase agreements 329,994 — 329,994 ( 329,994 ) — — Total liabilities $ 331,881 $ — $ 331,881 $ ( 330,873 ) $ ( 1,008 ) $ — As of December 31, 2021 Gross Amount Amount Offset Net Amount Gross Amount Not Offset in the Net Financial (1) Cash (2) Assets: Derivative instruments: TBA commitments $ 230 $ — $ 230 $ ( 105 ) $ — $ 125 10-year U.S. Treasury note futures 16 — 16 — — 16 Options on U.S. Treasury note futures 4 — 4 — — 4 Total derivative instruments 250 — 250 ( 105 ) — 145 Total assets $ 250 $ — $ 250 $ ( 105 ) $ — $ 145 Liabilities: Derivative instruments: Interest rate swaps $ 107 $ — $ 107 $ — $ ( 107 ) $ — TBA commitments 121 — 121 ( 105 ) — 16 Total derivative instruments 228 — 228 ( 105 ) ( 107 ) 16 Repurchase agreements 446,624 — 446,624 ( 446,624 ) — — Total liabilities $ 446,852 $ — $ 446,852 $ ( 446,729 ) $ ( 107 ) $ 16 (1) Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets. (2) Does not include the amount of cash collateral pledged in respect of derivative instruments and repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets . |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Summary of Significant Inputs to Fair Value Measurement | The following table presents the weighted-average of the significant inputs to the fair value measurement of the Company’s non-agency MBS secured by business purpose residential mortgage loans as of dates indicated: June 30, 2022 December 31, 2021 Annualized default rate 81.6 % 77.7 % Loss-given-default 13.8 % 15.8 % The following table presents the weighted-average of the significant inputs to the fair value measurement of the business purpose residential mortgage loans of the Company’s consolidated VIE as of the periods indicated: June 30, 2022 December 31, 2021 Probability of default 85.5 % 66.2 % Loss-given-default 6.8 % 8.6 % The following table presents the weighted-average of the significant inputs to the fair value measurement of the subordinate and excess interest-only debt obligations of its consolidated VIE of residential mortgage loans as of June 30, 2022: Subordinate Debt Obligation Excess Interest-Only Debt Obligations Annualized voluntary prepayment rate 18.5 % 18.5 % Annualized default rate 0.5 % 0.5 % Loss-given-default 17.5 % 17.5 % Discount rate 7.3 % 17.7 % |
Schedule of significant unobservable inputs to the fair value measurement | The following table presents the significant unobservable inputs to the fair value measurement of the MSRs underlying the Company’s MSR financing receivables as of the periods indicated: June 30, 2022 December 31, 2021 Discount rate 8.0 % 9.0 % Annualized prepayment rate 7.1 % 10.1 % Annual per-loan cost of servicing (current loans) $ 65.00 $ 65.00 |
Financial Instruments Measured at Fair Value on a Recurring Basis | The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of June 30, 2022 and December 31, 2021. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. June 30, 2022 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 382,357 $ — $ 382,357 $ — MSR financing receivables 120,260 — — 120,260 Loans 29,484 — — 29,484 Credit securities 113,419 — 99,901 13,518 Mortgage loans of consolidated VIEs 225,004 — — 225,004 Derivative assets 1,216 — 1,216 — Other assets 5,746 511 — 5,235 Financial liabilities: Secured debt of consolidated VIEs 205,497 — 193,976 11,521 Derivative liabilities 1,887 — 1,887 — December 31, 2021 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 483,927 $ — $ 483,927 $ — MSR financing receivables 125,018 — — 125,018 Loans 29,697 — — 29,697 Credit securities 26,222 — — 26,222 Mortgage loans of consolidated VIE 7,442 — — 7,442 Derivative assets 250 20 230 — Other assets 12,655 5,267 — 7,388 Financial liabilities: Secured debt of consolidated VIE 508 — — 508 Derivative liabilities 228 — 228 — |
Change in Fair Value of Level 3 Financial Assets and Liabilities that are Measured at Fair Value on Recurring Basis | The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial assets that are measured at fair value on a recurring basis for the periods indicated: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Beginning balance $ 463,318 $ 157,714 $ 195,767 $ 166,428 Net (loss) gain included in "Investment and derivative ( 13,599 ) ( 1,183 ) 1,616 5,135 Additions from consolidation of VIEs — — 276,594 — Transfers to real estate owned by consolidated VIE ( 199 ) — ( 199 ) — Purchases 18,032 72,669 21,219 93,013 Sales ( 12,406 ) ( 1,662 ) ( 12,406 ) ( 1,662 ) Payments, net ( 64,763 ) ( 22,764 ) ( 95,381 ) ( 59,540 ) Accretion (amortization) of discount (premium), net 3,118 1,955 6,291 3,355 Ending balance $ 393,501 $ 206,729 $ 393,501 $ 206,729 Net unrealized (losses) gains included in earnings for the $ ( 13,037 ) $ ( 1,108 ) $ 2,647 $ 5,215 The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial liabilities that are measured at fair value on a recurring basis for the periods indicated: Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Beginning balance $ 13,615 $ 611 $ 508 $ 576 Net (gain) loss included in "Investment and derivative ( 1,081 ) 29 ( 1,332 ) ( 10 ) Additions from consolidation of VIEs — — 14,278 — Payments, net ( 936 ) — ( 1,796 ) — (Amortization) accretion of (premium) discount, net ( 77 ) — ( 137 ) 74 Ending balance $ 11,521 $ 640 $ 11,521 $ 640 Net unrealized (gains) losses included in earnings for the $ ( 1,081 ) $ 29 $ ( 1,332 ) $ ( 10 ) |
Earnings (Loss) Per Share (Tabl
Earnings (Loss) Per Share (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Earnings Per Share [Abstract] | |
Computations of Basic and Diluted Earnings (Loss) Per Share | The following table presents the computations of basic and diluted earnings (loss) per share for the periods indicated: Three Months Ended June 30, Six Months Ended June 30, (Shares in thousands) 2022 2021 2022 2021 Basic weighted-average common shares outstanding 28,766 33,066 29,296 33,123 Performance share units, unvested restricted stock units, — — — — Diluted weighted-average common shares outstanding 28,766 33,066 29,296 33,123 Net loss attributable to common stock $ ( 400 ) $ ( 7,782 ) $ ( 3,843 ) $ ( 14,545 ) Basic loss per common share $ ( 0.01 ) $ ( 0.24 ) $ ( 0.13 ) $ ( 0.44 ) Diluted loss per common share $ ( 0.01 ) $ ( 0.24 ) $ ( 0.13 ) $ ( 0.44 ) |
Long-Term Incentive Plan (Table
Long-Term Incentive Plan (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Deferred Compensation Arrangement with Individual, Excluding Share-Based Payments and Postretirement Benefits [Line Items] | |
Share Based Compensation Performance Shares Grants Activity | The Compensation Committee of the Board of Directors of the Company approved the following Performance-based Stock Award grants for the periods indicated: Six Months Ended June 30, 2022 2021 Absolute TSR Awards granted 174,581 90,711 Absolute TSR Award grant date fair value per share $ 6.03 $ 6.89 Relative TSR Awards granted 87,291 47,710 Relative TSR Award grant date fair value per share $ 5.83 $ 6.55 Book Value Awards granted 103,000 — Book Value Award grant date fair value per share $ 3.37 $ — Stock Price Awards granted 1,225,490 — Stock Price Award grant date fair value per share $ 1.72 $ — |
Share based compensation award valuation assumptions | The following assumptions, determined as of the date of grant, were used in the Monte Carlo simulation model to measure the grant date fair value per share of the Company’s Absolute TSR Awards, Relative TSR Awards and Stock Price Awards for the periods indicated: Absolute TSR Awards Relative TSR Awards Stock Price Awards Six Months Ended June 30, Six Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 2022 2021 Closing stock price on date of grant $ 3.58 $ 4.08 $ 3.58 $ 4.08 $ 3.06 $ — Beginning average stock price on (1) $ 3.60 $ 4.07 $ 3.60 $ 4.07 N/A $ — Expected volatility (2) 69.20 % 69.27 % 69.20 % 69.27 % 51.17 % — Dividend yield (3) 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % — Risk-free rate (4) 1.01 % 0.34 % 1.01 % 0.34 % 2.97 % — Discount for illiquidity (5) 0.00 % 0.00 % 0.00 % 0.00 % 8.42 % — (1) Based upon the 30 trading days prior to and including the date of grant. (2) Based upon the most recent three-year volatility as of the date of grant. (3) Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying Performance-based Stock Award is earned. Applying dividend yield assumption of 0.00 % in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. (4) Based upon the yield of a U.S. Treasury bond with a three-year maturity as of the date of grant. (5) Based on restriction on ability to sell vested awards for one year after vesting. |
Schedule of Unvested Restricted Stock Units Roll Forward | The Company grants restricted common shares to employees that either vest ratably over a three-year period or cliff vest at the end of a three-year period based on continued employment over these specified periods. A summary of these unvested restricted stock awards is presented below: Number of Shares Weighted-average Weighted- Share Balance as of December 31, 2020 547,688 $ 4.89 1.5 Granted 365,592 3.89 — Conversion of ROE Awards 82,124 5.65 — Forfeitures ( 22,000 ) 6.54 — Vestitures ( 214,369 ) 5.89 — Share Balance as of December 31, 2021 759,035 4.16 1.5 Granted 384,291 3.42 — Forfeitures ( 12,167 ) 3.57 — Share Balance as of June 30, 2022 1,131,159 $ 3.91 1.3 |
Non Employee Director | |
Deferred Compensation Arrangement with Individual, Excluding Share-Based Payments and Postretirement Benefits [Line Items] | |
Share Based Compensation Restricted Stock Units Grants Activity | A summary of the non-employee director RSUs grants is presented below for the periods indicated: Six Months Ended June 30, 2022 2021 RSUs granted 132,450 98,035 Grant date fair value $ 3.02 $ 4.08 |
Organization and Basis of Pre_2
Organization and Basis of Presentation - Additional Information (Details) | 6 Months Ended |
Jun. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Required annual distribution of taxable income | 90% |
Intended annual distribution of taxable income | 100% |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies - Additional Information (Details) | Jun. 30, 2022 | Dec. 31, 2021 |
Summary Of Significant Accounting Policies [Line Items] | ||
Cash Equivalents Percentage Held in Us Government Backed Securities | 0% | 67% |
ASU No. 2020-04 | ||
Summary Of Significant Accounting Policies [Line Items] | ||
Change in Accounting Principle, Accounting Standards Update, Adopted | false | |
ASU No. 2021-01 | ||
Summary Of Significant Accounting Policies [Line Items] | ||
Change in Accounting Principle, Accounting Standards Update, Adopted | false |
Investments in Agency MBS - Add
Investments in Agency MBS - Additional Information (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Agency MBS | ||
Fair Value of MBS | $ 382,357 | $ 483,927 |
Investments in Agency MBS - A_2
Investments in Agency MBS - Additional Information About Gains and Losses Recognized with Respect to Investments in Agency MBS (Details) - Agency MBS - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Net gains (losses) recognized in earnings for: | ||||
MBS still held at period end | $ (3,921) | $ 6,840 | $ (3,922) | $ (11,861) |
MBS sold during the period | (6,670) | 290 | (32,626) | (10,224) |
Total | $ (10,591) | $ 7,130 | $ (36,548) | $ (22,085) |
Investments in Credit Securit_3
Investments in Credit Securities - Additional Information (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Credit Securities | ||
Fair Value of MBS | $ 113,419 | $ 26,222 |
Investments in Credit Securit_4
Investments in Credit Securities - Additional Information About Gains and Losses Recognized with Respect to Investments in Credit Securities (Details) - Credit Securities - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Net gains (losses) recognized in earnings for: | ||||
Credit securities still held at period end | $ (321) | $ (186) | $ (675) | $ 1,210 |
Credit securities sold during the period | (482) | (75) | (970) | (80) |
Total | $ (803) | $ (261) | $ (1,645) | $ 1,130 |
Loans Held For Investment - Add
Loans Held For Investment - Additional Information (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Schedule Of Investments [Line Items] | ||
Mortgage loans, at fair value | $ 29,484 | $ 29,697 |
Revolving Credit Facility | ||
Schedule Of Investments [Line Items] | ||
Loan Rate | SOFR plus 3.86 | |
Revolving credit facility, committed fund | $ 30,000 | 30,000 |
Revolving credit facility | $ 130,000 | $ 130,000 |
Revolving credit facility maturity date | Jul. 07, 2024 | |
Unused commitment fee percentage | 0.50% | 0.50% |
Revolving credit facility, unfunded commitment | $ 29,686 | $ 30,000 |
Revolving Credit Facility Funded Commitment | $ 314 | $ 0 |
Revolving Credit Facility | Minimum | ||
Schedule Of Investments [Line Items] | ||
Loan floor rate | 1% | 1% |
Healthcare Facilities Mortgage Loan | ||
Schedule Of Investments [Line Items] | ||
Outstanding principal balance | $ 29,484 | $ 29,697 |
Healthcare Facilities Mortgage Loan | Loan Purchase Commitments | ||
Schedule Of Investments [Line Items] | ||
Loan Rate | SOFR plus 5.61% | |
Loan maturity date | Mar. 23, 2022 | |
New loan maturity date | Mar. 23, 2023 |
Investments in MSR Financing _3
Investments in MSR Financing Receivables - Additional Information (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | 36 Months Ended | 39 Months Ended | ||||
Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2023 | Apr. 01, 2024 | Mar. 31, 2022 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | |
Accounts Notes And Loans Receivable [Line Items] | ||||||||
MSR servicing fee basis points | 0.125% | |||||||
Servicing advances receivable | $ 2,348 | $ 3,731 | ||||||
Counterparty financing secured by financing receivable | 60,868 | 40,398 | ||||||
MSR financing receivables, at fair value | 120,260 | $ 125,018 | $ 139,225 | $ 74,652 | $ 36,005 | $ 9,346 | ||
Scenario, Forecast | ||||||||
Accounts Notes And Loans Receivable [Line Items] | ||||||||
Minimum amount of capital commitment for investments to counterparty period of expiration | Dec. 31, 2023 | Apr. 01, 2024 | ||||||
Minimum | ||||||||
Accounts Notes And Loans Receivable [Line Items] | ||||||||
Minimum amount of capital commitment for investments to counterparty | $ 50,000 | |||||||
Minimum | Scenario, Forecast | ||||||||
Accounts Notes And Loans Receivable [Line Items] | ||||||||
Minimum amount of capital commitment for investments to counterparty | $ 25,000 | $ 25,000 |
Investments in MSR Financing _4
Investments in MSR Financing Receivables - Schedule of Investment in MSR Finance Receivables (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Receivables [Abstract] | ||||
Balance at period beginning | $ 139,225 | $ 36,005 | $ 125,018 | $ 9,346 |
Capital investments | 18,032 | 39,278 | 21,219 | 59,622 |
Capital distributions | (49,432) | 64,552 | ||
Accretion of interest income | 3,983 | 1,390 | 7,365 | 1,748 |
Changes in valuation inputs and assumptions | 8,452 | 2,021 | 31,210 | 3,936 |
Balance at period end | $ 120,260 | $ 74,652 | $ 120,260 | $ 74,652 |
Investments in SFR Properties -
Investments in SFR Properties - Additional Information (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 20, 2022 USD ($) | May 27, 2022 USD ($) Property | May 10, 2022 USD ($) Property | Jun. 30, 2022 USD ($) Property | Jun. 30, 2022 USD ($) Property | Dec. 31, 2021 USD ($) Property | |
Real Estate And Accumulated Depreciation [Line Items] | ||||||
Investments in single-family residential real estate, at cost | $ 182,783 | $ 182,783 | $ 61,188 | |||
Single-Family Residential Properties | ||||||
Real Estate And Accumulated Depreciation [Line Items] | ||||||
Maximum commitment fund amount of acquisition of properties | 65,000 | 65,000 | ||||
Commitment fund amount of acquisition of properties | 55,000 | $ 55,000 | ||||
Number of properties | Property | 586 | 214 | ||||
Investments in single-family residential real estate, at cost | 182,783 | $ 182,783 | $ 61,188 | |||
Depreciation expense | 604 | $ 1,319 | ||||
Number of properties committed to acquire | Property | 25 | |||||
Commitments to purchase investments in single-family residential real estate, at cost | $ 9,034 | $ 9,034 | ||||
Number of properties committed to sell | Property | 376 | 378 | 376 | |||
Initial deposits related to sale | $ 2,655 | $ 2,655 | ||||
Related to property sold amount | $ 131,921 | $ 132,750 | ||||
Escrow deposit | $ 5,310 | |||||
Single-Family Residential Properties | Building [Member] | ||||||
Real Estate And Accumulated Depreciation [Line Items] | ||||||
Useful life of building and improvements | 27 years 6 months | |||||
Single-Family Residential Properties | Building Improvements [Member] | Minimum | ||||||
Real Estate And Accumulated Depreciation [Line Items] | ||||||
Useful life of building and improvements | 5 years | |||||
Single-Family Residential Properties | Building Improvements [Member] | Maximum | ||||||
Real Estate And Accumulated Depreciation [Line Items] | ||||||
Useful life of building and improvements | 27 years 6 months |
Investments in SFR Properties_2
Investments in SFR Properties - Summary of Net Carrying Amount of SFR Properties (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Investments in single-family residential real estate: | ||
Land | $ 30,336 | $ 10,128 |
Buildings and improvements | 152,447 | 51,060 |
Investments in single-family residential real estate, at cost | 182,783 | 61,188 |
Less: accumulated depreciation | (1,614) | (299) |
Investments in single-family residential real estate, net | 181,169 | 60,889 |
Single Family properties | ||
Investments in single-family residential real estate: | ||
Investments in single-family residential real estate, at cost | 182,783 | 61,188 |
Single-family Residential Real Estate | ||
Investments in single-family residential real estate: | ||
Land | 11,423 | 10,128 |
Buildings and improvements | 57,093 | 51,060 |
Investments in single-family residential real estate, at cost | 68,516 | 61,188 |
Less: accumulated depreciation | (326) | (299) |
Investments in single-family residential real estate, net | 68,190 | 60,889 |
Single-family Residential Real Estate Held-for-Sale | ||
Investments in single-family residential real estate: | ||
Land | 18,913 | 0 |
Buildings and improvements | 95,354 | 0 |
Investments in single-family residential real estate, at cost | 114,267 | 0 |
Less: accumulated depreciation | (1,288) | 0 |
Investments in single-family residential real estate, net | $ 112,979 | $ 0 |
Consolidation of Variable Int_3
Consolidation of Variable Interest Entities - Additional Information (Details) - Variable Interest Entity, Primary Beneficiary - USD ($) $ in Thousands | 6 Months Ended | ||
Feb. 03, 2022 | Sep. 30, 2020 | Jun. 30, 2022 | |
Variable Interest Entity [Line Items] | |||
Payments to acquire investments | $ 20,585 | $ 10,693 | |
Business Purpose Residential Mortgage Loans | |||
Variable Interest Entity [Line Items] | |||
Pool of mortgage loans, unpaid principal balance | $ 4,835 | ||
Outstanding Principal | $ 291 | ||
Mortgage loan, weighted average net note rate | 6.01% | ||
Business Purpose Residential Mortgage Loans | Unfunded Construction Draw Balance Commitment | |||
Variable Interest Entity [Line Items] | |||
Construction Draw Commitment Balance | $ 121 | ||
Residential Mortgage Loans | |||
Variable Interest Entity [Line Items] | |||
Pool of mortgage loans, unpaid principal balance | 237,483 | ||
Outstanding Principal | $ 239,574 | ||
Mortgage loan, weighted average net note rate | 4.79% | ||
Debt obligations, weighted average coupon rate | 1.37% |
Consolidation of Variable Int_4
Consolidation of Variable Interest Entities - Schedule of Carrying Values of Assets and Liabilities of Consolidated VIE, Net of Elimination Entries (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | |||
Variable Interest Entity [Line Items] | |||||
Restricted cash of consolidated VIE | $ 1,270 | $ 1,132 | |||
Loans Receivable, Fair Value Disclosure | 29,484 | 29,697 | |||
Other Assets | 12,945 | 15,287 | |||
Other liabilities of consolidated VIEs | (12,187) | (6,605) | |||
Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Cash of consolidated VIEs | 247 | 2,118 | |||
Restricted cash of consolidated VIE | 4,649 | [1] | 111 | [2] | |
Loans Receivable, Fair Value Disclosure | 225,004 | 7,442 | |||
Other Assets | 1,401 | 547 | |||
Secured debt of consolidated VIEs, at fair value | (205,497) | (508) | |||
Other liabilities of consolidated VIEs | (275) | (2) | |||
Net investment in consolidated VIEs | 25,529 | 9,708 | |||
Variable Interest Entity, Primary Beneficiary | Business Purpose Residential Mortgage Loans | |||||
Variable Interest Entity [Line Items] | |||||
Cash of consolidated VIEs | 247 | 2,118 | |||
Restricted cash of consolidated VIE | 13 | [1] | 111 | [2] | |
Loans Receivable, Fair Value Disclosure | 4,548 | 7,442 | |||
Other Assets | 657 | 547 | |||
Secured debt of consolidated VIEs, at fair value | (272) | (508) | |||
Other liabilities of consolidated VIEs | (1) | (2) | |||
Net investment in consolidated VIEs | 5,192 | $ 9,708 | |||
Variable Interest Entity, Primary Beneficiary | Residential Mortgage Loans | |||||
Variable Interest Entity [Line Items] | |||||
Restricted cash of consolidated VIE | [1] | 4,636 | |||
Loans Receivable, Fair Value Disclosure | 220,456 | ||||
Other Assets | 744 | ||||
Secured debt of consolidated VIEs, at fair value | (205,225) | ||||
Other liabilities of consolidated VIEs | (274) | ||||
Net investment in consolidated VIEs | $ 20,337 | ||||
[1] Restricted cash represents cash collected by the trust that must be used solely to satisfy the liabilities of the VIE in the month following collection. Restricted cash represents cash collected by the trust that must be used solely to satisfy the liabilities of the VIE in the month following collection. |
Consolidation of Variable Int_5
Consolidation of Variable Interest Entities - Schedule of Accrual Status of Residential Mortgage Loans of Consolidated VIE (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Variable Interest Entity [Line Items] | ||
Loans Receivable, Fair Value Disclosure | $ 29,484 | $ 29,697 |
Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Loans Receivable, Fair Value Disclosure | 225,004 | 7,442 |
Variable Interest Entity, Primary Beneficiary | Business Purpose Residential Mortgage Loans | ||
Variable Interest Entity [Line Items] | ||
Loans Receivable, Fair Value Disclosure | 4,548 | $ 7,442 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate | 4,835 | |
Difference | (287) | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage Loans | ||
Variable Interest Entity [Line Items] | ||
Loans Receivable, Fair Value Disclosure | 220,456 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate | 237,483 | |
Difference | (17,027) | |
Less than 90 Days Past Due | Accrual Status | Variable Interest Entity, Primary Beneficiary | Business Purpose Residential Mortgage Loans | ||
Variable Interest Entity [Line Items] | ||
Loans Receivable, Fair Value Disclosure | 151 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate | 151 | |
Less than 90 Days Past Due | Accrual Status | Variable Interest Entity, Primary Beneficiary | Residential Mortgage Loans | ||
Variable Interest Entity [Line Items] | ||
Loans Receivable, Fair Value Disclosure | 219,118 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate | 236,145 | |
Difference | (17,027) | |
90 Days or More Past Due | Non-accrual Status | Variable Interest Entity, Primary Beneficiary | Business Purpose Residential Mortgage Loans | ||
Variable Interest Entity [Line Items] | ||
Loans Receivable, Fair Value Disclosure | 4,397 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate | 4,684 | |
Difference | (287) | |
90 Days or More Past Due | Non-accrual Status | Variable Interest Entity, Primary Beneficiary | Residential Mortgage Loans | ||
Variable Interest Entity [Line Items] | ||
Loans Receivable, Fair Value Disclosure | 1,338 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate | $ 1,338 |
Borrowings - Additional Informa
Borrowings - Additional Information (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |||
Sep. 28, 2021 | Aug. 06, 2021 | Jul. 15, 2021 | Jun. 30, 2022 | Dec. 31, 2021 | |
Debt Instrument [Line Items] | |||||
Long-term unsecured debt | $ 86,199 | $ 85,994 | |||
Unamortized debt issuance costs | $ 1,482 | $ 1,687 | |||
Weighted-average term to maturity (in days) | 30 days 4 hours | 27 days 4 hours | |||
Weighted-average rate | 1.96% | 0.25% | |||
Credit Suisse Securities (USA) LLC | |||||
Debt Instrument [Line Items] | |||||
Weighted-average term to maturity (in days) | 65 days | ||||
Collateral at Risk as a Percentage of Equity | 11.20% | ||||
6.000% Senior Notes due 2026 | |||||
Debt Instrument [Line Items] | |||||
Debt instrument, issued | $ 37,750 | ||||
Net proceeds from after deducting underwriter discounts | $ 36,570 | ||||
Senior Notes Due 2023 | |||||
Debt Instrument [Line Items] | |||||
Debt instrument redemption amount | $ 23,821 | ||||
Debt instrument redemption price percentage | 100% | ||||
Secured Debt | McLean SFR Investment, LLC | |||||
Debt Instrument [Line Items] | |||||
Unamortized debt issuance costs | $ 237 | $ 264 | |||
Maturity | Oct. 09, 2026 | ||||
Annual Interest Rate | 2.76% | ||||
Outstanding balance | $ 122,770 | $ 39,178 | |||
Debt Instrument, collateral description | The loan is secured by a first priority interest in all the assets of McLean SFR and a first priority pledge of the equity interest of McLean SFR. If the outstanding principal balance of the loan is greater than 74% of the fair value of the eligible collateral, McLean SFR is required to either pledge additional collateral or prepay the loan in an amount so that the outstanding principal balance does not exceed 74% of the fair value of the eligible collateral. | ||||
Agency MBS | |||||
Debt Instrument [Line Items] | |||||
Mortgage Loan Rate | SOFR plus 2.61% | ||||
Mortgage loan maturity date | Mar. 17, 2023 | ||||
Weighted-average term to maturity (in days) | 14 days | 13 days | |||
Weighted-average rate | 1.48% | 0.14% | |||
Agency MBS | SOFR | |||||
Debt Instrument [Line Items] | |||||
Mortgage loan floor rate | 2.61% | ||||
Minimum | Agency MBS | |||||
Debt Instrument [Line Items] | |||||
MBS repurchase agreement contract duration | 30 days | ||||
Maximum | Secured Debt | McLean SFR Investment, LLC | |||||
Debt Instrument [Line Items] | |||||
Debt instrument, issued | $ 150,000 | ||||
Percentage of fair value of eligible properties of loan amount | 74% | ||||
Maximum | Agency MBS | |||||
Debt Instrument [Line Items] | |||||
MBS repurchase agreement contract duration | 60 days | ||||
Mortgage loan maturity date extension option | 364 days |
Borrowings - Outstanding Repurc
Borrowings - Outstanding Repurchase Agreement Borrowings (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2021 | ||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 329,994 | $ 446,624 | |
Agency MBS collateral, at fair value | 366,758 | 477,676 | |
Net amount | [1] | $ 36,764 | $ 31,052 |
Weighted-average rate | 1.96% | 0.25% | |
Weighted-average term to maturity (in days) | 30 days 4 hours | 27 days 4 hours | |
Agency MBS repurchase financing | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 224,566 | $ 425,836 | |
Agency MBS collateral, at fair value | [2] | 237,373 | 447,979 |
Net amount | [1] | $ 12,807 | $ 22,143 |
Weighted-average rate | 1.48% | 0.14% | |
Weighted-average term to maturity (in days) | 14 days | 13 days | |
Non-Agency MBS | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 84,788 | ||
Agency MBS collateral, at fair value | 99,901 | ||
Net amount | [1] | $ 15,113 | |
Weighted-average rate | 2.81% | ||
Weighted-average term to maturity (in days) | 17 days | ||
Mortgage loans repurchase financing | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 20,640 | $ 20,788 | |
Agency MBS collateral, at fair value | 29,484 | 29,697 | |
Net amount | [1] | $ 8,844 | $ 8,909 |
Weighted-average rate | 3.77% | 2.60% | |
Weighted-average term to maturity (in days) | 260 days | 319 days | |
[1] Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. As of December 31, 2021, includes $ 28,219 at sale price of unsettled agency MBS sale commitments which is included in the line item “sold securities receivable” in the accompanying consolidated balance sheets. |
Borrowings - Outstanding Repu_2
Borrowings - Outstanding Repurchase Agreement Borrowings (Parenthetical) (Details) $ in Thousands | Dec. 31, 2021 USD ($) |
Repurchase Agreement Counterparty [Line Items] | |
Sold securities receivable | $ 28,219 |
Pledged as Collateral for Repurchase Agreements | |
Repurchase Agreement Counterparty [Line Items] | |
Sold securities receivable | $ 28,219 |
Borrowings - Information Regard
Borrowings - Information Regarding Outstanding Repurchase Agreement Borrowings During the Period (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Debt Disclosure [Abstract] | ||||
Weighted-average outstanding balance | $ 282,725 | $ 652,624 | $ 312,544 | $ 603,233 |
Weighted-average rate | 1.07% | 0.24% | 0.66% | 0.29% |
Borrowings - Long-term Unsecure
Borrowings - Long-term Unsecured Debt Instruments (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Senior Notes Due 2025 | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 34,931 | $ 34,931 |
Annual Interest Rate | 6.75% | 6.75% |
Interest Payment Frequency | Quarterly | Quarterly |
Weighted-Average Interest Rate | 6.75% | 6.75% |
Maturity | Mar. 15, 2025 | Mar. 15, 2025 |
Senior Notes Due 2026 | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 37,750 | $ 37,750 |
Annual Interest Rate | 6% | 6% |
Interest Payment Frequency | Quarterly | Quarterly |
Weighted-Average Interest Rate | 6% | 6% |
Maturity | Aug. 01, 2026 | Aug. 01, 2026 |
Trust Preferred Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 15,000 | $ 15,000 |
Interest Payment Frequency | Quarterly | Quarterly |
Weighted-Average Interest Rate | 3.79% | 2.87% |
Trust Preferred Debt | Minimum | ||
Debt Instrument [Line Items] | ||
Annual Interest Rate | 2.25% | 2.25% |
Maturity | 2033 | 2033 |
Trust Preferred Debt | Maximum | ||
Debt Instrument [Line Items] | ||
Annual Interest Rate | 3% | 3% |
Maturity | 2035 | 2035 |
Derivative Instruments - Fair V
Derivative Instruments - Fair Value of Derivative Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Derivative Assets | $ 1,216 | $ 250 |
Derivative Liabilities, Net Amount | (1,887) | (228) |
Interest Rate Swap | ||
Derivative Assets | 0 | 0 |
Derivative Liabilities, Net Amount | (1,008) | (107) |
10-year U.S. Treasury Note Futures | ||
Derivative Assets | 0 | 16 |
Derivative Liabilities, Net Amount | 0 | 0 |
Options on U.S. Treasury Note Futures | ||
Derivative Assets | 0 | 4 |
Derivative Liabilities, Net Amount | 0 | 0 |
TBA Commitments | ||
Derivative Assets | 1,216 | 230 |
Derivative Liabilities, Net Amount | $ (879) | $ (121) |
Derivative Instruments - Intere
Derivative Instruments - Interest Rate Swap Agreements (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2022 | Dec. 31, 2021 | Mar. 31, 2022 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | |
Notional Amount | $ 155,000 | $ 100,000 | ||||
Interest Rate Swap | ||||||
Notional Amount | $ 230,000 | $ 150,000 | $ 175,000 | $ 525,000 | $ 675,000 | $ 275,000 |
Weighted-average: Fixed Pay Rate | 1.48% | 0.84% | ||||
Weighted-average: Variable Receive Rate | 1.25% | 0.13% | ||||
Weighted-average: Net Receive (Pay) Rate | (0.23%) | (0.71%) | ||||
Weighted-average: Remaining Life (in years) | 3 years 2 months 12 days | 5 years | ||||
Fair Value, Asset and (Liability) | $ (1,008) | $ (107) | ||||
Interest Rate Swap | Less Than Three Years Maturity | ||||||
Notional Amount | $ 130,000 | $ 50,000 | ||||
Weighted-average: Fixed Pay Rate | 1.32% | 0.71% | ||||
Weighted-average: Variable Receive Rate | 1.22% | 0.13% | ||||
Weighted-average: Net Receive (Pay) Rate | (0.10%) | (0.58%) | ||||
Weighted-average: Remaining Life (in years) | 1 year 6 months | 1 year 9 months 18 days | ||||
Fair Value, Asset and (Liability) | $ (279) | $ (5) | ||||
Interest Rate Swap | Three To Less Than Ten Years Maturity | ||||||
Notional Amount | $ 100,000 | $ 100,000 | ||||
Weighted-average: Fixed Pay Rate | 1.68% | 0.90% | ||||
Weighted-average: Variable Receive Rate | 1.30% | 0.13% | ||||
Weighted-average: Net Receive (Pay) Rate | (0.38%) | (0.77%) | ||||
Weighted-average: Remaining Life (in years) | 5 years 4 months 24 days | 6 years 7 months 6 days | ||||
Fair Value, Asset and (Liability) | $ (729) | $ (102) |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Details) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | Mar. 31, 2021 |
Derivative [Line Items] | ||||
Notional Amount | $ 155,000,000 | $ 100,000,000 | ||
10-year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Notional Amount | 0 | $ 25,000,000 | $ 45,000,000 | |
Options on U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Derivative outstanding options | $ 0 |
Derivative Instruments - Outsta
Derivative Instruments - Outstanding Options on Ten-Year U.S. Treasury Note Futures Contracts (Details) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2021 USD ($) ₺ / mm | Jun. 30, 2022 USD ($) | Mar. 31, 2021 USD ($) | ||
Notional Amount | $ 155,000 | $ 100,000 | ||
Weighted-average Strike Price | ₺ / mm | 134.5 | |||
Options on 10-Year U.S. Treasury Note Futures | ||||
Derivative maturity | 2022-01 | |||
Notional Amount | $ 25,000 | |||
Implied Strike Rate | [1] | 1% | ||
Net Fair Value | $ 4 | |||
[1] The implied strike rate is estimated based upon the weighted average strike price per contract and the price of an equivalent 10-year U.S. Treasury note futures contract. |
Derivative Instruments - TBA Co
Derivative Instruments - TBA Commitments (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | Mar. 31, 2021 |
Notional Amount: Net Purchase Commitment | $ 155,000 | $ 100,000 | |
Fair Value, Asset | 1,216 | $ 250 | |
Fair Value, Liability | (1,887) | (228) | |
TBA Commitments | |||
Notional Amount: Net Purchase Commitment | 155,000 | 0 | |
Contractual Forward Price | (146,913) | (109) | |
Market Price | (146,576) | 0 | |
Fair Value, Asset | 1,216 | 230 | |
Fair Value, Liability | (879) | (121) | |
Net Fair Value | 337 | 109 | |
TBA Commitments | Two Point Five Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Purchase | |||
Notional Amount: Net Purchase Commitment | 225,000 | ||
Contractual Forward Price | 229,043 | ||
Market Price | 229,148 | ||
Fair Value, Asset | 105 | ||
TBA Commitments | Two Point Five Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Sale | |||
Notional Amount: Net Purchase Commitment | 25,000 | 225,000 | |
Contractual Forward Price | (22,649) | (229,152) | |
Market Price | (22,472) | (229,148) | |
Fair Value, Asset | 177 | $ 4 | |
TBA Commitments | Three Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Sale | |||
Notional Amount: Net Purchase Commitment | 30,000 | ||
Contractual Forward Price | (27,970) | ||
Market Price | (27,932) | ||
Fair Value, Asset | 38 | ||
TBA Commitments | Three Point Five Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Sale | |||
Notional Amount: Net Purchase Commitment | 100,000 | ||
Contractual Forward Price | (95,486) | ||
Market Price | (96,172) | ||
Fair Value, Liability | (686) | ||
TBA Commitments | Four Point Five Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Purchase | |||
Notional Amount: Net Purchase Commitment | 50,000 | ||
Contractual Forward Price | 50,121 | ||
Market Price | 50,195 | ||
Fair Value, Asset | 74 | ||
TBA Commitments | Four Point Five Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Sale | |||
Notional Amount: Net Purchase Commitment | 50,000 | ||
Contractual Forward Price | (50,929) | ||
Market Price | (50,195) | ||
Fair Value, Asset | $ 734 |
Derivative Instruments - Deriva
Derivative Instruments - Derivative Gains and Losses Recognized Within the Periods (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | ||
Interest rate derivative gains, net | $ 3,237 | $ (15,871) | $ 8,787 | $ 7,070 | |
Losses on commitments | 17 | 888 | (3,866) | (7,508) | |
Total derivative gains, net | 3,254 | (14,983) | 4,921 | (438) | |
Interest Rate Swap | |||||
Interest rate derivative gains, net | 3,237 | (15,962) | 9,573 | 4,380 | |
Interest Rate Swaps Net Interest Expense | |||||
Interest rate derivative gains, net | [1] | (282) | (1,187) | (573) | (1,897) |
Unrealized Gains, Net | |||||
Interest rate derivative gains, net | 3,231 | (13,517) | 6,697 | 7,548 | |
Interest Rate Swaps (Gains) Losses Realized Upon Early Termination, Net | |||||
Interest rate derivative gains, net | 288 | (1,258) | 3,449 | (1,271) | |
Options on U.S. Treasury Note Futures, Net | |||||
Interest rate derivative gains, net | 0 | 0 | (4) | (20) | |
TBA Dollar Roll Income | |||||
Losses on commitments | [2] | 280 | 1,778 | 1,103 | 2,614 |
Other Losses on TBA Commitments, Net | |||||
Losses on commitments | (263) | (890) | (4,969) | (10,122) | |
U.S. Treasury Note Futures, Net | |||||
Interest rate derivative gains, net | $ 0 | $ 91 | $ (782) | $ 2,710 | |
[1] Represents the periodic net interest settlement incurred during the period (often referred to as “net interest carry”). Also includes “price alignment interest” income earned or expense incurred on cumulative variation margin paid or received, respectively, associated with centrally cleared interest rate swap agreements. Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase. |
Derivative Instruments - Volume
Derivative Instruments - Volume of Activity, in terms of Notional Amount, Related to Derivative Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Derivative [Line Items] | ||||
Beginning of Period | $ 100,000 | |||
Additions | $ 430,000 | 450,000 | $ 755,000 | $ 1,365,000 |
Scheduled Settlements | 275,000 | 550,000 | 600,000 | 1,365,000 |
End of Period | 155,000 | 155,000 | ||
Interest Rate Swap | ||||
Derivative [Line Items] | ||||
Beginning of Period | 175,000 | 675,000 | 150,000 | 275,000 |
Additions | 75,000 | 145,000 | 450,000 | |
Early Terminations | (20,000) | (150,000) | (65,000) | (200,000) |
End of Period | 230,000 | 525,000 | 230,000 | 525,000 |
2-year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Additions | 50,000 | |||
Scheduled Settlements | (50,000) | |||
10-year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Beginning of Period | 25,000 | |||
Additions | 165,000 | 50,000 | 540,100 | |
Scheduled Settlements | (120,000) | (50,000) | (320,000) | |
Early Terminations | (25,000) | (175,100) | ||
End of Period | $ 0 | 45,000 | 0 | 45,000 |
Purchased Call Options on Ten Year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Beginning of Period | 65,200 | 25,000 | ||
Additions | 65,200 | |||
Scheduled Settlements | $ (65,200) | $ (25,000) | $ (65,200) |
Derivative Instruments - Cash C
Derivative Instruments - Cash Collateral Posted in Respect of Derivative and Other Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Cash collateral posted, net | $ 4,623 | $ 4,549 |
Interest Rate Swap | ||
Cash collateral posted, net | 4,084 | 4,174 |
U.S. Treasury Note Futures | ||
Cash collateral posted, net | 0 | 375 |
Repurchase Agreements | ||
Cash collateral posted, net | $ 539 | $ 0 |
Offsetting of Financial Asset_3
Offsetting of Financial Assets and Liabilities - Derivative Instruments and Short-term Borrowing Arrangements, including those Subject to Master Netting or Similar Arrangements (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | |
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | $ 1,216 | $ 250 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset | 1,216 | 250 | |
Derivative Asset, Financial Instruments | [1] | (879) | (105) |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 337 | 145 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 1,887 | 228 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liability | 1,887 | 228 | |
Derivative Liabilities, Financial Instruments | [1] | (879) | (105) |
Derivative Liabilities, Cash Collateral | [2] | (1,008) | (107) |
Derivative Liabilities, Net amount Total | 0 | 16 | |
Derivative Financial Instruments, Liabilities | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 331,881 | 446,852 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liability | 331,881 | 446,852 | |
Derivative Liabilities, Financial Instruments | [1] | (330,873) | (446,729) |
Derivative Liabilities, Cash Collateral | [2] | (1,008) | (107) |
Derivative Liabilities, Net amount Total | 0 | 16 | |
Derivative Financial Instruments, Assets | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 1,216 | 250 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset | 1,216 | 250 | |
Derivative Asset, Financial Instruments | [1] | (879) | (105) |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 337 | 145 | |
Repurchase Agreements | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 329,994 | 446,624 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liability | (329,994) | (446,624) | |
Derivative Liabilities, Financial Instruments | [1] | (329,994) | (446,624) |
Derivative Liabilities, Cash Collateral | [2] | 0 | 0 |
Derivative Liabilities, Net amount Total | 0 | 0 | |
TBA Commitments | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 1,216 | 230 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset | 1,216 | 230 | |
Derivative Asset, Financial Instruments | [1] | (879) | (105) |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 337 | 125 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 879 | 121 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liability | 879 | 121 | |
Derivative Liabilities, Financial Instruments | [1] | (879) | (105) |
Derivative Liabilities, Cash Collateral | [2] | 0 | 0 |
Derivative Liabilities, Net amount Total | 0 | 16 | |
10-year U.S. Treasury Note Futures | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 16 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset | 0 | 16 | |
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 16 | ||
Derivative instruments: | |||
Derivative Liability | 0 | 0 | |
Options on U.S. Treasury Note Futures | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 4 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset | 0 | 4 | |
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 4 | ||
Derivative instruments: | |||
Derivative Liability | 0 | 0 | |
Interest Rate Swap | |||
Derivative instruments: | |||
Derivative Asset | 0 | 0 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 1,008 | 107 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liability | 1,008 | 107 | |
Derivative Liabilities, Financial Instruments | [1] | 0 | 0 |
Derivative Liabilities, Cash Collateral | [2] | (1,008) | (107) |
Derivative Liabilities, Net amount Total | $ 0 | $ 0 | |
[1] Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets. Does not include the amount of cash collateral pledged in respect of derivative instruments and repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets |
Fair Value Measurements - Summa
Fair Value Measurements - Summary of Significant Inputs to Fair Value Measurement (Details) - Fair Value, Inputs, Level 3 | Jun. 30, 2022 LoanCost | Dec. 31, 2021 LoanCost |
Annualized Voluntary Prepayment Rate | Subordinate Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.185 | |
Annualized Voluntary Prepayment Rate | Excess Interest-Only Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.185 | |
Annualized Default Rate | Subordinate Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.005 | |
Annualized Default Rate | Excess Interest-Only Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.005 | |
Loss-Given-Default | Subordinate Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.175 | |
Loss-Given-Default | Excess Interest-Only Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.175 | |
Discount Rate | Subordinate Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.073 | |
Discount Rate | Excess Interest-Only Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.177 | |
Non-Agency MBS | Annualized Default Rate | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.816 | 0.777 |
Non-Agency MBS | Loss-Given-Default | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.138 | 0.158 |
Mortgage Loans of Consolidated VIE | Loss-Given-Default | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.068 | 0.086 |
Mortgage Loans of Consolidated VIE | Probability of Default | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.855 | 0.662 |
MSR financing receivables | Annualized Voluntary Prepayment Rate | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.071 | 0.101 |
MSR financing receivables | Discount Rate | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 0.080 | 0.090 |
MSR financing receivables | Annual per-loan Cost of Servicing(Current Loans) | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Alternative Investment, Measurement Input | 65 | 65 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Long-term unsecured debt, carrying value | $ 86,199 | $ 85,994 |
Long-term debt, Fair Value | 81,350 | 84,821 |
Long-term secured debt, carrying value | 122,770 | 39,178 |
Equity Securities of Publicly Traded Companies | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Investments in equity securities and investment funds measured at fair value | 511 | 5,267 |
Private Equity Funds | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Investments in equity securities and investment funds measured at fair value | 5,235 | 7,388 |
MSR financing receivables | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Present value of expected incentive fee | $ 11,511 | $ 3,820 |
Fair Value, Inputs, Level 3 | Private Equity Funds | Stock Price to Net Asset Multiple | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Fair value discount rate | 0.97 | 0.95 |
Fair Value, Inputs, Level 3 | Private Equity Funds | Discount Factor for Lack of Marketability and Control | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Fair value discount rate | 0.15 | 0.15 |
Fair Value, Inputs, Level 3 | Private Equity Funds | Cost of Equity Discount Rate | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Fair value discount rate | 0.16 | 0.16 |
Fair Value, Inputs, Level 3 | Commercial Mortgage Loan Investment | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Estimated weighted average rate of default | 0% | 0% |
Fair value discount rate | 0.066 | 0.056 |
Fair Value, Inputs, Level 3 | Single-Family Residential Properties | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Long-term debt, Fair Value | $ 112,019 | $ 38,562 |
Long-term secured debt, carrying value | $ 122,770 | $ 39,178 |
Fair Value, Inputs, Level 3 | Non-Agency MBS | Maximum | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Percentage of investment represented original collateral pool | 10% | 10% |
Fair Value, Inputs, Level 3 | Mortgage Loans of Consolidated VIE | Maximum | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Percentage of loans represented original collateral pool | 10% | 10% |
Fair Value Measurements - Finan
Fair Value Measurements - Financial Instruments Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Financial assets: | ||
Loans, at fair value | $ 29,484 | $ 29,697 |
Derivative Asset, Subject to Master Netting Arrangement, before Offset | 1,216 | 250 |
Financial liabilities: | ||
Derivative Liability | 1,887 | 228 |
Fair Value, Measurements, Recurring | ||
Financial assets: | ||
MSR financing receivables | 120,260 | 125,018 |
Loans, at fair value | 29,484 | 29,697 |
Derivative Asset, Subject to Master Netting Arrangement, before Offset | 1,216 | 250 |
Other assets | 5,746 | 12,655 |
Financial liabilities: | ||
Derivative Liability | 1,887 | 228 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 1 | ||
Financial assets: | ||
MSR financing receivables | 0 | 0 |
Loans, at fair value | 0 | 0 |
Derivative Asset, Subject to Master Netting Arrangement, before Offset | 0 | 20 |
Other assets | 511 | 5,267 |
Financial liabilities: | ||
Derivative Liability | 0 | 0 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 2 | ||
Financial assets: | ||
MSR financing receivables | 0 | 0 |
Loans, at fair value | 0 | 0 |
Derivative Asset, Subject to Master Netting Arrangement, before Offset | 1,216 | 230 |
Other assets | 0 | 0 |
Financial liabilities: | ||
Derivative Liability | 1,887 | 228 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
MSR financing receivables | 120,260 | 125,018 |
Loans, at fair value | 29,484 | 29,697 |
Derivative Asset, Subject to Master Netting Arrangement, before Offset | 0 | 0 |
Other assets | 5,235 | 7,388 |
Financial liabilities: | ||
Derivative Liability | 0 | 0 |
Fair Value, Measurements, Recurring | Agency MBS | ||
Financial assets: | ||
Trading securities | 382,357 | 483,927 |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 1 | ||
Financial assets: | ||
Trading securities | 0 | 0 |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 2 | ||
Financial assets: | ||
Trading securities | 382,357 | 483,927 |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
Trading securities | 0 | 0 |
Fair Value, Measurements, Recurring | Variable Interest Entity, Primary Beneficiary | ||
Financial assets: | ||
Loans, at fair value | 225,004 | 7,442 |
Financial liabilities: | ||
Secured debt of consolidated VIEs, at fair value | 205,497 | 508 |
Fair Value, Measurements, Recurring | Variable Interest Entity, Primary Beneficiary | Fair Value, Inputs, Level 1 | ||
Financial assets: | ||
Loans, at fair value | 0 | 0 |
Financial liabilities: | ||
Secured debt of consolidated VIEs, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Variable Interest Entity, Primary Beneficiary | Fair Value, Inputs, Level 2 | ||
Financial assets: | ||
Loans, at fair value | 0 | 0 |
Financial liabilities: | ||
Secured debt of consolidated VIEs, at fair value | 193,976 | 0 |
Fair Value, Measurements, Recurring | Variable Interest Entity, Primary Beneficiary | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
Loans, at fair value | 225,004 | 7,442 |
Financial liabilities: | ||
Secured debt of consolidated VIEs, at fair value | 11,521 | 508 |
Fair Value, Measurements, Recurring | Credit Securities | ||
Financial assets: | ||
Trading securities | 113,419 | 26,222 |
Fair Value, Measurements, Recurring | Credit Securities | Fair Value, Inputs, Level 1 | ||
Financial assets: | ||
Trading securities | 0 | 0 |
Fair Value, Measurements, Recurring | Credit Securities | Fair Value, Inputs, Level 2 | ||
Financial assets: | ||
Trading securities | 99,901 | 0 |
Fair Value, Measurements, Recurring | Credit Securities | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
Trading securities | $ 13,518 | $ 26,222 |
Fair Value Measurements - Chang
Fair Value Measurements - Change in Fair Value of Level 3 Financial Assets and Liabilities that are Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | ||||
Beginning balance | $ 463,318 | $ 157,714 | $ 195,767 | $ 166,428 |
Net gain included in "Investment and derivative gain (loss), net" | (13,599) | (1,183) | 1,616 | 5,135 |
Additions from consolidation of VIEs | 0 | 0 | 276,594 | 0 |
Transfers to real estate owned by consolidated VIE | (199) | 0 | (199) | 0 |
Purchases | 18,032 | 72,669 | 21,219 | 93,013 |
Sales | (12,406) | (1,662) | (12,406) | (1,662) |
Payments, net | (64,763) | (22,764) | (95,381) | (59,540) |
Accretion (amortization) of discount (premium), net | 3,118 | 1,955 | 6,291 | 3,355 |
Ending balance | 393,501 | 206,729 | 393,501 | 206,729 |
Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date | (13,037) | (1,108) | 2,647 | 5,215 |
Beginning balance | 13,615 | 611 | 508 | 576 |
Net gain included in "Investment and derivative gain (loss), net" | (1,081) | 29 | (1,332) | (10) |
Additions from consolidation of VIEs | 0 | 0 | 14,278 | 0 |
Payments, net | (936) | 0 | (1,796) | 0 |
(Amortization) accretion of (premium) discount, net | (77) | 0 | (137) | 74 |
Ending balance | 11,521 | 640 | 11,521 | 640 |
Net unrealized losses (gains) included in earnings for the period for Level 3 liabilities still held at the reporting date | $ (1,081) | $ 29 | $ (1,332) | $ (10) |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Income Tax Disclosure [Line Items] | ||||
Intended annual distribution of taxable income | 100% | |||
Required annual distribution of taxable income | 90% | |||
Estimated net operating loss carryforwards | $ 167,491 | $ 167,491 | ||
Net operating loss carryforward subject to expiration year | 14,588 | 14,588 | ||
Net operating loss carryforward not subject to expiration year | 152,903 | $ 152,903 | ||
Percentage of maximum utilization net operating loss carry forward | 80% | |||
Forwards | 2028 | |||
Capital loss carryforwards expiration remainder of fiscal year | 3,763 | $ 3,763 | ||
Capital loss carryforwards expiration in year 2023 | 110,323 | 110,323 | ||
Capital loss carryforwards expiration in year 2026 | 13,036 | 13,036 | ||
Capital loss carryforwards expiration in year 2027 | 44,713 | 44,713 | ||
Provision for income taxes | 802 | $ (76) | 3,089 | $ 322 |
Capital Loss Carryforward | ||||
Income Tax Disclosure [Line Items] | ||||
Tax Credit Carryforward, Amount | $ 171,835 | $ 171,835 |
Earnings (Loss) Per Share - Com
Earnings (Loss) Per Share - Computations of Basic and Diluted Earnings (Loss) Per Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Earnings Per Share [Abstract] | ||||
Basic weighted-average common shares outstanding | 28,766 | 33,066 | 29,296 | 33,123 |
Performance share units, unvested restricted stock units, and unvested restricted stock | 0 | 0 | 0 | 0 |
Diluted weighted-average common shares outstanding | 28,766 | 33,066 | 29,296 | 33,123 |
Net loss attributable to common stock | $ (400) | $ (7,782) | $ (3,843) | $ (14,545) |
Basic loss per common share | $ (0.01) | $ (0.24) | $ (0.13) | $ (0.44) |
Diluted loss per common share | $ (0.01) | $ (0.24) | $ (0.13) | $ (0.44) |
Earnings (Loss) Per Share - Add
Earnings (Loss) Per Share - Additional Information (Details) - shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Restricted Stock, Restricted Stock Units and Performance Shares | ||||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 534,170 | 358,127 | 508,274 | 310,769 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Details) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||
Apr. 11, 2022 $ / shares | Jun. 01, 2009 | Jun. 30, 2022 USD ($) $ / shares shares | Mar. 31, 2022 USD ($) $ / shares shares | Jun. 30, 2021 USD ($) shares | Mar. 31, 2021 USD ($) shares | Jun. 30, 2022 USD ($) $ / shares shares | Dec. 31, 2021 USD ($) $ / shares shares | Jul. 31, 2020 shares | Aug. 10, 2018 shares | |
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Common stock, shares outstanding (in shares) | 0 | 0 | 0 | |||||||
Shareholder Rights Plan | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Rights plan, amended term of agreement | 3 years | |||||||||
Stock repurchase program expiration date | Jun. 04, 2025 | |||||||||
Preferred Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Repurchase of stock | $ | $ (1,749) | |||||||||
Common Equity Distribution Agreements | Common Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Issuance of stock (in shares) | 0 | 0 | 0 | |||||||
Maximum | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Stock repurchase program, number of shares authorized to be repurchased | 18,000,000 | |||||||||
Maximum | Shareholder Rights Plan | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Rights plan price per share | $ / shares | $ 70 | |||||||||
Minimum | Shareholder Rights Plan | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Rights plan price per share | $ / shares | $ 21.30 | |||||||||
Common Class A | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 | 450,000,000 | |||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Common Stock Voting Rights Per Share Owned | 1 | 1 | ||||||||
Common stock, shares outstanding (in shares) | 29,112,374 | 29,112,374 | 30,676,931 | |||||||
Stock repurchase program shares previously available to be repurchased | 11,033,142 | 11,033,142 | ||||||||
Repurchase of stock | $ | $ 3,242 | $ 3,497 | $ 3,490 | $ 523 | $ 6,739 | $ 12,475 | ||||
Common Class A | Common Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Repurchase of stock (in shares) | 947,570 | 1,009,566 | 855,835 | (137,655) | 1,957,136 | 3,242,371,000 | ||||
Repurchase of stock | $ | $ 10 | $ 10 | $ 9 | $ 1 | ||||||
Common Class A | Amended New Equity Distribution Agreements | Common Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Number of shares offer and sell | 11,302,160 | 11,302,160 | ||||||||
Common Class A | Maximum | Amended New Equity Distribution Agreements | Common Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Number of shares offer and sell | 12,597,423 | |||||||||
Common Class A | Minimum | Shareholder Rights Plan | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Percentage of beneficial ownership of common stock | 4.90% | |||||||||
Common Class B | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Common stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | ||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | ||||||||
Common Stock Voting Rights Per Share Owned | 3 | 3 | ||||||||
7.00% Series B Cumulative Perpetual Redeemable Preferred Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Preferred stock, shares authorized (in shares) | 2,000,000 | 2,000,000 | ||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | ||||||||
Series C Preferred Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Preferred stock, shares authorized (in shares) | 2,500,000 | 2,500,000 | ||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Preferred stock, dividend rate percentage | 8.25% | |||||||||
Preferred stock voting rights per share owned | 0 | 0 | ||||||||
Preferred stock, liquidation preference per share | $ / shares | $ 25 | $ 25 | ||||||||
Preferred stock, redeemable price per share | $ / shares | 25 | $ 25 | ||||||||
Preferred stock, dividend payment terms | Dividends are payable quarterly in arrears on the 30th day of March, June, September and December of each year, when and as declared. | |||||||||
Preferred stock, annual dividend rate per share | $ / shares | $ 2.0625 | $ 2.0625 | ||||||||
Preferred stock, rate conversion date | Mar. 30, 2024 | |||||||||
Series C Preferred Stock | LIBOR | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Preferred stock, variable dividend spread rate | 5.664% | |||||||||
Series C Preferred Stock | Preferred Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Repurchase of stock (in shares) | 72,363 | 72,363 | 0 | |||||||
Repurchase of stock | $ | $ 1,749 | $ 1,749 | ||||||||
Undesignated Preferred Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Preferred stock, shares authorized (in shares) | 20,400,000 | 20,400,000 | ||||||||
Series A Preferred Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Preferred stock, shares authorized (in shares) | 100,000 | 100,000 | ||||||||
Preferred stock shares unissued | 100,000 | 100,000 | ||||||||
Series B Preferred Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Preferred stock, dividend rate percentage | 7% | |||||||||
Preferred stock voting rights per share owned | 0 | 0 | ||||||||
Preferred stock, liquidation preference per share | $ / shares | $ 25 | $ 25 | ||||||||
Preferred stock, redeemable price per share | $ / shares | 25 | $ 25 | ||||||||
Preferred stock, dividend payment terms | Dividends are payable quarterly in arrears on the 30th day of March, June, September and December of each year, when and as declared. | |||||||||
Preferred stock, annual dividend rate per share | $ / shares | $ 1.75 | $ 1.75 | ||||||||
Series B Preferred Stock | Preferred Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Issuance of stock (in shares) | 6,058 | |||||||||
Series B Preferred Stock | Series B Preferred Equity Distribution Agreement | Preferred Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Issuance of stock (in shares) | 6,058 | 37,337 | ||||||||
Number of Shares Offer and Sell | 1,602,566 | 1,602,566 | ||||||||
Weighted average public offering price | $ / shares | $ 24.87 | $ 24.99 | ||||||||
Proceeds net of selling commissions and expenses | $ | $ 149 | $ 919 | ||||||||
Series B Preferred Stock | Maximum | Series B Preferred Equity Distribution Agreement | Preferred Stock | ||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||
Number of Shares Offer and Sell | 1,647,370 | 1,647,370 |
Long-Term Incentive Plan (Addit
Long-Term Incentive Plan (Additional Information) (Details) - USD ($) $ / shares in Units, $ in Thousands | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2019 | Dec. 31, 2021 | Dec. 31, 2020 | |
Long Term Incentive Plan 2021 | Common Class A | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 5,256,076 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 4,350,695 | ||||
Long Term Incentive Plan2021 And Prior Plans | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 2,411,686 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period | 1,939,009 | ||||
Stock Options And SARs | Long Term Incentive Plan 2021 | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested in Period, Fair Value | $ 160 | ||||
Absolute TSR Relative TSR And Book Value Performance Shares | Common Class A | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Vesting period | 3 years | 3 years | |||
Absolute TSR Relative TSR And Book Value Performance Shares | Maximum | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Threshold percentage of performance goals | 250% | ||||
Absolute TSR Relative TSR And Book Value Performance Shares | Maximum | Common Class A | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Vesting percentage | 250% | ||||
Absolute TSR Relative TSR And Book Value Performance Shares | Minimum | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Threshold percentage of performance goals | 50% | ||||
Absolute TSR Relative TSR And Book Value Performance Shares | Minimum | Common Class A | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Vesting percentage | 0% | ||||
Book Value Awards | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Shares granted (in shares) | 103,000 | ||||
Grant date fair value per share | $ 3.37 | ||||
Book Value Awards | Common Class A | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Vesting period | 1 year | ||||
Book Value Awards | Maximum | Common Class A | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Vesting percentage | 100% | ||||
Book Value Awards | Minimum | Common Class A | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Vesting percentage | 0% | ||||
Stock Price awards | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Vesting period | 3 years | ||||
Shares granted (in shares) | 1,225,490 | ||||
Grant date fair value per share | $ 1.72 | ||||
Stock Price awards | Common Class A | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Vesting period | 45 days | ||||
Stock Price awards | Maximum | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Vesting percentage | 300% | ||||
Stock Price awards | Minimum | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Vesting percentage | 75% | ||||
Performance Shares | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Allocated Share Based Compensation Expense Income | $ 565 | $ 182 | |||
Share-Based Payment Arrangement, Nonvested Award, Cost Not yet Recognized, Amount | $ 3,986 | $ 878 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Remaining Contractual Term | 3 years 7 months 9 days | ||||
Share-Based Payment Award, Options, Outstanding | 1,939,009 | ||||
Return On Equity Performance Shares | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Share-based compensation arrangement by share-based payment award, equity instruments other than options conversion in period | 0 | 82,124 | |||
Restricted Stocks | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Share-Based Payment Arrangement, Nonvested Award, Cost Not yet Recognized, Amount | $ 2,129 | $ 1,847 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Remaining Contractual Term | 1 year 3 months 18 days | ||||
Share-based compensation arrangement by share-based payment award, equity instruments other than options conversion in period | 82,124 | ||||
Allocated Share-based Compensation Expense | $ 988 | $ 604 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Beginning Balance | 1,131,159 | 759,035 | 547,688 | ||
Shares granted (in shares) | 384,291 | 365,592 | |||
Grant date fair value per share | $ 3.42 | $ 3.89 | |||
Restricted Stock Units (RSUs) | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense | $ 200 | 200 | |||
Restricted Stock Units (RSUs) | Common Class A | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Intrinsic value | 73 | $ 74 | |||
Restricted Stock Units (RSUs) | Board Of Directors Chairman | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Shares granted (in shares) | 87,847 | ||||
Grant date fair value per share | $ 6.83 | ||||
Restricted Stock Units (RSUs) | Employee | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense | $ 0 | $ 54 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Beginning Balance | 0 | 20,455 | |||
Restricted Stock Units (RSUs) | Non Employee Director | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Shares granted (in shares) | 132,450 | 98,035 | |||
Grant date fair value per share | $ 3.02 | $ 4.08 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Number, Ending Balance | 548,272 | 415,822 | |||
Undistributed Restricted Stock Issued To Trust | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Beginning Balance | 9,155 | 9,155 |
Long-Term Incentive Plan - Shar
Long-Term Incentive Plan - Share Based Compensation Performance-based Stock Award Grants Activity (Details) - $ / shares | 6 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | |
Absolute TSR Awards | ||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||
Shares granted (in shares) | 174,581 | 90,711 |
Grant date fair value per share | $ 6.03 | $ 6.89 |
Relative TSR Awards | ||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||
Shares granted (in shares) | 87,291 | 47,710 |
Grant date fair value per share | $ 5.83 | $ 6.55 |
Book Value Awards | ||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||
Shares granted (in shares) | 103,000 | |
Grant date fair value per share | $ 3.37 | |
Stock Price awards | ||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||
Shares granted (in shares) | 1,225,490 | |
Grant date fair value per share | $ 1.72 |
Long-Term Incentive Plan - Sh_2
Long-Term Incentive Plan - Share Based Compensation Award Valuation Assumptions (Details) - $ / shares | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | ||
Absolute TSR Awards | |||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||
Closing stock price on date of grant | $ 3.58 | $ 4.08 | |
Beginning average stock price on date of grant | [1] | $ 3.60 | $ 4.07 |
Expected volatility | [2] | 69.20% | 69.27% |
Dividend yield | [3] | 0% | 0% |
Risk-free rate | [4] | 1.01% | 0.34% |
Discount for illiquidity | [5] | 0% | 0% |
Relative TSR Awards | |||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||
Closing stock price on date of grant | $ 3.58 | $ 4.08 | |
Beginning average stock price on date of grant | [1] | $ 3.60 | $ 4.07 |
Expected volatility | [2] | 69.20% | 69.27% |
Dividend yield | [3] | 0% | 0% |
Risk-free rate | [4] | 1.01% | 0.34% |
Discount for illiquidity | [5] | 0% | 0% |
Stock Price awards | |||
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||
Closing stock price on date of grant | $ 3.06 | ||
Expected volatility | [2] | 51.17% | |
Dividend yield | [3] | 0% | |
Risk-free rate | [4] | 2.97% | |
Discount for illiquidity | [5] | 8.42% | |
[1] Based upon the 30 trading days prior to and including the date of grant. Based upon the most recent three-year volatility as of the date of grant. Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying Performance-based Stock Award is earned. Applying dividend yield assumption of 0.00 % in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. Based upon the yield of a U.S. Treasury bond with a three-year maturity as of the date of grant. Based on restriction on ability to sell vested awards for one year after vesting. |
Long-Term Incentive Plan - Sh_3
Long-Term Incentive Plan - Share Based Compensation Award Valuation Assumptions (Parenthetical) (Details) | 6 Months Ended |
Jun. 30, 2022 | |
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |
Trading Period | 30 days |
Ability to sell Vested awards, after vesting, (In years) | 1 year |
Absolute TSR And Relative TSR Performance Shares | |
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |
Dividend yield | 0% |
Absolute TSR And Relative TSR Performance Shares | US Treasury Securities | |
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |
Share-Based Compensation Arrangement by Share-Based Payment Award, Fair Value Assumptions, Expected Term | 3 years |
Long-Term Incentive Plan - Sche
Long-Term Incentive Plan - Schedule of Unvested Restricted Stock Units Roll Forward (Details) - Restricted Stocks - $ / shares | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | |||
Share Balance (in shares) | 759,035 | 547,688 | |
Shares granted (in shares) | 384,291 | 365,592 | |
Conversion of ROE Awards (in shares) | 82,124 | ||
Forfeitures (in shares) | (12,167) | (22,000) | |
Vestitures (in shares) | (214,369) | ||
Share Balance (in shares) | 1,131,159 | 759,035 | 547,688 |
Balance (in dollars per share) | $ 4.16 | $ 4.89 | |
Grant date fair value per share | 3.42 | 3.89 | |
Conversion of ROE Awards (in dollars per share) | 5.65 | ||
Forfeitures (in dollars per share) | 3.57 | 6.54 | |
Vestitures (in dollars per share) | 5.89 | ||
Balance (in dollars per share) | $ 3.91 | $ 4.16 | $ 4.89 |
Weighted-average remaining vested period (in years) | 1 year 3 months 18 days | 1 year 6 months | 1 year 6 months |
Long-Term Incentive Plan - Sh_4
Long-Term Incentive Plan - Share Based Compensation Restricted Stock Units Grants Activity (Details) - Restricted Stock Units (RSUs) - Non Employee Director - $ / shares | 6 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | |
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] | ||
RSUs granted | 132,450 | 98,035 |
Grant date fair value per share | $ 3.02 | $ 4.08 |