Document And Entity Information
Document And Entity Information - shares | 9 Months Ended | |
Sep. 30, 2021 | Oct. 29, 2021 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2021 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q3 | |
Entity Registrant Name | ARLINGTON ASSET INVESTMENT CORP. | |
Entity Central Index Key | 0001209028 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | 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 | 31,479,419 | |
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 | Sep. 30, 2021 | Dec. 31, 2020 | |
ASSETS | |||
Cash and cash equivalents | $ 21,166 | $ 28,796 | |
Restricted cash | 217 | ||
MSR financing receivables, at fair value | 112,834 | 9,346 | |
Loans, at fair value | 29,800 | 45,000 | |
Single-family residential real estate | 9,407 | ||
Derivative assets, at fair value | 2,004 | 258 | |
Deposits | 6,114 | 6,306 | |
Other assets | 15,022 | 20,146 | |
Total assets | 879,609 | 1,212,389 | |
Liabilities: | |||
Repurchase agreements | 553,983 | 655,212 | |
Derivative liabilities, at fair value | 3,020 | 221 | |
Purchased securities payable | 139,013 | ||
Other liabilities | 4,626 | 4,698 | |
Commitments and contingencies | |||
Stockholders’ Equity: | |||
Additional paid-in capital | 2,034,310 | 2,040,918 | |
Accumulated deficit | (1,845,798) | (1,830,272) | |
Total stockholders’ equity | 224,677 | 246,270 | |
Total liabilities and stockholders’ equity | 879,609 | 1,212,389 | |
Long-term unsecured debt | 85,901 | 73,027 | |
Total liabilities | 654,932 | 966,119 | |
Variable Interest Entity, Primary Beneficiary | |||
ASSETS | |||
Restricted cash | [1] | 3,267 | 11,169 |
Loans, at fair value | 16,516 | 93,283 | |
Interest receivable of consolidated VIE | 67 | 545 | |
Liabilities: | |||
Secured debt of consolidated VIE, at fair value | 7,350 | 93,627 | |
Interest payable of consolidated VIE | 52 | 321 | |
Agency MBS | |||
ASSETS | |||
Mortgage-backed securities, at fair value | 637,718 | 970,880 | |
Liabilities: | |||
Repurchase agreements | 533,123 | 623,712 | |
Mortgage Credit Securities | |||
ASSETS | |||
Mortgage-backed securities, at fair value | 25,477 | 26,660 | |
Series B Preferred Stock | |||
Stockholders’ Equity: | |||
Preferred stock | 8,493 | 7,933 | |
Series C Preferred Stock | |||
Stockholders’ Equity: | |||
Preferred stock | 27,356 | 27,356 | |
Common Class A | |||
Stockholders’ Equity: | |||
Common stock | $ 316 | $ 335 | |
[1] | . |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Restricted cash | $ 217 | ||
Loans, at fair value | $ 29,800 | $ 45,000 | |
Common stock, shares outstanding (in shares) | 0 | 0 | |
Series B Preferred Stock | |||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Preferred stock, issued (in shares) | 358,992 | 336,273 | |
Preferred stock, outstanding (in shares) | 358,992 | 336,273 | |
Preferred stock, liquidation preference | $ 8,975 | $ 8,407 | |
Series C Preferred Stock | |||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Preferred stock, issued (in shares) | 1,117,034 | 1,117,034 | |
Preferred stock, outstanding (in shares) | 1,117,034 | 1,117,034 | |
Preferred stock, liquidation preference | $ 27,926 | $ 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) | 31,618,567 | 33,517,018 | |
Common stock, shares outstanding (in shares) | 31,618,567 | 33,517,018 | |
Variable Interest Entity, Primary Beneficiary | |||
Restricted cash | [1] | $ 3,267 | $ 11,169 |
Interest receivable of consolidated VIE | 67 | 545 | |
Loans, at fair value | 16,516 | 93,283 | |
Secured debt, at fair value | (7,350) | (93,627) | |
Interest payable | (52) | (321) | |
Net investment in consolidated VIE | $ 12,448 | $ 11,049 | |
[1] | . |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Interest income | ||||
Loans | $ 481 | $ 1,122 | $ 2,317 | $ 2,658 |
MSR financing receivables | 1,945 | 3,693 | ||
Interest and other income | 193 | 385 | 479 | 1,062 |
Total interest income | 6,346 | 5,410 | 19,650 | 36,517 |
Interest expense | ||||
Total interest expense | 1,914 | 1,632 | 6,373 | 19,833 |
Net interest income | 4,432 | 3,778 | 13,277 | 16,684 |
Single-family property operating expenses | 36 | 36 | ||
Investment (loss) gain, net | ||||
Gain (loss) on mortgage investments, net | 2,551 | 2,696 | (13,780) | 13,415 |
(Loss) gain from derivative instruments, net | (3,327) | 487 | (3,765) | (102,510) |
Other, net | (537) | 769 | 437 | 2,776 |
Total investment (loss) gain, net | (1,313) | 3,952 | (17,108) | (86,319) |
General and administrative expenses | ||||
Compensation and benefits | 1,888 | 1,774 | 5,124 | 5,529 |
Other general and administrative expenses | 1,009 | 1,197 | 3,600 | 4,013 |
Total general and administrative expenses | 2,897 | 2,971 | 8,724 | 9,542 |
Income (loss) before income taxes | 186 | 4,759 | (12,591) | (79,177) |
Income tax provision | 436 | 758 | ||
Net (loss) income | (250) | 4,759 | (13,349) | (79,177) |
Dividend on preferred stock | (731) | (726) | (2,177) | (2,258) |
Net (loss) income (attributable) available to common stock | $ (981) | $ 4,033 | $ (15,526) | $ (81,435) |
Basic (loss) earnings per common share | $ (0.03) | $ 0.12 | $ (0.47) | $ (2.26) |
Diluted (loss) earnings per common share | $ (0.03) | $ 0.12 | $ (0.47) | $ (2.26) |
Weighted-average common shares outstanding (in thousands) | ||||
Basic | 31,927 | 34,655 | 32,720 | 35,990 |
Diluted | 31,927 | 34,697 | 32,720 | 35,990 |
Variable Interest Entity, Primary Beneficiary | ||||
Interest income | ||||
Loans | $ 301 | $ 2,764 | ||
Secured Debt | ||||
Interest expense | ||||
Short-term debt | 306 | $ 470 | 1,197 | $ 16,216 |
Secured Debt | Variable Interest Entity, Primary Beneficiary | ||||
Interest expense | ||||
Secured debt of consolidated VIE | 173 | 1,440 | ||
Unsecured Debt | ||||
Interest expense | ||||
Long-term debt | 1,435 | 1,162 | 3,736 | 3,617 |
Agency MBS | ||||
Interest income | ||||
Mortgage-backed credit securities | 2,660 | 2,808 | 8,428 | 29,713 |
Mortgage Credit Securities | ||||
Interest income | ||||
Mortgage-backed credit securities | 766 | 1,095 | 1,969 | 3,084 |
Investment (loss) gain, net | ||||
Gain (loss) on mortgage investments, net | $ (75) | $ 413 | $ 1,054 | $ (16,369) |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Unaudited) - USD ($) $ in Thousands | Total | Common Class A | Preferred Stock | Preferred StockSeries B Preferred Stock | Preferred StockSeries C Preferred Stock | Common StockCommon Class A | Additional Paid-in Capital | Accumulated Deficit |
Balances at Dec. 31, 2019 | $ 327,248 | $ 8,270 | $ 28,944 | $ 368 | $ 2,049,292 | $ (1,759,626) | ||
Balances (in shares) at Dec. 31, 2019 | 354,039 | 1,200,000 | 36,755,387 | |||||
Net income (loss) | (94,170) | (94,170) | ||||||
Issuance of Class A common stock under stock-based compensation plans | 62 | 62 | ||||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 60,374 | |||||||
Stock-based compensation | 393 | 393 | ||||||
Other | (22) | $ (6) | $ (10) | (6) | ||||
Dividends declared | (702) | (702) | ||||||
Balances at Mar. 31, 2020 | 232,809 | $ 8,264 | $ 28,934 | $ 368 | 2,049,741 | (1,854,498) | ||
Balances (in shares) at Mar. 31, 2020 | 354,039 | 1,200,000 | 36,815,761 | |||||
Balances at Dec. 31, 2019 | 327,248 | $ 8,270 | $ 28,944 | $ 368 | 2,049,292 | (1,759,626) | ||
Balances (in shares) at Dec. 31, 2019 | 354,039 | 1,200,000 | 36,755,387 | |||||
Net income (loss) | (79,177) | |||||||
Balances at Sep. 30, 2020 | 236,886 | $ 7,943 | $ 27,630 | $ 337 | 2,041,986 | (1,841,010) | ||
Balances (in shares) at Sep. 30, 2020 | 336,273 | 1,131,648 | 33,731,170 | |||||
Balances at Dec. 31, 2019 | 327,248 | $ 8,270 | $ 28,944 | $ 368 | 2,049,292 | (1,759,626) | ||
Balances (in shares) at Dec. 31, 2019 | 354,039 | 1,200,000 | 36,755,387 | |||||
Repurchase of stock | $ (10,377) | $ (299) | $ (1,578) | |||||
Repurchase of stock (in shares) | (17,766) | (82,966) | (3,662,566) | |||||
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 | |||||
Balances at Mar. 31, 2020 | 232,809 | $ 8,264 | $ 28,934 | $ 368 | 2,049,741 | (1,854,498) | ||
Balances (in shares) at Mar. 31, 2020 | 354,039 | 1,200,000 | 36,815,761 | |||||
Net income (loss) | 10,234 | 10,234 | ||||||
Repurchase of stock | (3,047) | $ (800) | $ (173) | $ (627) | $ (11) | (3,036) | ||
Repurchase of stock (in shares) | (10,200) | (33,100) | (1,069,340) | |||||
Stock-based compensation | 594 | 594 | ||||||
Other | (26) | $ (13) | (13) | |||||
Dividends declared | (779) | (779) | ||||||
Balances at Jun. 30, 2020 | 238,985 | $ 8,078 | $ 28,307 | $ 357 | 2,047,286 | (1,845,043) | ||
Balances (in shares) at Jun. 30, 2020 | 343,839 | 1,166,900 | 35,746,421 | |||||
Net income (loss) | 4,759 | 4,759 | ||||||
Repurchase of stock | (5,864) | $ (803) | $ (126) | $ (677) | $ (21) | (5,843) | ||
Repurchase of stock (in shares) | (7,566) | (35,252) | (2,079,074) | |||||
Issuance of Class A common stock under stock-based compensation plans | 48 | $ 1 | 47 | |||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 95,846 | |||||||
Repurchase of Class A common stock under stock-based compensation plans | (91) | (91) | ||||||
Repurchase of Class A common stock under stock-based compensation plans (in shares) | (32,023) | |||||||
Stock-based compensation | 596 | 596 | ||||||
Other | (18) | $ (9) | (9) | |||||
Dividends declared | (726) | (726) | ||||||
Balances at Sep. 30, 2020 | 236,886 | $ 7,943 | $ 27,630 | $ 337 | 2,041,986 | (1,841,010) | ||
Balances (in shares) at Sep. 30, 2020 | 336,273 | 1,131,648 | 33,731,170 | |||||
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 income (loss) | (6,040) | (6,040) | ||||||
Repurchase of stock | (523) | $ (1) | (522) | |||||
Repurchase of stock (in shares) | (137,655) | |||||||
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 | |||||||
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 income (loss) | (13,349) | |||||||
Repurchase of stock | (8,108) | |||||||
Repurchase of stock (in shares) | 0 | 0 | (2,053,470) | |||||
Balances at Sep. 30, 2021 | 224,677 | $ 8,493 | $ 27,356 | $ 316 | 2,034,310 | (1,845,798) | ||
Balances (in shares) at Sep. 30, 2021 | 358,992 | 1,117,034 | 31,618,567 | |||||
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 income (loss) | (7,059) | (7,059) | ||||||
Repurchase of stock | (3,490) | $ (9) | (3,481) | |||||
Repurchase of stock (in shares) | (855,835) | |||||||
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) | |||||||
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 | |||||
Net income (loss) | (250) | (250) | ||||||
Issuance of preferred stock | 560 | $ 560 | ||||||
Issuance of stock (in shares) | 22,719 | |||||||
Repurchase of stock | $ (4,095) | $ (11) | (4,084) | |||||
Repurchase of stock (in shares) | 0 | 0 | (1,059,980) | |||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 19,694 | |||||||
Repurchase of Class A common stock under stock-based compensation plans | (79) | (79) | ||||||
Repurchase of Class A common stock under stock-based compensation plans (in shares) | (21,085) | |||||||
Stock-based compensation | 520 | 520 | ||||||
Dividends declared | (731) | (731) | ||||||
Balances at Sep. 30, 2021 | $ 224,677 | $ 8,493 | $ 27,356 | $ 316 | $ 2,034,310 | $ (1,845,798) | ||
Balances (in shares) at Sep. 30, 2021 | 358,992 | 1,117,034 | 31,618,567 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Cash flows from operating activities: | ||
Net loss | $ (13,349) | $ (79,177) |
Adjustments to reconcile net loss to net cash provided by operating activities | ||
Total investment loss, net | 17,108 | 86,319 |
Net (discount) premium (accretion) amortization | (2,742) | 6,568 |
Other | 1,700 | 1,805 |
Changes in operating assets | ||
Interest receivable | 892 | 9,074 |
Other assets | (339) | 4,148 |
Changes in operating liabilities | ||
Interest payable and other liabilities | 2,178 | (4,075) |
Accrued compensation and benefits | (509) | (1,582) |
Net cash provided by operating activities | 4,939 | 23,080 |
Cash flows from investing activities: | ||
Purchases of loans | (29,967) | (25,000) |
Purchases of MSR financing receivables | (96,157) | |
Purchases of single-family residential real estate | (9,419) | |
Proceeds from sales of agency mortgage-backed securities | 724,611 | 3,654,467 |
Proceeds from sales of mortgage credit securities | 31,702 | 122,100 |
Receipt of principal payments on agency mortgage-backed securities | 49,938 | 196,199 |
Receipt of principal payments on mortgage credit securities | 70 | 2,163 |
Receipt of principal payments on loans | 45,167 | |
Receipt of principal payments on mortgage loans of consolidated VIE | 78,861 | |
Receipt of distributions on MSR financing receivables | 3,816 | |
Restricted cash balance of consolidated VIE upon consolidation | 8,658 | |
Payments for derivatives and deposits, net | (2,481) | (65,211) |
Other | 4,555 | (10,776) |
Net cash provided by investing activities | 164,681 | 3,069,797 |
Cash flows from financing activities: | ||
Repayments of repurchase agreements, net | (101,229) | (3,072,498) |
Repayments of secured debt of consolidated VIE, net | (86,467) | |
Repurchase of common stock | (8,109) | (8,911) |
Repurchase of preferred stock | (1,603) | |
Proceeds from issuance of preferred stock | 559 | |
Issuance of long-term unsecured debt | 36,316 | |
Redemption of long-term unsecured debt | (23,821) | |
Repurchase of long-term unsecured debt | (7) | (1,308) |
Dividends paid | (2,177) | (10,592) |
Other | (66) | |
Net cash used in financing activities | (184,935) | (3,094,978) |
Net decrease in cash, cash equivalents and restricted cash | (15,315) | (2,101) |
Cash, cash equivalents and restricted cash, beginning of period | 39,965 | 19,636 |
Cash, cash equivalents and restricted cash, end of period | 24,650 | 17,535 |
Supplemental cash flow information: | ||
Cash payments for interest | 6,111 | 23,728 |
Cash receipt for refund of prior alternative minimum tax payments | 4,566 | |
Mortgage Credit Securities | ||
Cash flows from investing activities: | ||
Purchases of mortgage-backed securities | (28,356) | (163,529) |
Agency MBS | ||
Cash flows from investing activities: | ||
Purchases of mortgage-backed securities | $ (607,659) | $ (649,274) |
Organization and Basis of Prese
Organization and Basis of Presentation | 9 Months Ended |
Sep. 30, 2021 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Organization and Basis of Presentation | 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 agency mortgage-backed securities (“MBS”), mortgage servicing right (“MSR”) related assets, mortgage credit investments and single-family residential (“SFR”) properties. The Company’s agency MBS consist of residential mortgage pass-through certificates for which the principal and interest payments are guaranteed by either 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”), or by a U.S. government agency, such as the Government National Mortgage Association (“Ginnie Mae”). 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 mortgage 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”). The principal and interest of the Company’s mortgage credit investments are not guaranteed by a GSE or a U.S government agency. The Company’s SFR investment strategy is to acquire, lease and operate single-family residential homes as rental properties. Arlington Asset 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, 2020. 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 from these estimates materially. Certain amounts in the consolidated financial statements and notes for prior periods 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 | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 and December 31, 2020, approximately 64% and 99%, 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 and Mortgage Loans of a Consolidated VIE The Company recognizes interest income for its investments in agency MBS and mortgage loans of a consolidated variable interest entity (“VIE”) 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 to its investments in agency MBS and mortgage loans of a consolidated VIE, 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 a consolidated VIE, 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. When a loan is placed in non-accrual status, all accrued but uncollected contractual interest as well as any discount accreted during the period of delinquency are reversed. While a loan is in non-accrual status, the Company recognizes interest income only when interest payments occur. Interest Income Recognition for Investments in Mortgage Credit Securities and MSR Financing Receivables The Company recognizes interest income for its investments in mortgage credit securities 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 mortgage loans that serve as collateral for its investment, including assumptions about the timing and amount of prepayments and credit losses. 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 mortgage credit securities and MSR financing receivables: Scenario: Effect on Interest Income Recognition for Investments in Mortgage Credit Securities and MSR Financing Receivables: 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 will be 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 mortgage credit securities, subsequent measurement Loans held for investment, subsequent measurement Investments in MSR financing receivables, subsequent measurement Investments in single-family residential 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 Refer to the Company’s 2020 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, the Company has not made any modifications to contracts due to reference rate reform. 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 an effect on its consolidated financial statements. |
Investments in Agency MBS
Investments in Agency MBS | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 and December 31, 2020, the fair value of the Company’s investments in agency MBS was $637,718 and $970,880, respectively. September 30, 2021 , 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 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 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 September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Net gains (losses) recognized in earnings for: Agency MBS still held at period end $ (2,904 ) $ 1,938 $ (13,323 ) $ 9,994 Agency MBS sold during the period 457 (80 ) (11,209 ) 19,790 Total $ (2,447 ) $ 1,858 $ (24,532 ) $ 29,784 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 Mortgage Credit
Investments in Mortgage Credit Securities | 9 Months Ended |
Sep. 30, 2021 | |
Mortgage Credit Securities | |
Investments in MBS | Note 4. Investments in Mortgage Credit Securities The Company has elected to classify its investments in mortgage credit securities as trading securities. Accordingly, the Company’s investments in mortgage credit securities are reported in the accompanying consolidated balance sheets at fair value. As of September 30, 2021 and December 31, 2020, the fair value of the Company’s investments in mortgage credit securities was $25,477 and $26,660, respectively. As of September 30, 2021, the Company’s investments in mortgage credit securities primarily consist of non-agency MBS collateralized by pools of residential mortgage loans, business purpose residential mortgage loans or smaller balance commercial mortgage loans. All periodic changes in the fair value of mortgage credit securities that are not attributed to interest income are recognized as a component of “investment 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 gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in mortgage credit securities: Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Net gains (losses) recognized in earnings for: Mortgage credit securities still held at period end $ (165 ) $ 716 $ 1,017 $ (3,523 ) Mortgage credit securities sold during the period 90 (303 ) 37 (12,846 ) Total $ (75 ) $ 413 $ 1,054 $ (16,369 ) |
Loans Held for Investment
Loans Held for Investment | 9 Months Ended |
Sep. 30, 2021 | |
Investments Debt And Equity Securities [Abstract] | |
Loans Held for Investment | Note 5. Loans Held for Investment As of September 30, 2021 and December 31, 2020, the Company held loans secured by first lien positions in commercial real estate with an aggregate outstanding principal outstanding principal balance of $29,800 and $45,000, respectively. As of September 30, 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 balance of $29,800 that was purchased by the Company at par in April 2021. The loan bears interest at a floating note rate equal to one-month LIBOR plus 5.50%. The maturity date of the loan is March 23, 2022 with a one-year As of December 31, 2020, 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 balance of $45,000. In July 2021, the Company received full repayment of its loan investment. The loan b ore interest at a floating note rate equal to one-month LIBOR plus 4.25% with a LIBOR floor of 2.00 %. The maturity date of the loan was December 31, 2021 with a one-year extension available at the option of the borrower. The loan ha d an initial interest-only period of one year followed by principal amortization based upon a 30-year amortization schedule beginning in 2021 with the remaining principal balance due at loan maturity. The Company has elected to account for its loans held for investment at fair value on a recurring basis with periodic changes in fair value recognized as a component of “investment gain (loss), net” in the accompanying consolidated statements of comprehensive income. As of September 30, 2021 and December 31, 2020, the Company’s investments were $29,800 and $45,000, respectively, at fair value. The Company recognizes interest income on its loan investments based upon the contractual note rate of the loans. As of September 30, 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 one-month LIBOR plus 3.75% with a LIBOR 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 September 30, 2021, the Company’s unfunded commitment was $30,000. |
Investments in MSR Financing Re
Investments in MSR Financing Receivables | 9 Months Ended |
Sep. 30, 2021 | |
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. At the Company’s election, the mortgage servicing counterparty could utilize leverage on the MSRs that are subject to the Company’s MSR financing receivables to finance the purchase of additional MSRs to increase potential returns to the Company. Under the arrangement, the Company is obligated to provide funds to the mortgage servicing counterparty to fund its advances of delinquent payments on the serviced pool of mortgage loans with the mortgage servicing counterparty required to return to the Company any subsequent servicing advances collected. 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 GAAP, the Company accounts for transactions executed under its arrangement 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 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 September 30, 2021 and December 31, 2020, the fair value of the Company’s investments in MSR financing receivables was $112,834 and $9,346, 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 September 30, 2021 Nine Months Ended September 30, 2021 Balance at period beginning $ 74,652 $ 9,346 Capital investments 35,601 95,223 Capital distributions (3,816 ) (3,816 ) Accretion of interest income 1,945 3,693 Changes in valuation inputs and assumptions 4,452 8,388 Balance at period end $ 112,834 $ 112,834 |
Investments in Single-Family Re
Investments in Single-Family Residential Properties | 9 Months Ended |
Sep. 30, 2021 | |
Real Estate And Accumulated Depreciation Disclosure [Abstract] | |
Investments in Single-Family Residential Properties | Note 7. Investments in Single-Family Residential 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 $50,000 of capital to fund the acquisition of SFR properties. Under the terms of the agreement, 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. Under the terms of the agreement, if the Company were to terminate the commitment, the Company would incur 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. As of September 30, 2021, the Company had investments in 33 SFR properties for a total cost of $9,419, all of which were acquired in September 2021. During the three and nine months ended September 30, 2021, the Company recognized $12 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 the dates indicated: September 30, 2021 December 31, 2020 Investments in single-family residential real estate: Land $ 1,553 $ — Buildings and improvements 7,866 — Investments in single-family residential real estate, at cost 9,419 — Less: accumulated depreciation (12 ) — Investments in single-family residential real estate, net $ 9,407 $ — As of September 30, 2021, the Company had commitments to acquire 75 SFR properties for an aggregate purchase price of $19,949. |
Consolidation of Variable Inter
Consolidation of Variable Interest Entities | 9 Months Ended |
Sep. 30, 2021 | |
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. The carrying values of the assets and liabilities of the consolidated VIE, net of elimination entries, are as follows as of the dates indicated: September 30, 2021 December 31, 2020 Restricted cash of consolidated VIE (1) $ 3,267 $ 11,169 Mortgage loans of consolidated VIE, at fair value 16,516 93,283 Interest receivable of consolidated VIE 67 545 Secured debt of consolidated VIE, at fair value (7,350 ) (93,627 ) Interest payable of consolidated VIE (52 ) (321 ) Investment in consolidated VIE $ 12,448 $ 11,049 (1) . The pool of mortgage loans and the third-party held debt obligations of the consolidated VIE had aggregate unpaid principal balances of $17,108 and $7,367, respectively, as of September 30, 2021. 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 September 30, 2021, the weighted average net note rate to which the VIE was entitled and the weighted average coupon rate of the debt obligations of the consolidated VIE were 6.05% and 4.99%, respectively. The debt of the consolidated VIE has recourse solely to the assets of the VIE; it has no recourse to the general credit of the Company. 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 September 30, 2021, the aggregate unfunded construction draw balance commitment attributable to the Company’s subordinate debt security investment was $1,306. The Company has elected to account for the mortgage loans and debt of the consolidated VIE 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 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 the consolidated VIE by applying the “interest method” permitted by GAAP, whereby the discount recognized at the initial recognition of each loan is accreted as an adjustment to contractual interest income accrued at the loan’s stated 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 mortgage loans of the consolidated VIE as of September 30, 2021 : Aggregate Fair Value Aggregate Unpaid Principal Balance Difference Less than 90 days past due and in accrual status $ 9,516 $ 9,857 $ (341 ) 90 days or more past due and in non-accrual status 7,000 7,251 (251 ) Total mortgage loans of consolidated VIE $ 16,516 $ 17,108 $ (592 ) |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2021 | |
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 August 25, 2022 and an interest rate that resets monthly at a rate equal to one-month LIBOR plus 2.50%. 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. As of September 30, 2021 and December 31, 2020, the Company had no amount at risk with a single repurchase agreement counterparty or lender greater than 10% of equity. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of the dates indicated: September 30, 2021 December 31, 2020 Agency MBS repurchase financing: Repurchase agreements outstanding $ 533,123 $ 623,712 Agency MBS collateral, at fair value 558,543 656,154 Net amount (1) 25,420 32,442 Weighted-average rate 0.12 % 0.21 % Weighted-average term to maturity 14.0 days 14.0 days Mortgage loans repurchase financing: Repurchase agreements outstanding $ 20,860 $ 31,500 Mortgage loans collateral, at fair value 29,800 45,000 Net amount (1) 8,940 13,500 Weighted-average rate 2.59 % 3.00 % Weighted-average term to maturity 329.0 days 315.0 days Total mortgage investments repurchase financing: Repurchase agreements outstanding $ 553,983 $ 655,212 Mortgage investments collateral, at fair value 588,343 701,154 Net amount (1) 34,360 45,942 Weighted-average rate 0.21 % 0.34 % Weighted-average term to maturity 25.9 days 28.5 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. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three and nine months ended September 30, 2021 and 2020: September 30, 2021 September 30, 2020 Weighted-average outstanding balance during the three months ended $ 599,224 $ 412,071 Weighted-average rate during the three months ended 0.20 % 0.45 % Weighted-average outstanding balance during the nine months ended $ 601,897 $ 1,378,097 Weighted-average rate during the nine months ended 0.27 % 1.55 % Long-Term Unsecured Debt As of September 30, 2021 and December 31, 2020, the Company had $85,901 and $73,027, respectively, of outstanding long-term unsecured debentures, net of unamortized debt issuance costs of $1,780 and $732, respectively. The Company’s long-term debentures consisted of the following as of the dates indicated: September 30, 2021 December 31, 2020 Senior Notes Due 2025 Senior Notes Due 2026 Trust Preferred Debt Senior Notes Due 2025 Senior Notes Due 2023 Trust Preferred Debt Outstanding Principal $ 34,931 $ 37,750 $ 15,000 $ 34,931 $ 23,828 $ 15,000 Annual Interest Rate 6.75 % 6.000 % LIBOR+ 2.25 - 3.00 % 6.75 % 6.625 % LIBOR+ 2.25 - 3.00 % Interest Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Weighted-Average Interest Rate 6.75 % 6.000 % 2.88 % 6.75 % 6.625 % 2.99 % Maturity March 15, 2025 August 1, 2026 2033 - 2035 March 15, 2025 May 1, 2023 2033 - 2035 During the nine months ended September 30, 2021, the Company repurchased $7 in principal balance of Senior Notes due 2023 for a purchase price of $7. There were no repurchases of outstanding long-term unsecured debentures during the three months ended September 30, 2021. During the three and nine months ended September 30, 2020, the Company repurchased $820 and $1,066 in principal balance of Senior Notes due 2023 for a purchase price of $782 and $1,012, respectively. During the three and nine months ended September 30, 2020, the Company repurchased $153 and $331 in principal balance of Senior Notes due 2025 for a purchase price of $140 and $296, respectively. On July 15, 2021, the Company completed a public offering of $37,750 of 6.00% 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 Secured Debt 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%. As of September 30, 2021, there were no advances outstanding under the loan agreement. 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. 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 | 9 Months Ended |
Sep. 30, 2021 | |
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 “derivative assets” or “derivative liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment 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 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 includes 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 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: September 30, 2021 December 31, 2020 Assets Liabilities Assets Liabilities Interest rate swaps $ — $ (135 ) $ — $ (147 ) TBA commitments 2,004 (2,885 ) 258 (74 ) Total $ 2,004 $ (3,020 ) $ 258 $ (221 ) 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. The following table presents information about the Company’s interest rate swap agreements that were in effect as of September 30, 2021: 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 $ 100,000 0.11 % 0.04 % (0.07 )% 2.1 $ (21 ) 3 to less than 10 years 115,000 1.09 % 0.10 % (0.99 )% 9.3 (114 ) Total / weighted-average $ 215,000 0.64 % 0.07 % (0.57 )% 6.0 $ (135 ) The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2020: 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 $ 200,000 0.10 % 0.06 % (0.04 )% 2.9 $ (40 ) 3 to less than 10 years 75,000 0.74 % 0.22 % (0.52 )% 9.5 (107 ) Total / weighted-average $ 275,000 0.28 % 0.10 % (0.18 )% 4.7 $ (147 ) 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 September 30, 2021 and December 31, 2020, the Company had no outstanding positions of U.S. Treasury note futures. 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 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 September 30, 2021 and December 31, 2020, the Company had no outstanding options on U.S. Treasury note futures contracts. TBA Commitments The following table presents information about the Company’s TBA commitments as of the dates indicated: September 30, 2021 Notional Amount: Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value 1.5% 30-year MBS purchase commitments $ 175,000 $ 171,443 $ 169,967 $ (1,476 ) 1.5% 30-year MBS sale commitments (175,000 ) (170,865 ) (169,967 ) 898 2.0% 30-year MBS purchase commitments 250,000 251,545 250,938 (607 ) 2.0% 30-year MBS sale commitments (125,000 ) (126,086 ) (125,469 ) 617 2.5% 30-year MBS sale commitments (100,000 ) (102,906 ) (103,219 ) (313 ) Total TBA commitments, net $ 25,000 $ 23,131 $ 22,250 $ (881 ) December 31, 2020 Notional Amount: Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value 1.5% 30-year MBS purchase commitments $ 50,000 $ 50,281 $ 50,539 $ 258 1.5% 30-year MBS sale commitments (50,000 ) (50,465 ) (50,539 ) (74 ) Total TBA commitments, net $ — $ (184 ) $ — $ 184 Derivative Instrument Gains and Losses The following tables provide information about the derivative gains and losses recognized within the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Interest rate derivatives: Interest rate swaps: Net interest (expense) income (1) $ (379 ) $ (23 ) $ (2,276 ) $ 563 Unrealized (losses) gains, net (3,951 ) 299 3,597 14,611 Gains (losses) realized upon early termination, net 1,149 — (122 ) (118,893 ) Total interest rate swap (losses) gains, net (3,181 ) 276 1,199 (103,719 ) U.S. Treasury note futures, net 872 — 3,582 (3,071 ) Options on U.S. Treasury note futures, net — — (20 ) — Total interest rate derivative (losses) gains, net (2,309 ) 276 4,761 (106,790 ) TBA commitments: TBA dollar roll income (2) 1,064 319 3,678 594 Other (losses) gains on TBA commitments, net (2,082 ) (108 ) (12,204 ) 4,726 Total (losses) gains on TBA commitments, net (1,018 ) 211 (8,526 ) 5,320 Other derivatives — — — (1,040 ) Total derivative (losses) gains, net $ (3,327 ) $ 487 $ (3,765 ) $ (102,510 ) (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 September 30, 2021 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 525,000 $ — $ — $ (310,000 ) $ 215,000 10-year U.S. Treasury note futures 45,000 — (45,000 ) — — TBA purchase (sale) commitments, net — 1,125,000 (1,100,000 ) — 25,000 For the Three Months Ended September 30, 2020 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 50,000 $ — $ — $ — $ 50,000 TBA purchase (sale) commitments, net — 200,000 (200,000 ) — — For the Nine Months Ended September 30, 2021 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 275,000 $ 450,000 $ — $ (510,000 ) $ 215,000 2-year U.S. Treasury note futures — 50,000 (50,000 ) — — 10-year U.S. Treasury note futures — 540,100 (365,000 ) (175,100 ) — Purchased call options on 10-year U.S. Treasury note futures — 65,200 (65,200 ) — — TBA purchase (sale) commitments, net — 2,490,000 (2,465,000 ) — 25,000 For the Nine Months Ended September 30, 2020 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 2,985,000 $ 50,000 $ (100,000 ) $ (2,885,000 ) $ 50,000 2-year U.S. Treasury note futures — 1,150,000 — (1,150,000 ) — 10-year U.S. Treasury note futures — 765,000 — (765,000 ) — TBA purchase (sale) commitments, net — 375,000 (375,000 ) — — Put options on S&P 500 ETF — 1,850 (1,850 ) — — 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, net” in the accompanying consolidated balance sheets, for the dates indicated: September 30, 2021 December 31, 2020 Cash collateral posted for: Interest rate swaps (cash initial margin) $ 5,384 $ 6,306 TBA commitments, net 730 — Total cash collateral posted, net $ 6,114 $ 6,306 |
Offsetting of Financial Assets
Offsetting of Financial Assets and Liabilities | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: TBA commitments $ 2,004 $ — $ 2,004 $ (2,004 ) $ — $ — Total derivative instruments 2,004 — 2,004 (2,004 ) — — Total assets $ 2,004 $ — $ 2,004 $ (2,004 ) $ — $ — Liabilities: Derivative instruments: Interest rate swaps $ 135 $ — $ 135 $ — $ (135 ) $ — TBA commitments 2,885 — 2,885 (2,004 ) (730 ) 151 Total derivative instruments 3,020 — 3,020 (2,004 ) (865 ) 151 Repurchase agreements 553,983 — 553,983 (553,983 ) — — Total liabilities $ 557,003 $ — $ 557,003 $ (555,987 ) $ (865 ) $ 151 As of December 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: TBA commitments $ 258 $ — $ 258 $ (74 ) $ — $ 184 Total derivative instruments 258 — 258 (74 ) — 184 Total assets $ 258 $ — $ 258 $ (74 ) $ — $ 184 Liabilities: Derivative instruments: Interest rate swaps $ 147 $ — $ 147 $ — $ (147 ) $ — TBA commitments 74 — 74 (74 ) — — Total derivative instruments 221 — 221 (74 ) (147 ) — Repurchase agreements 655,212 — 655,212 (655,212 ) — — Total liabilities $ 655,433 $ — $ 655,433 $ (655,286 ) $ (147 ) $ — (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 that exceeds the associated derivative liability presented in the consolidated balance sheets. |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Note 12. 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 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: Mortgage investments 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 . Mortgage credit securities – The Company’s investments in residential MBS and commercial MBS are classified within Level 2 of the fair value hierarchy. Inputs to fair value measurements of the Company’s investments in residential and commercial MBS 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 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 first loss position in a securitized pool of business-purpose residential mortgage loans is classified within Level 3 of the fair value hierarchy. To measure the fair value of this investment, 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 o 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 mortgage loans that serve as collateral, including assumptions about the timing and amount of credit losses and prepayments . The following table presents the significant unobservable inputs to the fair value measurement of the Company’s non-agency MBS secured by business-purpose residential mortgage loans as of the periods indicated: September 30, 2021 December 31, 2020 Annualized default rate 35.0 % 12.0 % Loss-given-default 25.0 % 40.0 % Discount rate 13.0 % 13.9 % 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 their 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 is 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 September 30, 2021, t he estimated probability of default and discount rate for the Company’s mortgage loan investment were 0%, and 5.6%, respectively. As of December 31, 2020, the estimated probability of default and discount rate for the Company’s mortgage loan investment were 0% and 6.3%, respectively. Mortgage loans and secured debt of consolidated VIE – 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 VIE. 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. Pursuant to the practical expedient, the Company measures the fair value of both the mortgage loans and the debt obligations of its consolidated VIE based upon the fair value of the debt obligations of the VIE, as the fair value of the debt securities issued by the VIE is more observable to the Company than the fair value of the underlying mortgage loans . The senior debt obligations of the consolidated VIE are classified within Level 2 of the fair value hierarchy. Inputs to fair value measurements of the senior 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 are based upon observable transactions for securities with similar characteristics. The subordinate debt obligation and the mortgage loans of the consolidated VIE are classified within Level 3 of the fair value hierarchy. To measure the fair value of the subordinate debt obligation of the consolidated VIE, 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 o 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 assumptions about the timing and amount of credit losses and prepayments September 30, 2021 December 31, 2020 Annualized default rate 15.0 % 20.0 % Loss-given-default 25.0 % 40.0 % Discount rate 12.0 % 13.9 % 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 following table presents the significant unobservable inputs to the fair value measurement of the MSRs underlying the Company’s MSR financing receivables as of September 30, 2021: September 30, 2021 Discount rate 9.0 % Annualized prepayment rate 10.2 % Annual per-loan cost of servicing (current loans) $ 65.00 Pursuant to the Company’s MSR financing arrangements, upon the consummation of three-year performance periods ending December 31, 2023 and April 1, 2024, the Company’s mortgage servicer 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. As of December 31, 2020, the fair value of the Company’s MSR financing receivable was its transacted purchase price, which occurred on the measurement date . 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 September 30, 2021 and December 31, 2020, the carrying value of the Company’s long-term unsecured debt was $85,901 and $73,027, 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 $84,795 and $ 69,904 as of September 30, 2021 and December 31, 2020, 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. Investments in equity securities of publicly-traded companies – As of September 30, 2021 and December 31, 2020, the Company had investments in equity securities of publicly-traded companies at fair value of $5,544 and $10,821, 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 u nadjusted quoted prices in active exchange markets for identical assets. Investments in equity securities of non-public companies and investment funds – As of September 30, 2021 and December 31, 2020, the Company had investments in equity securities and investment funds measured at fair value of $7,143 and $ 6,869 , 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 September 30, 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. As of December 31, 2020, 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, 10 percent, and 15 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 September 30, 2021 and December 31, 2020. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. September 30, 2021 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 637,718 $ — $ 637,718 $ — Mortgage credit securities 25,477 — 11,335 14,142 Mortgage loans of consolidated VIE 16,516 — — 16,516 Loans 29,800 — — 29,800 MSR financing receivable 112,834 — — 112,834 Derivative assets 2,004 — 2,004 — Other assets 12,687 5,544 — 7,143 Financial liabilities: Secured debt of consolidated VIE 7,350 — 6,698 652 Derivative liabilities 3,020 — 3,020 — December 31, 2020 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 970,880 $ — $ 970,880 $ — Mortgage credit securities 26,660 — 14,730 11,930 Mortgage loans of consolidated VIE 93,283 — — 93,283 Loans 45,000 — — 45,000 MSR financing receivable 9,346 — — 9,346 Derivative assets 258 — 258 — Other assets 17,690 10,821 — 6,869 Financial liabilities: Secured debt of consolidated VIE 93,627 — 93,051 576 Derivative liabilities 221 — 221 — 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 September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Beginning balance $ 206,729 $ 86,701 $ 166,428 $ 51,398 Net (loss) gain included in "Investment gain (loss), net" 4,504 (21 ) 9,639 (1,649 ) Additions from consolidation of VIE — 124,345 — 124,345 Purchases 35,601 — 128,614 36,995 Sales — — (1,662 ) — Payments, net (68,810 ) (180 ) (128,350 ) (705 ) Accretion of discount 2,411 246 5,766 707 Ending balance $ 180,435 $ 211,091 $ 180,435 $ 211,091 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ 4,504 $ (21 ) $ 9,719 $ (1,649 ) 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 September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Beginning balance $ 640 $ — $ 576 $ — Net gain (loss) included in "Investment gain (loss), net" 9 — (1 ) — Additions from consolidation of VIE — 559 — 559 Payments, net 3 — 3 — Accretion of discount — — 74 — Ending balance $ 652 $ 559 $ 652 $ 559 Net unrealized gains (losses) included in earnings for the period for Level 3 liabilities still held at the reporting date $ 9 $ — $ (1 ) $ — |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2021 | |
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. 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 taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. As of September 30, 2021, the Company had net operating loss (“NOL”) carryforwards of $150,936 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 $136,348 have no expiration period. As of September 30, 2021, the Company had net capital loss (“NCL”) carryforwards of $180,948 that can be used to offset future net capital gains. The scheduled expirations of the Company’s NCL carryforwards are $66,862 in 2021, $3,763 in 2022 and $110,323 in 2023. The Company and subsidiaries have made joint elections to treat certain 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 and nine months ended September 30, 2021, the Company recognized a provision for income taxes of $436 and $758, respectively, on the pre-tax net 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 September 30, 2021 and December 31, 2020 , 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. |
Earnings (Loss) Per Share
Earnings (Loss) Per Share | 9 Months Ended |
Sep. 30, 2021 | |
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 tables present the computations of basic and diluted earnings (loss) per share for the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, (Shares in thousands) 2021 2020 2021 2020 Basic weighted-average common shares outstanding 31,927 34,655 32,720 35,990 Performance share units, unvested restricted stock units, and unvested restricted stock — 42 — — Diluted weighted-average common shares outstanding 31,927 34,697 32,720 35,990 Net (loss) income (attributable) available to common stock $ (981 ) $ 4,033 $ (15,526 ) $ (81,435 ) Basic (loss) earnings per common share $ (0.03 ) $ 0.12 $ (0.47 ) $ (2.26 ) Diluted (loss) earnings per common share $ (0.03 ) $ 0.12 $ (0.47 ) $ (2.26 ) The diluted loss per share for the three months and nine months ended September 30, 2021 did not include the antidilutive effect of 315,576 and 312,371 shares of unvested shares of restricted stock, restricted stock units, and performance share units, respectively. The diluted loss per share for the nine months ended September 30, 2020 did not include the antidilutive effect of 65,208 shares of unvested shares of restricted stock, restricted stock units, and performance share units. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 and December 31, 2020, 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 Stock Dividends The Board of Directors evaluates common stock dividends on a quarterly basis and, in its sole discretion, approves the payment of dividends. The Company’s common stock dividend payments, if any, may vary significantly from quarter to quarter. For the nine months ended September 30, 2021 and the year ended December 31, 2020, the Board of Directors determined that the Company would not declare a dividend on its common stock. 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 nine months ended September 30, 2021 and the year ended December 31, 2020, there were no issuances of common stock under the common equity distribution agreements. As of September 30, 2021, 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 October 26, 2015, the Company announced that its Board of Directors authorized a share repurchase program pursuant to which the Company may repurchase up to 2,000,000 shares of Class A common stock (the “Repurchase Program”). On July 31, 2020, the Company announced that its Board of Directors authorized an increase in the Repurchase Program pursuant to which the Company may repurchase up to 18,000,000 shares of Class A common stock, inclusive of 56,090 shares previously available to be repurchased under the prior authorization. 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 nine months ended September 30, 2021, the Company repurchased 1,059,980 and 2,053,470 shares of Class A common stock for a total purchase price of $4,095 and $8,108, respectively. During the year ended December 31, 2020, the Company repurchased 3,662,566 shares of Class A common stock for a total purchase price of $10,377. As of September 30, 2021, there remain available for repurchase 14,179,179 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 commencing on May 12, 2022 or earlier upon the occurrence of a change in control. 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 2021. There were no shares of Series B Preferred Stock repurchased by the Company during the three and nine months ended September 30, 2021. During the year ended December 31, 2020, the Company repurchased 17,766 shares of Series B Preferred Stock for a total purchase price of $299. 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 2021 . There were no shares of Series C Preferred Stock repurchased by the Company during the three and nine months ended September 30, 2021. During the year ended December 31, 2020, the Company repurchased 82,966 shares of Series C Preferred Stock for a total purchase price of $1,578. Preferred Equity Distribution Agreements T he 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 three and nine months ended September 30, 2021, the Company issued 22,719 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 $560 under the Series B preferred equity distribution agreement. During the year ended December 31, 2020, there were no issuances of preferred stock under the Series B preferred equity distribution agreement. A s of September 30, 2021, the Company had 1,623,242 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. 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, and any outstanding rights will expire at the earliest of (i) June 4, 2022, (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. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 and December 31, 2020, approximately 64% and 99%, 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. The Company has elected to account for the mortgage loans and debt of the consolidated VIE 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 gain (loss), net” in the accompanying consolidated statements of comprehensive income |
Interest Income Recognition for Investments in Agency MBS and Mortgage Loans of a Consolidated VIE | Interest Income Recognition for Investments in Agency MBS and Mortgage Loans of a Consolidated VIE The Company recognizes interest income for its investments in agency MBS and mortgage loans of a consolidated variable interest entity (“VIE”) 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 to its investments in agency MBS and mortgage loans of a consolidated VIE, 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 a consolidated VIE, 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. When a loan is placed in non-accrual status, all accrued but uncollected contractual interest as well as any discount accreted during the period of delinquency are reversed. While a loan is in non-accrual status, the Company recognizes interest income only when interest payments occur. |
Interest Income Recognition for Investments in Mortgage Credit Securities and MSR Financing Receivables | Interest Income Recognition for Investments in Mortgage Credit Securities and MSR Financing Receivables The Company recognizes interest income for its investments in mortgage credit securities 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 mortgage loans that serve as collateral for its investment, including assumptions about the timing and amount of prepayments and credit losses. 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 mortgage credit securities and MSR financing receivables: Scenario: Effect on Interest Income Recognition for Investments in Mortgage Credit Securities and MSR Financing Receivables: 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 will be 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 mortgage credit securities, subsequent measurement Loans held for investment, subsequent measurement Investments in MSR financing receivables, subsequent measurement Investments in single-family residential 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 Refer to the Company’s 2020 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, the Company has not made any modifications to contracts due to reference rate reform. 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 an 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 “derivative assets” or “derivative liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment 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 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: |
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 September 30, 2021 and December 31, 2020, the fair value of the Company’s investments in agency MBS was $637,718 and $970,880, respectively. |
Mortgage Credit Securities | |
Investment Security Purchases and Sales | The Company has elected to classify its investments in mortgage credit securities as trading securities. Accordingly, the Company’s investments in mortgage credit securities are reported in the accompanying consolidated balance sheets at fair value. As of September 30, 2021 and December 31, 2020, the fair value of the Company’s investments in mortgage credit securities was $25,477 and $26,660, respectively. |
Loans Held for Investment | |
Investment Security Purchases and Sales | The Company has elected to account for its loans held for investment at fair value on a recurring basis with periodic changes in fair value recognized as a component of “investment gain (loss), net” in the accompanying consolidated statements of comprehensive income. |
M S R Financing Receivables | |
Investment Security Purchases and Sales | Under GAAP, the Company accounts for transactions executed under its arrangement 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 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) | 9 Months Ended |
Sep. 30, 2021 | |
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 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 September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Net gains (losses) recognized in earnings for: Agency MBS still held at period end $ (2,904 ) $ 1,938 $ (13,323 ) $ 9,994 Agency MBS sold during the period 457 (80 ) (11,209 ) 19,790 Total $ (2,447 ) $ 1,858 $ (24,532 ) $ 29,784 |
Investments in Mortgage Credi_2
Investments in Mortgage Credit Securities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Mortgage 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 gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in mortgage credit securities: Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Net gains (losses) recognized in earnings for: Mortgage credit securities still held at period end $ (165 ) $ 716 $ 1,017 $ (3,523 ) Mortgage credit securities sold during the period 90 (303 ) 37 (12,846 ) Total $ (75 ) $ 413 $ 1,054 $ (16,369 ) |
Investments in MSR Financing _2
Investments in MSR Financing Receivables (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 Nine Months Ended September 30, 2021 Balance at period beginning $ 74,652 $ 9,346 Capital investments 35,601 95,223 Capital distributions (3,816 ) (3,816 ) Accretion of interest income 1,945 3,693 Changes in valuation inputs and assumptions 4,452 8,388 Balance at period end $ 112,834 $ 112,834 |
Investments in Single-Family _2
Investments in Single-Family Residential Properties (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 the dates indicated: September 30, 2021 December 31, 2020 Investments in single-family residential real estate: Land $ 1,553 $ — Buildings and improvements 7,866 — Investments in single-family residential real estate, at cost 9,419 — Less: accumulated depreciation (12 ) — Investments in single-family residential real estate, net $ 9,407 $ — |
Consolidation of Variable Int_2
Consolidation of Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
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 VIE, net of elimination entries, are as follows as of the dates indicated: September 30, 2021 December 31, 2020 Restricted cash of consolidated VIE (1) $ 3,267 $ 11,169 Mortgage loans of consolidated VIE, at fair value 16,516 93,283 Interest receivable of consolidated VIE 67 545 Secured debt of consolidated VIE, at fair value (7,350 ) (93,627 ) Interest payable of consolidated VIE (52 ) (321 ) Investment in consolidated VIE $ 12,448 $ 11,049 (1) . |
Schedule of Accrual Status of Mortgage Loans of Consolidated VIE | The following table presents information about the accrual status of the mortgage loans of the consolidated VIE as of September 30, 2021 : Aggregate Fair Value Aggregate Unpaid Principal Balance Difference Less than 90 days past due and in accrual status $ 9,516 $ 9,857 $ (341 ) 90 days or more past due and in non-accrual status 7,000 7,251 (251 ) Total mortgage loans of consolidated VIE $ 16,516 $ 17,108 $ (592 ) |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements | 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 August 25, 2022 and an interest rate that resets monthly at a rate equal to one-month LIBOR plus 2.50%. 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. As of September 30, 2021 and December 31, 2020, the Company had no amount at risk with a single repurchase agreement counterparty or lender greater than 10% of equity. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of the dates indicated: September 30, 2021 December 31, 2020 Agency MBS repurchase financing: Repurchase agreements outstanding $ 533,123 $ 623,712 Agency MBS collateral, at fair value 558,543 656,154 Net amount (1) 25,420 32,442 Weighted-average rate 0.12 % 0.21 % Weighted-average term to maturity 14.0 days 14.0 days Mortgage loans repurchase financing: Repurchase agreements outstanding $ 20,860 $ 31,500 Mortgage loans collateral, at fair value 29,800 45,000 Net amount (1) 8,940 13,500 Weighted-average rate 2.59 % 3.00 % Weighted-average term to maturity 329.0 days 315.0 days Total mortgage investments repurchase financing: Repurchase agreements outstanding $ 553,983 $ 655,212 Mortgage investments collateral, at fair value 588,343 701,154 Net amount (1) 34,360 45,942 Weighted-average rate 0.21 % 0.34 % Weighted-average term to maturity 25.9 days 28.5 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. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three and nine months ended September 30, 2021 and 2020: September 30, 2021 September 30, 2020 Weighted-average outstanding balance during the three months ended $ 599,224 $ 412,071 Weighted-average rate during the three months ended 0.20 % 0.45 % Weighted-average outstanding balance during the nine months ended $ 601,897 $ 1,378,097 Weighted-average rate during the nine months ended 0.27 % 1.55 % |
Schedule of Long-term Unsecured Debt Instruments | As of September 30, 2021 and December 31, 2020, the Company had $85,901 and $73,027, respectively, of outstanding long-term unsecured debentures, net of unamortized debt issuance costs of $1,780 and $732, respectively. The Company’s long-term debentures consisted of the following as of the dates indicated: September 30, 2021 December 31, 2020 Senior Notes Due 2025 Senior Notes Due 2026 Trust Preferred Debt Senior Notes Due 2025 Senior Notes Due 2023 Trust Preferred Debt Outstanding Principal $ 34,931 $ 37,750 $ 15,000 $ 34,931 $ 23,828 $ 15,000 Annual Interest Rate 6.75 % 6.000 % LIBOR+ 2.25 - 3.00 % 6.75 % 6.625 % LIBOR+ 2.25 - 3.00 % Interest Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Weighted-Average Interest Rate 6.75 % 6.000 % 2.88 % 6.75 % 6.625 % 2.99 % Maturity March 15, 2025 August 1, 2026 2033 - 2035 March 15, 2025 May 1, 2023 2033 - 2035 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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: September 30, 2021 December 31, 2020 Assets Liabilities Assets Liabilities Interest rate swaps $ — $ (135 ) $ — $ (147 ) TBA commitments 2,004 (2,885 ) 258 (74 ) Total $ 2,004 $ (3,020 ) $ 258 $ (221 ) |
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 September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Interest rate derivatives: Interest rate swaps: Net interest (expense) income (1) $ (379 ) $ (23 ) $ (2,276 ) $ 563 Unrealized (losses) gains, net (3,951 ) 299 3,597 14,611 Gains (losses) realized upon early termination, net 1,149 — (122 ) (118,893 ) Total interest rate swap (losses) gains, net (3,181 ) 276 1,199 (103,719 ) U.S. Treasury note futures, net 872 — 3,582 (3,071 ) Options on U.S. Treasury note futures, net — — (20 ) — Total interest rate derivative (losses) gains, net (2,309 ) 276 4,761 (106,790 ) TBA commitments: TBA dollar roll income (2) 1,064 319 3,678 594 Other (losses) gains on TBA commitments, net (2,082 ) (108 ) (12,204 ) 4,726 Total (losses) gains on TBA commitments, net (1,018 ) 211 (8,526 ) 5,320 Other derivatives — — — (1,040 ) Total derivative (losses) gains, net $ (3,327 ) $ 487 $ (3,765 ) $ (102,510 ) (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 September 30, 2021 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 525,000 $ — $ — $ (310,000 ) $ 215,000 10-year U.S. Treasury note futures 45,000 — (45,000 ) — — TBA purchase (sale) commitments, net — 1,125,000 (1,100,000 ) — 25,000 For the Three Months Ended September 30, 2020 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 50,000 $ — $ — $ — $ 50,000 TBA purchase (sale) commitments, net — 200,000 (200,000 ) — — For the Nine Months Ended September 30, 2021 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 275,000 $ 450,000 $ — $ (510,000 ) $ 215,000 2-year U.S. Treasury note futures — 50,000 (50,000 ) — — 10-year U.S. Treasury note futures — 540,100 (365,000 ) (175,100 ) — Purchased call options on 10-year U.S. Treasury note futures — 65,200 (65,200 ) — — TBA purchase (sale) commitments, net — 2,490,000 (2,465,000 ) — 25,000 For the Nine Months Ended September 30, 2020 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 2,985,000 $ 50,000 $ (100,000 ) $ (2,885,000 ) $ 50,000 2-year U.S. Treasury note futures — 1,150,000 — (1,150,000 ) — 10-year U.S. Treasury note futures — 765,000 — (765,000 ) — TBA purchase (sale) commitments, net — 375,000 (375,000 ) — — Put options on S&P 500 ETF — 1,850 (1,850 ) — — |
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, net” in the accompanying consolidated balance sheets, for the dates indicated: September 30, 2021 December 31, 2020 Cash collateral posted for: Interest rate swaps (cash initial margin) $ 5,384 $ 6,306 TBA commitments, net 730 — Total cash collateral posted, net $ 6,114 $ 6,306 |
TBA Commitments | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following table presents information about the Company’s TBA commitments as of the dates indicated: September 30, 2021 Notional Amount: Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value 1.5% 30-year MBS purchase commitments $ 175,000 $ 171,443 $ 169,967 $ (1,476 ) 1.5% 30-year MBS sale commitments (175,000 ) (170,865 ) (169,967 ) 898 2.0% 30-year MBS purchase commitments 250,000 251,545 250,938 (607 ) 2.0% 30-year MBS sale commitments (125,000 ) (126,086 ) (125,469 ) 617 2.5% 30-year MBS sale commitments (100,000 ) (102,906 ) (103,219 ) (313 ) Total TBA commitments, net $ 25,000 $ 23,131 $ 22,250 $ (881 ) December 31, 2020 Notional Amount: Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value 1.5% 30-year MBS purchase commitments $ 50,000 $ 50,281 $ 50,539 $ 258 1.5% 30-year MBS sale commitments (50,000 ) (50,465 ) (50,539 ) (74 ) Total TBA commitments, net $ — $ (184 ) $ — $ 184 |
Interest Rate Swap | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following table presents information about the Company’s interest rate swap agreements that were in effect as of September 30, 2021: 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 $ 100,000 0.11 % 0.04 % (0.07 )% 2.1 $ (21 ) 3 to less than 10 years 115,000 1.09 % 0.10 % (0.99 )% 9.3 (114 ) Total / weighted-average $ 215,000 0.64 % 0.07 % (0.57 )% 6.0 $ (135 ) The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2020: 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 $ 200,000 0.10 % 0.06 % (0.04 )% 2.9 $ (40 ) 3 to less than 10 years 75,000 0.74 % 0.22 % (0.52 )% 9.5 (107 ) Total / weighted-average $ 275,000 0.28 % 0.10 % (0.18 )% 4.7 $ (147 ) |
Offsetting of Financial Asset_2
Offsetting of Financial Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: TBA commitments $ 2,004 $ — $ 2,004 $ (2,004 ) $ — $ — Total derivative instruments 2,004 — 2,004 (2,004 ) — — Total assets $ 2,004 $ — $ 2,004 $ (2,004 ) $ — $ — Liabilities: Derivative instruments: Interest rate swaps $ 135 $ — $ 135 $ — $ (135 ) $ — TBA commitments 2,885 — 2,885 (2,004 ) (730 ) 151 Total derivative instruments 3,020 — 3,020 (2,004 ) (865 ) 151 Repurchase agreements 553,983 — 553,983 (553,983 ) — — Total liabilities $ 557,003 $ — $ 557,003 $ (555,987 ) $ (865 ) $ 151 As of December 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: TBA commitments $ 258 $ — $ 258 $ (74 ) $ — $ 184 Total derivative instruments 258 — 258 (74 ) — 184 Total assets $ 258 $ — $ 258 $ (74 ) $ — $ 184 Liabilities: Derivative instruments: Interest rate swaps $ 147 $ — $ 147 $ — $ (147 ) $ — TBA commitments 74 — 74 (74 ) — — Total derivative instruments 221 — 221 (74 ) (147 ) — Repurchase agreements 655,212 — 655,212 (655,212 ) — — Total liabilities $ 655,433 $ — $ 655,433 $ (655,286 ) $ (147 ) $ — (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 that exceeds the associated derivative liability presented in the consolidated balance sheets. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Summary of Significant Inputs to Fair Value Measurement | The following table presents the significant unobservable inputs to the fair value measurement of the Company’s non-agency MBS secured by business-purpose residential mortgage loans as of the periods indicated: September 30, 2021 December 31, 2020 Annualized default rate 35.0 % 12.0 % Loss-given-default 25.0 % 40.0 % Discount rate 13.0 % 13.9 % September 30, 2021 December 31, 2020 Annualized default rate 15.0 % 20.0 % Loss-given-default 25.0 % 40.0 % Discount rate 12.0 % 13.9 % 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 September 30, 2021: September 30, 2021 Discount rate 9.0 % Annualized prepayment rate 10.2 % Annual per-loan cost of servicing (current loans) $ 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 September 30, 2021 and December 31, 2020. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. September 30, 2021 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 637,718 $ — $ 637,718 $ — Mortgage credit securities 25,477 — 11,335 14,142 Mortgage loans of consolidated VIE 16,516 — — 16,516 Loans 29,800 — — 29,800 MSR financing receivable 112,834 — — 112,834 Derivative assets 2,004 — 2,004 — Other assets 12,687 5,544 — 7,143 Financial liabilities: Secured debt of consolidated VIE 7,350 — 6,698 652 Derivative liabilities 3,020 — 3,020 — December 31, 2020 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 970,880 $ — $ 970,880 $ — Mortgage credit securities 26,660 — 14,730 11,930 Mortgage loans of consolidated VIE 93,283 — — 93,283 Loans 45,000 — — 45,000 MSR financing receivable 9,346 — — 9,346 Derivative assets 258 — 258 — Other assets 17,690 10,821 — 6,869 Financial liabilities: Secured debt of consolidated VIE 93,627 — 93,051 576 Derivative liabilities 221 — 221 — |
Change in Fair Value of Level 3 Financial Assets and Liabilities that are Measured at Fair Value on Recurring Basis | 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 September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Beginning balance $ 206,729 $ 86,701 $ 166,428 $ 51,398 Net (loss) gain included in "Investment gain (loss), net" 4,504 (21 ) 9,639 (1,649 ) Additions from consolidation of VIE — 124,345 — 124,345 Purchases 35,601 — 128,614 36,995 Sales — — (1,662 ) — Payments, net (68,810 ) (180 ) (128,350 ) (705 ) Accretion of discount 2,411 246 5,766 707 Ending balance $ 180,435 $ 211,091 $ 180,435 $ 211,091 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ 4,504 $ (21 ) $ 9,719 $ (1,649 ) 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 September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Beginning balance $ 640 $ — $ 576 $ — Net gain (loss) included in "Investment gain (loss), net" 9 — (1 ) — Additions from consolidation of VIE — 559 — 559 Payments, net 3 — 3 — Accretion of discount — — 74 — Ending balance $ 652 $ 559 $ 652 $ 559 Net unrealized gains (losses) included in earnings for the period for Level 3 liabilities still held at the reporting date $ 9 $ — $ (1 ) $ — |
Earnings (Loss) Per Share (Tabl
Earnings (Loss) Per Share (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Earnings Per Share [Abstract] | |
Computations of Basic and Diluted Earnings (Loss) Per Share | The following tables present the computations of basic and diluted earnings (loss) per share for the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, (Shares in thousands) 2021 2020 2021 2020 Basic weighted-average common shares outstanding 31,927 34,655 32,720 35,990 Performance share units, unvested restricted stock units, and unvested restricted stock — 42 — — Diluted weighted-average common shares outstanding 31,927 34,697 32,720 35,990 Net (loss) income (attributable) available to common stock $ (981 ) $ 4,033 $ (15,526 ) $ (81,435 ) Basic (loss) earnings per common share $ (0.03 ) $ 0.12 $ (0.47 ) $ (2.26 ) Diluted (loss) earnings per common share $ (0.03 ) $ 0.12 $ (0.47 ) $ (2.26 ) |
Organization and Basis of Pre_2
Organization and Basis of Presentation - Additional Information (Details) | 9 Months Ended |
Sep. 30, 2021 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Required annual distribution of taxable income | 90.00% |
Intended annual distribution of taxable income | 100.00% |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies - Additional Information (Details) | Sep. 30, 2021 | Dec. 31, 2020 |
Summary Of Significant Accounting Policies [Line Items] | ||
Cash Equivalents Percentage Held in Us Government Backed Securities | 64.00% | 99.00% |
ASU No. 2020-04 | ||
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 | Sep. 30, 2021 | Dec. 31, 2020 |
Agency MBS | ||
Fair Value of MBS | $ 637,718 | $ 970,880 |
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) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Net gains (losses) recognized in earnings for: | ||||
Total | $ 2,551 | $ 2,696 | $ (13,780) | $ 13,415 |
Agency MBS | ||||
Net gains (losses) recognized in earnings for: | ||||
MBS still held at period end | (2,904) | 1,938 | (13,323) | 9,994 |
MBS sold during the period | 457 | (80) | (11,209) | 19,790 |
Total | $ (2,447) | $ 1,858 | $ (24,532) | $ 29,784 |
Investments in Mortgage Credi_3
Investments in Mortgage Credit Securities - Additional Information (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Mortgage Credit Securities | ||
Fair Value of MBS | $ 25,477 | $ 26,660 |
Investments in Mortgage Credi_4
Investments in Mortgage Credit Securities - Additional Information About Gains and Losses Recognized with Respect to Investments in Mortgage Credit Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Net gains (losses) recognized in earnings for: | ||||
Total | $ 2,551 | $ 2,696 | $ (13,780) | $ 13,415 |
Mortgage Credit Securities | ||||
Net gains (losses) recognized in earnings for: | ||||
Mortgage credit securities still held at period end | (165) | 716 | 1,017 | (3,523) |
Mortgage credit securities sold during the period | 90 | (303) | 37 | (12,846) |
Total | $ (75) | $ 413 | $ 1,054 | $ (16,369) |
Loans Held For Investment - Add
Loans Held For Investment - Additional Information (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Schedule Of Investments [Line Items] | ||
Loan Rate | LIBOR plus 4.25% | |
Loan maturity date | Dec. 31, 2021 | |
Available period for extension | 1 year | |
Fair value of loans held for investment | $ 29,800 | $ 45,000 |
Revolving Credit Facility | ||
Schedule Of Investments [Line Items] | ||
Loan Rate | LIBOR plus 3.75 | |
Revolving credit facility, committed fund | $ 30,000 | |
Revolving credit facility | $ 130,000 | |
Revolving credit facility maturity date | Jul. 7, 2024 | |
Unused commitment fee percentage | 0.50% | |
Revolving credit facility, unfunded commitment | $ 30,000 | |
Minimum | ||
Schedule Of Investments [Line Items] | ||
Loan LIBOR floor rate | 2.00% | |
Minimum | Revolving Credit Facility | ||
Schedule Of Investments [Line Items] | ||
Loan LIBOR floor rate | 1.00% | |
Commercial Real Estate Mortgage Loan | ||
Schedule Of Investments [Line Items] | ||
Outstanding principal balance | $ 29,800 | $ 45,000 |
Healthcare Facilities Mortgage Loan | ||
Schedule Of Investments [Line Items] | ||
Outstanding principal balance | $ 45,000 | |
Healthcare Facilities Mortgage Loan | Loan Purchase | ||
Schedule Of Investments [Line Items] | ||
Outstanding principal balance | $ 29,800 | |
Loan Rate | LIBOR plus 5.50% | |
Loan maturity date | Mar. 23, 2022 | |
Available period for extension | 1 year |
Investments in MSR Financing _3
Investments in MSR Financing Receivables - Additional Information (Details) - USD ($) $ in Thousands | 9 Months Ended | 36 Months Ended | 39 Months Ended | ||
Sep. 30, 2021 | Dec. 31, 2023 | Apr. 01, 2024 | Jun. 30, 2021 | Dec. 31, 2020 | |
Accounts Notes And Loans Receivable [Line Items] | |||||
MSR servicing fee basis points | 0.125% | ||||
MSR financing receivables, at fair value | $ 112,834 | $ 74,652 | $ 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. 1, 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 | 9 Months Ended |
Sep. 30, 2021 | Sep. 30, 2021 | |
Receivables [Abstract] | ||
Balance at period beginning | $ 74,652 | $ 9,346 |
Capital investments | 35,601 | 95,223 |
Capital distributions | (3,816) | (3,816) |
Accretion of interest income | 1,945 | 3,693 |
Changes in valuation inputs and assumptions | 4,452 | 8,388 |
Balance at period end | $ 112,834 | $ 112,834 |
Investments in Single-Family _3
Investments in Single-Family Residential Properties - Additional Information (Details) - Single-Family Residential (“SFR”) Properties $ in Thousands | 9 Months Ended |
Sep. 30, 2021USD ($)Property | |
Real Estate And Accumulated Depreciation [Line Items] | |
Maximum commitment fund amount of acquisition of properties | $ 50,000 |
Useful life of building and improvements | 27 years 6 months |
Number of properties | Property | 33 |
Investments in single-family residential real estate, at cost | $ 9,419 |
Depreciation expense | $ 12 |
Number of properties committed to acquire | Property | 75 |
Commitments to purchase investments in single-family residential real estate, at cost | $ 19,949 |
Minimum | |
Real Estate And Accumulated Depreciation [Line Items] | |
Useful life of building and improvements | 5 years |
Maximum | |
Real Estate And Accumulated Depreciation [Line Items] | |
Useful life of building and improvements | 27 years 6 months |
Investments in Single-Family _4
Investments in Single-Family Residential Properties - Summary of Net Carrying Amount of SFR Properties (Details) - Single-Family Residential (“SFR”) Properties $ in Thousands | Sep. 30, 2021USD ($) |
Investments in single-family residential real estate: | |
Land | $ 1,553 |
Buildings and improvements | 7,866 |
Investments in single-family residential real estate, at cost | 9,419 |
Less: accumulated depreciation | (12) |
Investments in single-family residential real estate, net | $ 9,407 |
Consolidation of Variable Int_3
Consolidation of Variable Interest Entities - Additional Information (Details) - Variable Interest Entity, Primary Beneficiary - USD ($) $ in Thousands | Sep. 30, 2020 | Sep. 30, 2021 |
Variable Interest Entity [Line Items] | ||
Payments to acquire investments | $ 10,693 | |
Pool of mortgage loans, unpaid principal balance | $ 17,108 | |
Outstanding Principal | $ 7,367 | |
Mortgage loan, weighted average net note rate | 6.05% | |
Debt obligations, weighted average coupon rate | 4.99% | |
Unfunded Construction Draw Balance Commitment | ||
Variable Interest Entity [Line Items] | ||
Subordinated debt security investment | $ 1,306 |
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 | Sep. 30, 2021 | Dec. 31, 2020 | |
Variable Interest Entity [Line Items] | |||
Restricted cash | $ 217 | ||
Mortgage loans of consolidated VIE, at fair value | 29,800 | $ 45,000 | |
Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Restricted cash | [1] | 3,267 | 11,169 |
Mortgage loans of consolidated VIE, at fair value | 16,516 | 93,283 | |
Interest receivable of consolidated VIE | 67 | 545 | |
Secured debt of consolidated VIE, at fair value | (7,350) | (93,627) | |
Interest payable of consolidated VIE | (52) | (321) | |
Investment in consolidated VIE | $ 12,448 | $ 11,049 | |
[1] | . |
Consolidation of Variable Int_5
Consolidation of Variable Interest Entities - Schedule of Accrual Status of Mortgage Loans of Consolidated VIE (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Variable Interest Entity [Line Items] | ||
Mortgage loans of consolidated VIE | $ 29,800 | $ 45,000 |
Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Mortgage loans of consolidated VIE | 16,516 | $ 93,283 |
Pool of mortgage loans, unpaid principal balance | 17,108 | |
Difference | (592) | |
Less than 90 Days Past Due | Accrual Status | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Mortgage loans of consolidated VIE | 9,516 | |
Pool of mortgage loans, unpaid principal balance | 9,857 | |
Difference | (341) | |
90 Days or More Past Due | Non-accrual Status | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Mortgage loans of consolidated VIE | 7,000 | |
Pool of mortgage loans, unpaid principal balance | 7,251 | |
Difference | $ (251) |
Borrowings - Additional Informa
Borrowings - Additional Information (Details) - USD ($) | Sep. 28, 2021 | Aug. 06, 2021 | Jul. 15, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||||||||
Mortgage Loan Rate | LIBOR plus 4.25% | |||||||
Mortgage loan maturity date | Dec. 31, 2021 | |||||||
Long-term unsecured debt | $ 85,901,000 | $ 85,901,000 | $ 73,027,000 | |||||
Unamortized debt issuance costs | 1,780,000 | 1,780,000 | $ 732,000 | |||||
Senior Notes Due 2023 | ||||||||
Debt Instrument [Line Items] | ||||||||
Principal balance of Senior Notes repurchased | $ 820,000 | 7,000 | $ 1,066,000 | |||||
Principal balance of Senior Notes repurchased purchase price | 782,000 | $ 7,000 | 1,012,000 | |||||
Debt instrument redemption amount | $ 23,821,000 | |||||||
Debt instrument redemption price percentage | 100.00% | |||||||
Maturity | May 1, 2023 | |||||||
Annual Interest Rate | 6.625% | |||||||
Outstanding loan | $ 23,828,000 | |||||||
Unsecured Debentures | ||||||||
Debt Instrument [Line Items] | ||||||||
Principal balance of Senior Notes repurchased purchase price | $ 0 | |||||||
Senior Notes Due 2025 | ||||||||
Debt Instrument [Line Items] | ||||||||
Principal balance of Senior Notes repurchased | 153,000 | 331,000 | ||||||
Principal balance of Senior Notes repurchased purchase price | $ 140,000 | $ 296,000 | ||||||
Maturity | Mar. 15, 2025 | Mar. 15, 2025 | ||||||
Annual Interest Rate | 6.75% | 6.75% | 6.75% | |||||
Outstanding loan | $ 34,931,000 | $ 34,931,000 | $ 34,931,000 | |||||
6.000% Senior Notes due 2026 | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, issued | $ 37,750,000 | |||||||
Net proceeds from after deducting underwriter discounts | $ 36,570,000 | |||||||
Secured Debt | McLean SFR Investment, LLC | ||||||||
Debt Instrument [Line Items] | ||||||||
Maturity | Oct. 9, 2026 | |||||||
Annual Interest Rate | 2.76% | |||||||
Outstanding loan | $ 0 | $ 0 | ||||||
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 | LIBOR plus 2.50% | |||||||
Mortgage loan maturity date | Aug. 25, 2022 | Aug. 25, 2022 | ||||||
Agency MBS | One-Month LIBOR | ||||||||
Debt Instrument [Line Items] | ||||||||
Mortgage loan floor rate | 2.50% | 2.50% | ||||||
Minimum | ||||||||
Debt Instrument [Line Items] | ||||||||
Mortgage loan floor rate | 2.00% | |||||||
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 | $ 150,000,000 | |||||||
Percentage of fair value of eligible properties of loan amount | 74.00% | |||||||
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 | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2021 | Dec. 31, 2020 | ||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 553,983 | $ 655,212 | |
Mortgage investments collateral, at fair value | 588,343 | 701,154 | |
Net amount | [1] | $ 34,360 | $ 45,942 |
Weighted-average rate | 0.21% | 0.34% | |
Weighted-average term to maturity (in days) | 25 days 21 hours | 28 days 12 hours | |
Agency MBS repurchase financing | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 533,123 | $ 623,712 | |
Mortgage investments collateral, at fair value | 558,543 | 656,154 | |
Net amount | [1] | $ 25,420 | $ 32,442 |
Weighted-average rate | 0.12% | 0.21% | |
Weighted-average term to maturity (in days) | 14 days | 14 days | |
Mortgage loans repurchase financing | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 20,860 | $ 31,500 | |
Mortgage investments collateral, at fair value | 29,800 | 45,000 | |
Net amount | [1] | $ 8,940 | $ 13,500 |
Weighted-average rate | 2.59% | 3.00% | |
Weighted-average term to maturity (in days) | 329 days | 315 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. |
Borrowings - Information Regard
Borrowings - Information Regarding Outstanding Repurchase Agreement Borrowings During the Period (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Debt Disclosure [Abstract] | ||||
Weighted-average outstanding balance | $ 599,224 | $ 412,071 | $ 601,897 | $ 1,378,097 |
Weighted-average rate | 0.20% | 0.45% | 0.27% | 1.55% |
Borrowings - Long-term Unsecure
Borrowings - Long-term Unsecured Debt Instruments (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
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 | |
Annual Interest Rate | 6.00% | |
Interest Payment Frequency | Quarterly | |
Weighted-Average Interest Rate | 6.00% | |
Maturity | Aug. 1, 2026 | |
Senior Notes Due 2023 | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 23,828 | |
Annual Interest Rate | 6.625% | |
Interest Payment Frequency | Quarterly | |
Weighted-Average Interest Rate | 6.625% | |
Maturity | May 1, 2023 | |
Trust Preferred Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 15,000 | $ 15,000 |
Interest Payment Frequency | Quarterly | Quarterly |
Weighted-Average Interest Rate | 2.88% | 2.99% |
Annual Interest Rate | LIBOR+ 2.25 - 3.00 % | LIBOR+ 2.25 - 3.00 % |
Trust Preferred Debt | Minimum | ||
Debt Instrument [Line Items] | ||
Maturity | 2033 | 2033 |
Trust Preferred Debt | Maximum | ||
Debt Instrument [Line Items] | ||
Maturity | 2035 | 2035 |
Derivative Instruments - Fair V
Derivative Instruments - Fair Value of Derivative Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Derivative Assets | $ 2,004 | $ 258 |
Derivative Liabilities | (3,020) | (221) |
Interest Rate Swap | ||
Derivative Assets | 0 | 0 |
Derivative Liabilities | (135) | (147) |
TBA Commitments | ||
Derivative Assets | 2,004 | 258 |
Derivative Liabilities | $ (2,885) | $ (74) |
Derivative Instruments - Intere
Derivative Instruments - Interest Rate Swap Agreements (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2021 | Dec. 31, 2020 | Jun. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Notional Amount | $ 25,000,000 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 |
Interest Rate Swap | ||||||
Notional Amount | $ 215,000,000 | $ 275,000,000 | $ 525,000,000 | $ 50,000,000 | $ 50,000,000 | $ 2,985,000,000 |
Weighted-average: Fixed Pay Rate | 0.64% | 0.28% | ||||
Weighted-average: Variable Receive Rate | 0.07% | 0.10% | ||||
Weighted-average: Net Receive (Pay) Rate | (0.57%) | (0.18%) | ||||
Weighted-average: Remaining Life (in years) | 6 years | 4 years 8 months 12 days | ||||
Fair Value, Asset and (Liability) | $ (135,000) | $ (147,000) | ||||
Interest Rate Swap | Less Than Three Years Maturity | ||||||
Notional Amount | $ 100,000,000 | $ 200,000,000 | ||||
Weighted-average: Fixed Pay Rate | 0.11% | 0.10% | ||||
Weighted-average: Variable Receive Rate | 0.04% | 0.06% | ||||
Weighted-average: Net Receive (Pay) Rate | (0.07%) | (0.04%) | ||||
Weighted-average: Remaining Life (in years) | 2 years 1 month 6 days | 2 years 10 months 24 days | ||||
Fair Value, Asset and (Liability) | $ (21,000) | $ (40,000) | ||||
Interest Rate Swap | Three To Less Than Ten Years Maturity | ||||||
Notional Amount | $ 115,000,000 | $ 75,000,000 | ||||
Weighted-average: Fixed Pay Rate | 1.09% | 0.74% | ||||
Weighted-average: Variable Receive Rate | 0.10% | 0.22% | ||||
Weighted-average: Net Receive (Pay) Rate | (0.99%) | (0.52%) | ||||
Weighted-average: Remaining Life (in years) | 9 years 3 months 18 days | 9 years 6 months | ||||
Fair Value, Asset and (Liability) | $ (114,000) | $ (107,000) |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Details) - USD ($) | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||||||
Notional Amount | $ 25,000,000 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 |
U.S. Treasury Note Futures | ||||||
Derivative [Line Items] | ||||||
Notional Amount | 0 | 0 | ||||
Options on U.S. Treasury Note Futures | ||||||
Derivative [Line Items] | ||||||
Derivative outstanding options | $ 0 | $ 0 |
Derivative Instruments - TBA Co
Derivative Instruments - TBA Commitments (Details) - USD ($) | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Notional Amount: Net Purchase Commitment | $ 25,000,000 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 |
Fair Value, Asset | 2,004,000 | 258,000 | ||||
Fair Value, Liability | (3,020,000) | (221,000) | ||||
TBA Commitments | ||||||
Notional Amount: Net Purchase Commitment | 25,000,000 | 0 | ||||
Contractual Forward Price | 23,131,000 | (184,000) | ||||
Market Price | 22,250,000 | 0 | ||||
Fair Value, Asset | 2,004,000 | 258,000 | ||||
Fair Value, Liability | (2,885,000) | (74,000) | ||||
Fair Value | (881,000) | 184,000 | ||||
TBA Commitments | One Point Five Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Purchase | ||||||
Notional Amount: Net Purchase Commitment | 175,000,000 | 50,000,000 | ||||
Contractual Forward Price | 171,443,000 | 50,281,000 | ||||
Market Price | 169,967,000 | 50,539,000 | ||||
Fair Value, Asset | 258,000 | |||||
Fair Value, Liability | (1,476,000) | |||||
TBA Commitments | One Point Five Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Sale | ||||||
Notional Amount: Net Purchase Commitment | 175,000,000 | 50,000,000 | ||||
Contractual Forward Price | (170,865,000) | (50,465,000) | ||||
Market Price | (169,967,000) | (50,539,000) | ||||
Fair Value, Asset | 898,000 | |||||
Fair Value, Liability | $ (74,000) | |||||
TBA Commitments | Two Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments, Purchase | ||||||
Notional Amount: Net Purchase Commitment | 250,000,000 | |||||
Contractual Forward Price | 251,545,000 | |||||
Market Price | 250,938,000 | |||||
Fair Value, Liability | (607,000) | |||||
TBA Commitments | Two Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Sale | ||||||
Notional Amount: Net Purchase Commitment | 125,000,000 | |||||
Contractual Forward Price | (126,086,000) | |||||
Market Price | (125,469,000) | |||||
Fair Value, Asset | 617,000 | |||||
TBA Commitments | Two Point Five Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Sale | ||||||
Notional Amount: Net Purchase Commitment | 100,000,000 | |||||
Contractual Forward Price | (102,906,000) | |||||
Market Price | (103,219,000) | |||||
Fair Value, Liability | $ (313,000) |
Derivative Instruments - Deriva
Derivative Instruments - Derivative Gains and Losses Recognized Within the Periods (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | ||
Interest rate derivative gains (losses), net | $ (2,309) | $ 276 | $ 4,761 | $ (106,790) | |
Gains (losses) on commitments | (1,018) | 211 | (8,526) | 5,320 | |
Other derivatives | 0 | 0 | 0 | (1,040) | |
Total derivative (losses) gains, net | (3,327) | 487 | (3,765) | (102,510) | |
Interest Rate Swap | |||||
Interest rate derivative gains (losses), net | (3,181) | 276 | 1,199 | (103,719) | |
Interest Rate Swaps Net Interest (Expense) Income | |||||
Interest rate derivative gains (losses), net | [1] | (379) | (23) | (2,276) | 563 |
Unrealized (Losses) Gains, Net | |||||
Interest rate derivative gains (losses), net | (3,951) | 299 | 3,597 | 14,611 | |
Interest Rate Swaps (Gains) Losses Realized Upon Early Termination, Net | |||||
Interest rate derivative gains (losses), net | 1,149 | 0 | (122) | (118,893) | |
Options on U.S. Treasury Note Futures, Net | |||||
Interest rate derivative gains (losses), net | 0 | 0 | (20) | 0 | |
TBA Dollar Roll Income | |||||
Gains (losses) on commitments | [2] | 1,064 | 319 | 3,678 | 594 |
Other (Losses) Gains on TBA Commitments, Net | |||||
Gains (losses) on commitments | (2,082) | (108) | (12,204) | 4,726 | |
U.S. Treasury Note Futures, Net | |||||
Interest rate derivative gains (losses), net | $ 872 | $ 0 | $ 3,582 | $ (3,071) | |
[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 Instruments - Volume
Derivative Instruments - Volume of Activity, in terms of Notional Amount, Related to Derivative Instruments (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Derivative [Line Items] | ||||
Beginning of Period | $ 0 | $ 0 | $ 0 | $ 0 |
Additions | 1,125,000,000 | 200,000,000 | 2,490,000,000 | 375,000,000 |
Scheduled Settlements | (1,100,000,000) | (200,000,000) | (2,465,000,000) | (375,000,000) |
Early Terminations | 0 | 0 | 0 | 0 |
End of Period | 25,000,000 | 0 | 25,000,000 | 0 |
Interest Rate Swap | ||||
Derivative [Line Items] | ||||
Beginning of Period | 525,000,000 | 50,000,000 | 275,000,000 | 2,985,000,000 |
Additions | 0 | 0 | 450,000,000 | 50,000,000 |
Scheduled Settlements | 0 | 0 | 0 | (100,000,000) |
Early Terminations | (310,000,000) | 0 | (510,000,000) | (2,885,000,000) |
End of Period | 215,000,000 | 50,000,000 | 215,000,000 | 50,000,000 |
2-year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Beginning of Period | 0 | 0 | ||
Additions | 50,000,000 | 1,150,000,000 | ||
Scheduled Settlements | (50,000,000) | 0 | ||
Early Terminations | 0 | (1,150,000,000) | ||
End of Period | 0 | 0 | 0 | 0 |
10-year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Beginning of Period | 45,000,000 | 0 | 0 | |
Additions | 0 | 540,100,000 | 765,000,000 | |
Scheduled Settlements | (45,000,000) | (365,000,000) | 0 | |
Early Terminations | 0 | (175,100,000) | (765,000,000) | |
End of Period | 0 | 0 | 0 | 0 |
Put Options on S&P 500 ETF | ||||
Derivative [Line Items] | ||||
Beginning of Period | 0 | |||
Additions | 1,850,000 | |||
Scheduled Settlements | (1,850,000) | |||
Early Terminations | 0 | |||
End of Period | $ 0 | $ 0 | ||
Purchased Call Options on Ten Year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Beginning of Period | 0 | |||
Additions | 65,200,000 | |||
Scheduled Settlements | (65,200,000) | |||
Early Terminations | 0 | |||
End of Period | $ 0 | $ 0 |
Derivative Instruments - Cash C
Derivative Instruments - Cash Collateral Posted in Respect of Derivative and Other Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Cash collateral posted, net | $ 6,114 | $ 6,306 |
Interest Rate Swap | ||
Cash collateral posted, net | 5,384 | 6,306 |
TBA Commitments, Net | ||
Cash collateral posted, net | $ 730 | $ 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 | Sep. 30, 2021 | Dec. 31, 2020 | |
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | $ 2,004 | $ 258 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 2,004 | 258 | |
Derivative Asset, Financial Instruments | [1] | (2,004) | (74) |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 0 | 184 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 3,020 | 221 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 3,020 | 221 | |
Derivative Liabilities, Financial Instruments | [1] | (2,004) | (74) |
Derivative Liabilities, Cash Collateral | [2] | (865) | (147) |
Derivative Liabilities, Net amount Total | 151 | 0 | |
Derivative Financial Instruments, Liabilities | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 557,003 | 655,433 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 557,003 | 655,433 | |
Derivative Liabilities, Financial Instruments | [1] | (555,987) | (655,286) |
Derivative Liabilities, Cash Collateral | [2] | (865) | (147) |
Derivative Liabilities, Net amount Total | 151 | 0 | |
Derivative Financial Instruments, Assets | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 2,004 | 258 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 2,004 | 258 | |
Derivative Asset, Financial Instruments | [1] | (2,004) | (74) |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 0 | 184 | |
Repurchase Agreements | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 553,983 | 655,212 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 553,983 | 655,212 | |
Derivative Liabilities, Financial Instruments | [1] | (553,983) | (655,212) |
Derivative Liabilities, Cash Collateral | [2] | 0 | 0 |
Derivative Liabilities, Net amount Total | 0 | 0 | |
Interest Rate Swap | |||
Derivative instruments: | |||
Derivative Asset, Net Amount | 0 | 0 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 135 | 147 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 135 | 147 | |
Derivative Liabilities, Financial Instruments | [1] | 0 | 0 |
Derivative Liabilities, Cash Collateral | [2] | (135) | (147) |
Derivative Liabilities, Net amount Total | 0 | 0 | |
TBA Commitments | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 2,004 | 258 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 2,004 | 258 | |
Derivative Asset, Financial Instruments | [1] | (2,004) | (74) |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 0 | 184 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 2,885 | 74 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 2,885 | 74 | |
Derivative Liabilities, Financial Instruments | [1] | (2,004) | (74) |
Derivative Liabilities, Cash Collateral | [2] | (730) | 0 |
Derivative Liabilities, Net amount Total | $ 151 | $ 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. | ||
[2] | Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative 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 | Sep. 30, 2021LoanCost | Dec. 31, 2020 |
Annualized Default Rate | Subordinate Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Significant inputs to fair value measurement | 0.150 | 0.200 |
Loss-Given-Default | Subordinate Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Significant inputs to fair value measurement | 0.250 | 0.400 |
Discount Rate | Subordinate Debt Obligations | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Significant inputs to fair value measurement | 0.120 | 0.139 |
Mortgage Credit Securities | Annualized Default Rate | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Significant inputs to fair value measurement | 0.350 | 0.120 |
Mortgage Credit Securities | Loss-Given-Default | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Significant inputs to fair value measurement | 0.250 | 0.400 |
Mortgage Credit Securities | Discount Rate | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Significant inputs to fair value measurement | 0.130 | 0.139 |
MSR financing receivables [Member] | Discount Rate | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Significant inputs to fair value measurement | 0.090 | |
MSR financing receivables [Member] | Annualized Prepayment Rate | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Significant inputs to fair value measurement | 0.102 | |
MSR financing receivables [Member] | Annual per-loan Cost of Servicing(Current Loans) | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Significant inputs to fair value measurement | 65 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021USD ($) | Dec. 31, 2020USD ($) | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Long-term unsecured debt, carrying value | $ 85,901 | $ 73,027 |
Long-term unsecured debt, Fair Value | 84,795 | 69,904 |
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 | 5,544 | 10,821 |
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 | 7,143 | $ 6,869 |
MSR financing receivables [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Present value of expected incentive fee payment reflected in fair value of MSR financing receivables | $ 1,413 | |
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 | 0.95 | 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 | 0.10 |
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 | 0.15 |
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 | 0.00% | 0.00% |
Fair value discount rate | 0.056 | 0.063 |
Fair Value Measurements - Finan
Fair Value Measurements - Financial Instruments Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Financial assets: | ||
Loans, at fair value | $ 29,800 | $ 45,000 |
Derivative assets, at fair value | 2,004 | 258 |
Financial liabilities: | ||
Derivative liabilities, at fair value | 3,020 | 221 |
Fair Value, Measurements, Recurring | ||
Financial assets: | ||
Loans, at fair value | 29,800 | 45,000 |
MSR financing receivable | 112,834 | 9,346 |
Derivative assets, at fair value | 2,004 | 258 |
Other assets | 12,687 | 17,690 |
Financial liabilities: | ||
Derivative liabilities, at fair value | 3,020 | 221 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 1 | ||
Financial assets: | ||
Loans, at fair value | 0 | 0 |
MSR financing receivable | 0 | 0 |
Derivative assets, at fair value | 0 | 0 |
Other assets | 5,544 | 10,821 |
Financial liabilities: | ||
Derivative liabilities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 2 | ||
Financial assets: | ||
Loans, at fair value | 0 | 0 |
MSR financing receivable | 0 | 0 |
Derivative assets, at fair value | 2,004 | 258 |
Other assets | 0 | 0 |
Financial liabilities: | ||
Derivative liabilities, at fair value | 3,020 | 221 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
Loans, at fair value | 29,800 | 45,000 |
MSR financing receivable | 112,834 | 9,346 |
Derivative assets, at fair value | 0 | 0 |
Other assets | 7,143 | 6,869 |
Financial liabilities: | ||
Derivative liabilities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Mortgage Credit Securities | ||
Financial assets: | ||
Trading securities | 25,477 | 26,660 |
Fair Value, Measurements, Recurring | Mortgage Credit Securities | Fair Value, Inputs, Level 1 | ||
Financial assets: | ||
Trading securities | 0 | 0 |
Fair Value, Measurements, Recurring | Mortgage Credit Securities | Fair Value, Inputs, Level 2 | ||
Financial assets: | ||
Trading securities | 11,335 | 14,730 |
Fair Value, Measurements, Recurring | Mortgage Credit Securities | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
Trading securities | 14,142 | 11,930 |
Fair Value, Measurements, Recurring | Agency MBS | ||
Financial assets: | ||
Trading securities | 637,718 | 970,880 |
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 | 637,718 | 970,880 |
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 | 16,516 | 93,283 |
Financial liabilities: | ||
Secured debt of consolidated VIE, at fair value | 7,350 | 93,627 |
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 VIE, 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 VIE, at fair value | 6,698 | 93,051 |
Fair Value, Measurements, Recurring | Variable Interest Entity, Primary Beneficiary | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
Loans, at fair value | 16,516 | 93,283 |
Financial liabilities: | ||
Secured debt of consolidated VIE, at fair value | $ 652 | $ 576 |
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 | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | ||||
Beginning balance | $ 206,729 | $ 86,701 | $ 166,428 | $ 51,398 |
Net (loss) gain included in "Investment gain (loss), net" | 4,504 | (21) | 9,639 | (1,649) |
Additions from consolidation of VIE | 124,345 | 124,345 | ||
Purchases | 35,601 | 128,614 | 36,995 | |
Sales | (1,662) | |||
Payments, net | (68,810) | (180) | (128,350) | (705) |
Accretion of discount | 2,411 | 246 | 5,766 | 707 |
Ending balance | 180,435 | 211,091 | 180,435 | 211,091 |
Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date | 4,504 | (21) | 9,719 | (1,649) |
Beginning balance | 640 | 576 | ||
Net gain (loss) included in "Investment gain (loss), net" | 9 | (1) | ||
Additions from consolidation of VIE | 559 | 559 | ||
Payments, net | 3 | 3 | ||
Accretion of discount | 74 | |||
Ending balance | 652 | $ 559 | 652 | $ 559 |
Net unrealized gains (losses) included in earnings for the period for Level 3 liabilities still held at the reporting date | $ 9 | $ (1) |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2021USD ($) | Sep. 30, 2021USD ($) | |
Income Tax Disclosure [Line Items] | ||
Intended annual distribution of taxable income | 100.00% | |
Required annual distribution of taxable income | 90.00% | |
Net operating loss carryforwards | $ 150,936 | $ 150,936 |
Net operating loss carryforward subject to expiration year | 14,588 | 14,588 |
Net operating loss carryforward not subject to expiration year | 136,348 | $ 136,348 |
Net operating loss carryforwards, expiration year | 2028 | |
Capital loss carryforwards expiration remainder of fiscal year | 66,862 | $ 66,862 |
Capital loss carryforwards expiration in year 2022 | 3,763 | 3,763 |
Capital loss carryforwards expiration in year 2023 | 110,323 | 110,323 |
Income tax provision | 436 | 758 |
Capital Loss Carryforward | ||
Income Tax Disclosure [Line Items] | ||
Tax Credit Carryforward, Amount | $ 180,948 | $ 180,948 |
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 | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Earnings Per Share [Abstract] | ||||
Basic weighted-average common shares outstanding | 31,927 | 34,655 | 32,720 | 35,990 |
Performance share units, unvested restricted stock units, and unvested restricted stock | 42 | |||
Diluted weighted-average common shares outstanding | 31,927 | 34,697 | 32,720 | 35,990 |
Net (loss) income (attributable) available to common stock | $ (981) | $ 4,033 | $ (15,526) | $ (81,435) |
Basic (loss) earnings per common share | $ (0.03) | $ 0.12 | $ (0.47) | $ (2.26) |
Diluted (loss) earnings per common share | $ (0.03) | $ 0.12 | $ (0.47) | $ (2.26) |
Earnings (Loss) Per Share - Add
Earnings (Loss) Per Share - Additional Information (Details) - shares | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | |
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 | 315,576 | 312,371 | 65,208 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Details) $ / shares in Units, $ in Thousands | Jun. 01, 2009 | Sep. 30, 2021USD ($)$ / sharesshares | Jun. 30, 2021USD ($)shares | Mar. 31, 2021USD ($)shares | Sep. 30, 2020USD ($)shares | Jun. 30, 2020USD ($)shares | Sep. 30, 2021USD ($)$ / sharesshares | Dec. 31, 2020USD ($)$ / sharesshares | Jul. 31, 2020shares | Aug. 10, 2018shares | Oct. 26, 2015shares |
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||||
Common stock, shares outstanding (in shares) | 0 | 0 | 0 | ||||||||
Stock repurchase program shares previously available to be repurchased | 56,090 | ||||||||||
Shareholder Rights Plan | |||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||||
Rights plan, amended term of agreement | 3 years | ||||||||||
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 | ||||||||||
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) | 31,618,567 | 31,618,567 | 33,517,018 | ||||||||
Stock repurchase program shares previously available to be repurchased | 14,179,179 | 14,179,179 | |||||||||
Repurchase of stock | $ | $ 4,095 | $ 3,490 | $ 523 | $ 5,864 | $ 3,047 | $ 8,108 | $ 10,377 | ||||
Common Class A | Common Stock | |||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||||
Repurchase of stock (in shares) | 1,059,980 | 855,835 | 137,655 | 2,079,074 | 1,069,340 | 2,053,470 | 3,662,566 | ||||
Repurchase of stock | $ | $ 11 | $ 9 | $ 1 | $ 21 | $ 11 | ||||||
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 | |||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | |||||||||||
Stock repurchase program, number of shares authorized to be repurchased | 2,000,000 | ||||||||||
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) | 0 | 35,252 | 33,100 | 0 | 82,966 | ||||||
Repurchase of stock | $ | $ 677 | $ 627 | $ 1,578 | ||||||||
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 | 7.00% | ||||||||||
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, redemption date | May 12, 2022 | ||||||||||
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) | 22,719 | ||||||||||
Repurchase of stock (in shares) | 0 | 7,566 | 10,200 | 0 | 17,766 | ||||||
Repurchase of stock | $ | $ 126 | $ 173 | $ 299 | ||||||||
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) | 22,719 | 22,719 | 0 | ||||||||
Number of Shares Offer and Sell | 1,623,242 | 1,623,242 | |||||||||
Weighted average public offering price | $ / shares | $ 24.99 | $ 24.99 | |||||||||
Proceeds net of selling commissions and expenses | $ | $ 560 | $ 560 | |||||||||
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 |