COVER PAGE
COVER PAGE - shares | 9 Months Ended | |
Sep. 30, 2020 | Oct. 31, 2020 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2020 | |
Document Transition Report | false | |
Entity File Number | 1-33796 | |
Entity Registrant Name | CHIMERA INVESTMENT CORP | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 26-0630461 | |
Entity Address, Address Line One | 520 Madison Avenue 32nd Floor | |
Entity Address, City or Town | New York | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10022 | |
City Area Code | 212 | |
Local Phone Number | 626-2300 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding (in shares) | 233,730,629 | |
Entity Central Index Key | 0001409493 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Common Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | CIM | |
Security Exchange Name | NYSE | |
Series A Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | CIM PRA | |
Security Exchange Name | NYSE | |
Series B Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock | |
Trading Symbol | CIM PRB | |
Security Exchange Name | NYSE | |
Series C Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock | |
Trading Symbol | CIM PRC | |
Security Exchange Name | NYSE | |
Series D Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock | |
Trading Symbol | CIM PRD | |
Security Exchange Name | NYSE |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Cash and cash equivalents | $ 325,717 | $ 109,878 | |
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively) | 2,218,289 | 2,614,408 | |
Agency RMBS, at fair value | 99,988 | 6,490,293 | |
Agency CMBS, at fair value | 1,754,740 | 2,850,717 | |
Loans held for investment, at fair value | 13,533,252 | 14,292,815 | |
Receivable for investments sold | 0 | 446,225 | |
Accrued interest receivable | 86,727 | 116,423 | |
Other assets | 75,155 | 194,301 | |
Derivatives, at fair value, net | 0 | 3,611 | |
Total assets | [1] | 18,093,868 | 27,118,671 |
Liabilities: | |||
Secured financing agreements ($6.7 billion and $15.4 billion pledged as collateral, respectively) | 4,700,037 | 13,427,545 | |
Securitized debt, collateralized by Non-Agency RMBS ($528 million and $598 million pledged as collateral, respectively) | 117,904 | 133,557 | |
Securitized debt at fair value, collateralized by loans held for investment ($12.4 billion and $12.1 billion pledged as collateral, respectively) | 8,757,449 | 8,179,608 | |
Long term debt | 70,641 | 0 | |
Payable for investments purchased | 614,583 | 1,256,337 | |
Accrued interest payable | 36,451 | 63,600 | |
Dividends payable | 76,362 | 98,568 | |
Accounts payable and other liabilities | 23,899 | 6,163 | |
Total liabilities | [1] | 14,397,326 | 23,165,378 |
Commitments and Contingencies (See Note 16) | |||
Stockholders' Equity: | |||
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 232,190,087 and 187,226,081 shares issued and outstanding, respectively | 2,322 | 1,873 | |
Additional paid-in-capital | 4,517,819 | 4,275,963 | |
Accumulated other comprehensive income | 554,981 | 708,336 | |
Cumulative earnings | 3,734,659 | 3,793,040 | |
Cumulative distributions to stockholders | (5,113,611) | (4,826,291) | |
Total stockholders' equity | 3,696,542 | 3,953,293 | |
Total liabilities and stockholders' equity | 18,093,868 | 27,118,671 | |
Series A Preferred Stock | |||
Stockholders' Equity: | |||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: | 58 | 58 | |
Series B Preferred Stock | |||
Stockholders' Equity: | |||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: | 130 | 130 | |
Series C Preferred Stock | |||
Stockholders' Equity: | |||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: | 104 | 104 | |
Series D Preferred Stock | |||
Stockholders' Equity: | |||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: | $ 80 | $ 80 | |
[1] | The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of September 30, 2020, and December 31, 2019, total assets of consolidated VIEs were $12,795,729 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,660,123 and $8,064,235, respectively. See Note 9 for further discussion. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | ||
Allowance for credit losses | $ 167,000 | $ 0 | |
Preferred stock, par value (usd per share) | $ 0.01 | $ 0.01 | |
Preferred stock, shares authorized (shares) | 100,000,000 | 100,000,000 | |
Common stock, par value (usd per share) | $ 0.01 | $ 0.01 | |
Common stock, shares authorized (shares) | 500,000,000 | 500,000,000 | |
Common stock, shares issued (shares) | 232,190,087 | 187,226,081 | |
Common stock, shares outstanding (shares) | 232,190,087 | 187,226,081 | |
Assets | [1] | $ 18,093,868,000 | $ 27,118,671,000 |
Liabilities | [1] | 14,397,326,000 | 23,165,378,000 |
Non-Agency RMBS | |||
Allowance for credit losses | 167,000 | 0 | |
Repurchase Agreements | |||
Securities pledged as collateral | 6,620,060,000 | 15,399,244,000 | |
Repurchase Agreements | Residential Mortgage-Backed Securities | |||
Securities pledged as collateral | 6,700,000,000 | 15,400,000,000 | |
Securitized Loans | Non-Agency RMBS | |||
Securities pledged as collateral | 528,000,000 | 598,000,000 | |
Securitized Loans | Loans Held for Investment at Fair Value | |||
Securities pledged as collateral | $ 12,400,000,000 | $ 12,100,000,000 | |
Series A Preferred Stock | |||
Preferred stock, dividend rate (percent) | 8.00% | 8.00% | |
Preferred stock, shares issued (shares) | 5,800,000 | 5,800,000 | |
Preferred stock, shares outstanding (shares) | 5,800,000 | 5,800,000 | |
Preferred Stock, liquidation preference | $ 145,000 | $ 145,000 | |
Series B Preferred Stock | |||
Preferred stock, dividend rate (percent) | 8.00% | 8.00% | |
Preferred stock, shares issued (shares) | 13,000,000 | 13,000,000 | |
Preferred stock, shares outstanding (shares) | 13,000,000 | 13,000,000 | |
Preferred Stock, liquidation preference | $ 325,000 | $ 325,000 | |
Series C Preferred Stock | |||
Preferred stock, dividend rate (percent) | 7.75% | 7.75% | |
Preferred stock, shares issued (shares) | 10,400,000 | 10,400,000 | |
Preferred stock, shares outstanding (shares) | 10,400,000 | 10,400,000 | |
Preferred Stock, liquidation preference | $ 260,000 | $ 260,000 | |
Series D Preferred Stock | |||
Preferred stock, dividend rate (percent) | 8.00% | 8.00% | |
Preferred stock, shares issued (shares) | 8,000,000 | 8,000,000 | |
Preferred stock, shares outstanding (shares) | 8,000,000 | 8,000,000 | |
Preferred Stock, liquidation preference | $ 200,000 | $ 200,000 | |
Variable Interest Entities, Primary Beneficiary | |||
Assets | 12,795,729,000 | 12,544,744,000 | |
Liabilities | 8,660,123,000 | $ 8,064,235,000 | |
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS | |||
Allowance for credit losses | $ 91,000 | ||
[1] | The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of September 30, 2020, and December 31, 2019, total assets of consolidated VIEs were $12,795,729 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,660,123 and $8,064,235, respectively. See Note 9 for further discussion. |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | ||
Net interest income: | |||||
Interest income | [1] | $ 247,905 | $ 330,144 | $ 794,094 | $ 1,020,448 |
Interest expense | [2] | 124,557 | 188,551 | 395,897 | 589,611 |
Net interest income | 123,348 | 141,593 | 398,197 | 430,837 | |
Increase/(decrease) in provision for credit losses | (1,650) | 0 | 167 | 0 | |
Net other-than-temporary credit impairment losses | 0 | 0 | 0 | (4,853) | |
Other investment gains (losses): | |||||
Net unrealized gains (losses) on derivatives | 0 | 31,620 | 201,000 | (189,865) | |
Realized gains (losses) on terminations of interest rate swaps | 0 | (148,114) | (463,966) | (351,372) | |
Net realized gains (losses) on derivatives | 0 | (20,178) | (41,086) | (37,151) | |
Net gains (losses) on derivatives | 0 | (136,672) | (304,052) | (578,388) | |
Net unrealized gains (losses) on financial instruments at fair value | 260,766 | 130,825 | (172,042) | 522,386 | |
Net realized gains (losses) on sales of investments | 65,041 | 1,596 | 167,275 | 2,673 | |
Gains (losses) on extinguishment of debt | (55,794) | 0 | (55,338) | (608) | |
Total other gains (losses) | 270,013 | (4,251) | (364,157) | (53,937) | |
Other expenses: | |||||
Compensation and benefits | 10,287 | 12,191 | 33,476 | 38,675 | |
General and administrative expenses | 6,811 | 6,528 | 19,050 | 18,569 | |
Servicing fees | 8,898 | 8,881 | 28,359 | 27,125 | |
Transaction expenses | 1,624 | 3,415 | 11,239 | 4,289 | |
Total other expenses | 27,620 | 31,015 | 92,124 | 88,658 | |
Income (loss) before income taxes | 367,391 | 106,327 | (58,251) | 283,389 | |
Income taxes | 62 | 1 | 130 | 156 | |
Net income (loss) | 367,329 | 106,326 | (58,381) | 283,233 | |
Dividends on preferred stock | 18,438 | 18,438 | 55,313 | 54,267 | |
Net income (loss) available to common shareholders | $ 348,891 | $ 87,888 | $ (113,694) | $ 228,966 | |
Net income (loss) per share available to common shareholders: | |||||
Basic (usd per share) | $ 1.50 | $ 0.47 | $ (0.55) | $ 1.22 | |
Diluted (usd per share) | $ 1.32 | $ 0.47 | $ (0.55) | $ 1.22 | |
Weighted average number of common shares outstanding: | |||||
Basic (shares) | 232,127,224 | 187,158,167 | 206,237,705 | 187,141,377 | |
Diluted (shares) | 265,346,359 | 188,440,171 | 206,237,705 | 188,331,109 | |
[1] | Includes interest income of consolidated VIEs of $171,442 and $192,622 for the quarters ended September 30, 2020 and 2019, respectively and $515,250 and $600,436 for the nine months ended September 30, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion. | ||||
[2] | Includes interest expense of consolidated VIEs of $74,753 and $82,234 for the quarters ended September 30, 2020 and 2019, respectively and $210,198 and $260,790 for the nine months ended September 30, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion. |
CONSOLIDATED STATEMENTS OF OP_2
CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Variable Interest Entities, Primary Beneficiary - Non Agency Residential Mortgage Backed Securities And Securitized Loans - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Interest income, assets of consolidated VIEs | $ 171,442 | $ 192,622 | $ 515,250 | $ 600,436 |
Interest expense, Non-recourse liabilities of VIEs | $ 74,753 | $ 82,234 | $ 210,198 | $ 260,790 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | ||
Comprehensive income (loss): | |||||
Net income (loss) | $ 367,329 | $ 106,326 | $ (58,381) | $ 283,233 | |
Other comprehensive income: | |||||
Unrealized gains (losses) on available-for-sale securities, net | [1] | 40,470 | 29,980 | (97,334) | 115,198 |
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 0 | 0 | 0 | 4,853 | |
Reclassification adjustment for net realized losses (gains) included in net income | (22,999) | 0 | (56,021) | 22,187 | |
Net current period OCI | 17,471 | 29,980 | (153,355) | 142,238 | |
Comprehensive income (loss) before preferred stock dividends | 384,800 | 136,306 | (211,736) | 425,471 | |
Dividends on preferred stock | 18,438 | 18,438 | 55,313 | 54,267 | |
Comprehensive income (loss) available to common stock shareholders | $ 366,362 | $ 117,868 | $ (267,049) | $ 371,204 | |
[1] | Quarter ended and nine months ended September 30, 2020 amounts includes $150 thousand and $15 million, respectively, of unrealized losses on AFS securities for which the Company has recognized an allowance for credit losses. |
CONSOLIDATED STATEMENTS OF CO_2
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2020 | Sep. 30, 2020 | |
Statement of Comprehensive Income [Abstract] | ||
Unrealized losses on AFS securities | $ 150 | $ 15,000 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Common Stock Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Series A Preferred Stock Par Value | Series A Preferred Stock Par ValuePreferred Stock | Series B Preferred Stock Par Value | Series B Preferred Stock Par ValuePreferred Stock | Series C Preferred Stock Par Value | Series C Preferred Stock Par ValuePreferred Stock | Series D Preferred Stock Par Value | Series D Preferred Stock Par ValuePreferred Stock |
Beginning Balance at Dec. 31, 2018 | $ 3,703,829 | $ 1,871 | $ 4,072,093 | $ 626,832 | $ 3,379,489 | $ (4,376,748) | $ 58 | $ 130 | $ 104 | $ 0 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Net income (loss) | 283,233 | 283,233 | ||||||||||||
Other comprehensive income (loss) | 142,238 | 142,238 | ||||||||||||
Stock based compensation | 9,341 | 1 | 9,340 | |||||||||||
Common dividends declared | (282,698) | (282,698) | ||||||||||||
Preferred dividends declared | (54,267) | (54,267) | $ (9,000) | $ (20,000) | $ (15,000) | $ (11,000) | ||||||||
Issuance of preferred stock | 193,368 | 193,288 | 80 | |||||||||||
Ending Balance at Sep. 30, 2019 | 3,995,044 | 1,872 | 4,274,721 | 769,070 | 3,662,722 | (4,713,713) | 58 | 130 | 104 | 80 | ||||
Beginning Balance at Jun. 30, 2019 | 3,968,950 | 1,872 | 4,272,001 | 739,090 | 3,556,396 | (4,600,781) | 58 | 130 | 104 | 80 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Net income (loss) | 106,326 | 106,326 | ||||||||||||
Other comprehensive income (loss) | 29,980 | 29,980 | ||||||||||||
Stock based compensation | 2,720 | 2,720 | ||||||||||||
Common dividends declared | (94,494) | (94,494) | ||||||||||||
Preferred dividends declared | (18,438) | (18,438) | (3,000) | (7,000) | (5,000) | (4,000) | ||||||||
Ending Balance at Sep. 30, 2019 | 3,995,044 | 1,872 | 4,274,721 | 769,070 | 3,662,722 | (4,713,713) | 58 | 130 | 104 | 80 | ||||
Beginning Balance at Dec. 31, 2019 | 3,953,293 | 1,873 | 4,275,963 | 708,336 | 3,793,040 | (4,826,291) | 58 | 130 | 104 | 80 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Net income (loss) | (58,381) | (58,381) | ||||||||||||
Other comprehensive income (loss) | (153,355) | (153,355) | ||||||||||||
Repurchase of common stock | (22,066) | (15) | (22,051) | |||||||||||
Settlement of Convertible Debt | 294,009 | 463 | 293,546 | |||||||||||
Purchase of Capped Call | (33,750) | (33,750) | ||||||||||||
Stock based compensation | 4,112 | 1 | 4,111 | |||||||||||
Common dividends declared | (232,007) | (232,007) | ||||||||||||
Preferred dividends declared | (55,313) | (55,313) | (9,000) | (20,000) | (15,000) | (12,000) | ||||||||
Ending Balance at Sep. 30, 2020 | 3,696,542 | 2,322 | 4,517,819 | 554,981 | 3,734,659 | (5,113,611) | 58 | 130 | 104 | 80 | ||||
Beginning Balance at Jun. 30, 2020 | 3,395,879 | 2,320 | 4,515,043 | 537,510 | 3,367,330 | (5,026,696) | 58 | 130 | 104 | 80 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Net income (loss) | 367,329 | 367,329 | ||||||||||||
Other comprehensive income (loss) | 17,471 | 17,471 | ||||||||||||
Settlement of Convertible Debt | 1,200 | 2 | 1,198 | |||||||||||
Stock based compensation | 1,578 | 1,578 | ||||||||||||
Common dividends declared | (68,477) | (68,477) | ||||||||||||
Preferred dividends declared | (18,438) | (18,438) | $ (3,000) | $ (7,000) | $ (5,000) | $ (4,000) | ||||||||
Ending Balance at Sep. 30, 2020 | $ 3,696,542 | $ 2,322 | $ 4,517,819 | $ 554,981 | $ 3,734,659 | $ (5,113,611) | $ 58 | $ 130 | $ 104 | $ 80 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2020 | Sep. 30, 2019 | |
Cash Flows From Operating Activities: | ||
Net income (loss) | $ (58,381) | $ 283,233 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||
(Accretion) amortization of investment discounts/premiums, net | 93,365 | 52,112 |
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net | (41,102) | (22,207) |
Amortization of swaption premium | 0 | 635 |
Net unrealized losses (gains) on derivatives | (201,000) | 189,865 |
Margin (paid) received on derivatives | 325,594 | (106,128) |
Net unrealized losses (gains) on financial instruments at fair value | 172,042 | (522,386) |
Net realized losses (gains) on sales of investments | (167,275) | (2,673) |
Net increase (decrease) in provision for credit losses | 167 | 0 |
Net other-than-temporary credit impairment losses | 0 | 4,853 |
(Gain) loss on extinguishment of debt | 55,338 | 608 |
Equity-based compensation expense | 4,112 | 9,341 |
Changes in operating assets: | ||
Decrease (increase) in accrued interest receivable, net | 30,381 | (2,160) |
Decrease (increase) in other assets | (22,507) | (15,600) |
Changes in operating liabilities: | ||
Increase (decrease) in accounts payable and other liabilities | 17,736 | 14,912 |
Increase (decrease) in accrued interest payable, net | (27,842) | (29,172) |
Net cash provided by (used in) operating activities | 180,628 | (144,767) |
Cash Flows From Investing Activities: | ||
Net cash provided by (used in) investing activities | 8,137,066 | 211,261 |
Cash Flows From Financing Activities: | ||
Proceeds from secured financing agreements | 74,264,849 | 93,523,542 |
Payments on secured financing agreements | (83,030,677) | (92,552,568) |
Net proceeds from preferred stock offerings | 0 | 193,368 |
Payments on repurchase of common stock | (22,066) | 0 |
Proceeds from securitized debt borrowings, collateralized by loans held for investment | 2,061,895 | 374,600 |
Payments on securitized debt borrowings, collateralized by loans held for investment | (1,379,866) | (1,138,025) |
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (13,852) | (19,059) |
Net proceeds from issuance of convertible debt | 361,139 | 0 |
Purchase of capped call | (33,750) | 0 |
Common dividends paid | (254,214) | (280,677) |
Preferred dividends paid | (55,313) | (54,267) |
Net cash provided by (used in) financing activities | (8,101,855) | 46,914 |
Net increase (decrease) in cash and cash equivalents | 215,839 | 113,408 |
Cash and cash equivalents at beginning of period | 109,878 | 47,486 |
Cash and cash equivalents at end of period | 325,717 | 160,894 |
Supplemental disclosure of cash flow information: | ||
Interest received | 917,156 | 1,070,399 |
Interest paid | 464,147 | 640,990 |
Non-cash investing activities: | ||
Payable for investments purchased | 614,583 | 1,484,572 |
Net change in unrealized gain (loss) on available-for sale securities | (153,355) | 142,238 |
Retained beneficial interests | 21,943 | 124,150 |
Non-cash financing activities: | ||
Dividends declared, not yet paid | 76,362 | 98,006 |
Conversion of convertible debt | 290,531 | 0 |
Agency MBS portfolio | ||
Cash Flows From Investing Activities: | ||
Purchases | (385,014) | (2,598,807) |
Sales | 7,201,313 | 1,919,230 |
Principal payments | 705,272 | 1,273,006 |
Non-agency RMBS Portfolio | ||
Cash Flows From Investing Activities: | ||
Purchases | (22,859) | (301,481) |
Sales | 142,534 | 38,603 |
Principal payments | 191,294 | 304,487 |
Loans held for investment | ||
Cash Flows From Investing Activities: | ||
Sales | 703,342 | 1,337,419 |
Principal payments | 1,384,331 | 1,240,505 |
Purchases | $ (1,783,147) | $ (3,001,701) |
Organization
Organization | 9 Months Ended |
Sep. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization Chimera Investment Corporation, or the Company, was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust, or REIT, under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder, or the Code. The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries, or 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. The Company currently has eleven wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC and Chimera RMBS LLC formed in June 2009; CIM Trading Company LLC, or CIM Trading, formed in July 2010; Chimera Funding TRS LLC, or CIM Funding TRS, a TRS formed in October 2013, Chimera CMBS Whole Pool LLC and Chimera RMBS Securities LLC formed in March 2015; Chimera Insurance Company, LLC formed in July 2015; Chimera RR Holding LLC formed in April 2016, Anacostia LLC, a TRS formed in June 2018, NYH Funding LLC, a TRS formed in May 2019, and Kali 2020 Holdings LLC formed in May 2020. |
Summary of the Significant Acco
Summary of the Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Summary of the Significant Accounting Policies | Summary of the Significant Accounting Policies (a) Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment securities transactions are recorded on the trade date. Certain prior period amounts have been reclassified to conform to the current period's presentation. The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations entities. Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause or the Company was determined to have power in connection with its involvement with the structure and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of residential mortgage backed securities (or RMBS), or residential mortgage loans. See Notes 3, 4 and 9 for further discussion of the characteristics of the securities and loans in the Company’s portfolio. (b) Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Retained beneficial interests of the consolidated securitization vehicles are eliminated on consolidation. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 9 for additional information related to the Company’s investments in consolidated securitization vehicles. (c) Use of Estimates The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. The Company has made significant estimates including in accounting for income recognition on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4 and 5), securitized debt (Note 5 and 7) and derivative instruments (Notes 5 and 10). Actual results could differ materially from those estimates. (d) Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2019, other than the significant accounting policies discussed below. Interest Income Recognition and Allowance for Credit Losses Investments in Non-agency RMBS securities The Company considers its investments in Non-Agency RMBS as beneficial interests. Beneficial interests give the Company the right to receive all or portions of specified cash flows received by a trust or other entity. Beneficial interests held by the Company are created in connection with securitization transactions such as those involving mortgage loan obligations. Beneficial interests are accounted for in accordance with guidance in ASC 325-40 as amended by the ASU 2016-13. Beneficial interests classified as available-for-sale (AFS) record changes in fair value in other comprehensive income (OCI). Beneficial interests for which the Company has elected the fair value option (FVO) record changes in fair value in earnings. Interest income on the Company’s beneficial interests is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, adjusts its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either favorable changes or adverse changes. Adverse changes in the timing or amount of cash flows on beneficial interests classified as AFS could result in the Company recording an increase in the allowance for credit losses. The allowance for credit losses are calculated using a discounted cash flow (DCF) approach and is measured as the difference between the beneficial interest’s amortized cost and the estimate of cash flows expected to be collected discounted at the effective interest rate used to accrete the beneficial interest. The allowance for credit losses is recorded as a contra-asset and a reduction in earnings. The allowance for credit losses will be limited to the amount of the unrealized losses on the beneficial interest. Any allowance for credit losses in excess of the unrealized losses on the beneficial interests are accounted for as a prospective reduction of the effective interest rate. No allowance is recorded for beneficial interests in an unrealized gain position. Favorable changes in the DCF will result in a reduction in the allowance for credit losses, if any. Any reduction in allowance for credit losses is recorded in earnings. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective increase to the effective interest rate. Beneficial interests for which other than temporary impairment (OTTI) had been recognized prior to the effective date of ASU 2016-13 shall apply the guidance in the update on a prospective basis. In addition, the yield used to accrete the beneficial interest on beneficial interests with prior OTTI will remain unchanged as a result of the adoption of ASU 2016-13. Recoveries of amounts previously written off relating to improvements in cash flows shall be recorded in income in the period received. Therefore, subsequent favorable changes in the DCF of the beneficial interests with prior OTTI will not be reflected as an adjustment to their yield used to accrete the discount. Subsequent adverse changes in the DCF will result in an increase to the allowance for credit losses, limited to the amount of the unrealized losses on the beneficial interest. Credit losses recognized on beneficial interests will be accreted on a monthly basis at the rate used to recognize interest income, the effective interest rate. The accretion will be recorded as a reduction to interest income in the statement of operations. The Company presents separately all accrued interest on the statement of financial position. Interest is accrued on all beneficial interests when due. Interest which is not received at the due date is written off when it becomes delinquent. As all interest not received when due is charged off against interest income, no allowance for accrued interest is required. No allowances for credit losses are recognized on beneficial interests for which the Company has elected the fair value option. All favorable or adverse changes in the Company's estimates of cash flows expected to be collected results in a prospective increase or decrease in the effective interest rate used to recognize interest income. Investments in agency MBS securities The Company invests in pass-through mortgage-backed securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC) (collectively “Agency Securities”). Interest income for Agency Securities for which changes in fair value are recorded in OCI, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security. This recalculation of the effective yield is updated on a monthly basis. Upon a recalculation of the effective yield, the investment in the security is adjusted to the amount that would have existed had the new effective yield been retrospectively applied since acquisition with a corresponding charge or credit to interest income. This adjustment is accounted for as a change in estimate with a cumulative effect adjustment on interest income as a result in the change in the yield. Prepayments are estimated using models generally accepted in the industry. All securities carried at fair value with changes in fair value recorded in OCI need to be evaluated for expected losses, even if the risk of loss is considered remote. However, the Company is not required to measure expected credit losses on securities in which historical credit loss information adjusted for current conditions and reasonable and supportable forecasts results in an expectation that incurring a credit loss is zero. Based on the current facts and circumstances, the Company believes its investments Agency Securities would qualify for zero expected credit losses. The factors considered in reaching this conclusion include the long history of zero credit losses, the explicit guarantee by the US government (although limited for FNMA and FHLMC securities) and yields that, while not risk-free, generally trade based on market views of prepayment and liquidity risk (not credit risk). Interest income on Agency Securities for which changes in fair value are recorded in earnings is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate of the projected cash flows. Changes in the amount or timing of cash flows as a result of changes in expected prepayments from those originally projected, or from those estimated at the last evaluation date, are reflected prospectively as an adjustment to the effective interest rate used to recognize interest income. This recalculation of the effective interest rate is updated on a monthly basis. Long Term Debt Convertible Notes Convertible notes include unsecured convertible debt that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. Interest on the notes is payable semiannually until such time the notes mature or are converted or exchanged into shares. Any debt discounts or premiums are reported as an adjustment to the carrying amount of the debt liability and amortized into interest expense using the effective interest method. If converted by a holder, the holder of the notes would receive shares of our common stock. Deferred debt issuance costs are expenses associated with the issuance of long-term debt. These expenses typically include underwriting, legal, accounting, and other fees. Deferred debt issuance costs are included in the carrying value of the related long-term debt issued and are amortized as an adjustment to interest expense using the effective interest method, based upon the actual and estimated repayment schedules of the related long-term debt issued. When the conversion of debt occurs in accordance with debt terms, the unpaid principal balance of the convertible debt is recorded as additional paid in capital and the outstanding debt is considered repaid. Any unamortized issuance costs and unpaid accrued interest related to the converted notes are also credited to the additional paid in capital. Income Taxes The Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of September 30, 2020 or December 31, 2019. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. (e) Recent Accounting Pronouncements Financial Instruments - Credit Losses - (Topic 326) On January 1, 2020 the Company adopted accounting standards update (or ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments . This update replaced the previous model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (or CECL) model for financial instruments measured at amortized cost and required the Company to record an allowance for credit losses on available-for-sale (or AFS) debt securities for all expected (rather than incurred) credit losses of the asset rather than reduce the carrying amount, as the Company did under the OTTI model. This update also revised the accounting model for purchased credit-impaired debt securities. The changes in the allowance for credit losses created in accordance with this update have been recorded in earnings. Expected credit losses are limited to the amount of the unrealized loss on the debt securities impacted by the update. The update did not have any impact on financial instruments which were carried at fair value with changes in fair value recorded in earnings. As all Loans held for investment are carried at fair value, with changes in fair value recorded in earnings, the update had no impact on the carrying value or revenue recognition of Loans held for investment. On January 1, 2020, the effective date of the update, the Company was required to record a cumulative-effect adjustment related to financial instruments under the scope of this update to the statement of financial position. As all financial instruments impacted by the update, including all purchased credit impaired debt securities, were in an unrealized gain position as of the effective date, there was no impact on the financial statements at the transition date and no cumulative-effect adjustment was required. In addition, the update superseded subtopic 310-30, Receivables - Loans and Debt Securities Acquired with Deteriorated Credit Quality . As of January 1, 2020, the Company accounted all investments previously classified as AFS and under subtopic 310-30, using the subtopic 326-30 Financial Instruments - Credit Losses; Available-for-Sale Debt Securities and subtopic 325-40, Investments -Other-Beneficial Interests in Securitized Financial Assets . Reference Rate Reform (Topic 848) In March 2020, the FASB issued ASU No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for all entities as of March 12, 2020 through December 31, 2022. An entity may elect to apply the amendments for contract modifications by Topic or Industry Subtopic as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively from a date within an interim period that includes or is subsequent to March 12, 2020, up to the date that the financial statements are available to be issued. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements. Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40) In August 2020, the FASB issued ASU No. 2020-6, Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity. The FASB issued this update to simplify the current guidance for convertible instruments and the derivatives scope exception for contracts in an entity’s own equity. Additionally, the amendments affect the diluted EPS calculation for instruments that may be settled in cash or shares and for convertible instruments. The update also provides for expanded disclosure requirements to increase transparency. The amendments in this update are effective for fiscal years beginning after December 15, 2021 including interim periods within those fiscal years. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements. |
Mortgage-Backed Securities
Mortgage-Backed Securities | 9 Months Ended |
Sep. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | Mortgage-Backed Securities The Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of September 30, 2020 and December 31, 2019. September 30, 2020 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Allowance for credit losses Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 1,629,183 $ 3,224 $ (796,138) $ 836,269 $ (167) $ 1,332,900 $ 496,948 $ (150) $ 496,798 Subordinated 915,631 8,285 (341,840) 582,076 — 591,356 62,703 (53,423) 9,280 Interest-only 6,056,933 261,983 — 261,983 — 294,033 81,407 (49,357) 32,050 Agency RMBS Pass-through — — — — — — — — — Interest-only 1,343,378 124,159 — 124,159 — 99,988 1,055 (25,226) (24,171) Agency CMBS Project loans 1,538,077 28,797 (877) 1,565,997 — 1,726,262 160,278 (13) 160,265 Interest-only 1,383,665 26,179 — 26,179 — 28,478 2,692 (393) 2,299 Total $ 12,866,867 $ 452,627 $ (1,138,855) $ 3,396,663 $ (167) $ 4,073,017 $ 805,083 $ (128,562) $ 676,521 December 31, 2019 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 2,024,564 $ 2,038 $ (953,916) $ 1,072,686 $ 1,700,911 $ 628,518 $ (293) $ 628,225 Subordinated 876,592 9,915 (332,913) 553,594 624,598 76,272 (5,268) 71,004 Interest-only 7,458,653 301,170 — 301,170 288,899 51,481 (63,752) (12,271) Agency RMBS Pass-through 6,080,547 131,023 — 6,211,570 6,362,626 152,271 (1,215) 151,056 Interest-only 1,539,941 139,536 — 139,536 127,667 220 (12,089) (11,869) Agency CMBS Project loans 2,621,938 52,681 (4,961) 2,669,658 2,801,692 132,700 (666) 132,034 Interest-only 1,817,246 51,140 — 51,140 49,025 586 (2,701) (2,115) Total $ 22,419,481 $ 687,503 $ (1,291,790) $ 10,999,354 $ 11,955,418 $ 1,042,048 $ (85,984) $ 956,064 The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2020 and December 31, 2019. All available for sale securities in an unrealized loss position have been evaluated by the Company for current expected credit losses. September 30, 2020 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ 18,493 $ (150) 4 $ — $ — — $ 18,493 $ (150) 4 Subordinated 313,860 (52,319) 18 16,464 (1,104) 14 330,324 (53,423) 32 Interest-only 24,670 (4,608) 20 29,308 (44,749) 48 53,978 (49,357) 68 Agency RMBS Pass-through — — — — — — — — — Interest-only 15,462 (3,887) 4 56,587 (21,339) 15 72,049 (25,226) 19 Agency CMBS Project loans — — — 14,758 (13) 2 14,758 (13) 2 Interest-only 5,597 (393) 7 — — — 5,597 (393) 7 Total $ 378,082 $ (61,357) 53 $ 117,117 $ (67,205) 79 $ 495,199 $ (128,562) 132 December 31, 2019 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ — $ — — $ 31,635 $ (293) 1 $ 31,635 $ (293) 1 Subordinated 69,178 (5,064) 9 1,836 (204) 11 71,014 (5,268) 20 Interest-only 50,376 (22,737) 46 64,129 (41,015) 66 114,505 (63,752) 112 Agency RMBS Pass-through 11,398 (605) 4 67,552 (610) 5 78,950 (1,215) 9 Interest-only 121,228 (12,089) 22 — — — 121,228 (12,089) 22 Agency CMBS Project loans 41,971 (277) 3 44,896 (389) 4 86,867 (666) 7 Interest-only 15,045 (295) 6 9,930 (2,406) 7 24,975 (2,701) 13 Total $ 309,196 $ (41,067) 90 $ 219,978 $ (44,917) 94 $ 529,174 $ (85,984) 184 At September 30, 2020, the Company did not intend to sell any of its Agency and Non-Agency MBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these MBS investments before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of September 30, 2020. Gross unrealized losses on the Company’s Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) were $12 thousand and $1 million as of September 30, 2020 and December 31, 2019, respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at September 30, 2020 and December 31, 2019, unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), net of any allowance for credit losses, was $1 million at September 30, 2020. After evaluating the securities and recording the allowance for credit losses, we concluded that the remaining unrealized losses reflected above were non-credit related and would be recovered from the securities' estimated future cash flows. The Company considered a number of factors in reaching this conclusion, including that we did not intend to sell the securities, it was not considered more likely than not that we would be forced to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused us to otherwise conclude that we would not recover the amortized cost. Credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS. Gross unrealized losses on the Company's Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), was $348 thousand at December 31, 2019. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of other-than-temporary and does not believe that these unrealized losses are credit related, but rather are due to other factors. The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit loss allowance on available-for-sale securities for the quarter and nine months ended September 30, 2020 is presented below. For the Quarter Ended For the Nine Months Ended September 30, 2020 September 30, 2020 (dollars in thousands) (dollars in thousands) Beginning allowance for credit losses $ 1,817 $ — Transition impact from CECL standard — — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 22 6,582 Allowance on purchased financial assets with credit deterioration — — Reductions for the securities sold during the period — (321) Increase/(decrease) on securities with an allowance in the prior period (1,074) (3,778) Write-offs charged against the allowance (642) (2,389) Recoveries of amounts previously written off 44 73 Ending allowance for credit losses $ 167 $ 167 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2020. September 30, 2020 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 18,809,643 10.8% 2.4% 51.3% For the quarter ended September 30, 2020 the allowance for credit losses decreased as there was a reduction on expected losses and delinquencies for the period. The increase in the allowance for credit losses for the nine months ended September 30, 2020 is primarily due to increased expected losses and delinquencies as compared to the beginning of the year. In addition, certain Non-Agency RMBS positions, which had previously been in an unrealized gain position as of the prior year-end, are now in an unrealized loss position as of the end of the current period due to the decline in fair value. These Non-Agency RMBS positions now in an unrealized loss have resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments. The following tables present a summary of unrealized gains and losses at September 30, 2020 and December 31, 2019. September 30, 2020 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 496,948 $ — $ 496,948 $ (150) $ — $ (150) Subordinated 52,475 10,228 62,703 (445) (52,978) (53,423) Interest-only — 81,407 81,407 — (49,357) (49,357) Agency RMBS Pass-through — — — — — — Interest-only — 1,055 1,055 — (25,226) (25,226) Agency CMBS Project loans 6,166 154,112 160,278 (13) — (13) Interest-only — 2,692 2,692 — (393) (393) Total $ 555,589 $ 249,494 $ 805,083 $ (608) $ (127,954) $ (128,562) December 31, 2019 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 628,518 $ — $ 628,518 $ (293) $ — $ (293) Subordinated 57,174 19,098 76,272 (55) (5,213) (5,268) Interest-only — 51,481 51,481 — (63,752) (63,752) Agency RMBS Pass-through — 152,271 152,271 — (1,215) (1,215) Interest-only — 220 220 — (12,089) (12,089) Agency CMBS Project loans 23,643 109,057 132,700 (651) (15) (666) Interest-only — 586 586 — (2,701) (2,701) Total $ 709,335 $ 332,713 $ 1,042,048 $ (999) $ (84,985) $ (85,984) Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile. The following tables provide a summary of the Company’s MBS portfolio at September 30, 2020 and December 31, 2019. September 30, 2020 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,629,183 $ 51.33 81.81 4.5 % 16.5 % Subordinated 915,631 63.57 64.58 3.6 % 6.3 % Interest-only 6,056,933 4.33 4.85 1.5 % 16.8 % Agency RMBS Interest-only 1,343,378 9.24 7.44 1.9 % 1.5 % Agency CMBS Project loans 1,538,077 101.82 112.24 4.1 % 3.9 % Interest-only 1,383,665 1.89 2.06 0.7 % 7.9 % (1) Bond Equivalent Yield at period end. December 31, 2019 Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,024,564 $ 52.98 $ 84.01 5.0 % 20.8 % Subordinated 876,592 63.15 71.25 3.7 % 6.9 % Interest-only 7,458,653 4.04 3.87 1.1 % 8.4 % Agency RMBS Pass-through 6,080,547 102.15 104.64 4.0 % 3.4 % Interest-only 1,539,941 9.06 8.29 1.6 % 4.0 % Agency CMBS Project loans 2,621,938 101.82 106.86 3.7 % 3.6 % Interest-only 1,817,246 2.81 2.70 0.7 % 4.7 % (1) Bond Equivalent Yield at period end. The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at September 30, 2020 and December 31, 2019. September 30, 2020 December 31, 2019 AAA 0.3 % 0.4 % AA 0.1 % 0.1 % A 1.2 % 0.9 % BBB 1.8 % 1.6 % BB 4.2 % 3.8 % B 2.0 % 1.6 % Below B or not rated 90.4 % 91.6 % Total 100.0 % 100.0 % Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at September 30, 2020 and December 31, 2019 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. September 30, 2020 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 9,894 $ 365,604 $ 502,840 $ 454,562 $ 1,332,900 Subordinated — 73,141 83,705 434,510 591,356 Interest-only 3,380 156,082 132,305 2,266 294,033 Agency RMBS Pass-through — — — — — Interest-only — 1,018 98,970 — 99,988 Agency CMBS Project loans 14,758 — — 1,711,504 1,726,262 Interest-only 705 23,978 3,795 — 28,478 Total fair value $ 28,737 $ 619,823 $ 821,615 $ 2,602,842 $ 4,073,017 Amortized cost Non-Agency RMBS Senior $ 6,264 $ 257,902 $ 288,351 $ 283,752 $ 836,269 Subordinated — 60,669 66,813 454,594 582,076 Interest-only 11,641 152,652 94,982 2,708 261,983 Agency RMBS Pass-through — — — — — Interest-only — 1,979 122,180 — 124,159 Agency CMBS Project loans 14,771 — — 1,551,226 1,565,997 Interest-only 926 21,661 3,592 — 26,179 Total amortized cost $ 33,602 $ 494,863 $ 575,918 $ 2,292,280 $ 3,396,663 December 31, 2019 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 16,343 $ 450,185 $ 676,382 $ 558,001 $ 1,700,911 Subordinated — 43,796 95,973 484,829 624,598 Interest-only — 126,631 159,057 3,211 288,899 Agency RMBS Pass-through — 5,939,408 421,539 1,679 6,362,626 Interest-only — 1,614 126,053 — 127,667 Agency CMBS Project loans 15,065 — 29,385 2,757,242 2,801,692 Interest-only — 20,528 28,497 — 49,025 Total fair value $ 31,408 $ 6,582,162 $ 1,536,886 $ 3,804,962 $ 11,955,418 Amortized cost Non-Agency RMBS Senior $ 15,206 $ 304,850 $ 409,958 $ 342,672 $ 1,072,686 Subordinated — 29,085 86,033 438,476 553,594 Interest-only — 150,221 148,889 2,060 301,170 Agency RMBS Pass-through — 5,796,044 414,482 1,044 6,211,570 Interest-only — 2,260 137,276 — 139,536 Agency CMBS Project loans 15,084 — 28,954 2,625,620 2,669,658 Interest-only — 22,950 28,190 — 51,140 Total amortized cost $ 30,290 $ 6,305,410 $ 1,253,782 $ 3,409,872 $ 10,999,354 The Non-Agency RMBS portfolio is subject to credit risk. The Non-Agency RMBS portfolio is primarily collateralized by Alt-A first lien mortgages. An Alt-A mortgage is a type of U.S. mortgage that, for various reasons, is considered riskier than A-paper, or prime, and less risky than subprime, the riskiest category. Alt-A interest rates, which are determined by credit risk, therefore tend to be between those of prime and subprime home loans. Typically, Alt-A mortgages are characterized by borrowers with less than full documentation, lower credit scores and higher loan-to-value ratios. At origination of the loan, Alt-A mortgage securities are defined as Non-Agency RMBS where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) the FICO scores are greater than 720 and RMBS have 30% or less of the underlying collateral composed of full documentation loans. At September 30, 2020 and December 31, 2019, 51% and 58% of the Non-Agency RMBS collateral was classified as Alt-A, based on fair value. At September 30, 2020 and December 31, 2019, 11% and 12% of the Non-Agency RMBS collateral was classified as prime, respectively, based on fair value. The remaining Non-Agency RMBS collateral is classified as subprime. The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2020 and December 31, 2019. September 30, 2020 December 31, 2019 Weighted average maturity (years) 22.9 23.6 Weighted average amortized loan to value (1) 62.0 % 63.2 % Weighted average FICO (2) 714 719 Weighted average loan balance (in thousands) $ 296 $ 313 Weighted average percentage owner occupied 81.4 % 80.6 % Weighted average percentage single family residence 61.4 % 60.0 % Weighted average current credit enhancement 0.9 % 1.1 % Weighted average geographic concentration of top four states CA 31.1 % CA 32.5 % NY 7.2 % FL 6.6 % FL 7.0 % NY 6.3 % TX 2.4 % TX 2.0 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at September 30, 2020 and December 31, 2019. Origination Year September 30, 2020 December 31, 2019 2003 and prior 1.7 % 1.3 % 2004 1.5 % 1.5 % 2005 10.8 % 10.7 % 2006 52.2 % 52.9 % 2007 26.7 % 26.6 % 2008 and later 7.1 % 7.0 % Total 100.0 % 100.0 % Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations. The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters and nine months ended September 30, 2020 and 2019 are as follows: For the Quarters Ended For the Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands) (dollars in thousands) Proceeds from sales: Non-Agency RMBS 604 33,437 142,564 38,658 Agency RMBS — — 5,710,134 1,907,766 Agency CMBS 734,320 — 1,060,987 22,482 Gross realized gains: Non-Agency RMBS — 24 21,274 424 Agency RMBS — — 74,264 27,025 Agency CMBS 70,237 — 88,927 — Gross realized losses: Non-Agency RMBS (2,214) (17) (8,392) (1,447) Agency RMBS — — (5,816) (22,694) Agency CMBS (2,982) — (2,982) (2,225) Net realized gain (loss) $ 65,041 $ 7 $ 167,275 $ 1,083 |
Loans Held for Investment
Loans Held for Investment | 9 Months Ended |
Sep. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Loans Held for Investment | Loans Held for Investment The Loans held for investment are comprised primarily of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages. At September 30, 2020, all Loans held for investment are carried at fair value. See Note 5 for a discussion on how the Company determines the fair values of the Loans held for investment. As changes in the fair value of these loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The total amortized cost of our Loans held for investment was $13.1 billion and $13.7 billion as of September 30, 2020 and December 31, 2019, respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at September 30, 2020 and December 31, 2019: For the Nine Months Ended For the Year Ended September 30, 2020 December 31, 2019 (dollars in thousands) Balance, beginning of period $ 14,292,815 $ 12,572,581 Purchases 1,536,633 5,086,491 Principal paydowns (1,384,331) (1,717,745) Sales and settlements (713,114) (1,812,760) Net periodic accretion (amortization) (74,502) (77,491) Realized gains (losses) on sales and settlements — 1,590 Change in fair value (124,249) 240,149 Balance, end of period $ 13,533,252 $ 14,292,815 The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. During the quarter and nine months ended September 30, 2020, the Company sold $725 million of loans, with the Company retaining $22 million of beneficial interests. During the year ended December 31, 2019, the Company sold $1.8 billion of loans, with the Company retaining $124 million of beneficial interests. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods: Origination Year September 30, 2020 (1) December 31, 2019 (1) 2002 and prior 6.8 % 6.8 % 2003 5.8 % 6.0 % 2004 12.2 % 12.6 % 2005 18.4 % 18.6 % 2006 23.0 % 22.5 % 2007 22.3 % 20.7 % 2008 6.2 % 6.4 % 2009 1.2 % 1.5 % 2010 and later 4.1 % 4.9 % Total 100.0 % 100.0 % (1) The table above excludes approximately $461 million and $754 million of Loans held for investments for September 30, 2020 and December 31, 2019, respectively, which were purchased prior to that reporting date and settled or will settle subsequent to that reporting period. Actual amounts settled may be different than amounts reflected due to loans removed from purchase prior to settlement. The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2020 and December 31, 2019: September 30, 2020 (1) December 31, 2019 (1) Number of loans 132,641 139,194 Weighted average maturity (years) 19.5 19.3 Weighted average loan to value (2) 86.2 % 87.4 % Weighted average FICO (2) 631 627 Weighted average loan balance (in thousands) $ 97 $ 95 Weighted average percentage owner occupied 87.5 % 88.0 % Weighted average percentage single family residence 83.7 % 84.4 % Weighted average geographic concentration of top five states CA 12.6 % CA 11.6 % FL 7.9 % FL 7.4 % NY 7.2 % NY 6.9 % PA 5.0 % OH 5.3 % VA 5.0 % PA 5.3 % (1) The table above excludes approximately $461 million and $754 million of Loans held for investments for September 30, 2020 and December 31, 2019, respectively, which were purchased prior to that reporting date and settled or will settle subsequent to that reporting period. Actual amounts settled may be different than amounts reflected due to loans removed from purchase prior to settlement. (2) As provided by the Trustee. The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicer at September 30, 2020 and December 31, 2019. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure Loss Mitigation REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2020 (1) $864,525 $358,002 $710,875 $285,834 $253,637 $122 $29,686 $2,502,681 $ 12,799,980 % of Unpaid Principal Balance 6.8 % 2.8 % 5.6 % 2.2 % 2.0 % — % 0.2 % 19.6 % December 31, 2019 (1) $1,070,173 $336,950 $291,866 $322,288 $298,526 $— $59,389 $2,379,192 $ 13,169,843 % of Unpaid Principal Balance 8.1 % 2.6 % 2.2 % 2.4 % 2.3 % — % 0.5 % 18.1 % (1) The table above excludes approximately $461 million and $754 million of Loans held for investments for September 30, 2020 and December 31, 2019, respectively, which were purchased prior to that reporting date and settled or will settle subsequent to that reporting period. Actual amounts settled may be different than amounts reflected due to loans removed from purchase prior to settlement. The fair value of residential mortgage loans 90 days or more past due was $856 million and $597 million as of September 30, 2020 and December 31, 2019, respectively. |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements The Company applies fair value guidance in accordance with GAAP to account for its financial instruments. The Company categorizes its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to fair value. Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value and such changes could result in a significant increase or decrease in the fair value. Any changes to the valuation methodology are reviewed by the Company to ensure the changes are appropriate. As markets and products evolve and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The methodology utilized by the Company for the periods presented is unchanged. The methods used to produce a fair value calculation may not be indicative of net realizable value or reflective of future fair values. Furthermore, the Company believes its valuation methods are appropriate and consistent with other market participants. Using different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. The Company determines the fair values of its investments using internally developed processes and validates them using a third-party pricing service. During times of market dislocation, the observability of prices and inputs can be difficult for certain investments. If third-party pricing service is unable to provide a price for an asset, or if the price provided by them is deemed unreliable by the Company, then the asset will be valued at its fair value as determined by the Company without validation to third-party pricing. Illiquid investments typically experience greater price volatility as an active market does not exist. Observability of prices and inputs can vary significantly from period to period and may cause instruments to change classifications within the three level hierarchy. A description of the methodologies utilized by the Company to estimate the fair value of its financial instruments by instrument class follows: Agency MBS and Non-Agency RMBS The Company determines the fair value of all of its investment securities based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, delinquency, expected losses, expected default severity, credit enhancement, and other pertinent factors. To corroborate that the estimates of fair values generated by these internal models are reflective of current market prices, the Company compares the fair values generated by the model to non-binding independent prices provided by an independent third-party pricing service. For certain highly liquid asset classes, such as Agency fixed-rate pass-through bonds, the Company’s valuations are also compared to quoted prices for To-Be-Announced, or TBA, securities. Each quarter the Company develops thresholds which are determined by current secured financing rates or utilizing current bid/ask spreads, liquidity, price volatility and other factors as appropriate. If internally developed model prices differ from the independent prices provided by greater than a market derived predetermined threshold for the period, the Company highlights these differences for further review, both internally and with the third-party pricing service. The Company obtains the inputs used by the third-party pricing service and compares them to the Company’s inputs. The Company updates its own inputs if the Company determines the third-party pricing inputs more accurately reflect the current market environment. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third-party pricing service review market factors that may not have been considered by the third-party pricing service and provide updated prices. The Company reconciles and resolves all pricing differences in excess of the predetermined thresholds before a final price is established. After the review for the period ended September 30, 2020, 22 investment holdings with an internally developed fair value of $384 million had a difference between the model generated prices and third-party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $1 million higher than the third-party prices provided of $383 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at September 30, 2020 in excess of the derived predetermined threshold for the period. At December 31, 2019 six investment holdings with an internally developed fair value of $22 million had a difference between the model generated prices and third-party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $3 million higher than the third-party prices provided of $19 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at December 31, 2019 in excess of the derived predetermined threshold for the period. The Company’s estimate of prepayment, default and severity curves all involve judgment and assumptions that are deemed to be significant to the fair value measurement process. This subjective estimation process renders the majority of the Non-Agency RMBS fair value estimates as Level 3 in the fair value hierarchy. As the fair values of Agency MBS are more observable, these investments are classified as level 2 in the fair value hierarchy. Loans Held for Investment Loans consisting of seasoned reperforming residential mortgage loans: The Company estimates the fair value of its Loans held for investment consisting of seasoned reperforming residential mortgage loans on a loan by loan basis using an internally developed model which compares the loan held by the Company with a loan currently offered in the market. The loan price is adjusted in the model by considering the loan factors which would impact the value of a loan. These loan factors include loan coupon as compared to coupon currently available in the market, FICO, loan-to-value ratios, delinquency history, owner occupancy, and property type, among other factors. A baseline is developed for each significant loan factor and adjusts the price up or down depending on how that factor for each specific loan compares to the baseline rate. Generally, the most significant impact on loan value is the loan interest rate as compared to interest rates currently available in the market and delinquency history. The Company also monitors market activity to identify trades which may be used to compare internally developed prices; however, as the portfolio of loans held at fair value is a seasoned subprime pool of mortgage loans, comparable loan pools are not common or directly comparable. There are limited transactions in the marketplace to develop a comprehensive direct range of values. The Company reviews the fair values generated by the model to determine whether prices are reflective of the current market by corroborating its estimates of fair value by comparing the results to non-binding independent prices provided by an independent third-party pricing service for the loan portfolio. Each quarter the Company develops thresholds which are determined by current secured financing rates or utilizing current bid/ask spreads, liquidity, price volatility and other factors as appropriate. If the internally developed fair values of the loan pools differ from the independent prices provided by greater than a predetermined threshold for the period, the Company highlights these differences for further review, both internally and with the third-party pricing service. The Company obtains certain inputs used by the third-party pricing service and evaluates them for reasonableness. The Company updates its own model if the Company determines the third-party pricing inputs more accurately reflect the current market environment or observed information from the third-party vendor. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third-party pricing service review market factors that may not have been considered by the third-party pricing service. The Company reconciles and resolves all pricing differences in excess of the predetermined thresholds before a final price is established. At September 30, 2020, there were no pricing differences in excess of the predetermined thresholds between the model generated prices and third party prices. At December 31, 2019, the internally developed fair value of one loan pool of $147 million had a difference between the model generated prices and third-party prices provided in excess of the derived predetermined threshold for the period. The internally developed price was $20 million higher than the third-party price provided of $127 million. After review and discussion, the Company affirmed and valued the investment at the higher internally developed price. The Company’s estimates of fair value of Loans held for investment involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Loans collateralized by jumbo, prime residential mortgages : The loans collateralized by jumbo, prime residential mortgages are carried at fair value. The loans are held as part of a consolidated Collateralized Financing Entity, or a CFE. A CFE is a variable interest entity that holds financial assets, issues beneficial interests in those assets and has no more than nominal equity and the beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allow the Company to elect to measure the CFE’s financial assets using the fair value of the CFE’s financial liabilities as the fair values of the financial liabilities of the CFE are more observable. Therefore, the fair value of the loans collateralized by jumbo, prime residential mortgages is based on the fair value of the financial liabilities. See discussion of the fair value of Securitized Debt, collateralized by Loans Held for Investment at fair value below. As the more observable financial liabilities are considered level 3 in the fair value hierarchy, the Loans collateralized by jumbo, prime residential mortgages are also level 3 in the fair value hierarchy. Securitized Debt, collateralized by Non-Agency RMBS The Company carries securitized debt, collateralized by Non-Agency RMBS at the principal balance outstanding plus unamortized premiums, less unaccreted discounts recorded in connection with the financing of the loans or RMBS with third parties. For disclosure purposes, the Company estimates the fair value of securitized debt, collateralized by Non-Agency RMBS by estimating the future cash flows associated with the underlying assets collateralizing the secured debt outstanding. The Company models the fair value of each underlying asset by considering, among other items, the structure of the underlying security, coupon, servicer, delinquency, actual and expected defaults, actual and expected default severities, reset indices, and prepayment speeds in conjunction with market research for similar collateral performance and the Company's expectations of general economic conditions in the sector and other economic factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. The Company’s estimates of fair value of securitized debt, collateralized by Non-Agency RMBS involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Securitized Debt, collateralized by Loans Held for Investment The process for determining the fair value of securitized debt, collateralized by loans held for investment is based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, expected losses, expected default severity, credit enhancement, and other pertinent factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. At September 30, 2020 and December 31, 2019, there were no pricing differences in excess of the predetermined thresholds between the model generated prices and third party prices. The Company’s estimates of fair value of securitized debt, collateralized by loans held for investment involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Fair value option The table below shows the unpaid principal and fair value of the financial instruments carried with fair value option as of September 30, 2020 and December 31, 2019, respectively: September 30, 2020 December 31, 2019 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-agency RMBS Subordinated 637,003 407,354 580,761 422,826 Interest-only 6,056,933 294,033 7,458,653 288,899 Agency RMBS Pass-through — — 6,080,549 6,362,628 Interest-only 1,343,378 99,988 1,539,941 127,667 Agency CMBS Project loans 1,417,749 1,597,024 1,753,755 1,889,923 Interest-only 1,383,665 28,478 1,817,246 49,025 Loans held for investment, at fair value 13,260,675 13,533,252 13,924,291 14,292,815 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,882,483 8,757,449 8,184,369 8,179,608 The table below shows the impact of change in fair value on each of the financial instruments carried with fair value option in statement of operations as of September 30, 2020 and September 30, 2019, respectively: For the Quarter Ended For the Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands) (dollars in thousands) Gain/(Loss) on Change in Fair Value Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Senior — (620) — — Subordinated 31,328 10,643 (56,632) 17,742 Interest-only (12,626) (17,006) 44,320 19,586 Agency RMBS Pass-through — 26,052 (151,056) 133,649 Interest-only (824) (1,425) (12,302) (3,613) Agency CMBS Project loans (42,942) 58,663 45,069 184,111 Interest-only 2,788 370 4,415 2,674 Loans held for investment, at fair value 371,423 70,556 (124,250) 296,939 Liabilities: Securitized debt at fair value, collateralized by loans held for investment (88,381) (16,408) 78,394 (128,702) Derivatives Interest Rate Swaps and Swaptions The Company uses clearing exchange market prices to determine the fair value of its exchange cleared interest rate swaps. For bi-lateral swaps, the Company determines the fair value based on the net present value of expected future cash flows on the swap. The Company uses option pricing model to determine the fair value of its swaptions. For bi-lateral swaps and swaptions, the Company compares its own estimate of fair value with counterparty prices to evaluate for reasonableness. Both the clearing exchange and counter-party pricing quotes, incorporate common market pricing methods, including a spread measurement to the Treasury yield curve or interest rate swap curve as well as underlying characteristics of the particular contract. Interest rate swaps and swaptions are modeled by the Company by incorporating such factors as the term to maturity, swap curve, overnight index swap rates, and the payment rates on the fixed portion of the interest rate swaps. The Company has classified the characteristics used to determine the fair value of interest rate swaps and swaptions as Level 2 inputs in the fair value hierarchy. Treasury Futures The fair value of Treasury futures is determined by quoted market prices in an active market. The Company has classified the characteristics used to determine the fair value of Treasury futures as Level 1 inputs in the fair value hierarchy. Secured Financing Agreements Secured financing agreements are collateralized financing transactions utilized by the Company to acquire investment securities. For short term secured financing agreements and longer term floating rate secured financing agreements, the Company estimates fair value using the contractual obligation plus accrued interest payable. The fair value of longer term fixed rate secured financing agreements is determined using present value of discounted cash flows based on the imputed market rates. The Company has classified the characteristics used to determine the fair value of Secured Financing Agreements as Level 2 inputs in the fair value hierarchy. Long Term Debt Convertible Senior Notes Convertible notes include unsecured convertible senior notes that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. The fair value of the convertible notes is determined using quoted prices in generally active markets and classified as Level 2. Short-term Financial Instruments The carrying value of cash and cash equivalents, accrued interest receivable, dividends payable, payable for investments purchased, receivable for investments sold and accrued interest payable are considered to be a reasonable estimate of fair value due to the short term nature and low credit risk of these short-term financial instruments. The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at September 30, 2020 and December 31, 2019 are presented below. September 30, 2020 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,218,289 $ — $ 2,218,289 Agency RMBS, at fair value — 99,988 — — 99,988 Agency CMBS, at fair value — 1,754,740 — — 1,754,740 Loans held for investment, at fair value — — 13,533,252 — 13,533,252 Derivatives — — — — — Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,757,449 — 8,757,449 Derivatives — — — — — December 31, 2019 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,614,408 $ — $ 2,614,408 Agency RMBS, at fair value — 6,490,293 — — 6,490,293 Agency CMBS, at fair value — 2,850,717 — — 2,850,717 Loans held for investment, at fair value — — 14,292,815 — 14,292,815 Derivatives 3,611 1,092 — (1,092) 3,611 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,179,608 — 8,179,608 Derivatives — 205,703 — (205,703) — The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at September 30, 2020 and December 31, 2019. Fair Value Reconciliation, Level 3 For the Nine Months Ended September 30, 2020 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 Transfers into Level 3 135,118 — — Transfers out of Level 3 (135,118) — — Purchases of assets/ issuance of debt 44,811 1,536,633 2,061,890 Principal payments (191,294) (1,384,331) (1,233,203) Sales and Settlements (142,534) (713,114) (146,663) Net accretion (amortization) 28,996 (74,502) (25,336) Gains (losses) included in net income (Increase) decrease in provision for credit losses (167) — — Realized gains (losses) on sales and settlements 12,900 — (459) Net unrealized gains (losses) included in income (12,313) (124,249) (78,388) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (136,518) — — Ending balance Level 3 $ 2,218,289 $ 13,533,252 $ 8,757,449 Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2019 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,486,130 $ 12,572,581 $ 8,455,376 Transfers into Level 3 — — — Transfers out of Level 3 — — — Purchases of assets/ issuance of debt 497,848 5,086,491 1,487,286 Principal payments (415,518) (1,717,745) (1,530,818) Sales and Settlements (38,605) (1,812,760) (314,454) Net accretion (amortization) 95,562 (77,491) (26,758) Gains (losses) included in net income Other than temporary credit impairment losses (4,853) — — Realized gains (losses) on sales and settlements (1,088) 1,590 (9,925) Net unrealized gains (losses) included in income 28,577 240,149 118,901 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (33,645) — — Ending balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 During the first quarter of 2020 there were transfers out of Level 3 of $135 million, as prices were based on unadjusted quoted prices on these assets. These investments were transferred into Level 3 during the second quarter of 2020 as unadjusted quoted prices were unavailable and the Company used internal pricing model to value them. There were no transfers in or out from Level 3 during the year ended December 31, 2019. The Company determines when transfers have occurred between levels of the fair value hierarchy based on the date of the event or change in circumstances that caused the transfer. The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and securitized debt are the weighted average discount rates, prepayment rate, constant default rate, and the loss severity. Discount Rate The discount rate refers to the interest rate used in the discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the values of the discounted cash flows are reduced. The discount rates applied to the expected cash flows to determine fair value are derived from a range of observable prices on securities backed by similar collateral. As the market becomes more or less liquid, the availability of these observable inputs will change. Prepayment Rate The prepayment rate specifies the percentage of the collateral balance that is expected to prepay at each point in the future. The prepayment rate is based on factors such as interest rates, loan-to-value ratio, debt-to-income ratio, and is scaled up or down to reflect recent collateral-specific prepayment experience as obtained from remittance reports and market data services. For securitized debt carried at fair value issued at a premium, as prepayment rates increase, the amount of interest expense the Company recognizes decreases as the issued premium on the debt amortizes faster than expected. Conversely, decreases in prepayment rates result in increased expense and can extend the period over which the Company amortizes the premium. For debt issued at a discount, as prepayment rates increase, the amount of interest the Company expenses increases from the acceleration of the accretion of the discount into interest expense. Conversely, decreases in prepayment rates result in decreased expense as the accretion of the discount into interest expense occurs over a longer period. Constant Default Rate Constant default rate represents an annualized rate of default on a group of mortgages. The constant default rate, or CDR, represents the percentage of outstanding principal balances in the pool that are in default, which typically equates to the home being past 60-day and 90-day notices and in the foreclosure process. When default rates increase, expected cash flows on the underlying collateral decreases. When default rates decrease, expected cash flows on the underlying collateral increases. Default vectors are determined from the current “pipeline” of loans that are more than 30 days delinquent, in foreclosure, bankruptcy, or are REO. These delinquent loans determine the first 30 months of the default curve. Beyond month 30, the default curve transitions to a value that is reflective of a portion of the current delinquency pipeline. Loss Severity Loss severity rates reflect the amount of loss expected from a foreclosure and liquidation of the underlying collateral in the mortgage loan pool. When a mortgage loan is foreclosed the collateral is sold and the resulting proceeds are used to settle the outstanding obligation. In many circumstances, the proceeds from the sale do not fully repay the outstanding obligation. In these cases, a loss is incurred by the lender. Loss severity is used to predict how costly future losses are likely to be. An increase in loss severity results in a decrease in expected future cash flows. A decrease in loss severity results in an increase in expected future cash flows. The curve generated to reflect the Company’s expected loss severity is based on collateral-specific experience with consideration given to other mitigating collateral characteristics. Collateral characteristics such as loan size, loan-to-value, seasoning or loan age and geographic location of collateral also effect loss severity. Sensitivity of Significant Inputs – Non-Agency RMBS and securitized debt, collateralized by loans held for investment Prepayment rates vary according to interest rates, the type of financial instrument, conditions in financial markets, and other factors, none of which can be predicted with any certainty. In general, when interest rates rise, it is relatively less attractive for borrowers to refinance their mortgage loans, and as a result, prepayment speeds tend to decrease. When interest rates fall, prepayment speeds tend to increase. For RMBS investments purchased at a premium, as prepayment rates increase, the amount of income the Company earns decreases as the purchase premium on the bonds amortizes faster than expected. Conversely, decreases in prepayment rates result in increased income and can extend the period over which the Company amortizes the purchase premium. For RMBS investments purchased at a discount, as prepayment rates increase, the amount of income the Company earns increases from the acceleration of the accretion of the discount into interest income. Conversely, decreases in prepayment rates result in decreased income as the accretion of the purchase discount into interest income occurs over a longer period. A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of September 30, 2020 and December 31, 2019 follows. The weighted average discount rates were based on fair value. Previously issued financial statement filings were based on amortized cost. We believe fair value provides an improved presentation of weighted average discount rates. September 30, 2020 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 2%-10% 3.5% 1%-30% 8.5% 0%-10% 2.0% 27%-80% 43.7% Subordinated 2%-13% 6.6% 2%-40% 11.0% 0%-6% 1.4% 10%-66% 37.0% Interest-only 0%-100% 10.2% 4%-45% 23.7% 0%-8% 1.3% 0%-83% 35.0% December 31, 2019 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 3% -8% 3.8% 6% -20% 9.4% 0% -9% 1.8% 26% -82% 42.0% Subordinated 0% -13% 5.3% 6% -35% 9.6% 0% -6% 1.3% 27% -55% 36.7% Interest-only 0% -100% 11.4% 6% -43% 18.5% 0% -6% 1.0% 26% -83% 35.3% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment, as of September 30, 2020 and December 31, 2019 follows: September 30, 2020 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0%-10% 3.1% 5%-30% 9.2% 0%-3% 1.3% 30%-70% 58.4% December 31, 2019 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0% -10% 3.3% 6% - 20% 9.1% 0% - 3% 1.4% 30% - 75% 59.9% All of the significant inputs listed have some degree of market observability based on the Company’s knowledge of the market, information available to market participants, and use of common market data sources. Collateral default and loss severity projections are in the form of “curves” that are updated quarterly to reflect the Company’s collateral cash flow projections. Methods used to develop these projections conform to industry conventions. The Company uses assumptions it considers its best estimate of future cash flows for each security. Sensitivity of Significant Inputs – Loans held for investment The Loans held for investment are comprised primarily of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages. The significant unobservable inputs used to estimate the fair value of the Loans held for investment collateralized by seasoned reperforming residential mortgage loans, as of September 30, 2020 and December 31, 2019 include coupon, FICO score at origination, loan-to-value ratios (LTV), owner occupancy status, and property type. A summary of the significant inputs used to estimate the fair value of Loans held for investment collateralized primarily by seasoned reperforming mortgages at fair value as of September 30, 2020 and December 31, 2019 follows: September 30, 2020 December 31, 2019 Factor: Coupon Base Rate 4.1% 4.3% Actual 6.4% 6.6% FICO Base Rate 639 636 Actual 628 624 Loan-to-value (LTV) Base Rate 90% 86% Actual 86% 88% Loan Characteristics: Occupancy Owner Occupied 89% 89% |
Secured Financing Agreements
Secured Financing Agreements | 9 Months Ended |
Sep. 30, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Secured Financing Agreements | Secured Financing Agreements Secured financing agreements include short term repurchase agreements with original maturity dates of less than one-year, long-term financing agreements with original maturity dates of more than one year and loan warehouse credit facilities collateralized by loans acquired by the Company. The repurchase agreements are collateralized by Agency and non-agency mortgage backed securities with interest rates generally indexed to the one-month and three-month LIBOR rates and re-price accordingly. The maturity dates on the repurchase agreements are all less than one year and generally are less than 180 days. The collateral pledged as security on the repurchase agreements may include the Company’s investments in consolidated VIEs, which are eliminated in consolidation. The long-term financing agreements include long-term repurchase agreements and secured financing arrangements with an original term of one year or greater which are secured by non-agency RMBS pledged as collateral. Maturity dates on these long-term financing agreements range from April 2021 through April 2025. The collateral pledged as security on the long-term financing agreements may include the Company’s investments in consolidated VIEs, which are eliminated in consolidation. $400 million of the long-term financing agreements has a fixed interest rate of 7% and include an attached equity warrant. See Note 11 for details of the equity warrants issued. Maturity dates on these long-term financing agreements range from April 2021 through April 2025. The interest rates on the remaining long-term financing agreements are generally indexed to one-month and three-month LIBOR rates. During the quarter and nine months ended September 30, 2020, the Company has significantly increased its long-term financing agreements. The warehouse credit facilities collateralized by loans are repurchase agreements intended to hold loans acquired by the Company. These loans are generally held in the warehouse credit facilities until they can be sold into a longer-term securitization structure. The maturity dates on the warehouse credit facilities range from 30 days to one year with interest rates indexed to the one-month and three-month LIBOR rates. The Secured financing agreements require the Company to post collateral at a specific rate in excess of the unpaid principal balance of the Agreement. For certain Secured financing agreements, this may require the Company to post additional margin if the fair value of the assets were to drop. To mitigate this risk, during the first half of 2020, the Company has negotiated several long-term financing agreements which are not subject to additional margin requirements upon a drop in the fair value of the collateral pledged. At September 30, 2020, the Company has $1.3 billion of Secured financing agreements which are not subject to additional margin requirements upon a change in the fair value of the collateral pledged. Repurchase agreements may allow the credit counterparty to avoid the automatic stay provisions of the Bankruptcy Code, in the event of a bankruptcy of the Company, and take possession of, and liquidate, the collateral under such repurchase agreements without delay. $830 million of the long-term financing agreements are secured borrowing arrangements which are subject to the automatic stay provisions of the Bankruptcy Code. The Secured financing agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of September 30, 2020 and December 31, 2019 were: September 30, 2020 December 31, 2019 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 73,516 $ 6,247,275 Agency CMBS (in thousands) 1,323,540 2,013,515 Non-agency RMBS and Loans held for investment (in thousands) 3,302,981 5,166,755 Total: $ 4,700,037 $ 13,427,545 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 94,960 $ 6,602,039 Agency CMBS (in thousands) 1,368,799 2,102,520 Non-agency RMBS and Loans held for investment (in thousands) 5,156,301 6,694,685 Total: $ 6,620,060 $ 15,399,244 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 1,808,703 $ 8,062,881 Agency CMBS (in thousands) 1,967,103 1,993,372 Non-agency RMBS and Loans held for investment (in thousands) 4,339,317 4,436,133 Total: $ 8,115,123 $ 14,492,386 Average borrowing rate of Secured financing agreements secured by: Agency RMBS (in thousands) 1.00 % 2.10 % Agency CMBS (in thousands) 0.23 % 2.10 % Non-agency RMBS and Loans held for investment (in thousands) 4.79 % 3.19 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS (in thousands) 13 days 14 days Agency CMBS (in thousands) 18 days 13 days Non-agency RMBS and Loans held for investment (in thousands) 570 days 255 days Average original maturity of Secured financing agreements secured by: Agency RMBS (in thousands) 15 days 38 days Agency CMBS (in thousands) 31 days 34 days Non-agency RMBS and Loans held for investment (in thousands) 590 days 279 days The table above is net of $9 million of deferred financing cost. At September 30, 2020 and December 31, 2019, we pledged $38 million and $20 million, respectively, of margin cash collateral to our secured financing agreement counterparties. At September 30, 2020 and December 31, 2019, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. September 30, 2020 December 31, 2019 (dollars in thousands) Principal Weighted Average Borrowing Rates Range of Borrowing Rates Principal Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — NA NA $ — NA NA 1 to 29 days 1,610,030 0.58% 0.20% - 3.02% 9,709,387 2.26% 1.90% - 3.62% 30 to 59 days 212,333 2.35% 1.85% - 2.55% 800,648 2.96% 2.15% - 3.52% 60 to 89 days 14,626 1.83% 1.55% - 2.45% 608,520 3.00% 2.59% - 3.35% 90 to 119 days — NA NA — NA NA 120 to 180 days 606,072 4.23% 1.34% - 6.61% 809,077 3.38% 3.06% - 3.46% 180 days to 1 year 1,004,318 6.02% 3.25% - 7.99% 580,886 3.42% 3.26% - 3.51% 1 to 2 years 92,695 4.50% 4.50% - 4.50% 427,981 3.28% 3.19% - 3.30% 2 to 3 years 395,829 7.00% 7.00% - 7.00% — NA NA Greater than 3 years 764,134 3.84% 1.55% - 5.56% 491,046 3.20% 3.19% - 3.20% Total $ 4,700,037 3.44% $ 13,427,545 2.52% The table above is net of $9 million of deferred financing cost. Certain of the long-term financing agreements and warehouse credit facilities are subject to certain covenants. These covenants include that the Company maintain its REIT status as well as maintain a net asset value or GAAP equity greater than a certain level. If the Company fails to comply with these covenants at any time, the financing may become immediately due in full. Additionally, certain financing agreements become immediately due if the total stockholders' equity of the Company drops by 50% from the most recent year end. Currently, the Company is in compliance with all covenants and does not expect to fail to comply with any of these covenants within the next twelve months . The Company has a total of $1.7 billion unused uncommitted warehouse credit facilities as of September 30, 2020. |
Securitized Debt
Securitized Debt | 9 Months Ended |
Sep. 30, 2020 | |
Debt Disclosure [Abstract] | |
Securitized Debt | Securitized Debt All of the Company’s securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Company’s securitized debt is accounted for as secured borrowings. Thus, the residential mortgage loans or RMBS held as collateral are recorded in the assets of the Company as Loans held for investment or Non-Agency RMBS and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition. Securitized Debt Collateralized by Non-Agency RMBS At September 30, 2020 and December 31, 2019, the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $138 million and $152 million, respectively. At September 30, 2020 and December 31, 2019, the debt carried a weighted average coupon of 6.5%. As of September 30, 2020, the maturities of the debt range between the years 2035 and 2037. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. During the quarter and nine months ended September 30, 2020, the Company did not acquire any securitized debt collateralized by Non-Agency RMBS. The Company did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarter ended September 30, 2019. During the nine months ended September 30, 2019, the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $2.9 million for $3.5 million. This transaction resulted in net loss on extinguishment of debt of $608 thousand. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at September 30, 2020 and December 31, 2019, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. September 30, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 14,707 $ 18,826 One to Three Years 11,575 18,332 Three to Five Years 1,312 4,453 Greater Than Five Years 461 665 Total $ 28,055 $ 42,276 Maturities of the Company’s securitized debt collateralized by Non-Agency RMBS are dependent upon cash flows received from the underlying collateral. The estimate of their repayment is based on scheduled principal payments on the underlying collateral. This estimate will differ from actual amounts to the extent prepayments or losses are experienced. See Note 3 for a more detailed discussion of the securities collateralizing the securitized debt. Securitized Debt Collateralized by Loans Held for Investment At September 30, 2020 and December 31, 2019, the Company’s securitized debt collateralized by loans held for investment had a principal balance of $8.9 billion and $8.2 billion, respectively. At September 30, 2020 and December 31, 2019, the total securitized debt collateralized by loans held for investment carried a weighted average coupon equal to 3.4% and 4.2%, respectively. As of September 30, 2020, the maturities of the debt range between the years 2023 and 2067. The Company did not acquire any securitized debt collateralized by loans held for investments during the quarter ended September 30, 2020. During the nine months ended September 30, 2020, the Company acquired securitized debt collateralized by loans held for investment with an amortized cost balance of $147 million. This transaction resulted in net gain on extinguishment of debt of $459 thousand. The Company did not acquire any securitized debt collateralized by loans held for investments during the quarters and nine months ended September 30, 2019. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at September 30, 2020 and December 31, 2019, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. September 30, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 1,709,381 $ 1,582,646 One to Three Years 2,739,227 2,563,699 Three to Five Years 1,777,190 1,791,756 Greater Than Five Years 2,556,837 2,129,460 Total $ 8,782,635 $ 8,067,561 Maturities of the Company’s securitized debt collateralized by loans held for investment are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Note 4 for a more detailed discussion of the loans collateralizing the securitized debt. Certain of the securitized debt collateralized by loans held for investment contain call provisions at the option of the Company. The following table presents the par value of the callable debt by year at September 30, 2020. September 30, 2020 (dollars in thousands) Year Principal 2020 3,312,747 2021 2,456,775 2022 1,450,861 2023 393,932 Total $ 7,614,315 |
Long Term Debt
Long Term Debt | 9 Months Ended |
Sep. 30, 2020 | |
Debt Disclosure [Abstract] | |
Long Term Debt | Long Term Debt Convertible Senior Notes In April 2020, the Company completed its registered underwritten public offering of $374 million (including exercise of the underwriters' overallotment option) aggregate principal amount of 7.0% convertible senior notes due 2023 (the “Notes” or “Note Offering”). These Notes require semi-annual interest payments at a fixed coupon rate of 7.0% until maturity or conversion, which will be no later than April 1, 2023. After deducting the underwriting discount and offering costs, the Company received $362 million. At completion of the offering, these notes were convertible at the option of the holder at a conversion rate of 153.8461 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $6.50 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. As of September 30, 2020, approximately $301 million of senior notes were converted into approximately 46 million common stock of the Company. At September 30, 2020, the outstanding principal amount of these notes was $73 million and there was no accrued interest payable. At September 30, 2020, the unamortized deferred debt issuance cost was $2 million and the net interest expense was $6 million. The unamortized deferred debt issuance costs will be amortized until maturity or conversion, which will be no later than April 1, 2023. |
Consolidated Securitization Veh
Consolidated Securitization Vehicles and Other Variable Interest Entities | 9 Months Ended |
Sep. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Consolidated Securitization Vehicles and Other Variable Interest Entities | Consolidated Securitization Vehicles and Other Variable Interest Entities Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary. As of September 30, 2020, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $12.8 billion and liabilities with a carrying value of $8.7 billion. As of December 31, 2019, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $12.5 billion and liabilities with a carrying value of $8.1 billion. During the quarter and nine months ended September 30, 2020, the Company securitized and consolidated approximately $338 million and $1.9 billion unpaid principal balance of seasoned residential subprime mortgage loans, respectively. During the year ended December 31, 2019, the Company securitized and consolidated approximately $1.5 billion unpaid principal balance of seasoned residential subprime mortgage loans. VIEs for Which the Company is the Primary Beneficiary The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these securitizations and in some cases the Company may hold interests in additional tranches. The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of September 30, 2020 and December 31, 2019. September 30, 2020 December 31, 2019 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 527,572 $ 598,080 Loans held for investment, at fair value 12,193,503 11,853,659 Accrued interest receivable 59,571 63,218 Other assets 15,083 29,787 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 117,904 $ 133,557 Securitized debt at fair value, collateralized by loans held for investment 8,513,526 7,899,259 Accrued interest payable 25,970 28,775 Other liabilities 2,723 2,644 (1) September 30, 2020 balance includes allowance for credit losses of $91 thousand. Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarters ended September 30, 2020 September 30, 2019 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 171,442 $ 192,622 Interest expense, Non-recourse liabilities of VIEs 74,753 82,234 Net interest income $ 96,689 $ 110,388 (Increase) decrease in provision for credit losses $ 126 $ — Servicing fees $ 8,291 $ 8,444 For the Nine Months ended September 30, 2020 September 30, 2019 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 515,250 $ 600,436 Interest expense, Non-recourse liabilities of VIEs 210,198 260,790 Net interest income $ 305,052 $ 339,646 (Increase) decrease in provision for credit losses $ (91) $ — Net other-than-temporary credit impairment losses $ — $ (4,255) Servicing fees $ 24,673 $ 26,046 VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities, such as rights to replace the servicer without cause and the obligation to absorb losses or right to receive |
Derivative Instruments
Derivative Instruments | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Derivative Instruments In connection with the Company’s interest rate risk strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts in the form of interest rate swaps, swaptions, and Treasury futures. The Company’s swaps are used to lock in a fixed rate related to a portion of its current and anticipated payments on its secured financing agreements. The Company typically agrees to pay a fixed rate of interest, or pay rate, in exchange for the right to receive a floating rate of interest, or receive rate, over a specified period of time. Treasury futures are derivatives which track the prices of generic benchmark Treasury securities with identical maturity and are traded on an active exchange. It is generally the Company’s policy to close out any Treasury futures positions prior to delivering the underlying security. The Company uses Treasury futures to lock in a fixed rate related to a portion of its current and anticipated payments on its secured financing agreements. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS or cash pledged as collateral for these derivative instruments. The Company periodically monitors the credit profiles of its counterparties to determine if it is exposed to counterparty credit risk. See Note 14 for further discussion of counterparty credit risk. The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of September 30, 2020 and December 31, 2019. The Company did not have any derivative instruments as of September 30, 2020. September 30, 2020 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ — Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures — Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ — $ — $ — December 31, 2019 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 4,111,300 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures 619,700 Derivatives, at fair value, net 3,611 Derivatives, at fair value, net — Total $ 4,731,000 $ 3,611 $ — The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2020 September 30, 2019 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ — $ 17,281 Interest Rate Swaps Net realized gains (losses) on derivatives (1) — (149,078) Treasury Futures Net unrealized gains (losses) on derivatives — 14,420 Treasury Futures Net realized gains (losses) on derivatives — (19,138) Swaptions Net unrealized gains (losses) on derivatives — (81) Swaptions Net realized gains (losses) on derivatives — (76) Total $ — $ (136,672) (1) Includes loss on termination of interest rate swaps of $148 million during the quarter ended September 30, 2019. There were no swap terminations during the quarter ended September 30, 2020. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2020 September 30, 2019 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 204,611 $ (207,432) Interest Rate Swaps Net realized gains (losses) on derivatives (1) (470,352) (342,951) Treasury Futures Net unrealized gains (losses) on derivatives (3,611) 18,548 Treasury Futures Net realized gains (losses) on derivatives (34,700) (45,261) Swaptions Net unrealized gains (losses) on derivatives — (981) Swaptions Net realized gains (losses) on derivatives — (311) Total $ (304,052) $ (578,388) (1) Includes loss on termination of interest rate swaps of $464 million and $351 million during the nine months ended September 30, 2020 and 2019, respectively. There were no swap terminations during the quarter ended September 30, 2020. The Company paid $464 million to terminate interest rate swaps with a notional value of $4.1 billion during the nine months ended September 30, 2020. The terminated swaps had original maturities from 2023 to 2048. The company paid $148 million and $351 million to terminate interest rate swaps with a notional value of $3.3 billion and $6.2 billion during the quarter and nine months ended September 30, 2019, respectively. The Company did not have any interest rate swaps as of September 30, 2020. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2019 was 2.62% and the weighted average receive rate was 1.94%. The weighted average maturity on the Company’s interest rate swaps at December 31, 2019 was 6 years. When the Company enters into derivative contracts, they are typically subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange, or NYSE. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. Certain of the Company’s interest rate swaps are cleared through a registered commodities exchange. Each of the Company’s International Swaps and Derivative Association, or ISDA, and clearing exchange agreements contains provisions under which the Company is required to fully collateralize its obligations under the interest rate swap agreements if at any point the fair value of the swap represents a liability greater than the minimum transfer amount contained within the agreements. The Company is also required to post initial collateral upon execution of certain of its swap transactions. If the Company breaches any of these provisions, it will be required to settle its obligations under the agreements at their termination values, which approximates fair value. The Company uses clearing exchange market prices to determine the fair value of its interest rate swaps. |
Capital Stock
Capital Stock | 9 Months Ended |
Sep. 30, 2020 | |
Equity [Abstract] | |
Capital Stock | Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $3 million and $9 million, or $0.50 and $1.50 per preferred share during the quarters and nine months ended September 30, 2020 and 2019, respectively. The Company declared dividends to Series B preferred stockholders of $7 million and $20 million, or $0.50 and $1.50 per preferred share during the quarters and nine months ended September 30, 2020 and 2019, respectively. The Company declared dividends to Series C preferred stockholders of $5 million and $15 million, or $0.48 and $1.45 per preferred share during the quarters and nine months ended September 30, 2020 and 2019, respectively. The Company declared dividends to Series D preferred stockholders of $4 million and $12 million, or $0.50 and $1.50, per preferred share during the quarter and nine months ended September 30, 2020, respectively. The Company declared dividends to Series D preferred stockholders of $4 million and $11 million, or $0.50 and $1.37, respectively, per preferred share during the quarter and nine months ended September 30, 2019. Common Stock In March 2020, our Board of Directors reauthorized $150 million under our share repurchase program, or the Repurchase Program. Such authorization does not have an expiration date, and at present, there is no intention to modify or otherwise rescind such authorization. Shares of our common stock may be purchased in the open market, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended, or the Exchange Act. The timing, manner, price and amount of any repurchases will be determined at our discretion and the program may be suspended, terminated or modified at any time for any reason. Among other factors, the Company intends to only consider repurchasing shares of our common stock when the purchase price is less than the last publicly reported book value per common share. In addition, the Company does not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate the Company to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. The Company did not repurchase any of its common stock during the quarter ended September 30, 2020. The Company repurchased approximately 1.4 million shares of its common stock at an average price of $15.34 per share for a total of $22 million during the nine months ended September 30, 2020. The Company did not repurchase any of its common stock during the quarter and nine months ended September 30, 2019. The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $128 million as of September 30, 2020. During the quarter and nine months ended September 30, 2020, the Company declared dividends to common shareholders of $68 million and $232 million, or $0.30 and $1.10, per share, respectively. During the quarter and nine months ended September 30, 2019, the Company declared dividends to common shareholders of $94 million and $283 million, or $0.50 and $1.50, per share, respectively. Warrants On June 8, 2020, the Company and certain lenders entered into a $400 million senior secured, non-mark-to-market Credit Agreement. In connection with the Credit Agreement, on June 8, 2020, the Company issued non-detachable Warrants to affiliates of each of the Lenders, which provides the Lenders the right to purchase up to an aggregate of 20,300,000 shares (the “Warrant Shares”) of the Company’s common stock, at a price of $0.01 per share, representing approximately 7.7% of the Company’s common stock after giving effect to the issuance of the Warrant Shares. The number of Warrant Shares may be proportionally adjusted for stock distributions, stock splits, cash distributions above specified threshold amounts, mergers, reorganizations, spin-offs and other customary events, as well as issuances by the Company of common stock below specified levels (subject to certain exceptions). The Warrants have an exercise price of $0.01 per share and are exercisable generally on the earlier of (i) June 8, 2023; (ii) the date on which the amounts financed under the Credit Agreement are discharged in full, and (iii) an event of default is declared under the Credit Agreement and all amounts are then due, and are exercisable for one year. The Company is permitted to settle any exercise of the Warrants in cash at a price of 90% of the fair market value of the Company’s common stock at the time of exercise. Earnings per share for the quarters and nine months ended September 30, 2020 and 2019 respectively, are computed as follows: For the Quarters Ended September 30, 2020 September 30, 2019 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 348,891 $ 87,888 Effect of dilutive securities: Interest expense attributable to convertible notes $ 1,495 — Net income (loss) available to common shareholders - Diluted $ 350,386 $ 87,888 Denominator: Weighted average basic shares 232,127,224 187,158,167 Effect of dilutive securities 33,219,135 1,282,004 Weighted average dilutive shares 265,346,359 188,440,171 Net income (loss) per average share attributable to common stockholders - Basic $ 1.50 $ 0.47 Net income (loss) per average share attributable to common stockholders - Diluted $ 1.32 $ 0.47 For the Nine Months Ended September 30, 2020 September 30, 2019 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (113,694) $ 228,966 Effect of dilutive securities: Interest expense attributable to convertible notes — — Net income (loss) available to common shareholders - Diluted $ (113,694) $ 228,966 Denominator: Weighted average basic shares 206,237,705 187,141,377 Effect of dilutive securities — 1,189,732 Weighted average dilutive shares 206,237,705 188,331,109 Net income (loss) per average share attributable to common stockholders - Basic $ (0.55) $ 1.22 Net income (loss) per average share attributable to common stockholders - Diluted $ (0.55) $ 1.22 For the nine months ended September 30, 2020 potentially dilutive shares of 26 million were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. Anti-dilutive shares for the nine months ended September 30, 2020 comprised of restricted stock units and performance stock units, warrants and shares from the assumed conversion of convertible debt. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 9 Months Ended |
Sep. 30, 2020 | |
Equity [Abstract] | |
Accumulated Other Comprehensive Income | Accumulated Other Comprehensive IncomeThe following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the nine months ended September 30, 2020 and 2019: September 30, 2020 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2019 $ 708,336 $ 708,336 OCI before reclassifications (97,334) (97,334) Amounts reclassified from AOCI (56,021) (56,021) Net current period OCI (153,355) (153,355) Balance as of September 30, 2020 $ 554,981 $ 554,981 September 30, 2019 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2018 $ 626,832 $ 626,832 OCI before reclassifications 115,198 115,198 Amounts reclassified from AOCI 27,040 27,040 Net current period OCI 142,238 142,238 Balance as of September 30, 2019 $ 769,070 $ 769,070 The following table presents the details of the reclassifications from AOCI for the nine months ended September 30, 2020 and 2019: September 30, 2020 September 30, 2019 Details about Accumulated OCI Components Amounts Reclassified Amounts Reclassified Affected Line on the Consolidated Statements Of Operations Unrealized gains and losses on available-for-sale securities $ 56,021 $ (22,187) Net realized gains (losses) on sales of investments — (4,853) Net other-than-temporary credit impairment losses $ 56,021 $ (27,040) Income before income taxes — — Income taxes $ 56,021 $ (27,040) Net of tax |
Equity Compensation, Employment
Equity Compensation, Employment Agreements and other Benefit Plans | 9 Months Ended |
Sep. 30, 2020 | |
Compensation Related Costs [Abstract] | |
Equity Compensation, Employment Agreements and other Benefit Plans | Equity Compensation, Employment Agreements and other Benefit Plans In accordance with the terms of the Company’s 2007 Equity Incentive Plan (as amended and restated on December 10, 2015), or the Incentive Plan, directors, officers and employees of the Company are eligible to receive restricted stock grants. These awards generally have a vesting period lasting three years. During the vesting period, these shares may not be sold. There were approximately 3 million shares available for future grants under the Incentive Plan as of September 30, 2020. The Compensation Committee of the Board of Directors of the Company has approved a Stock Award Deferral Program, or the Deferral Program. Under the Deferral Program, non-employee directors and certain executive officers can elect to defer payment of certain stock awards made pursuant to the Equity Plan. Deferred awards are treated as deferred stock units and paid at the earlier of separation from service or a date elected by the participant who is separating. Payments are generally made in a lump sum or, if elected by the participant, in five annual installments. Deferred awards receive dividend equivalents during the deferral period in the form of additional deferred stock units. Amounts are paid at the end of the deferral period by delivery of shares from the Incentive Plan (plus cash for any fractional deferred stock units), less any applicable tax withholdings. Deferral elections do not alter any vesting requirements applicable to the underlying stock award. Grants of Restricted Stock Units or, RSUs During the nine months ended September 30, 2020 and 2019, the Company granted RSU awards to senior management. These RSU awards are designed to reward senior management of the Company for services provided to the Company. Generally, the RSU awards vest equally over a three-year period beginning from the grant date and will fully vest after three years. For employees whose years of service to the Company plus age is equal to or greater than 65, the service period is considered to be fulfilled and all grants are expensed immediately. The RSU awards are valued at the market price of the Company’s common stock on the grant date and generally the employees must be employed by the Company on the vesting dates to receive the RSU awards. There were no RSU grants during the quarter ended September 30, 2020 and 2019. The Company granted 306 thousand RSU awards during the nine months ended September 30, 2020, with a grant date fair value of $4 million for the 2020 performance year. The Company granted 447 thousand RSU awards during the nine months ended September 30, 2019 with a grant date fair value of $8 million, for the 2018 and 2019 performance years. Grants of Performance Share Units or, PSUs PSU awards are designed to align compensation with the Company’s future performance. The PSU awards granted during the first quarter of 2020 and 2019 include a three-year performance period ending on December 31, 2022 and December 31, 2021, respectively. The final number of shares awarded will be between 0% and 200% of the PSUs granted based on the Company Economic Return compared to a peer group. The Company’s three-year Company Economic Return is equal to the Company’s change in book value per common share plus common stock dividends. Compensation expense will be recognized on a straight-line basis over the three-year vesting period based on an estimate of the Company Economic Return in relation to the entities in the peer group and will be adjusted each period based on the Company’s best estimate of the actual number of shares which will vest. During the nine months ended September 30, 2020, the Company granted 135 thousand PSU awards to senior management with a grant date fair value of $3 million. During the nine months ended September 30, 2019, the Company granted 152 thousand PSU awards to senior management with a grant date fair value of $3 million. The Company recognized stock based compensation expenses of $2 million and $3 million, respectively, and $7 million and $11 million, respectively, for the quarters and nine months ended September 30, 2020 and 2019. The Company also maintains a qualified 401(k) plan. The plan is a retirement savings plan that allows eligible employees to contribute a portion of their wages on a tax-deferred basis under Section 401(k) of the Code. For the quarter ended September 30, 2020, employees may contribute, through payroll deductions, up to $19,500 if under the age of 50 years and an additional $6,500 “catch-up” contribution for employees 50 years or older. The Company matches 100% of the first 6% of the eligible compensation deferred by employee contributions. The employer funds the 401(k) matching contributions in the form of cash, and participants may direct the Company match to an investment of their choice. The benefit of the Company’s contributions vests immediately. Generally, a participating employee is entitled to distributions from the plans upon termination of employment, retirement, death or disability. The 401(k) expenses related to the Company’s qualified plan for the quarters ended September 30, 2020 and 2019, were $92 thousand and $88 thousand, respectively. For the nine months ended September 30, 2020 and 2019, the 401(k) expenses were $358 thousand and $356 thousand, respectively. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2020 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the quarter ended September 30, 2020 and the year ended December 31, 2019, the Company qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to U.S. federal income tax to the extent that it makes qualifying distributions of taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income (subject to certain adjustments) to its shareholders and meet certain other requirements such as assets it may hold, income it may generate and its shareholder composition. It is generally the Company’s policy to distribute to its shareholders all of the Company’s taxable income. The state and local tax jurisdictions in which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT and therefore the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees and its TRSs are subject to U.S. federal, state and local taxes. There were no significant income tax expenses for the quarters and nine months ended September 30, 2020 and year ended December 31, 2019. The Company’s effective tax rate differs from its combined U.S. federal, state and city corporate statutory tax rate primarily due to the deduction of dividend distributions required to be paid under Code Section 857(a). The Company’s U.S. federal, state and local tax returns for the tax years ending on or after December 31, 2016 remain open for examination. |
Credit Risk and Interest Rate R
Credit Risk and Interest Rate Risk | 9 Months Ended |
Sep. 30, 2020 | |
Offsetting [Abstract] | |
Credit Risk and Interest Rate Risk | Credit Risk and Interest Rate Risk The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency MBS and Non-Agency RMBS, residential mortgage loans, borrowings under secured financing agreements and securitized debt. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related financing. The Company attempts to minimize credit risk through due diligence, asset selection and portfolio monitoring. The Company has established a whole loan target market including qualified mortgages, non-qualified mortgages and reperforming loans, compliance with regulatory requirements, geographic diversification, owner-occupied property, and moderate loan-to-value ratios. These factors are considered to be important indicators of credit risk. By using derivative instruments and secured financing agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. If a counterparty fails to perform on a derivative hedging instrument, the Company’s counterparty credit risk is equal to the amount reported as a derivative asset on its balance sheet to the extent that amount exceeds collateral obtained from the counterparty or, if in a net liability position, the extent to which collateral posted exceeds the liability to the counterparty. The amounts reported as a derivative asset/(liability) are derivative contracts in a gain/(loss) position, and to the extent subject to master netting arrangements, net of derivatives in a loss/(gain) position with the same counterparty and collateral received/(pledged). If the counterparty fails to perform on a secured financing agreement, the Company is exposed to a loss to the extent that the fair value of collateral pledged exceeds the liability to the counterparty. The Company attempts to minimize counterparty credit risk by evaluating and monitoring the counterparty’s credit, executing master netting arrangements and obtaining collateral, and executing contracts and agreements with multiple counterparties to reduce exposure to a single counterparty. Our secured financing agreements and derivative transactions are governed by underlying agreements that provide for a right of setoff under master netting arrangements, including in the event of default or in the event of bankruptcy of either party to the transactions. The Company presents its assets and liabilities subject to such arrangements on a net basis in our consolidated statements of financial condition. As of September 30, 2020, the Company is not a party to any derivative instrument and not subject to this risk. The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of September 30, 2020 and December 31, 2019. September 30, 2020 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured Financing Agreements $ (4,700,037) $ — $ (4,700,037) $ 6,620,060 $ 38,469 $ 1,958,492 Total $ (4,700,037) $ — $ (4,700,037) $ 6,620,060 $ 38,469 $ 1,958,492 (1) Included in other assets December 31, 2019 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured Financing Agreements $ (13,427,545) $ — $ (13,427,545) $ 15,399,244 $ 20,211 $ 1,991,910 Interest Rate Swaps - Gross Assets 1,092 (1,092) — — 119,469 119,469 Interest Rate Swaps - Gross Liabilities (205,703) 205,703 — — — — Treasury Futures - Gross Assets 3,611 — 3,611 — 1,514 5,125 Treasury Futures - Gross Liabilities — — — — — — Total $ (13,628,545) $ 204,611 $ (13,423,934) $ 15,399,244 $ 141,194 $ 2,116,504 (1) Included in other assets |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. In connection with certain securitization transactions engaged in by the Company, it has the obligation under certain circumstances to repurchase assets from the VIE upon breach of certain representations and warranties. The Company has made a $150 million capital commitment to Hains Point, LLC (Hains Point), a fund which is consolidated by the Company as the sole investor in the fund. As of September 30, 2020, the Company has funded $141 million towards that commitment. Capital calls for investments made in Hains Point are subject to our consent and approval. The Company issued Warrants to purchase 20.3 million shares of the Company’s common stock. See Note 11 for further discussion. At exercise, the Company will deliver 20.3 million common shares or cash at a price per share equal to 90% of the fair market value of the Company’s common stock at the time of exercise. This commitment is not reflected in the Company’s issued and outstanding shares. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent EventsNone. |
Summary of the Significant Ac_2
Summary of the Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation and Statements of Financial Condition Presentation | Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment securities transactions are recorded on the trade date. Certain prior period amounts have been reclassified to conform to the current period's presentation. The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations entities. Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause or the Company was determined to have power in connection with its involvement with the structure and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. |
Use of Estimates | Use of EstimatesThe preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. The Company has made significant estimates including in accounting for income recognition on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4 and 5), securitized debt (Note 5 and 7) and derivative instruments (Notes 5 and 10). Actual results could differ materially from those estimates. |
Significant Accounting Policies and Recent Accounting Pronouncements | Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2019, other than the significant accounting policies discussed below. Interest Income Recognition and Allowance for Credit Losses Investments in Non-agency RMBS securities The Company considers its investments in Non-Agency RMBS as beneficial interests. Beneficial interests give the Company the right to receive all or portions of specified cash flows received by a trust or other entity. Beneficial interests held by the Company are created in connection with securitization transactions such as those involving mortgage loan obligations. Beneficial interests are accounted for in accordance with guidance in ASC 325-40 as amended by the ASU 2016-13. Beneficial interests classified as available-for-sale (AFS) record changes in fair value in other comprehensive income (OCI). Beneficial interests for which the Company has elected the fair value option (FVO) record changes in fair value in earnings. Interest income on the Company’s beneficial interests is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, adjusts its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either favorable changes or adverse changes. Adverse changes in the timing or amount of cash flows on beneficial interests classified as AFS could result in the Company recording an increase in the allowance for credit losses. The allowance for credit losses are calculated using a discounted cash flow (DCF) approach and is measured as the difference between the beneficial interest’s amortized cost and the estimate of cash flows expected to be collected discounted at the effective interest rate used to accrete the beneficial interest. The allowance for credit losses is recorded as a contra-asset and a reduction in earnings. The allowance for credit losses will be limited to the amount of the unrealized losses on the beneficial interest. Any allowance for credit losses in excess of the unrealized losses on the beneficial interests are accounted for as a prospective reduction of the effective interest rate. No allowance is recorded for beneficial interests in an unrealized gain position. Favorable changes in the DCF will result in a reduction in the allowance for credit losses, if any. Any reduction in allowance for credit losses is recorded in earnings. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective increase to the effective interest rate. Beneficial interests for which other than temporary impairment (OTTI) had been recognized prior to the effective date of ASU 2016-13 shall apply the guidance in the update on a prospective basis. In addition, the yield used to accrete the beneficial interest on beneficial interests with prior OTTI will remain unchanged as a result of the adoption of ASU 2016-13. Recoveries of amounts previously written off relating to improvements in cash flows shall be recorded in income in the period received. Therefore, subsequent favorable changes in the DCF of the beneficial interests with prior OTTI will not be reflected as an adjustment to their yield used to accrete the discount. Subsequent adverse changes in the DCF will result in an increase to the allowance for credit losses, limited to the amount of the unrealized losses on the beneficial interest. Credit losses recognized on beneficial interests will be accreted on a monthly basis at the rate used to recognize interest income, the effective interest rate. The accretion will be recorded as a reduction to interest income in the statement of operations. The Company presents separately all accrued interest on the statement of financial position. Interest is accrued on all beneficial interests when due. Interest which is not received at the due date is written off when it becomes delinquent. As all interest not received when due is charged off against interest income, no allowance for accrued interest is required. No allowances for credit losses are recognized on beneficial interests for which the Company has elected the fair value option. All favorable or adverse changes in the Company's estimates of cash flows expected to be collected results in a prospective increase or decrease in the effective interest rate used to recognize interest income. Investments in agency MBS securities The Company invests in pass-through mortgage-backed securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC) (collectively “Agency Securities”). Interest income for Agency Securities for which changes in fair value are recorded in OCI, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security. This recalculation of the effective yield is updated on a monthly basis. Upon a recalculation of the effective yield, the investment in the security is adjusted to the amount that would have existed had the new effective yield been retrospectively applied since acquisition with a corresponding charge or credit to interest income. This adjustment is accounted for as a change in estimate with a cumulative effect adjustment on interest income as a result in the change in the yield. Prepayments are estimated using models generally accepted in the industry. All securities carried at fair value with changes in fair value recorded in OCI need to be evaluated for expected losses, even if the risk of loss is considered remote. However, the Company is not required to measure expected credit losses on securities in which historical credit loss information adjusted for current conditions and reasonable and supportable forecasts results in an expectation that incurring a credit loss is zero. Based on the current facts and circumstances, the Company believes its investments Agency Securities would qualify for zero expected credit losses. The factors considered in reaching this conclusion include the long history of zero credit losses, the explicit guarantee by the US government (although limited for FNMA and FHLMC securities) and yields that, while not risk-free, generally trade based on market views of prepayment and liquidity risk (not credit risk). Interest income on Agency Securities for which changes in fair value are recorded in earnings is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate of the projected cash flows. Changes in the amount or timing of cash flows as a result of changes in expected prepayments from those originally projected, or from those estimated at the last evaluation date, are reflected prospectively as an adjustment to the effective interest rate used to recognize interest income. This recalculation of the effective interest rate is updated on a monthly basis. Financial Instruments - Credit Losses - (Topic 326) On January 1, 2020 the Company adopted accounting standards update (or ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments . This update replaced the previous model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (or CECL) model for financial instruments measured at amortized cost and required the Company to record an allowance for credit losses on available-for-sale (or AFS) debt securities for all expected (rather than incurred) credit losses of the asset rather than reduce the carrying amount, as the Company did under the OTTI model. This update also revised the accounting model for purchased credit-impaired debt securities. The changes in the allowance for credit losses created in accordance with this update have been recorded in earnings. Expected credit losses are limited to the amount of the unrealized loss on the debt securities impacted by the update. The update did not have any impact on financial instruments which were carried at fair value with changes in fair value recorded in earnings. As all Loans held for investment are carried at fair value, with changes in fair value recorded in earnings, the update had no impact on the carrying value or revenue recognition of Loans held for investment. On January 1, 2020, the effective date of the update, the Company was required to record a cumulative-effect adjustment related to financial instruments under the scope of this update to the statement of financial position. As all financial instruments impacted by the update, including all purchased credit impaired debt securities, were in an unrealized gain position as of the effective date, there was no impact on the financial statements at the transition date and no cumulative-effect adjustment was required. In addition, the update superseded subtopic 310-30, Receivables - Loans and Debt Securities Acquired with Deteriorated Credit Quality . As of January 1, 2020, the Company accounted all investments previously classified as AFS and under subtopic 310-30, using the subtopic 326-30 Financial Instruments - Credit Losses; Available-for-Sale Debt Securities and subtopic 325-40, Investments -Other-Beneficial Interests in Securitized Financial Assets . Reference Rate Reform (Topic 848) In March 2020, the FASB issued ASU No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for all entities as of March 12, 2020 through December 31, 2022. An entity may elect to apply the amendments for contract modifications by Topic or Industry Subtopic as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively from a date within an interim period that includes or is subsequent to March 12, 2020, up to the date that the financial statements are available to be issued. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements. Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40) In August 2020, the FASB issued ASU No. 2020-6, Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity. The FASB issued this update to simplify the current guidance for convertible instruments and the derivatives scope exception for contracts in an entity’s own equity. Additionally, the amendments affect the diluted EPS calculation for instruments that may be settled in cash or shares and for convertible instruments. The update also provides for expanded disclosure requirements to increase transparency. The amendments in this update are effective for fiscal years beginning after December 15, 2021 including interim periods within those fiscal years. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements. |
Long Term Debt | Long Term Debt Convertible Notes Convertible notes include unsecured convertible debt that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. Interest on the notes is payable semiannually until such time the notes mature or are converted or exchanged into shares. Any debt discounts or premiums are reported as an adjustment to the carrying amount of the debt liability and amortized into interest expense using the effective interest method. If converted by a holder, the holder of the notes would receive shares of our common stock. Deferred debt issuance costs are expenses associated with the issuance of long-term debt. These expenses typically include underwriting, legal, accounting, and other fees. Deferred debt issuance costs are included |
Income Taxes | Income TaxesThe Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. |
Fair Value Disclosure | Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of present amortized cost, fair value and unrealized gain/losses of Company's MBS investments | The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of September 30, 2020 and December 31, 2019. September 30, 2020 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Allowance for credit losses Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 1,629,183 $ 3,224 $ (796,138) $ 836,269 $ (167) $ 1,332,900 $ 496,948 $ (150) $ 496,798 Subordinated 915,631 8,285 (341,840) 582,076 — 591,356 62,703 (53,423) 9,280 Interest-only 6,056,933 261,983 — 261,983 — 294,033 81,407 (49,357) 32,050 Agency RMBS Pass-through — — — — — — — — — Interest-only 1,343,378 124,159 — 124,159 — 99,988 1,055 (25,226) (24,171) Agency CMBS Project loans 1,538,077 28,797 (877) 1,565,997 — 1,726,262 160,278 (13) 160,265 Interest-only 1,383,665 26,179 — 26,179 — 28,478 2,692 (393) 2,299 Total $ 12,866,867 $ 452,627 $ (1,138,855) $ 3,396,663 $ (167) $ 4,073,017 $ 805,083 $ (128,562) $ 676,521 December 31, 2019 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 2,024,564 $ 2,038 $ (953,916) $ 1,072,686 $ 1,700,911 $ 628,518 $ (293) $ 628,225 Subordinated 876,592 9,915 (332,913) 553,594 624,598 76,272 (5,268) 71,004 Interest-only 7,458,653 301,170 — 301,170 288,899 51,481 (63,752) (12,271) Agency RMBS Pass-through 6,080,547 131,023 — 6,211,570 6,362,626 152,271 (1,215) 151,056 Interest-only 1,539,941 139,536 — 139,536 127,667 220 (12,089) (11,869) Agency CMBS Project loans 2,621,938 52,681 (4,961) 2,669,658 2,801,692 132,700 (666) 132,034 Interest-only 1,817,246 51,140 — 51,140 49,025 586 (2,701) (2,115) Total $ 22,419,481 $ 687,503 $ (1,291,790) $ 10,999,354 $ 11,955,418 $ 1,042,048 $ (85,984) $ 956,064 |
Schedule of temporary impairment losses, investments | The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2020 and December 31, 2019. All available for sale securities in an unrealized loss position have been evaluated by the Company for current expected credit losses. September 30, 2020 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ 18,493 $ (150) 4 $ — $ — — $ 18,493 $ (150) 4 Subordinated 313,860 (52,319) 18 16,464 (1,104) 14 330,324 (53,423) 32 Interest-only 24,670 (4,608) 20 29,308 (44,749) 48 53,978 (49,357) 68 Agency RMBS Pass-through — — — — — — — — — Interest-only 15,462 (3,887) 4 56,587 (21,339) 15 72,049 (25,226) 19 Agency CMBS Project loans — — — 14,758 (13) 2 14,758 (13) 2 Interest-only 5,597 (393) 7 — — — 5,597 (393) 7 Total $ 378,082 $ (61,357) 53 $ 117,117 $ (67,205) 79 $ 495,199 $ (128,562) 132 December 31, 2019 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ — $ — — $ 31,635 $ (293) 1 $ 31,635 $ (293) 1 Subordinated 69,178 (5,064) 9 1,836 (204) 11 71,014 (5,268) 20 Interest-only 50,376 (22,737) 46 64,129 (41,015) 66 114,505 (63,752) 112 Agency RMBS Pass-through 11,398 (605) 4 67,552 (610) 5 78,950 (1,215) 9 Interest-only 121,228 (12,089) 22 — — — 121,228 (12,089) 22 Agency CMBS Project loans 41,971 (277) 3 44,896 (389) 4 86,867 (666) 7 Interest-only 15,045 (295) 6 9,930 (2,406) 7 24,975 (2,701) 13 Total $ 309,196 $ (41,067) 90 $ 219,978 $ (44,917) 94 $ 529,174 $ (85,984) 184 |
Schedule of summary of credit loss allowance | A summary of the credit loss allowance on available-for-sale securities for the quarter and nine months ended September 30, 2020 is presented below. For the Quarter Ended For the Nine Months Ended September 30, 2020 September 30, 2020 (dollars in thousands) (dollars in thousands) Beginning allowance for credit losses $ 1,817 $ — Transition impact from CECL standard — — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 22 6,582 Allowance on purchased financial assets with credit deterioration — — Reductions for the securities sold during the period — (321) Increase/(decrease) on securities with an allowance in the prior period (1,074) (3,778) Write-offs charged against the allowance (642) (2,389) Recoveries of amounts previously written off 44 73 Ending allowance for credit losses $ 167 $ 167 |
Schedule of significant credit quality indicators | The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2020. September 30, 2020 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 18,809,643 10.8% 2.4% 51.3% |
Summary of unrealized gains and losses on MBS | The following tables present a summary of unrealized gains and losses at September 30, 2020 and December 31, 2019. September 30, 2020 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 496,948 $ — $ 496,948 $ (150) $ — $ (150) Subordinated 52,475 10,228 62,703 (445) (52,978) (53,423) Interest-only — 81,407 81,407 — (49,357) (49,357) Agency RMBS Pass-through — — — — — — Interest-only — 1,055 1,055 — (25,226) (25,226) Agency CMBS Project loans 6,166 154,112 160,278 (13) — (13) Interest-only — 2,692 2,692 — (393) (393) Total $ 555,589 $ 249,494 $ 805,083 $ (608) $ (127,954) $ (128,562) December 31, 2019 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 628,518 $ — $ 628,518 $ (293) $ — $ (293) Subordinated 57,174 19,098 76,272 (55) (5,213) (5,268) Interest-only — 51,481 51,481 — (63,752) (63,752) Agency RMBS Pass-through — 152,271 152,271 — (1,215) (1,215) Interest-only — 220 220 — (12,089) (12,089) Agency CMBS Project loans 23,643 109,057 132,700 (651) (15) (666) Interest-only — 586 586 — (2,701) (2,701) Total $ 709,335 $ 332,713 $ 1,042,048 $ (999) $ (84,985) $ (85,984) |
Residential mortgage backed securities collateral characteristics | The following tables provide a summary of the Company’s MBS portfolio at September 30, 2020 and December 31, 2019. September 30, 2020 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,629,183 $ 51.33 81.81 4.5 % 16.5 % Subordinated 915,631 63.57 64.58 3.6 % 6.3 % Interest-only 6,056,933 4.33 4.85 1.5 % 16.8 % Agency RMBS Interest-only 1,343,378 9.24 7.44 1.9 % 1.5 % Agency CMBS Project loans 1,538,077 101.82 112.24 4.1 % 3.9 % Interest-only 1,383,665 1.89 2.06 0.7 % 7.9 % (1) Bond Equivalent Yield at period end. December 31, 2019 Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,024,564 $ 52.98 $ 84.01 5.0 % 20.8 % Subordinated 876,592 63.15 71.25 3.7 % 6.9 % Interest-only 7,458,653 4.04 3.87 1.1 % 8.4 % Agency RMBS Pass-through 6,080,547 102.15 104.64 4.0 % 3.4 % Interest-only 1,539,941 9.06 8.29 1.6 % 4.0 % Agency CMBS Project loans 2,621,938 101.82 106.86 3.7 % 3.6 % Interest-only 1,817,246 2.81 2.70 0.7 % 4.7 % (1) Bond Equivalent Yield at period end. |
Credit ratings of residential MBS | The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at September 30, 2020 and December 31, 2019. September 30, 2020 December 31, 2019 AAA 0.3 % 0.4 % AA 0.1 % 0.1 % A 1.2 % 0.9 % BBB 1.8 % 1.6 % BB 4.2 % 3.8 % B 2.0 % 1.6 % Below B or not rated 90.4 % 91.6 % Total 100.0 % 100.0 % |
Schedule of MBS by estimated weighted average life classification | The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at September 30, 2020 and December 31, 2019 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. September 30, 2020 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 9,894 $ 365,604 $ 502,840 $ 454,562 $ 1,332,900 Subordinated — 73,141 83,705 434,510 591,356 Interest-only 3,380 156,082 132,305 2,266 294,033 Agency RMBS Pass-through — — — — — Interest-only — 1,018 98,970 — 99,988 Agency CMBS Project loans 14,758 — — 1,711,504 1,726,262 Interest-only 705 23,978 3,795 — 28,478 Total fair value $ 28,737 $ 619,823 $ 821,615 $ 2,602,842 $ 4,073,017 Amortized cost Non-Agency RMBS Senior $ 6,264 $ 257,902 $ 288,351 $ 283,752 $ 836,269 Subordinated — 60,669 66,813 454,594 582,076 Interest-only 11,641 152,652 94,982 2,708 261,983 Agency RMBS Pass-through — — — — — Interest-only — 1,979 122,180 — 124,159 Agency CMBS Project loans 14,771 — — 1,551,226 1,565,997 Interest-only 926 21,661 3,592 — 26,179 Total amortized cost $ 33,602 $ 494,863 $ 575,918 $ 2,292,280 $ 3,396,663 December 31, 2019 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 16,343 $ 450,185 $ 676,382 $ 558,001 $ 1,700,911 Subordinated — 43,796 95,973 484,829 624,598 Interest-only — 126,631 159,057 3,211 288,899 Agency RMBS Pass-through — 5,939,408 421,539 1,679 6,362,626 Interest-only — 1,614 126,053 — 127,667 Agency CMBS Project loans 15,065 — 29,385 2,757,242 2,801,692 Interest-only — 20,528 28,497 — 49,025 Total fair value $ 31,408 $ 6,582,162 $ 1,536,886 $ 3,804,962 $ 11,955,418 Amortized cost Non-Agency RMBS Senior $ 15,206 $ 304,850 $ 409,958 $ 342,672 $ 1,072,686 Subordinated — 29,085 86,033 438,476 553,594 Interest-only — 150,221 148,889 2,060 301,170 Agency RMBS Pass-through — 5,796,044 414,482 1,044 6,211,570 Interest-only — 2,260 137,276 — 139,536 Agency CMBS Project loans 15,084 — 28,954 2,625,620 2,669,658 Interest-only — 22,950 28,190 — 51,140 Total amortized cost $ 30,290 $ 6,305,410 $ 1,253,782 $ 3,409,872 $ 10,999,354 |
Schedule of collateral characteristics of underlying Mortgages of Non-Agency RMBS portfolio | The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2020 and December 31, 2019. September 30, 2020 December 31, 2019 Weighted average maturity (years) 22.9 23.6 Weighted average amortized loan to value (1) 62.0 % 63.2 % Weighted average FICO (2) 714 719 Weighted average loan balance (in thousands) $ 296 $ 313 Weighted average percentage owner occupied 81.4 % 80.6 % Weighted average percentage single family residence 61.4 % 60.0 % Weighted average current credit enhancement 0.9 % 1.1 % Weighted average geographic concentration of top four states CA 31.1 % CA 32.5 % NY 7.2 % FL 6.6 % FL 7.0 % NY 6.3 % TX 2.4 % TX 2.0 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. |
Schedule of percentage of Non-Agency RMBS by year originated | The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at September 30, 2020 and December 31, 2019. Origination Year September 30, 2020 December 31, 2019 2003 and prior 1.7 % 1.3 % 2004 1.5 % 1.5 % 2005 10.8 % 10.7 % 2006 52.2 % 52.9 % 2007 26.7 % 26.6 % 2008 and later 7.1 % 7.0 % Total 100.0 % 100.0 % |
Schedule of gains and losses from sales of investments | The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters and nine months ended September 30, 2020 and 2019 are as follows: For the Quarters Ended For the Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands) (dollars in thousands) Proceeds from sales: Non-Agency RMBS 604 33,437 142,564 38,658 Agency RMBS — — 5,710,134 1,907,766 Agency CMBS 734,320 — 1,060,987 22,482 Gross realized gains: Non-Agency RMBS — 24 21,274 424 Agency RMBS — — 74,264 27,025 Agency CMBS 70,237 — 88,927 — Gross realized losses: Non-Agency RMBS (2,214) (17) (8,392) (1,447) Agency RMBS — — (5,816) (22,694) Agency CMBS (2,982) — (2,982) (2,225) Net realized gain (loss) $ 65,041 $ 7 $ 167,275 $ 1,083 |
Loans Held for Investment (Tabl
Loans Held for Investment (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |
Summary of changes in carrying value of securitized loans held for investment carried at fair value | The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at September 30, 2020 and December 31, 2019: For the Nine Months Ended For the Year Ended September 30, 2020 December 31, 2019 (dollars in thousands) Balance, beginning of period $ 14,292,815 $ 12,572,581 Purchases 1,536,633 5,086,491 Principal paydowns (1,384,331) (1,717,745) Sales and settlements (713,114) (1,812,760) Net periodic accretion (amortization) (74,502) (77,491) Realized gains (losses) on sales and settlements — 1,590 Change in fair value (124,249) 240,149 Balance, end of period $ 13,533,252 $ 14,292,815 |
Schedule of percentage of securitized loans held for investment carried at fair value by year originated | The loan portfolio for all residential mortgages were originated during the following periods: Origination Year September 30, 2020 (1) December 31, 2019 (1) 2002 and prior 6.8 % 6.8 % 2003 5.8 % 6.0 % 2004 12.2 % 12.6 % 2005 18.4 % 18.6 % 2006 23.0 % 22.5 % 2007 22.3 % 20.7 % 2008 6.2 % 6.4 % 2009 1.2 % 1.5 % 2010 and later 4.1 % 4.9 % Total 100.0 % 100.0 % (1) The table above excludes approximately $461 million and $754 million of Loans held for investments for September 30, 2020 and December 31, 2019, respectively, which were purchased prior to that reporting date and settled or will settle subsequent to that reporting period. Actual amounts settled may be different than amounts reflected due to loans removed from purchase prior to settlement. |
Schedule of securitized loans held for investment types and characteristics of underlying collateral | The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicer at September 30, 2020 and December 31, 2019. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure Loss Mitigation REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2020 (1) $864,525 $358,002 $710,875 $285,834 $253,637 $122 $29,686 $2,502,681 $ 12,799,980 % of Unpaid Principal Balance 6.8 % 2.8 % 5.6 % 2.2 % 2.0 % — % 0.2 % 19.6 % December 31, 2019 (1) $1,070,173 $336,950 $291,866 $322,288 $298,526 $— $59,389 $2,379,192 $ 13,169,843 % of Unpaid Principal Balance 8.1 % 2.6 % 2.2 % 2.4 % 2.3 % — % 0.5 % 18.1 % (1) The table above excludes approximately $461 million and $754 million of Loans held for investments for September 30, 2020 and December 31, 2019, respectively, which were purchased prior to that reporting date and settled or will settle subsequent to that reporting period. Actual amounts settled may be different than amounts reflected due to loans removed from purchase prior to settlement. |
Seasoned Subprime Residential Mortgage Loans | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |
Schedule of securitized loans held for investment carried at fair value key characteristics of underlying collateral | The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2020 and December 31, 2019: September 30, 2020 (1) December 31, 2019 (1) Number of loans 132,641 139,194 Weighted average maturity (years) 19.5 19.3 Weighted average loan to value (2) 86.2 % 87.4 % Weighted average FICO (2) 631 627 Weighted average loan balance (in thousands) $ 97 $ 95 Weighted average percentage owner occupied 87.5 % 88.0 % Weighted average percentage single family residence 83.7 % 84.4 % Weighted average geographic concentration of top five states CA 12.6 % CA 11.6 % FL 7.9 % FL 7.4 % NY 7.2 % NY 6.9 % PA 5.0 % OH 5.3 % VA 5.0 % PA 5.3 % (1) The table above excludes approximately $461 million and $754 million of Loans held for investments for September 30, 2020 and December 31, 2019, respectively, which were purchased prior to that reporting date and settled or will settle subsequent to that reporting period. Actual amounts settled may be different than amounts reflected due to loans removed from purchase prior to settlement. (2) As provided by the Trustee. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Schedule of unpaid principal, fair value and impact of change in fair value | The table below shows the unpaid principal and fair value of the financial instruments carried with fair value option as of September 30, 2020 and December 31, 2019, respectively: September 30, 2020 December 31, 2019 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-agency RMBS Subordinated 637,003 407,354 580,761 422,826 Interest-only 6,056,933 294,033 7,458,653 288,899 Agency RMBS Pass-through — — 6,080,549 6,362,628 Interest-only 1,343,378 99,988 1,539,941 127,667 Agency CMBS Project loans 1,417,749 1,597,024 1,753,755 1,889,923 Interest-only 1,383,665 28,478 1,817,246 49,025 Loans held for investment, at fair value 13,260,675 13,533,252 13,924,291 14,292,815 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,882,483 8,757,449 8,184,369 8,179,608 The table below shows the impact of change in fair value on each of the financial instruments carried with fair value option in statement of operations as of September 30, 2020 and September 30, 2019, respectively: For the Quarter Ended For the Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands) (dollars in thousands) Gain/(Loss) on Change in Fair Value Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Senior — (620) — — Subordinated 31,328 10,643 (56,632) 17,742 Interest-only (12,626) (17,006) 44,320 19,586 Agency RMBS Pass-through — 26,052 (151,056) 133,649 Interest-only (824) (1,425) (12,302) (3,613) Agency CMBS Project loans (42,942) 58,663 45,069 184,111 Interest-only 2,788 370 4,415 2,674 Loans held for investment, at fair value 371,423 70,556 (124,250) 296,939 Liabilities: Securitized debt at fair value, collateralized by loans held for investment (88,381) (16,408) 78,394 (128,702) |
Schedule of financial assets and liabilities carried at fair value on a recurring basis | The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at September 30, 2020 and December 31, 2019 are presented below. September 30, 2020 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,218,289 $ — $ 2,218,289 Agency RMBS, at fair value — 99,988 — — 99,988 Agency CMBS, at fair value — 1,754,740 — — 1,754,740 Loans held for investment, at fair value — — 13,533,252 — 13,533,252 Derivatives — — — — — Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,757,449 — 8,757,449 Derivatives — — — — — December 31, 2019 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,614,408 $ — $ 2,614,408 Agency RMBS, at fair value — 6,490,293 — — 6,490,293 Agency CMBS, at fair value — 2,850,717 — — 2,850,717 Loans held for investment, at fair value — — 14,292,815 — 14,292,815 Derivatives 3,611 1,092 — (1,092) 3,611 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,179,608 — 8,179,608 Derivatives — 205,703 — (205,703) — |
Summary of the changes in the fair value of securities classified as Level 3 | The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at September 30, 2020 and December 31, 2019. Fair Value Reconciliation, Level 3 For the Nine Months Ended September 30, 2020 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 Transfers into Level 3 135,118 — — Transfers out of Level 3 (135,118) — — Purchases of assets/ issuance of debt 44,811 1,536,633 2,061,890 Principal payments (191,294) (1,384,331) (1,233,203) Sales and Settlements (142,534) (713,114) (146,663) Net accretion (amortization) 28,996 (74,502) (25,336) Gains (losses) included in net income (Increase) decrease in provision for credit losses (167) — — Realized gains (losses) on sales and settlements 12,900 — (459) Net unrealized gains (losses) included in income (12,313) (124,249) (78,388) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (136,518) — — Ending balance Level 3 $ 2,218,289 $ 13,533,252 $ 8,757,449 Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2019 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,486,130 $ 12,572,581 $ 8,455,376 Transfers into Level 3 — — — Transfers out of Level 3 — — — Purchases of assets/ issuance of debt 497,848 5,086,491 1,487,286 Principal payments (415,518) (1,717,745) (1,530,818) Sales and Settlements (38,605) (1,812,760) (314,454) Net accretion (amortization) 95,562 (77,491) (26,758) Gains (losses) included in net income Other than temporary credit impairment losses (4,853) — — Realized gains (losses) on sales and settlements (1,088) 1,590 (9,925) Net unrealized gains (losses) included in income 28,577 240,149 118,901 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (33,645) — — Ending balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 |
A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment | A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of September 30, 2020 and December 31, 2019 follows. The weighted average discount rates were based on fair value. Previously issued financial statement filings were based on amortized cost. We believe fair value provides an improved presentation of weighted average discount rates. September 30, 2020 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 2%-10% 3.5% 1%-30% 8.5% 0%-10% 2.0% 27%-80% 43.7% Subordinated 2%-13% 6.6% 2%-40% 11.0% 0%-6% 1.4% 10%-66% 37.0% Interest-only 0%-100% 10.2% 4%-45% 23.7% 0%-8% 1.3% 0%-83% 35.0% December 31, 2019 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 3% -8% 3.8% 6% -20% 9.4% 0% -9% 1.8% 26% -82% 42.0% Subordinated 0% -13% 5.3% 6% -35% 9.6% 0% -6% 1.3% 27% -55% 36.7% Interest-only 0% -100% 11.4% 6% -43% 18.5% 0% -6% 1.0% 26% -83% 35.3% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment, as of September 30, 2020 and December 31, 2019 follows: September 30, 2020 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0%-10% 3.1% 5%-30% 9.2% 0%-3% 1.3% 30%-70% 58.4% December 31, 2019 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0% -10% 3.3% 6% - 20% 9.1% 0% - 3% 1.4% 30% - 75% 59.9% |
Schedule of carrying value and fair value of financial instruments not carried at fair value on a recurring basis | The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at September 30, 2020 and December 31, 2019. September 30, 2020 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements (1) 2 4,700,037 4,816,006 Securitized debt, collateralized by Non-Agency RMBS 3 117,904 100,872 Long Term Debt 2 70,641 89,166 (1) The fair value of secured financing agreements includes one secured financing agreement with a non-detachable Warrant. December 31, 2019 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements 2 13,427,545 13,450,193 Securitized debt, collateralized by Non-Agency RMBS 3 133,557 117,552 |
Loans Held for Investment at Fair Value | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment | A summary of the significant inputs used to estimate the fair value of Loans held for investment collateralized primarily by seasoned reperforming mortgages at fair value as of September 30, 2020 and December 31, 2019 follows: September 30, 2020 December 31, 2019 Factor: Coupon Base Rate 4.1% 4.3% Actual 6.4% 6.6% FICO Base Rate 639 636 Actual 628 624 Loan-to-value (LTV) Base Rate 90% 86% Actual 86% 88% Loan Characteristics: Occupancy Owner Occupied 89% 89% Investor 2% 2% Secondary 9% 9% Property Type Single family 85% 85% Manufactured housing 3% 4% Multi-family/mixed use/other 12% 11% |
Secured Financing Agreements (T
Secured Financing Agreements (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of repurchase agreements | The Secured financing agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of September 30, 2020 and December 31, 2019 were: September 30, 2020 December 31, 2019 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 73,516 $ 6,247,275 Agency CMBS (in thousands) 1,323,540 2,013,515 Non-agency RMBS and Loans held for investment (in thousands) 3,302,981 5,166,755 Total: $ 4,700,037 $ 13,427,545 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 94,960 $ 6,602,039 Agency CMBS (in thousands) 1,368,799 2,102,520 Non-agency RMBS and Loans held for investment (in thousands) 5,156,301 6,694,685 Total: $ 6,620,060 $ 15,399,244 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 1,808,703 $ 8,062,881 Agency CMBS (in thousands) 1,967,103 1,993,372 Non-agency RMBS and Loans held for investment (in thousands) 4,339,317 4,436,133 Total: $ 8,115,123 $ 14,492,386 Average borrowing rate of Secured financing agreements secured by: Agency RMBS (in thousands) 1.00 % 2.10 % Agency CMBS (in thousands) 0.23 % 2.10 % Non-agency RMBS and Loans held for investment (in thousands) 4.79 % 3.19 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS (in thousands) 13 days 14 days Agency CMBS (in thousands) 18 days 13 days Non-agency RMBS and Loans held for investment (in thousands) 570 days 255 days Average original maturity of Secured financing agreements secured by: Agency RMBS (in thousands) 15 days 38 days Agency CMBS (in thousands) 31 days 34 days Non-agency RMBS and Loans held for investment (in thousands) 590 days 279 days The table above is net of $9 million of deferred financing cost. At September 30, 2020 and December 31, 2019, we pledged $38 million and $20 million, respectively, of margin cash collateral to our secured financing agreement counterparties. At September 30, 2020 and December 31, 2019, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. September 30, 2020 December 31, 2019 (dollars in thousands) Principal Weighted Average Borrowing Rates Range of Borrowing Rates Principal Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — NA NA $ — NA NA 1 to 29 days 1,610,030 0.58% 0.20% - 3.02% 9,709,387 2.26% 1.90% - 3.62% 30 to 59 days 212,333 2.35% 1.85% - 2.55% 800,648 2.96% 2.15% - 3.52% 60 to 89 days 14,626 1.83% 1.55% - 2.45% 608,520 3.00% 2.59% - 3.35% 90 to 119 days — NA NA — NA NA 120 to 180 days 606,072 4.23% 1.34% - 6.61% 809,077 3.38% 3.06% - 3.46% 180 days to 1 year 1,004,318 6.02% 3.25% - 7.99% 580,886 3.42% 3.26% - 3.51% 1 to 2 years 92,695 4.50% 4.50% - 4.50% 427,981 3.28% 3.19% - 3.30% 2 to 3 years 395,829 7.00% 7.00% - 7.00% — NA NA Greater than 3 years 764,134 3.84% 1.55% - 5.56% 491,046 3.20% 3.19% - 3.20% Total $ 4,700,037 3.44% $ 13,427,545 2.52% |
Securitized Debt (Tables)
Securitized Debt (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Debt Instrument [Line Items] | |
Schedule of callable debt | The following table presents the par value of the callable debt by year at September 30, 2020. September 30, 2020 (dollars in thousands) Year Principal 2020 3,312,747 2021 2,456,775 2022 1,450,861 2023 393,932 Total $ 7,614,315 |
Non-Agency RMBS | |
Debt Instrument [Line Items] | |
Schedule of maturities of long-term debt | The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at September 30, 2020 and December 31, 2019, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. September 30, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 14,707 $ 18,826 One to Three Years 11,575 18,332 Three to Five Years 1,312 4,453 Greater Than Five Years 461 665 Total $ 28,055 $ 42,276 |
Loans held for investment | |
Debt Instrument [Line Items] | |
Schedule of maturities of long-term debt | The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at September 30, 2020 and December 31, 2019, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. September 30, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 1,709,381 $ 1,582,646 One to Three Years 2,739,227 2,563,699 Three to Five Years 1,777,190 1,791,756 Greater Than Five Years 2,556,837 2,129,460 Total $ 8,782,635 $ 8,067,561 |
Consolidated Securitization V_2
Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of assets and liabilities related to the consolidated VIEs | The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of September 30, 2020 and December 31, 2019. September 30, 2020 December 31, 2019 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 527,572 $ 598,080 Loans held for investment, at fair value 12,193,503 11,853,659 Accrued interest receivable 59,571 63,218 Other assets 15,083 29,787 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 117,904 $ 133,557 Securitized debt at fair value, collateralized by loans held for investment 8,513,526 7,899,259 Accrued interest payable 25,970 28,775 Other liabilities 2,723 2,644 (1) September 30, 2020 balance includes allowance for credit losses of $91 thousand. |
Schedule of Income, OTTI and expense amounts related to consolidated VIEs | Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarters ended September 30, 2020 September 30, 2019 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 171,442 $ 192,622 Interest expense, Non-recourse liabilities of VIEs 74,753 82,234 Net interest income $ 96,689 $ 110,388 (Increase) decrease in provision for credit losses $ 126 $ — Servicing fees $ 8,291 $ 8,444 For the Nine Months ended September 30, 2020 September 30, 2019 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 515,250 $ 600,436 Interest expense, Non-recourse liabilities of VIEs 210,198 260,790 Net interest income $ 305,052 $ 339,646 (Increase) decrease in provision for credit losses $ (91) $ — Net other-than-temporary credit impairment losses $ — $ (4,255) Servicing fees $ 24,673 $ 26,046 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of location and fair value of the derivatives | The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of September 30, 2020 and December 31, 2019. The Company did not have any derivative instruments as of September 30, 2020. September 30, 2020 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ — Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures — Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ — $ — $ — December 31, 2019 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 4,111,300 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures 619,700 Derivatives, at fair value, net 3,611 Derivatives, at fair value, net — Total $ 4,731,000 $ 3,611 $ — |
Schedule of derivative instruments effects on operating results | The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2020 September 30, 2019 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ — $ 17,281 Interest Rate Swaps Net realized gains (losses) on derivatives (1) — (149,078) Treasury Futures Net unrealized gains (losses) on derivatives — 14,420 Treasury Futures Net realized gains (losses) on derivatives — (19,138) Swaptions Net unrealized gains (losses) on derivatives — (81) Swaptions Net realized gains (losses) on derivatives — (76) Total $ — $ (136,672) (1) Includes loss on termination of interest rate swaps of $148 million during the quarter ended September 30, 2019. There were no swap terminations during the quarter ended September 30, 2020. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2020 September 30, 2019 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 204,611 $ (207,432) Interest Rate Swaps Net realized gains (losses) on derivatives (1) (470,352) (342,951) Treasury Futures Net unrealized gains (losses) on derivatives (3,611) 18,548 Treasury Futures Net realized gains (losses) on derivatives (34,700) (45,261) Swaptions Net unrealized gains (losses) on derivatives — (981) Swaptions Net realized gains (losses) on derivatives — (311) Total $ (304,052) $ (578,388) |
Capital Stock (Tables)
Capital Stock (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Equity [Abstract] | |
Schedule of earnings per share | Earnings per share for the quarters and nine months ended September 30, 2020 and 2019 respectively, are computed as follows: For the Quarters Ended September 30, 2020 September 30, 2019 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 348,891 $ 87,888 Effect of dilutive securities: Interest expense attributable to convertible notes $ 1,495 — Net income (loss) available to common shareholders - Diluted $ 350,386 $ 87,888 Denominator: Weighted average basic shares 232,127,224 187,158,167 Effect of dilutive securities 33,219,135 1,282,004 Weighted average dilutive shares 265,346,359 188,440,171 Net income (loss) per average share attributable to common stockholders - Basic $ 1.50 $ 0.47 Net income (loss) per average share attributable to common stockholders - Diluted $ 1.32 $ 0.47 For the Nine Months Ended September 30, 2020 September 30, 2019 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (113,694) $ 228,966 Effect of dilutive securities: Interest expense attributable to convertible notes — — Net income (loss) available to common shareholders - Diluted $ (113,694) $ 228,966 Denominator: Weighted average basic shares 206,237,705 187,141,377 Effect of dilutive securities — 1,189,732 Weighted average dilutive shares 206,237,705 188,331,109 Net income (loss) per average share attributable to common stockholders - Basic $ (0.55) $ 1.22 Net income (loss) per average share attributable to common stockholders - Diluted $ (0.55) $ 1.22 For the nine months ended September 30, 2020 potentially dilutive shares of 26 million were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. Anti-dilutive shares for the nine months ended September 30, 2020 comprised of restricted stock units and performance stock units, warrants and shares from the assumed conversion of convertible debt. |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Equity [Abstract] | |
Schedule of components of AOCI | The following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the nine months ended September 30, 2020 and 2019: September 30, 2020 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2019 $ 708,336 $ 708,336 OCI before reclassifications (97,334) (97,334) Amounts reclassified from AOCI (56,021) (56,021) Net current period OCI (153,355) (153,355) Balance as of September 30, 2020 $ 554,981 $ 554,981 September 30, 2019 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2018 $ 626,832 $ 626,832 OCI before reclassifications 115,198 115,198 Amounts reclassified from AOCI 27,040 27,040 Net current period OCI 142,238 142,238 Balance as of September 30, 2019 $ 769,070 $ 769,070 |
Schedule of reclassifications from AOCI | The following table presents the details of the reclassifications from AOCI for the nine months ended September 30, 2020 and 2019: September 30, 2020 September 30, 2019 Details about Accumulated OCI Components Amounts Reclassified Amounts Reclassified Affected Line on the Consolidated Statements Of Operations Unrealized gains and losses on available-for-sale securities $ 56,021 $ (22,187) Net realized gains (losses) on sales of investments — (4,853) Net other-than-temporary credit impairment losses $ 56,021 $ (27,040) Income before income taxes — — Income taxes $ 56,021 $ (27,040) Net of tax |
Credit Risk and Interest Rate_2
Credit Risk and Interest Rate Risk (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Offsetting [Abstract] | |
Schedule of assets and liabilities subject to netting arrangements | September 30, 2020 and December 31, 2019. September 30, 2020 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured Financing Agreements $ (4,700,037) $ — $ (4,700,037) $ 6,620,060 $ 38,469 $ 1,958,492 Total $ (4,700,037) $ — $ (4,700,037) $ 6,620,060 $ 38,469 $ 1,958,492 (1) Included in other assets December 31, 2019 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured Financing Agreements $ (13,427,545) $ — $ (13,427,545) $ 15,399,244 $ 20,211 $ 1,991,910 Interest Rate Swaps - Gross Assets 1,092 (1,092) — — 119,469 119,469 Interest Rate Swaps - Gross Liabilities (205,703) 205,703 — — — — Treasury Futures - Gross Assets 3,611 — 3,611 — 1,514 5,125 Treasury Futures - Gross Liabilities — — — — — — Total $ (13,628,545) $ 204,611 $ (13,423,934) $ 15,399,244 $ 141,194 $ 2,116,504 (1) Included in other assets |
Organization - Narrative (Detai
Organization - Narrative (Detail) | 9 Months Ended |
Sep. 30, 2020subsidiary | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of wholly owned direct subsidiaries | 11 |
Summary of the Significant Ac_3
Summary of the Significant Accounting Policies - Narrative (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Accounting Policies [Abstract] | ||
Accruals for penalties and interest | $ 0 | $ 0 |
Mortgage-Backed Securities - Su
Mortgage-Backed Securities - Summary (Detail) - USD ($) | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Investment Holdings [Line Items] | |||
Principal or Notional Value | $ 12,866,867,000 | $ 22,419,481,000 | |
Total Premium | 452,627,000 | 687,503,000 | |
Total Discount | (1,138,855,000) | (1,291,790,000) | |
Amortized Cost | 3,396,663,000 | 10,999,354,000 | |
Allowance for credit losses | (167,000) | $ (1,817,000) | 0 |
Fair Value | 4,073,017,000 | 11,955,418,000 | |
Gross Unrealized Gains | 805,083,000 | 1,042,048,000 | |
Gross Unrealized Losses | (128,562,000) | (85,984,000) | |
Net Unrealized Gain/(Loss) | 676,521,000 | 956,064,000 | |
Non-Agency RMBS - Senior | |||
Investment Holdings [Line Items] | |||
Amortized Cost | 18,809,643 | ||
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 1,629,183,000 | 2,024,564,000 | |
Total Premium | 3,224,000 | 2,038,000 | |
Total Discount | (796,138,000) | (953,916,000) | |
Amortized Cost | 836,269,000 | 1,072,686,000 | |
Allowance for credit losses | (167,000) | ||
Fair Value | 1,332,900,000 | 1,700,911,000 | |
Gross Unrealized Gains | 496,948,000 | 628,518,000 | |
Gross Unrealized Losses | (150,000) | (293,000) | |
Net Unrealized Gain/(Loss) | 496,798,000 | 628,225,000 | |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 915,631,000 | 876,592,000 | |
Total Premium | 8,285,000 | 9,915,000 | |
Total Discount | (341,840,000) | (332,913,000) | |
Amortized Cost | 582,076,000 | 553,594,000 | |
Allowance for credit losses | 0 | ||
Fair Value | 591,356,000 | 624,598,000 | |
Gross Unrealized Gains | 62,703,000 | 76,272,000 | |
Gross Unrealized Losses | (53,423,000) | (5,268,000) | |
Net Unrealized Gain/(Loss) | 9,280,000 | 71,004,000 | |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 6,056,933,000 | 7,458,653,000 | |
Total Premium | 261,983,000 | 301,170,000 | |
Total Discount | 0 | 0 | |
Amortized Cost | 261,983,000 | 301,170,000 | |
Allowance for credit losses | 0 | ||
Fair Value | 294,033,000 | 288,899,000 | |
Gross Unrealized Gains | 81,407,000 | 51,481,000 | |
Gross Unrealized Losses | (49,357,000) | (63,752,000) | |
Net Unrealized Gain/(Loss) | 32,050,000 | (12,271,000) | |
Residential Mortgage-Backed Securities | Agency MBS - Residential | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 0 | 6,080,547,000 | |
Total Premium | 0 | 131,023,000 | |
Total Discount | 0 | 0 | |
Amortized Cost | 0 | 6,211,570,000 | |
Allowance for credit losses | 0 | ||
Fair Value | 0 | 6,362,626,000 | |
Gross Unrealized Gains | 0 | 152,271,000 | |
Gross Unrealized Losses | 0 | (1,215,000) | |
Net Unrealized Gain/(Loss) | 0 | 151,056,000 | |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 1,343,378,000 | 1,539,941,000 | |
Total Premium | 124,159,000 | 139,536,000 | |
Total Discount | 0 | 0 | |
Amortized Cost | 124,159,000 | 139,536,000 | |
Allowance for credit losses | 0 | ||
Fair Value | 99,988,000 | 127,667,000 | |
Gross Unrealized Gains | 1,055,000 | 220,000 | |
Gross Unrealized Losses | (25,226,000) | (12,089,000) | |
Net Unrealized Gain/(Loss) | (24,171,000) | (11,869,000) | |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 1,538,077,000 | 2,621,938,000 | |
Total Premium | 28,797,000 | 52,681,000 | |
Total Discount | (877,000) | (4,961,000) | |
Amortized Cost | 1,565,997,000 | 2,669,658,000 | |
Allowance for credit losses | 0 | ||
Fair Value | 1,726,262,000 | 2,801,692,000 | |
Gross Unrealized Gains | 160,278,000 | 132,700,000 | |
Gross Unrealized Losses | (13,000) | (666,000) | |
Net Unrealized Gain/(Loss) | 160,265,000 | 132,034,000 | |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 1,383,665,000 | 1,817,246,000 | |
Total Premium | 26,179,000 | 51,140,000 | |
Total Discount | 0 | 0 | |
Amortized Cost | 26,179,000 | 51,140,000 | |
Allowance for credit losses | 0 | ||
Fair Value | 28,478,000 | 49,025,000 | |
Gross Unrealized Gains | 2,692,000 | 586,000 | |
Gross Unrealized Losses | (393,000) | (2,701,000) | |
Net Unrealized Gain/(Loss) | $ 2,299,000 | $ (2,115,000) |
Mortgage-Backed Securities - Un
Mortgage-Backed Securities - Unrealized Loss Positions (Detail) $ in Thousands | Sep. 30, 2020USD ($)security | Dec. 31, 2019USD ($)security |
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 378,082 | $ 309,196 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (61,357) | $ (41,067) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 53 | 90 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 117,117 | $ 219,978 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (67,205) | $ (44,917) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 79 | 94 |
Total, Estimated Fair Value | $ 495,199 | $ 529,174 |
Total, Unrealized Losses | $ (128,562) | $ (85,984) |
Total, Number of Positions | security | 132 | 184 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 18,493 | $ 0 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (150) | $ 0 |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 4 | 0 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 0 | $ 31,635 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ 0 | $ (293) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 0 | 1 |
Total, Estimated Fair Value | $ 18,493 | $ 31,635 |
Total, Unrealized Losses | $ (150) | $ (293) |
Total, Number of Positions | security | 4 | 1 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 313,860 | $ 69,178 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (52,319) | $ (5,064) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 18 | 9 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 16,464 | $ 1,836 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (1,104) | $ (204) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 14 | 11 |
Total, Estimated Fair Value | $ 330,324 | $ 71,014 |
Total, Unrealized Losses | $ (53,423) | $ (5,268) |
Total, Number of Positions | security | 32 | 20 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 24,670 | $ 50,376 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (4,608) | $ (22,737) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 20 | 46 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 29,308 | $ 64,129 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (44,749) | $ (41,015) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 48 | 66 |
Total, Estimated Fair Value | $ 53,978 | $ 114,505 |
Total, Unrealized Losses | $ (49,357) | $ (63,752) |
Total, Number of Positions | security | 68 | 112 |
Residential Mortgage-Backed Securities | Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 0 | $ 11,398 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ 0 | $ (605) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 0 | 4 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 0 | $ 67,552 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ 0 | $ (610) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 0 | 5 |
Total, Estimated Fair Value | $ 0 | $ 78,950 |
Total, Unrealized Losses | $ 0 | $ (1,215) |
Total, Number of Positions | security | 0 | 9 |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 15,462 | $ 121,228 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (3,887) | $ (12,089) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 4 | 22 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 56,587 | $ 0 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (21,339) | $ 0 |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 15 | 0 |
Total, Estimated Fair Value | $ 72,049 | $ 121,228 |
Total, Unrealized Losses | $ (25,226) | $ (12,089) |
Total, Number of Positions | security | 19 | 22 |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 0 | $ 41,971 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ 0 | $ (277) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 0 | 3 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 14,758 | $ 44,896 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (13) | $ (389) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 2 | 4 |
Total, Estimated Fair Value | $ 14,758 | $ 86,867 |
Total, Unrealized Losses | $ (13) | $ (666) |
Total, Number of Positions | security | 2 | 7 |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 5,597 | $ 15,045 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (393) | $ (295) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 7 | 6 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 0 | $ 9,930 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ 0 | $ (2,406) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 0 | 7 |
Total, Estimated Fair Value | $ 5,597 | $ 24,975 |
Total, Unrealized Losses | $ (393) | $ (2,701) |
Total, Number of Positions | security | 7 | 13 |
Mortgage-Backed Securities - In
Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2020USD ($) | Mar. 31, 2020USD ($) | Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($) | Dec. 31, 2019USD ($) | |
Investment Holdings [Line Items] | ||||||
Gross unrealized loss | $ 128,562 | $ 128,562 | $ 85,984 | |||
Gains (losses) on extinguishment of debt | (55,794) | $ 0 | (55,338) | $ (608) | ||
Agency MBS | ||||||
Investment Holdings [Line Items] | ||||||
Gross unrealized loss | 12 | 12 | 1,000 | |||
Non-Agency RMBS | ||||||
Investment Holdings [Line Items] | ||||||
Gross unrealized loss | $ 1,000 | $ 1,000 | $ 348 | |||
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality | ||||||
Investment Holdings [Line Items] | ||||||
Percentage in Alt-A collateral | 51.00% | 51.00% | 58.00% | |||
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality | ||||||
Investment Holdings [Line Items] | ||||||
Percentage in prime collateral | 11.00% | 11.00% | 12.00% | |||
Minimum | Alt-A | ||||||
Investment Holdings [Line Items] | ||||||
FICO Score | 680 | |||||
Maximum | Alt-A | ||||||
Investment Holdings [Line Items] | ||||||
FICO Score | 720 | |||||
Alt-A securities underlying collateral of full documented loans | 30.00% | |||||
Non-Agency RMBS | ||||||
Investment Holdings [Line Items] | ||||||
Market value of investments transferred | $ 135,000 | |||||
Servicing asset at amortized cost | $ 196,000 | $ 196,000 | ||||
Repurchase of transferred investments | $ 252,000 |
Mortgage-Backed Securities - _2
Mortgage-Backed Securities - Summary of Credit Loss Allowance (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2020 | Sep. 30, 2020 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Beginning allowance for credit losses | $ 1,817 | $ 0 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 22 | 6,582 |
Allowance on purchased financial assets with credit deterioration | 0 | 0 |
Reductions for the securities sold during the period | 0 | (321) |
Increase/(decrease) on securities with an allowance in the prior period | (1,074) | (3,778) |
Write-offs charged against the allowance | (642) | (2,389) |
Recoveries of amounts previously written off | 44 | 73 |
Ending allowance for credit losses | 167 | 167 |
Cumulative Effect, Period of Adoption, Adjustment | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Beginning allowance for credit losses | $ 0 | $ 0 |
Mortgage-Backed Securities - Sc
Mortgage-Backed Securities - Schedule of Significant Credit Quality Indicators (Details) | Sep. 30, 2020USD ($) | Dec. 31, 2019USD ($) |
Investment Holdings [Line Items] | ||
Amortized Cost | $ 3,396,663,000 | $ 10,999,354,000 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Amortized Cost | $ 18,809,643 | |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.108 | |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.024 | |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.513 |
Mortgage-Backed Securities - Gr
Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | $ 555,589 | $ 709,335 |
Gross Unrealized Gain Included in Cumulative Earnings | 249,494 | 332,713 |
Total Gross Unrealized Gain | 805,083 | 1,042,048 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (608) | (999) |
Gross Unrealized Loss Included in Cumulative Earnings | (127,954) | (84,985) |
Total Gross Unrealized Loss | (128,562) | (85,984) |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 496,948 | 628,518 |
Gross Unrealized Gain Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Gain | 496,948 | 628,518 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (150) | (293) |
Gross Unrealized Loss Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Loss | (150) | (293) |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 52,475 | 57,174 |
Gross Unrealized Gain Included in Cumulative Earnings | 10,228 | 19,098 |
Total Gross Unrealized Gain | 62,703 | 76,272 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (445) | (55) |
Gross Unrealized Loss Included in Cumulative Earnings | (52,978) | (5,213) |
Total Gross Unrealized Loss | (53,423) | (5,268) |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 81,407 | 51,481 |
Total Gross Unrealized Gain | 81,407 | 51,481 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (49,357) | (63,752) |
Total Gross Unrealized Loss | (49,357) | (63,752) |
Residential Mortgage-Backed Securities | Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 0 | 152,271 |
Total Gross Unrealized Gain | 0 | 152,271 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | 0 | (1,215) |
Total Gross Unrealized Loss | 0 | (1,215) |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 1,055 | 220 |
Total Gross Unrealized Gain | 1,055 | 220 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (25,226) | (12,089) |
Total Gross Unrealized Loss | (25,226) | (12,089) |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 6,166 | 23,643 |
Gross Unrealized Gain Included in Cumulative Earnings | 154,112 | 109,057 |
Total Gross Unrealized Gain | 160,278 | 132,700 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (13) | (651) |
Gross Unrealized Loss Included in Cumulative Earnings | 0 | (15) |
Total Gross Unrealized Loss | (13) | (666) |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 2,692 | 586 |
Total Gross Unrealized Gain | 2,692 | 586 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (393) | (2,701) |
Total Gross Unrealized Loss | $ (393) | $ (2,701) |
Mortgage-Backed Securities - Co
Mortgage-Backed Securities - Collateral Characteristics (Detail) - USD ($) $ / shares in Units, $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 12,866,867 | $ 22,419,481 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 1,629,183 | $ 2,024,564 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 51.33 | $ 52.98 |
Weighted Average Fair Value (in dollars per share) | $ 81.81 | $ 84.01 |
Weighted Average Coupon | 4.50% | 5.00% |
Weighted Average Yield at Period-End | 16.50% | 20.80% |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 915,631 | $ 876,592 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 63.57 | $ 63.15 |
Weighted Average Fair Value (in dollars per share) | $ 64.58 | $ 71.25 |
Weighted Average Coupon | 3.60% | 3.70% |
Weighted Average Yield at Period-End | 6.30% | 6.90% |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 6,056,933 | $ 7,458,653 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 4.33 | $ 4.04 |
Weighted Average Fair Value (in dollars per share) | $ 4.85 | $ 3.87 |
Weighted Average Coupon | 1.50% | 1.10% |
Weighted Average Yield at Period-End | 16.80% | 8.40% |
Residential Mortgage-Backed Securities | Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 0 | $ 6,080,547 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 102.15 | |
Weighted Average Fair Value (in dollars per share) | $ 104.64 | |
Weighted Average Coupon | 4.00% | |
Weighted Average Yield at Period-End | 3.40% | |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 1,343,378 | $ 1,539,941 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 9.24 | $ 9.06 |
Weighted Average Fair Value (in dollars per share) | $ 7.44 | $ 8.29 |
Weighted Average Coupon | 1.90% | 1.60% |
Weighted Average Yield at Period-End | 1.50% | 4.00% |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 1,538,077 | $ 2,621,938 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 101.82 | $ 101.82 |
Weighted Average Fair Value (in dollars per share) | $ 112.24 | $ 106.86 |
Weighted Average Coupon | 4.10% | 3.70% |
Weighted Average Yield at Period-End | 3.90% | 3.60% |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 1,383,665 | $ 1,817,246 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 1.89 | $ 2.81 |
Weighted Average Fair Value (in dollars per share) | $ 2.06 | $ 2.70 |
Weighted Average Coupon | 0.70% | 0.70% |
Weighted Average Yield at Period-End | 7.90% | 4.70% |
Mortgage-Backed Securities - Cr
Mortgage-Backed Securities - Credit Ratings (Detail) - Non-Agency RMBS | Sep. 30, 2020 | Dec. 31, 2019 |
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 100.00% | 100.00% |
AAA | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.30% | 0.40% |
AA | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.10% | 0.10% |
A | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 1.20% | 0.90% |
BBB | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 1.80% | 1.60% |
BB | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 4.20% | 3.80% |
B | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 2.00% | 1.60% |
Below B or not rated | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 90.40% | 91.60% |
Mortgage-Backed Securities - Ma
Mortgage-Backed Securities - Maturities (Detail) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Fair value | ||
Less than one year, at fair value | $ 28,737,000 | $ 31,408,000 |
Greater than one year and less than five years, at fair value | 619,823,000 | 6,582,162,000 |
Greater than five years and less than ten years, at fair value | 821,615,000 | 1,536,886,000 |
Greater than ten years, at fair value | 2,602,842,000 | 3,804,962,000 |
Total maturities, at fair value | 4,073,017,000 | 11,955,418,000 |
Amortized cost | ||
Less than one year, at amortized cost | 33,602,000 | 30,290,000 |
Greater than one year and less than five years, at amortized cost | 494,863,000 | 6,305,410,000 |
Greater than five years and less than ten years, at amortized cost | 575,918,000 | 1,253,782,000 |
Greater than ten years, at amortized cost | 2,292,280,000 | 3,409,872,000 |
Amortized Cost | 3,396,663,000 | 10,999,354,000 |
Non-Agency RMBS - Senior | ||
Amortized cost | ||
Amortized Cost | 18,809,643 | |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Fair value | ||
Less than one year, at fair value | 9,894,000 | 16,343,000 |
Greater than one year and less than five years, at fair value | 365,604,000 | 450,185,000 |
Greater than five years and less than ten years, at fair value | 502,840,000 | 676,382,000 |
Greater than ten years, at fair value | 454,562,000 | 558,001,000 |
Total maturities, at fair value | 1,332,900,000 | 1,700,911,000 |
Amortized cost | ||
Less than one year, at amortized cost | 6,264,000 | 15,206,000 |
Greater than one year and less than five years, at amortized cost | 257,902,000 | 304,850,000 |
Greater than five years and less than ten years, at amortized cost | 288,351,000 | 409,958,000 |
Greater than ten years, at amortized cost | 283,752,000 | 342,672,000 |
Amortized Cost | 836,269,000 | 1,072,686,000 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Fair value | ||
Less than one year, at fair value | 0 | 0 |
Greater than one year and less than five years, at fair value | 73,141,000 | 43,796,000 |
Greater than five years and less than ten years, at fair value | 83,705,000 | 95,973,000 |
Greater than ten years, at fair value | 434,510,000 | 484,829,000 |
Total maturities, at fair value | 591,356,000 | 624,598,000 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | 0 |
Greater than one year and less than five years, at amortized cost | 60,669,000 | 29,085,000 |
Greater than five years and less than ten years, at amortized cost | 66,813,000 | 86,033,000 |
Greater than ten years, at amortized cost | 454,594,000 | 438,476,000 |
Amortized Cost | 582,076,000 | 553,594,000 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | ||
Fair value | ||
Less than one year, at fair value | 3,380,000 | 0 |
Greater than one year and less than five years, at fair value | 156,082,000 | 126,631,000 |
Greater than five years and less than ten years, at fair value | 132,305,000 | 159,057,000 |
Greater than ten years, at fair value | 2,266,000 | 3,211,000 |
Total maturities, at fair value | 294,033,000 | 288,899,000 |
Amortized cost | ||
Less than one year, at amortized cost | 11,641,000 | 0 |
Greater than one year and less than five years, at amortized cost | 152,652,000 | 150,221,000 |
Greater than five years and less than ten years, at amortized cost | 94,982,000 | 148,889,000 |
Greater than ten years, at amortized cost | 2,708,000 | 2,060,000 |
Amortized Cost | 261,983,000 | 301,170,000 |
Residential Mortgage-Backed Securities | Agency MBS - Residential | ||
Fair value | ||
Less than one year, at fair value | 0 | 0 |
Greater than one year and less than five years, at fair value | 0 | 5,939,408,000 |
Greater than five years and less than ten years, at fair value | 0 | 421,539,000 |
Greater than ten years, at fair value | 0 | 1,679,000 |
Total maturities, at fair value | 0 | 6,362,626,000 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | 0 |
Greater than one year and less than five years, at amortized cost | 0 | 5,796,044,000 |
Greater than five years and less than ten years, at amortized cost | 0 | 414,482,000 |
Greater than ten years, at amortized cost | 0 | 1,044,000 |
Amortized Cost | 0 | 6,211,570,000 |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Fair value | ||
Less than one year, at fair value | 0 | 0 |
Greater than one year and less than five years, at fair value | 1,018,000 | 1,614,000 |
Greater than five years and less than ten years, at fair value | 98,970,000 | 126,053,000 |
Greater than ten years, at fair value | 0 | 0 |
Total maturities, at fair value | 99,988,000 | 127,667,000 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | 0 |
Greater than one year and less than five years, at amortized cost | 1,979,000 | 2,260,000 |
Greater than five years and less than ten years, at amortized cost | 122,180,000 | 137,276,000 |
Greater than ten years, at amortized cost | 0 | 0 |
Amortized Cost | 124,159,000 | 139,536,000 |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Fair value | ||
Less than one year, at fair value | 14,758,000 | 15,065,000 |
Greater than one year and less than five years, at fair value | 0 | 0 |
Greater than five years and less than ten years, at fair value | 0 | 29,385,000 |
Greater than ten years, at fair value | 1,711,504,000 | 2,757,242,000 |
Total maturities, at fair value | 1,726,262,000 | 2,801,692,000 |
Amortized cost | ||
Less than one year, at amortized cost | 14,771,000 | 15,084,000 |
Greater than one year and less than five years, at amortized cost | 0 | 0 |
Greater than five years and less than ten years, at amortized cost | 0 | 28,954,000 |
Greater than ten years, at amortized cost | 1,551,226,000 | 2,625,620,000 |
Amortized Cost | 1,565,997,000 | 2,669,658,000 |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Fair value | ||
Less than one year, at fair value | 705,000 | 0 |
Greater than one year and less than five years, at fair value | 23,978,000 | 20,528,000 |
Greater than five years and less than ten years, at fair value | 3,795,000 | 28,497,000 |
Greater than ten years, at fair value | 0 | 0 |
Total maturities, at fair value | 28,478,000 | 49,025,000 |
Amortized cost | ||
Less than one year, at amortized cost | 926,000 | 0 |
Greater than one year and less than five years, at amortized cost | 21,661,000 | 22,950,000 |
Greater than five years and less than ten years, at amortized cost | 3,592,000 | 28,190,000 |
Greater than ten years, at amortized cost | 0 | 0 |
Amortized Cost | $ 26,179,000 | $ 51,140,000 |
Mortgage-Backed Securities - Ge
Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-Agency RMBS - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Investment Holdings [Line Items] | ||
Weighted average maturity (years) | 22 years 10 months 24 days | 23 years 7 months 6 days |
Weighted average amortized loan to value | 62.00% | 63.20% |
Weighted average FICO | 714 | 719 |
Weighted average loan balance (in thousands) | $ 296 | $ 313 |
Weighted average percentage owner occupied | 81.40% | 80.60% |
Weighted average percentage single family residence | 61.40% | 60.00% |
Weighted average current credit enhancement | 0.90% | 1.10% |
CA | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 31.10% | 32.50% |
FL | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 7.00% | 6.60% |
NY | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 7.20% | 6.30% |
TX | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 2.40% | 2.00% |
Mortgage-Backed Securities - Ye
Mortgage-Backed Securities - Year Originated (Detail) - Non-Agency RMBS | Sep. 30, 2020 | Dec. 31, 2019 |
Origination Year as a Percentage of Outstanding Principal Balance: | ||
2003 (and prior) | 1.70% | 1.30% |
2004 | 1.50% | 1.50% |
2005 | 10.80% | 10.70% |
2006 | 52.20% | 52.90% |
2007 | 26.70% | 26.60% |
2008 and later | 7.10% | 7.00% |
Total | 100.00% | 100.00% |
Mortgage-Backed Securities - Ga
Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Investment Holdings [Line Items] | ||||
Net realized gain (loss) | $ 65,041 | $ 7 | $ 167,275 | $ 1,083 |
Non-Agency RMBS | ||||
Investment Holdings [Line Items] | ||||
Proceeds from sales: | 604 | 33,437 | 142,564 | 38,658 |
Gross realized gains: | 0 | 24 | 21,274 | 424 |
Gross realized losses: | (2,214) | (17) | (8,392) | (1,447) |
Agency RMBS | ||||
Investment Holdings [Line Items] | ||||
Proceeds from sales: | 0 | 0 | 5,710,134 | 1,907,766 |
Gross realized gains: | 0 | 0 | 74,264 | 27,025 |
Gross realized losses: | 0 | 0 | (5,816) | (22,694) |
Agency CMBS | ||||
Investment Holdings [Line Items] | ||||
Proceeds from sales: | 734,320 | 0 | 1,060,987 | 22,482 |
Gross realized gains: | 70,237 | 0 | 88,927 | 0 |
Gross realized losses: | $ (2,982) | $ 0 | $ (2,982) | $ (2,225) |
Loans Held for Investment - Nar
Loans Held for Investment - Narrative (Detail) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Securitized debt loans held for investment at cost | $ 13,100 | $ 13,100 | $ 13,700 |
Loans Held for Investment at Fair Value | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Purchases | 725 | 725 | 1,800 |
Retained balance | 22 | 22 | 124 |
Fair Value | Seasoned Subprime Residential Mortgage Loans | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Fair value of loans 90 days or more past due | $ 856 | $ 856 | $ 597 |
Loans Held for Investment - Rol
Loans Held for Investment - Roll-Forward (Detail) - Variable Interest Entities, Primary Beneficiary - Loans Held for Investment at Fair Value - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning of period | $ 14,292,815 | $ 12,572,581 |
Purchases | 1,536,633 | 5,086,491 |
Principal paydowns | (1,384,331) | (1,717,745) |
Sales and settlements | (713,114) | (1,812,760) |
Net periodic accretion (amortization) | (74,502) | (77,491) |
Realized gains (losses) on sales and settlements | 0 | 1,590 |
Change in fair value | (124,249) | 240,149 |
Balance, end of period | $ 13,533,252 | $ 14,292,815 |
Loans Held for Investment - Yea
Loans Held for Investment - Year Originated (Detail) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans - USD ($) $ in Millions | Sep. 30, 2020 | Dec. 31, 2019 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
2002 and prior | 6.80% | 6.80% |
2003 | 5.80% | 6.00% |
2004 | 12.20% | 12.60% |
2005 | 18.40% | 18.60% |
2006 | 23.00% | 22.50% |
2007 | 22.30% | 20.70% |
2008 | 6.20% | 6.40% |
2009 | 1.20% | 1.50% |
2010 and later | 4.10% | 4.90% |
Total | 100.00% | 100.00% |
Underlying mortgages excluded from portfolio | $ 461 | $ 754 |
Loans Held for Investment - Col
Loans Held for Investment - Collateral Characteristics (Detail) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans $ in Thousands | Sep. 30, 2020USD ($)loan | Dec. 31, 2019USD ($)loan |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of loans | loan | 132,641 | 139,194 |
Weighted average maturity (years) | 19 years 6 months | 19 years 3 months 18 days |
Weighted average loan to value | 86.20% | 87.40% |
Weighted average FICO | 631 | 627 |
Weighted average loan balance (in thousands) | $ | $ 97 | $ 95 |
Weighted average percentage owner occupied | 87.50% | 88.00% |
Weighted average percentage single family residence | 83.70% | 84.40% |
CA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 12.60% | 11.60% |
FL | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 7.90% | 7.40% |
NY | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 7.20% | 6.90% |
OH | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 5.30% | |
VA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 5.00% | |
PA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 5.00% | 5.30% |
Loans Held for Investment - Loa
Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Unpaid Principal Balance | $ 12,799,980 | $ 13,169,843 |
Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 2,502,681 | $ 2,379,192 |
% of Unpaid Principal Balance | 19.60% | 18.10% |
30 Days Delinquent | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 864,525 | $ 1,070,173 |
% of Unpaid Principal Balance | 6.80% | 8.10% |
60 Days Delinquent | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 358,002 | $ 336,950 |
% of Unpaid Principal Balance | 2.80% | 2.60% |
90+ Days Delinquent | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 710,875 | $ 291,866 |
% of Unpaid Principal Balance | 5.60% | 2.20% |
Bankruptcy | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 285,834 | $ 322,288 |
% of Unpaid Principal Balance | 2.20% | 2.40% |
Foreclosure | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 253,637 | $ 298,526 |
% of Unpaid Principal Balance | 2.00% | 2.30% |
Loss Mitigation | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 122 | $ 0 |
% of Unpaid Principal Balance | 0.00% | 0.00% |
REO | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 29,686 | $ 59,389 |
% of Unpaid Principal Balance | 0.20% | 0.50% |
Fair Value Measurements - Narra
Fair Value Measurements - Narrative (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Mar. 31, 2020USD ($) | Sep. 30, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans internally valued lower than third party prices | loan | 22 | 6 | |
Excess (deficit) of third party prices over internally developed price, assets | $ 1,000 | $ 3,000 | |
Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Excess (deficit) of third party prices over internally developed price, assets | 20,000 | ||
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value disclosure | 384,000 | 22,000 | |
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value disclosure | $ 147,000 | ||
Number of loans | loan | 1 | ||
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value disclosure | 383,000 | $ 19,000 | |
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Excess (deficit) of third party prices over internally developed price, assets | 127,000 | ||
Non-Agency RMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Transfers out of level 3 | $ 135,000 | $ 135,118 | $ 0 |
Fair Value Measurements - Sched
Fair Value Measurements - Schedule of Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Assets: | |||||
Unpaid Principal/ Notional | $ 12,866,867 | $ 12,866,867 | $ 22,419,481 | ||
Loans held for investment, fair value | 13,533,252 | 13,533,252 | 14,292,815 | ||
Liabilities: | |||||
Securitized debt at fair value, collateralized by loans held for investment, Fair value | 8,757,449 | 8,757,449 | 8,179,608 | ||
Non-Agency RMBS | Senior | |||||
Liabilities: | |||||
Change in fair value of financial instruments | 0 | $ (620) | 0 | $ 0 | |
Non-Agency RMBS | Subordinated | |||||
Assets: | |||||
Unpaid Principal/ Notional | 637,003 | 637,003 | 580,761 | ||
Fair Value | 407,354 | 407,354 | 422,826 | ||
Liabilities: | |||||
Change in fair value of financial instruments | 31,328 | 10,643 | (56,632) | 17,742 | |
Non-Agency RMBS | Senior, interest-only | |||||
Assets: | |||||
Unpaid Principal/ Notional | 6,056,933 | 6,056,933 | 7,458,653 | ||
Fair Value | 294,033 | 294,033 | 288,899 | ||
Liabilities: | |||||
Change in fair value of financial instruments | (12,626) | (17,006) | 44,320 | 19,586 | |
Agency RMBS | Interest-only | |||||
Assets: | |||||
Unpaid Principal/ Notional | 1,343,378 | 1,343,378 | 1,539,941 | ||
Fair Value | 99,988 | 99,988 | 127,667 | ||
Liabilities: | |||||
Change in fair value of financial instruments | (824) | (1,425) | (12,302) | (3,613) | |
Agency RMBS | Pass-through | |||||
Assets: | |||||
Unpaid Principal/ Notional | 0 | 0 | 6,080,549 | ||
Fair Value | 0 | 0 | 6,362,628 | ||
Liabilities: | |||||
Change in fair value of financial instruments | 0 | 26,052 | (151,056) | 133,649 | |
Agency CMBS | Interest-only | |||||
Assets: | |||||
Unpaid Principal/ Notional | 1,383,665 | 1,383,665 | 1,817,246 | ||
Fair Value | 28,478 | 28,478 | 49,025 | ||
Liabilities: | |||||
Change in fair value of financial instruments | 2,788 | 370 | 4,415 | 2,674 | |
Agency CMBS | Project loans | |||||
Assets: | |||||
Unpaid Principal/ Notional | 1,417,749 | 1,417,749 | 1,753,755 | ||
Fair Value | 1,597,024 | 1,597,024 | 1,889,923 | ||
Liabilities: | |||||
Change in fair value of financial instruments | (42,942) | 58,663 | 45,069 | 184,111 | |
Loans held for investment | |||||
Assets: | |||||
Loans held for investment, Unpaid Principal/Notional | 13,260,675 | 13,260,675 | 13,924,291 | ||
Loans held for investment, fair value | 13,533,252 | 13,533,252 | 14,292,815 | ||
Liabilities: | |||||
Change in fair value of financial instruments | 371,423 | 70,556 | (124,250) | 296,939 | |
Securitized debt | |||||
Liabilities: | |||||
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional | 8,882,483 | 8,882,483 | 8,184,369 | ||
Securitized debt at fair value, collateralized by loans held for investment, Fair value | 8,757,449 | 8,757,449 | $ 8,179,608 | ||
Change in fair value of financial instruments | $ (88,381) | $ (16,408) | $ 78,394 | $ (128,702) |
Fair Value Measurements - Level
Fair Value Measurements - Level of Fair Value (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Assets: | ||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively) | $ 2,218,289 | $ 2,614,408 |
Agency RMBS, at fair value | 99,988 | 6,490,293 |
Agency CMBS, at fair value | 1,754,740 | 2,850,717 |
Loans held for investment, at fair value | 13,533,252 | 14,292,815 |
Derivatives, at fair value, net | 0 | 3,611 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | 8,757,449 | 8,179,608 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Fair Value, Measurements, Recurring | ||
Assets: | ||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively) | 2,218,289 | 2,614,408 |
Agency RMBS, at fair value | 99,988 | 6,490,293 |
Agency CMBS, at fair value | 1,754,740 | |
Loans held for investment, at fair value | 13,533,252 | 14,292,815 |
Counterparty and Cash Collateral, netting | 0 | (1,092) |
Derivatives, at fair value, net | 0 | 3,611 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | 8,757,449 | 8,179,608 |
Counterparty and Cash Collateral, netting | 0 | (205,703) |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | ||
Assets: | ||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively) | 0 | 0 |
Agency RMBS, at fair value | 0 | 0 |
Agency CMBS, at fair value | 0 | 0 |
Loans held for investment, at fair value | 0 | 0 |
Derivatives | 0 | 3,611 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | 0 | 0 |
Derivatives | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 | ||
Assets: | ||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively) | 0 | 0 |
Agency RMBS, at fair value | 99,988 | 6,490,293 |
Agency CMBS, at fair value | 1,754,740 | 2,850,717 |
Loans held for investment, at fair value | 0 | 0 |
Derivatives | 0 | 1,092 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | 0 | 0 |
Derivatives | 0 | 205,703 |
Fair Value, Measurements, Recurring | Level 3 | ||
Assets: | ||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively) | 2,218,289 | 2,614,408 |
Agency RMBS, at fair value | 0 | 0 |
Agency CMBS, at fair value | 0 | 0 |
Loans held for investment, at fair value | 13,533,252 | 14,292,815 |
Derivatives | 0 | 0 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | 8,757,449 | 8,179,608 |
Derivatives | $ 0 | $ 0 |
Fair Value Measurements - Unobs
Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | |
Non-Agency RMBS | |||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | |||
Beginning balance Level 3 | $ 2,614,408 | $ 2,614,408 | $ 2,486,130 |
Transfers into Level 3 | 135,118 | 0 | |
Transfers out of Level 3 | (135,000) | (135,118) | 0 |
Purchases of assets/ issuance of debt | 44,811 | 497,848 | |
Principal payments | (191,294) | (415,518) | |
Sales and settlements | (142,534) | (38,605) | |
Net accretion (amortization) | 28,996 | 95,562 | |
Gains (losses) included in net income | |||
(Increase) decrease in provision for credit losses | (167) | (4,853) | |
Realized gains (losses) on sales and settlements | 12,900 | (1,088) | |
Net unrealized gains (losses) included in income | (12,313) | 28,577 | |
Gains (losses) included in other comprehensive income | |||
Total unrealized gains (losses) for the period | (136,518) | (33,645) | |
Ending balance Level 3 | 2,218,289 | 2,614,408 | |
Variable Interest Entities, Primary Beneficiary | Securitized Debt | |||
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward] | |||
Securitized Debt, Beginning balance, Level 3 | 8,179,608 | 8,179,608 | 8,455,376 |
Securitized Debt, Transfers in to Level 3 assets | 0 | 0 | |
Securitized Debt, Transfers out of Level 3 assets | 0 | 0 | |
Securitized Debt, Purchases of assets/ issuance of debt | 2,061,890 | 1,487,286 | |
Securitized Debt, Principal payments | (1,233,203) | (1,530,818) | |
Securitized Debt, Sales and Settlements | (146,663) | (314,454) | |
Securitized Debt, Net accretion (amortization) | (25,336) | (26,758) | |
Securitized Debt, Other than temporary credit impairment losses | 0 | 0 | |
Securitized Debt, Realized gains (losses) on sales and settlements | (459) | (9,925) | |
Securitized Debt, Net unrealized gains (losses) included in income | (78,388) | 118,901 | |
Securitized Debt, Gains (losses) included in other comprehensive income | 0 | 0 | |
Securitized Debt, Ending balance, Level 3 | 8,757,449 | 8,179,608 | |
Variable Interest Entities, Primary Beneficiary | Loans held for investment | |||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | |||
Beginning balance Level 3 | $ 14,292,815 | 14,292,815 | 12,572,581 |
Transfers into Level 3 | 0 | 0 | |
Transfers out of Level 3 | 0 | 0 | |
Purchases of assets/ issuance of debt | 1,536,633 | 5,086,491 | |
Principal payments | (1,384,331) | (1,717,745) | |
Sales and settlements | (713,114) | (1,812,760) | |
Net accretion (amortization) | (74,502) | (77,491) | |
Gains (losses) included in net income | |||
(Increase) decrease in provision for credit losses | 0 | 0 | |
Realized gains (losses) on sales and settlements | 0 | 1,590 | |
Net unrealized gains (losses) included in income | (124,249) | 240,149 | |
Gains (losses) included in other comprehensive income | |||
Total unrealized gains (losses) for the period | 0 | 0 | |
Ending balance Level 3 | $ 13,533,252 | $ 14,292,815 |
Fair Value Measurements - Uno_2
Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Level 3 | Sep. 30, 2020 | Dec. 31, 2019 |
Discount Rate | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.02 | 0.03 |
Discount Rate | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.02 | 0 |
Discount Rate | Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
Discount Rate | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.10 | 0.08 |
Discount Rate | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.13 | 0.13 |
Discount Rate | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 1 | 1 |
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.035 | 0.038 |
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.066 | 0.053 |
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.102 | 0.114 |
CPR | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.01 | 0.06 |
CPR | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.02 | 0.06 |
CPR | Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.04 | 0.06 |
CPR | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.30 | 0.20 |
CPR | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.40 | 0.35 |
CPR | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.45 | 0.43 |
CPR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.085 | 0.094 |
CPR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.110 | 0.096 |
CPR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.237 | 0.185 |
CDR | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.10 | 0.09 |
CDR | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.06 | 0.06 |
CDR | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.08 | 0.06 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.020 | 0.018 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.014 | 0.013 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.013 | 0.010 |
Loss Severity | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.27 | 0.26 |
Loss Severity | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.10 | 0.27 |
Loss Severity | Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0.26 |
Loss Severity | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.80 | 0.82 |
Loss Severity | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.66 | 0.55 |
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.83 | 0.83 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.437 | 0.420 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.370 | 0.367 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.350 | 0.353 |
Fair Value Measurements - Uno_3
Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail) - Variable Interest Entities, Primary Beneficiary - Loans held for investment - Level 3 | Sep. 30, 2020 | Dec. 31, 2019 |
Discount Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
Discount Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.10 | 0.10 |
Discount Rate | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.031 | |
CPR | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.05 | 0.06 |
CPR | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.30 | 0.20 |
CPR | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.092 | 0.091 |
CDR | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.03 | 0.03 |
CDR | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.013 | 0.014 |
Loss Severity | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.30 | 0.30 |
Loss Severity | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.70 | 0.75 |
Loss Severity | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.584 | 0.599 |
Fair Value Measurements - Uno_4
Fair Value Measurements - Unobservable Inputs Assumptions - Loans Held for Investment (Detail) - Loans Held for Investment at Fair Value - Level 3 | Sep. 30, 2020 | Dec. 31, 2019 |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 6.40% | 6.60% |
FICO | 628 | 624 |
Loan-to-value (LTV) | 86.00% | 88.00% |
Single family | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 85.00% | 85.00% |
Manufactured housing | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 3.00% | 4.00% |
Multi-family/mixed use/other | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 12.00% | 11.00% |
Owner Occupied | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 89.00% | 89.00% |
Investor | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 2.00% | 2.00% |
Secondary | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 9.00% | 9.00% |
Base Rate | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 4.10% | 4.30% |
FICO | 639 | 636 |
Loan-to-value (LTV) | 90.00% | 86.00% |
Fair Value Measurements - Carry
Fair Value Measurements - Carrying and Fair Values (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 117,904 | $ 133,557 |
Long term debt | 70,641 | 0 |
Carrying Amount | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Secured financing agreements (1) | 4,700,037 | 13,427,545 |
Long term debt | 70,641 | |
Carrying Amount | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | 117,904 | 133,557 |
Fair Value | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Secured financing agreements (1) | 4,816,006 | 13,450,193 |
Long term debt | 89,166 | |
Fair Value | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 100,872 | $ 117,552 |
Secured Financing Agreements -
Secured Financing Agreements - Outstanding, Weighted Average Borrowing Rates, Weighted Average Remaining Maturities, Average Daily Balances and the Fair Value of Collateral Pledged (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | $ 4,700,037 | $ 13,427,545 |
Repurchase Agreements | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | 4,700,037 | 13,427,545 |
MBS pledged as collateral at fair value on Repurchase agreements: | 6,620,060 | 15,399,244 |
Average balance of Secured financing agreements secured by: | 8,115,123 | 14,492,386 |
Repurchase Agreements | Agency MBS - Residential | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | 73,516 | 6,247,275 |
MBS pledged as collateral at fair value on Repurchase agreements: | 94,960 | 6,602,039 |
Average balance of Secured financing agreements secured by: | $ 1,808,703 | $ 8,062,881 |
Average borrowing rate of Secured financing agreements secured by: | 1.00% | 2.10% |
Average remaining maturity of Secured financing agreements secured by: | 13 days | 14 days |
Average original maturity of Secured financing agreements secured by: | 15 days | 38 days |
Repurchase Agreements | Agency CMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | $ 1,323,540 | $ 2,013,515 |
MBS pledged as collateral at fair value on Repurchase agreements: | 1,368,799 | 2,102,520 |
Average balance of Secured financing agreements secured by: | $ 1,967,103 | $ 1,993,372 |
Average borrowing rate of Secured financing agreements secured by: | 0.23% | 2.10% |
Average remaining maturity of Secured financing agreements secured by: | 18 days | 13 days |
Average original maturity of Secured financing agreements secured by: | 31 days | 34 days |
Repurchase Agreements | Non-agency MBS and Loans held for investment | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | $ 3,302,981 | $ 5,166,755 |
MBS pledged as collateral at fair value on Repurchase agreements: | 5,156,301 | 6,694,685 |
Average balance of Secured financing agreements secured by: | $ 4,339,317 | $ 4,436,133 |
Average borrowing rate of Secured financing agreements secured by: | 4.79% | 3.19% |
Average remaining maturity of Secured financing agreements secured by: | 570 days | 255 days |
Average original maturity of Secured financing agreements secured by: | 590 days | 279 days |
Secured Financing Agreements _2
Secured Financing Agreements - Narrative (Details) - USD ($) | 9 Months Ended | ||
Sep. 30, 2020 | Jun. 08, 2020 | Dec. 31, 2019 | |
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 4,700,037,000 | $ 13,427,545,000 | |
Debt issuance costs, net | 9,000,000 | ||
Margin cash collateral pledged to repurchase agreement counterparties | $ 38,469,000 | $ 20,211,000 | |
Decrease in share price (as a percent) | 50.00% | ||
Goldman Sachs | |||
Repurchase Agreement Counterparty [Line Items] | |||
Amount at risk | $ 614,000,000 | ||
Warehouse Agreement Borrowings | |||
Repurchase Agreement Counterparty [Line Items] | |||
Unused warehouse credit facilities | $ 1,700,000,000 | ||
Repurchase Agreements | Stockholders' Equity, Total | Goldman Sachs | Credit Concentration Risk | Asset Pledged as Collateral | |||
Repurchase Agreement Counterparty [Line Items] | |||
Concentration risk (as a percent) | 17.00% | ||
Weighted average maturity | 1052 days | ||
Securitized debt | Credit Agreement | |||
Repurchase Agreement Counterparty [Line Items] | |||
Principal balance | $ 400,000,000 | $ 400,000,000 | |
Long-term financing agreements, interest rate (as a percent) | 7.00% | ||
Secured Debt Subject to Automatic Stay Provisions | |||
Repurchase Agreement Counterparty [Line Items] | |||
Principal balance | $ 830,000,000 | ||
Minimum | Warehouse Agreement Borrowings | |||
Repurchase Agreement Counterparty [Line Items] | |||
Maturity dates of credit facility | 30 days | ||
Maximum | Warehouse Agreement Borrowings | |||
Repurchase Agreement Counterparty [Line Items] | |||
Maturity dates of credit facility | 1 year | ||
Not Subject to Additional Margin Requirements | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 1,300,000,000 |
Secured Financing Agreements _3
Secured Financing Agreements - Maturities (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 4,700,037 | $ 13,427,545 |
Repurchase Agreements | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 4,700,037 | 13,427,545 |
Repurchase Agreements | Overnight | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 0 | 0 |
Repurchase Agreements | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 1,610,030 | 9,709,387 |
Repurchase Agreements | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 212,333 | 800,648 |
Repurchase Agreements | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 14,626 | 608,520 |
Repurchase Agreements | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 0 | 0 |
Repurchase Agreements | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 606,072 | 809,077 |
Repurchase Agreements | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 1,004,318 | 580,886 |
Repurchase Agreements | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 92,695 | 427,981 |
Repurchase Agreements | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 395,829 | 0 |
Repurchase Agreements | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 764,134 | $ 491,046 |
Repurchase Agreements | Weighted Average Borrowing Rates | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 3.44% | 2.52% |
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.58% | 2.26% |
Repurchase Agreements | Weighted Average Borrowing Rates | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 2.35% | 2.96% |
Repurchase Agreements | Weighted Average Borrowing Rates | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.83% | 3.00% |
Repurchase Agreements | Weighted Average Borrowing Rates | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 4.23% | 3.38% |
Repurchase Agreements | Weighted Average Borrowing Rates | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.02% | 3.42% |
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 4.50% | 3.28% |
Repurchase Agreements | Weighted Average Borrowing Rates | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.00% | |
Repurchase Agreements | Weighted Average Borrowing Rates | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 3.84% | 3.20% |
Repurchase Agreements | Minimum | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.20% | 1.90% |
Repurchase Agreements | Minimum | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.85% | 2.15% |
Repurchase Agreements | Minimum | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.55% | 2.59% |
Repurchase Agreements | Minimum | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.34% | 3.06% |
Repurchase Agreements | Minimum | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 3.25% | 3.26% |
Repurchase Agreements | Minimum | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 4.50% | 3.19% |
Repurchase Agreements | Minimum | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.00% | |
Repurchase Agreements | Minimum | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.55% | 3.19% |
Repurchase Agreements | Maximum | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 3.02% | 3.62% |
Repurchase Agreements | Maximum | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 2.55% | 3.52% |
Repurchase Agreements | Maximum | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 2.45% | 3.35% |
Repurchase Agreements | Maximum | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.61% | 3.46% |
Repurchase Agreements | Maximum | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.99% | 3.51% |
Repurchase Agreements | Maximum | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 4.50% | 3.30% |
Repurchase Agreements | Maximum | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.00% | |
Repurchase Agreements | Maximum | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 5.56% | 3.20% |
Securitized Debt - Narrative (D
Securitized Debt - Narrative (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | |||||
Gains (losses) on extinguishment of debt | $ (55,794,000) | $ 0 | $ (55,338,000) | $ (608,000) | |
Securitized Loans | Non-Agency RMBS | |||||
Debt Instrument [Line Items] | |||||
Principal balance | 2,900,000 | 2,900,000 | |||
Acquired securitized debt collateral outstanding principal balance | 0 | 0 | 0 | ||
Repurchase of non retained secured debt | 3,500,000 | 3,500,000 | |||
Gains (losses) on extinguishment of debt | $ 608,000 | $ 608,000 | |||
Variable Interest Entities, Primary Beneficiary | Securitized Loans | Non-Agency RMBS | |||||
Debt Instrument [Line Items] | |||||
Principal balance | $ 138,000,000 | $ 138,000,000 | $ 152,000,000 | ||
Weighted average cost of financing | 6.50% | 6.50% | |||
Acquired securitized debt collateral outstanding principal balance | $ 147,000,000 | $ 147,000,000 | |||
Gains (losses) on extinguishment of debt | 459,000 | 459,000 | |||
Variable Interest Entities, Primary Beneficiary | Securitized Loans | Securitized debt | |||||
Debt Instrument [Line Items] | |||||
Principal balance | $ 8,900,000,000 | $ 8,900,000,000 | $ 8,200,000,000 | ||
Weighted average cost of financing | 3.40% | 3.40% | 4.20% |
Securitized Debt - Maturities (
Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Securitized debt | ||
Debt Instrument [Line Items] | ||
Within One Year | $ 1,709,381 | $ 1,582,646 |
One to Three Years | 2,739,227 | 2,563,699 |
Three to Five Years | 1,777,190 | 1,791,756 |
Greater Than Five Years | 2,556,837 | 2,129,460 |
Total | 8,782,635 | 8,067,561 |
Securitized Loans | Non-Agency RMBS | ||
Debt Instrument [Line Items] | ||
Within One Year | 14,707 | 18,826 |
One to Three Years | 11,575 | 18,332 |
Three to Five Years | 1,312 | 4,453 |
Greater Than Five Years | 461 | 665 |
Total | $ 28,055 | $ 42,276 |
Securitized Debt - Callable Deb
Securitized Debt - Callable Debt (Detail) - Securitized Loans $ in Thousands | Sep. 30, 2020USD ($) |
Debt Instrument, Redemption [Line Items] | |
2020 | $ 3,312,747 |
2021 | 2,456,775 |
2022 | 1,450,861 |
2023 | 393,932 |
Total | $ 7,614,315 |
Long Term Debt (Details)
Long Term Debt (Details) $ / shares in Units, shares in Millions | Apr. 07, 2020USD ($)$ / shares | Apr. 30, 2020USD ($)$ / shares | Sep. 30, 2020USD ($)shares | Sep. 30, 2019USD ($) | Dec. 31, 2019USD ($) |
Debt Instrument [Line Items] | |||||
Settlement of convertible debt | $ 290,531,000 | $ 0 | |||
Accrued interest payable | 36,451,000 | $ 63,600,000 | |||
Convertible Debt | Convertible Senior Notes due 2023 | |||||
Debt Instrument [Line Items] | |||||
Principal balance | $ 374,000,000 | ||||
Stated interest rate (as a percent) | 7.00% | ||||
Proceeds from issuance of debt | $ 362,000,000 | ||||
Conversion rate ratio | 0.1538461 | ||||
Conversion price (in dollars per share) | $ / shares | $ 6.50 | ||||
Settlement of convertible debt | 301,000,000 | ||||
Outstanding amount of debt | 73,000,000 | ||||
Accrued interest payable | 0 | ||||
Unamortized debt issuance cost | 2,000,000 | ||||
Interest expense | 6,000,000 | ||||
Debt instrument, amount covered by offering | $ 250,000,000 | ||||
Fair value of Capped Call Transactions | $ 37,000,000 | ||||
Common Stock | |||||
Debt Instrument [Line Items] | |||||
Debt conversion, shares converted into (in shares) | shares | 46 | ||||
Debt instrument, initial strike price (in dollars per share) | $ / shares | $ 6.50 | ||||
Debt instrument, strike price cap (in dollars per share) | $ / shares | $ 8.45 | ||||
Premium above sale price of common stock (as a percent) | 30.00% | ||||
Payments for cost of Capped Call Transactions | $ 33,750,000 |
Consolidated Securitization V_3
Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2020 | ||
Variable Interest Entity [Line Items] | |||||
Assets | [1] | $ 18,093,868 | $ 18,093,868 | $ 27,118,671 | |
Liabilities | [1] | 14,397,326 | 14,397,326 | 23,165,378 | |
Allowance for credit losses | 167 | 167 | 0 | $ 1,817 | |
Non-Agency RMBS | |||||
Variable Interest Entity [Line Items] | |||||
Allowance for credit losses | 167 | 167 | 0 | ||
Subprime | Residential Mortgage | |||||
Variable Interest Entity [Line Items] | |||||
Financing receivable, purchases | 338,000 | 1,900,000 | 1,500,000 | ||
Variable Interest Entities, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Assets | 12,795,729 | 12,795,729 | 12,544,744 | ||
Liabilities | 8,660,123 | 8,660,123 | 8,064,235 | ||
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS | |||||
Variable Interest Entity [Line Items] | |||||
Allowance for credit losses | 91 | 91 | |||
Variable Interest Entity, Not Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | 1,400,000 | 1,400,000 | 1,600,000 | ||
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | |||||
Variable Interest Entity [Line Items] | |||||
Assets | 2,000,000 | ||||
Unconsolidated VIEs, individual investments (Less than $1 million) | 1,700,000 | 1,700,000 | |||
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | Minimum | |||||
Variable Interest Entity [Line Items] | |||||
Unconsolidated VIEs, individual investments (Less than $1 million) | 1,000 | 1,000 | 1,000 | ||
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | Maximum | |||||
Variable Interest Entity [Line Items] | |||||
Unconsolidated VIEs, individual investments (Less than $1 million) | $ 176,000 | $ 176,000 | $ 191,000 | ||
[1] | The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of September 30, 2020, and December 31, 2019, total assets of consolidated VIEs were $12,795,729 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,660,123 and $8,064,235, respectively. See Note 9 for further discussion. |
Consolidated Securitization V_4
Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Assets: | ||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively) | $ 2,218,289 | $ 2,614,408 |
Loans held for investment, at fair value | 13,533,252 | 14,292,815 |
Accrued interest receivable | 86,727 | 116,423 |
Other Assets | 75,155 | 194,301 |
Liabilities: | ||
Securitized debt, collateralized by Non-Agency RMBS | 117,904 | 133,557 |
Securitized debt at fair value, collateralized by loans held for investment | 8,757,449 | 8,179,608 |
Accrued interest payable | 36,451 | 63,600 |
Other liabilities | 23,899 | 6,163 |
Variable Interest Entities, Primary Beneficiary | ||
Assets: | ||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $167 thousand and $0 thousand, respectively) | 527,572 | 598,080 |
Loans held for investment, at fair value | 12,193,503 | 11,853,659 |
Accrued interest receivable | 59,571 | 63,218 |
Other Assets | 15,083 | 29,787 |
Liabilities: | ||
Securitized debt, collateralized by Non-Agency RMBS | 117,904 | 133,557 |
Securitized debt at fair value, collateralized by loans held for investment | 8,513,526 | 7,899,259 |
Accrued interest payable | 25,970 | 28,775 |
Other liabilities | $ 2,723 | $ 2,644 |
Consolidated Securitization V_5
Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Variable Interest Entity [Line Items] | ||||
Net interest income | $ 123,348 | $ 141,593 | $ 398,197 | $ 430,837 |
(Increase) decrease in provision for credit losses | (167) | 0 | ||
Net other-than-temporary credit impairment losses | 0 | 0 | 0 | (4,853) |
Servicing fees | 8,898 | 8,881 | 28,359 | 27,125 |
Variable Interest Entities, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
(Increase) decrease in provision for credit losses | (126) | 0 | (91) | 0 |
Net other-than-temporary credit impairment losses | 0 | (4,255) | ||
Servicing fees | 8,291 | 8,444 | 24,673 | 26,046 |
Variable Interest Entities, Primary Beneficiary | Non Agency Residential Mortgage Backed Securities And Securitized Loans | ||||
Variable Interest Entity [Line Items] | ||||
Interest income, Assets of consolidated VIEs | 171,442 | 192,622 | 515,250 | 600,436 |
Interest expense, Non-recourse liabilities of VIEs | 74,753 | 82,234 | 210,198 | 260,790 |
Net interest income | $ 96,689 | $ 110,388 | $ 305,052 | $ 339,646 |
Derivative Instruments - Effect
Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | $ 0 | $ 4,731,000 |
Derivatives, at fair value, net | 0 | 3,611 |
Derivative Liabilities, Net Estimated Fair Value/Carrying Value | 0 | 0 |
Interest Rate Swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 0 | 4,111,300 |
Derivatives, at fair value, net | 0 | 0 |
Derivative Liabilities, Net Estimated Fair Value/Carrying Value | 0 | 0 |
Treasury Futures | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 0 | 619,700 |
Derivatives, at fair value, net | 0 | 3,611 |
Derivative Liabilities, Net Estimated Fair Value/Carrying Value | $ 0 | $ 0 |
Derivative Instruments - Effe_2
Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | $ 0 | $ 31,620 | $ 201,000 | $ (189,865) |
Net gains (losses) on derivatives | 0 | (136,672) | (304,052) | (578,388) |
Realized gains (losses) on terminations of interest rate swaps | 0 | 148,114 | 463,966 | 351,372 |
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | 0 | 17,281 | 204,611 | (207,432) |
Net realized gains (losses) on derivatives | 0 | (149,078) | (470,352) | (342,951) |
Treasury Futures | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | 0 | 14,420 | (3,611) | 18,548 |
Net realized gains (losses) on derivatives | 0 | (19,138) | (34,700) | (45,261) |
Swaptions | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | 0 | (81) | 0 | (981) |
Net realized gains (losses) on derivatives | $ 0 | $ (76) | $ 0 | $ (311) |
Derivative Instruments - Narrat
Derivative Instruments - Narrative (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Realized gains (losses) on terminations of interest rate swaps | $ 0 | $ 148,114 | $ 463,966 | $ 351,372 | |
The weighted average pay rate on the Company's interest rate swaps | 2.62% | ||||
The weighted average receive rate on the Company's interest rate swaps | 1.94% | ||||
The weighted average maturity on the Company's interest rate swaps | 6 years | ||||
Interest Rate Swaps | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative, notional amount of derivative terminated | $ 3,300,000 | $ 4,100,000 | $ 6,200,000 |
Capital Stock - Preferred Stock
Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 18,438 | $ 18,438 | $ 55,313 | $ 54,267 |
Series A Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 3,000 | $ 3,000 | $ 9,000 | $ 9,000 |
Preferred stock dividends declared (in USD per share) | $ 0.50 | $ 0.50 | $ 1.50 | $ 1.50 |
Series B Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 7,000 | $ 7,000 | $ 20,000 | $ 20,000 |
Preferred stock dividends declared (in USD per share) | $ 0.50 | $ 0.50 | $ 1.50 | $ 1.50 |
Series C Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 5,000 | $ 5,000 | $ 15,000 | $ 15,000 |
Preferred stock dividends declared (in USD per share) | $ 0.48 | $ 0.48 | $ 1.45 | $ 1.45 |
Series D Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 4,000 | $ 4,000 | $ 12,000 | $ 11,000 |
Preferred stock dividends declared (in USD per share) | $ 0.50 | $ 0.50 | $ 1.50 | $ 1.37 |
Capital Stock - Common Stock (D
Capital Stock - Common Stock (Detail) - USD ($) $ / shares in Units, shares in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Mar. 31, 2020 | |
Class of Stock [Line Items] | |||||
Stock repurchase program, authorized amount | $ 150,000,000 | ||||
Stock repurchased during period (in shares) | 1.4 | ||||
Stock repurchased during period, average price (in dollars per share) | $ 15.34 | ||||
Stock repurchased during period | $ 22,066,000 | $ 0 | |||
Remaining authorized repurchase amount | $ 128,000,000 | 128,000,000 | |||
Common dividends declared | $ 68,477,000 | $ 94,494,000 | $ 232,007,000 | $ 282,698,000 | |
Dividends declared per share of common stock (usd per share) | $ 0.30 | $ 0.50 | $ 1.10 | $ 1.50 | |
Regular Dividend | |||||
Class of Stock [Line Items] | |||||
Common dividends declared | $ 68,000,000 | $ 94,000,000 | $ 232,000,000 | $ 283,000,000 |
Capital Stock - Warrants (Detai
Capital Stock - Warrants (Details) - USD ($) | 9 Months Ended | ||
Sep. 30, 2020 | Jun. 08, 2020 | Dec. 31, 2019 | |
Class of Warrant or Right [Line Items] | |||
Common stock, par value (usd per share) | $ 0.01 | $ 0.01 | |
Exercise percent of common stock (as a percent) | 90.00% | ||
Warrant Shares | |||
Class of Warrant or Right [Line Items] | |||
Percentage of common stock (as a percent) | 7.70% | ||
Securitized debt | Credit Agreement | |||
Class of Warrant or Right [Line Items] | |||
Debt instrument, face amount | $ 400,000,000 | $ 400,000,000 | |
Common Stock | |||
Class of Warrant or Right [Line Items] | |||
Exercise price of warrants or rights (in dollars per share) | $ 0.01 | ||
Common Stock | Warrant Shares | |||
Class of Warrant or Right [Line Items] | |||
Class of warrant or right, outstanding (in shares) | 20,300,000 |
Capital Stock - Earnings Per Sh
Capital Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Numerator: | ||||
Net income (loss) available to common shareholders - Basic | $ 348,891 | $ 87,888 | $ (113,694) | $ 228,966 |
Effect of dilutive securities: | 1,495 | 0 | 0 | 0 |
Net income (loss) available to common shareholders - Diluted | $ 350,386 | $ 87,888 | $ (113,694) | $ 228,966 |
Denominator: | ||||
Weighted average basic shares (shares) | 232,127,224 | 187,158,167 | 206,237,705 | 187,141,377 |
Effect of dilutive securities (shares) | 33,219,135 | 1,282,004 | 0 | 1,189,732 |
Weighted average dilutive shares (shares) | 265,346,359 | 188,440,171 | 206,237,705 | 188,331,109 |
Net income (loss) per average share attributable to common stockholders - Basic (usd per share) | $ 1.50 | $ 0.47 | $ (0.55) | $ 1.22 |
Net income (loss) per average share attributable to common stockholders - Diluted (usd per share) | $ 1.32 | $ 0.47 | $ (0.55) | $ 1.22 |
Securities excluded from computation of EPS (in shares) | 26,000,000 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
AOCI [Roll Forward] | ||||
Beginning Balance | $ 3,395,879 | $ 3,968,950 | $ 3,953,293 | $ 3,703,829 |
OCI before reclassifications | (97,334) | 115,198 | ||
Amounts reclassified from AOCI | (56,021) | 27,040 | ||
Net current period OCI | 17,471 | 29,980 | (153,355) | 142,238 |
Ending Balance | 3,696,542 | 3,995,044 | 3,696,542 | 3,995,044 |
Unrealized gains (losses) on available-for-sale securities, net | ||||
AOCI [Roll Forward] | ||||
Beginning Balance | 708,336 | 626,832 | ||
OCI before reclassifications | (97,334) | 115,198 | ||
Amounts reclassified from AOCI | (56,021) | 27,040 | ||
Net current period OCI | (153,355) | 142,238 | ||
Ending Balance | 554,981 | 769,070 | 554,981 | 769,070 |
Total Accumulated OCI Balance | ||||
AOCI [Roll Forward] | ||||
Beginning Balance | 537,510 | 739,090 | 708,336 | 626,832 |
Net current period OCI | 17,471 | 29,980 | (153,355) | 142,238 |
Ending Balance | $ 554,981 | $ 769,070 | $ 554,981 | $ 769,070 |
Accumulated Other Comprehensi_4
Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||
Net realized gains (losses) on sales of investments | $ 65,041 | $ 7 | $ 167,275 | $ 1,083 | |
Net other-than-temporary credit impairment losses | 0 | (4,853) | |||
Income (loss) before income taxes | 367,391 | 106,327 | (58,251) | 283,389 | |
Income taxes | (62) | (1) | (130) | (156) | $ 0 |
Net income (loss) | $ 367,329 | $ 106,326 | (58,381) | 283,233 | |
Amounts Reclassified from Accumulated OCI | Unrealized gains (losses) on available-for-sale securities, net | |||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||
Net realized gains (losses) on sales of investments | 56,021 | (22,187) | |||
Net other-than-temporary credit impairment losses | 0 | (4,853) | |||
Income (loss) before income taxes | 56,021 | (27,040) | |||
Income taxes | 0 | 0 | |||
Net income (loss) | $ 56,021 | $ (27,040) |
Equity Compensation, Employme_2
Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020USD ($)shares | Sep. 30, 2019USD ($)shares | Sep. 30, 2020USD ($)installmentshares | Sep. 30, 2019USD ($)shares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Common dividends declared | $ 2,000,000 | $ 3,000,000 | $ 7,000,000 | $ 11,000,000 |
401(k) Plan | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Maximum employee contribution to plan if under the age of 50 | 19,500 | |||
Maximum catch-up contribution if over the age of 50 | 6,500 | |||
Expense related to qualified plan | $ 92,000 | $ 88,000 | $ 358,000 | $ 356,000 |
Maximum | 401(k) Plan | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Employer matching contribution, percent of match | 100.00% | |||
Employer matching contribution, percent of employees' gross pay | 6.00% | |||
Stock Award Deferral Program | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Number of installments | installment | 5 | |||
Restricted Stock | 2007 Equity Incentive Plan | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting period | 3 years | |||
Shares available for future grants (shares) | shares | 3,000,000 | 3,000,000 | ||
Restricted Stock Units (RSUs) | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Granted shares (shares) | shares | 0 | 0 | 306,000 | 447,000 |
Grant date fair value | $ 4,000,000 | $ 8,000,000 | ||
Restricted Stock Units (RSUs) | 2007 Equity Incentive Plan | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting period | 3 years | |||
Performance Share Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Granted shares (shares) | shares | 135,000 | 152,000 | ||
Grant date fair value | $ 3,000,000 | $ 3,000,000 | ||
Performance period | 3 years | |||
Performance Share Units | Minimum | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 0.00% | |||
Performance Share Units | Maximum | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 200.00% | |||
First Anniversary | Restricted Stock Units (RSUs) | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
First Anniversary | Performance Share Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
Second Anniversary | Restricted Stock Units (RSUs) | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
Second Anniversary | Performance Share Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
Third Anniversary | Restricted Stock Units (RSUs) | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
Third Anniversary | Performance Share Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | |||||
Income tax expenses | $ 62 | $ 1 | $ 130 | $ 156 | $ 0 |
Credit Risk and Interest Rate_3
Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Secured Financing Agreements | ||
Gross Amounts of Recognized Assets (Liabilities) | $ (4,700,037) | $ (13,427,545) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (4,700,037) | (13,427,545) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 6,620,060 | 15,399,244 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 38,469 | 20,211 |
Net Amount | 1,958,492 | 1,991,910 |
Derivative Asset | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 3,611 |
Derivative Liability | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Total Liabilities | ||
Gross Amounts of Recognized Assets (Liabilities) | (4,700,037) | (13,628,545) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 204,611 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (4,700,037) | (13,423,934) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 6,620,060 | 15,399,244 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 38,469 | 141,194 |
Net Amount | 1,958,492 | 2,116,504 |
Interest Rate Swaps | ||
Derivative Asset | ||
Gross Amounts of Recognized Assets (Liabilities) | 1,092 | |
Gross Amounts Offset in the Consolidated Statements of Financial Position | (1,092) | |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 119,469 | |
Net Amount | 119,469 | |
Derivative Liability | ||
Derivatives | (205,703) | |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 205,703 | |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | |
Net Amount | 0 | |
Treasury Futures | ||
Derivative Asset | ||
Gross Amounts of Recognized Assets (Liabilities) | 3,611 | |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 3,611 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 1,514 | |
Net Amount | 5,125 | |
Derivative Liability | ||
Derivatives | 0 | |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | |
Net Amounts Offset in the Consolidated Statements of Financial Position | $ 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | |
Net Amount | $ 0 |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) - USD ($) $ in Millions | Sep. 30, 2020 | Sep. 30, 2020 | Jun. 08, 2020 |
Loss Contingencies [Line Items] | |||
Investment company, committed capital, funded | $ 141 | ||
Exercise percent of common stock (as a percent) | 90.00% | ||
Hains Point | |||
Loss Contingencies [Line Items] | |||
Capital commitment | $ 150 | ||
Warrant Shares | Common Stock | |||
Loss Contingencies [Line Items] | |||
Class of warrant or right, outstanding (in shares) | 20,300,000 | ||
Class of warrant or right, number of securities called by warrants or rights (in shares) | 20,300,000 |