COVER PAGE
COVER PAGE - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Jan. 31, 2022 | Jun. 30, 2021 | |
Entity Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Current Fiscal Year End Date | --12-31 | ||
Document Period End Date | Dec. 31, 2021 | ||
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 | 630 Fifth Avenue | ||
Entity Address, Address Line Two | Ste 2400 | ||
Entity Address, City or Town | New York | ||
Entity Address, State or Province | NY | ||
Entity Address, Postal Zip Code | 10111 | ||
City Area Code | 888 | ||
Local Phone Number | 895-6557 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
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 | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 3,465,970,056 | ||
Entity Common Stock, Shares Outstanding (in shares) | 236,953,501 | ||
Documents Incorporated by Reference | Portions of the registrant’s definitive Proxy Statement for the 2022 Annual Meeting of Stockholders, which will be filed with the Securities and Exchange Commission under Regulation 14A within 120 days after the end of registrant’s fiscal year covered by this Annual Report, are incorporated by reference into Part III. | ||
Entity Central Index Key | 0001409493 | ||
Document Fiscal Year Focus | 2021 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Common Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Common Stock, par value $0.01 per share | ||
Trading Symbol | CIM | ||
Security Exchange Name | NYSE | ||
Series A Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 8.00% Series A Cumulative Redeemable Preferred Stock | ||
Trading Symbol | CIM PRA | ||
Security Exchange Name | NYSE | ||
Series B Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | CIM PRB | ||
Security Exchange Name | NYSE | ||
Series C Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.75% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | CIM PRC | ||
Security Exchange Name | NYSE | ||
Series D Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | CIM PRD | ||
Security Exchange Name | NYSE |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2021 | |
Auditor Information [Abstract] | |
Auditor Firm ID | 42 |
Auditor Name | Ernst & Young LLP |
Auditor Location | New York, New York |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash and cash equivalents | $ 385,741 | $ 269,090 | |
Non-Agency RMBS, at fair value (net of allowance for credit losses of $213 thousand and $180 thousand, respectively) | 1,810,208 | 2,150,714 | |
Agency RMBS, at fair value | 60,487 | 90,738 | |
Agency CMBS, at fair value | 761,208 | 1,740,368 | |
Loans held for investment, at fair value | 12,261,926 | 13,112,129 | |
Accrued interest receivable | 69,513 | 81,158 | |
Other assets | 58,320 | 78,822 | |
Total assets | [1] | 15,407,403 | 17,523,019 |
Liabilities: | |||
Secured financing agreements ($4.4 billion and $6.7 billion pledged as collateral, respectively) | 3,261,613 | 4,636,847 | |
Securitized debt, collateralized by Non-Agency RMBS ($365 million and $505 million pledged as collateral, respectively) | 87,999 | 113,433 | |
Securitized debt at fair value, collateralized by Loans held for investment ($11.0 billion and $12.4 billion pledged as collateral, respectively) | 7,726,043 | 8,711,677 | |
Long term debt | 0 | 51,623 | |
Payable for investments purchased | 477,415 | 106,169 | |
Accrued interest payable | 20,416 | 40,950 | |
Dividends payable | 86,152 | 77,213 | |
Accounts payable and other liabilities | 11,574 | 5,721 | |
Total liabilities | [1] | 11,671,212 | 13,743,633 |
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 | 2,370 | 2,306 | |
Additional paid-in-capital | 4,359,045 | 4,538,029 | |
Accumulated other comprehensive income | 405,054 | 558,096 | |
Cumulative earnings | 4,552,008 | 3,881,894 | |
Cumulative distributions to stockholders | (5,582,658) | (5,201,311) | |
Total stockholders' equity | 3,736,191 | 3,779,386 | |
Total liabilities and stockholders' equity | 15,407,403 | 17,523,019 | |
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, or VIEs, that can only be used to settle obligations and liabilities of the VIE for which c reditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,666,591 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,223,655 and $8,063,110, respectively. See Note 9 for further discussion. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | ||
Allowance for credit losses | $ 213,000 | $ 180,000 | |
Stockholders' Equity: | |||
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) | 236,951,266 | 230,556,760 | |
Common stock, shares outstanding (shares) | 236,951,266 | 230,556,760 | |
Assets | [1] | $ 15,407,403,000 | $ 17,523,019,000 |
Liabilities | [1] | 11,671,212,000 | 13,743,633,000 |
Variable Interest Entities, Primary Beneficiary | |||
Stockholders' Equity: | |||
Assets | 10,666,591,000 | 12,165,017,000 | |
Liabilities | 7,223,655,000 | 8,063,110,000 | |
Non-Agency RMBS | |||
Allowance for credit losses | 213,000 | 180,000 | |
Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary | |||
Allowance for credit losses | 117,000 | ||
Repurchase Agreements | |||
Liabilities: | |||
Securities pledged as collateral | 4,393,350,000 | 6,696,214,000 | |
Repurchase Agreements | Residential Mortgage-Backed Securities | |||
Liabilities: | |||
Securities pledged as collateral | 4,400,000,000 | 6,700,000,000 | |
Securitized Loans | Non-Agency RMBS | |||
Liabilities: | |||
Securities pledged as collateral | 365,000,000 | 505,000,000 | |
Securitized Loans | Loans Held for Investment at Fair Value | |||
Liabilities: | |||
Securities pledged as collateral | $ 11,000,000,000 | $ 12,400,000,000 | |
Series A Preferred Stock | |||
Stockholders' Equity: | |||
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 | |||
Stockholders' Equity: | |||
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 | |||
Stockholders' Equity: | |||
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 | |||
Stockholders' Equity: | |||
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 | |
[1] | The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations and liabilities of the VIE for which c reditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,666,591 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,223,655 and $8,063,110, respectively. See Note 9 for further discussion. |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Net interest income: | ||||
Interest income | [1] | $ 937,546 | $ 1,030,250 | $ 1,361,110 |
Interest expense | [2] | 326,628 | 516,181 | 758,814 |
Net interest income | 610,918 | 514,069 | 602,296 | |
Increase/(decrease) in provision for credit losses | 33 | 180 | 0 | |
Net other-than-temporary credit impairment losses | 0 | 0 | (4,853) | |
Other investment gains (losses): | ||||
Net unrealized gains (losses) on derivatives | 0 | 201,000 | (106,209) | |
Realized gains (losses) on terminations of interest rate swaps | 0 | (463,966) | (359,726) | |
Net realized gains (losses) on derivatives | 0 | (41,086) | (34,423) | |
Net gains (losses) on derivatives | 0 | (304,052) | (500,358) | |
Net unrealized gains (losses) on financial instruments at fair value | 437,357 | (110,664) | 409,634 | |
Net realized gains (losses) on sales of investments | 45,313 | 166,946 | 20,360 | |
Gains (losses) on extinguishment of debt | (283,556) | (54,418) | 9,318 | |
Total other gains (losses) | 199,114 | (302,188) | (61,046) | |
Other expenses: | ||||
Compensation and benefits | 46,823 | 44,811 | 48,880 | |
General and administrative expenses | 22,246 | 22,914 | 23,915 | |
Servicing and asset manager fees | 36,555 | 39,896 | 38,930 | |
Transaction expenses | 29,856 | 15,068 | 10,928 | |
Total other expenses | 135,480 | 122,689 | 122,653 | |
Income (loss) before income taxes | 674,519 | 89,012 | 413,744 | |
Income tax expense (benefit) | 4,405 | 158 | 193 | |
Net income (loss) | 670,114 | 88,854 | 413,551 | |
Dividends on preferred stock | 73,764 | 73,750 | 72,704 | |
Net income (loss) available to common shareholders | $ 596,350 | $ 15,104 | $ 340,847 | |
Net income (loss) per share available to common shareholders: | ||||
Basic (usd per share) | $ 2.55 | $ 0.07 | $ 1.82 | |
Diluted (usd per share) | $ 2.44 | $ 0.07 | $ 1.81 | |
Weighted average number of common shares outstanding: | ||||
Basic (shares) | 233,770,474 | 212,995,533 | 187,156,990 | |
Diluted (shares) | 245,496,926 | 226,438,341 | 188,406,444 | |
[1] | Includes interest income of consolidated VIEs of $586,580, $683,456 and $780,746 for the years ended December 31, 2021, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion. | |||
[2] | Includes interest expense of consolidated VIEs of $203,135 , $285,142 and $337,387 for the years ended December 31, 2021, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion. |
CONSOLIDATED STATEMENTS OF OP_2
CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Non Agency Residential Mortgage Backed Securities And Securitized Loans - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Interest income, assets of consolidated VIEs | $ 586,580 | $ 683,456 | $ 780,746 |
Interest expense, Non-recourse liabilities of VIEs | $ 203,135 | $ 285,142 | $ 337,387 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Comprehensive income (loss): | |||
Net income (loss) | $ 670,114 | $ 88,854 | $ 413,551 |
Other comprehensive income: | |||
Unrealized gains (losses) on available-for-sale securities, net | (115,926) | (94,136) | 70,855 |
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 0 | 0 | 4,853 |
Reclassification adjustment for net realized losses (gains) included in net income | (37,116) | (56,104) | 5,796 |
Other comprehensive income (loss) | (153,042) | (150,240) | 81,504 |
Comprehensive income (loss) before preferred stock dividends | 517,072 | (61,386) | 495,055 |
Dividends on preferred stock | 73,764 | 73,750 | 72,704 |
Comprehensive income (loss) available to common stock shareholders | $ 443,308 | $ (135,136) | $ 422,351 |
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) | 413,551 | 413,551 | ||||||||||||
Other comprehensive income (loss) | 81,504 | 81,504 | ||||||||||||
Stock based compensation | 10,584 | 2 | 10,582 | |||||||||||
Common dividends declared | (376,839) | (376,839) | ||||||||||||
Preferred dividends declared | (72,704) | (72,704) | ||||||||||||
Issuance of preferred stock | 193,368 | 193,288 | 80 | |||||||||||
Ending 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) | 88,854 | 88,854 | ||||||||||||
Other comprehensive income (loss) | (150,240) | (150,240) | ||||||||||||
Repurchase of common stock | (22,066) | (15) | (22,051) | |||||||||||
Settlement of convertible debt | 313,298 | 494 | 312,804 | |||||||||||
Purchase of capped call | (33,750) | (47) | (33,703) | |||||||||||
Stock based compensation | 5,017 | 1 | 5,016 | |||||||||||
Common dividends declared | (301,270) | (301,270) | ||||||||||||
Preferred dividends declared | (73,750) | (73,750) | $ (12,000) | $ (26,000) | $ (20,000) | $ (16,000) | ||||||||
Ending Balance at Dec. 31, 2020 | 3,779,386 | 2,306 | 4,538,029 | 558,096 | 3,881,894 | (5,201,311) | 58 | 130 | 104 | 80 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Net income (loss) | 670,114 | 670,114 | ||||||||||||
Other comprehensive income (loss) | (153,042) | (153,042) | ||||||||||||
Repurchase of common stock | (1,828) | (2) | (1,826) | |||||||||||
Settlement of warrants | (220,945) | (220,945) | ||||||||||||
Settlement of convertible debt | 37,340 | 58 | 37,282 | |||||||||||
Stock based compensation | 6,513 | 8 | 6,505 | |||||||||||
Common dividends declared | (307,583) | (307,583) | ||||||||||||
Preferred dividends declared | (73,764) | (73,764) | $ (12,000) | $ (26,000) | $ (20,000) | $ (16,000) | ||||||||
Ending Balance at Dec. 31, 2021 | $ 3,736,191 | $ 2,370 | $ 4,359,045 | $ 405,054 | $ 4,552,008 | $ (5,582,658) | $ 58 | $ 130 | $ 104 | $ 80 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Cash Flows From Operating Activities: | |||
Net income (loss) | $ 670,114 | $ 88,854 | $ 413,551 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
(Accretion) amortization of investment discounts/premiums, net | 70,584 | 102,564 | 58,902 |
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net | 8,625 | (39,647) | (29,423) |
Amortization of swaption premium | 0 | 0 | 747 |
Net unrealized losses (gains) on derivatives | 0 | (201,000) | 106,209 |
Margin (paid) received on derivatives | 0 | 325,594 | 7,250 |
Net unrealized losses (gains) on financial instruments at fair value | (437,357) | 110,664 | (409,634) |
Net realized losses (gains) on sales of investments | (45,313) | (166,946) | (20,360) |
Net increase (decrease) in provision for credit losses | 33 | 180 | 0 |
Net other-than-temporary credit impairment losses | 0 | 0 | 4,853 |
(Gain) loss on extinguishment of debt | 283,556 | 54,418 | (9,318) |
Equity-based compensation expense | 6,513 | 5,017 | 10,584 |
Changes in operating assets: | |||
Decrease (increase) in accrued interest receivable, net | 11,643 | 35,950 | 6,334 |
Decrease (increase) in other assets | (36,013) | (32,275) | (20,049) |
Changes in operating liabilities: | |||
Increase (decrease) in accounts payable and other liabilities | 6,903 | (322) | (10,306) |
Increase (decrease) in accrued interest payable, net | (20,106) | (25,148) | (44,304) |
Net cash provided by (used in) operating activities | 519,182 | 257,903 | 65,036 |
Cash Flows From Investing Activities: | |||
Net cash provided by (used in) investing activities | 2,548,237 | 8,330,397 | 1,236,860 |
Cash Flows From Financing Activities: | |||
Proceeds from secured financing agreements | 45,623,033 | 87,550,016 | 133,892,203 |
Payments on secured financing agreements | (47,001,449) | (96,378,688) | (134,495,789) |
Net proceeds from preferred stock offerings | 0 | 0 | 193,368 |
Payments on repurchase of common stock | (1,828) | (22,066) | 0 |
Proceeds from securitized debt borrowings, collateralized by Loans held for investment | 5,521,953 | 3,043,257 | 1,487,286 |
Payments on securitized debt borrowings, collateralized by Loans held for investment | (6,440,480) | (2,535,782) | (1,845,272) |
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (21,752) | (16,839) | (24,340) |
Payments on convertible debt purchases | (36,892) | 0 | 0 |
Net proceeds from issuance of convertible debt | 0 | 361,139 | 0 |
Purchase of capped call | 0 | (33,750) | 0 |
Settlement of warrants | (220,945) | 0 | 0 |
Common dividends paid | (298,644) | (322,625) | (374,256) |
Preferred dividends paid | (73,764) | (73,750) | (72,704) |
Net cash provided by (used in) financing activities | (2,950,768) | (8,429,088) | (1,239,504) |
Net increase (decrease) in cash and cash equivalents | 116,651 | 159,212 | 62,392 |
Cash and cash equivalents at beginning of period | 269,090 | 109,878 | 47,486 |
Cash and cash equivalents at end of period | 385,741 | 269,090 | 109,878 |
Supplemental disclosure of cash flow information: | |||
Interest received | 1,019,773 | 1,168,080 | 1,427,030 |
Interest paid | 338,538 | 578,477 | 835,041 |
Income taxes paid | 4,405 | 158 | 193 |
Non-cash investing activities: | |||
Payable for investments purchased | 477,415 | 106,169 | 1,256,337 |
Receivable for investments sold | 0 | 0 | 446,225 |
Net change in unrealized gain (loss) on available-for sale securities | (153,042) | (150,240) | 81,504 |
Retained beneficial interests | 24,891 | 21,943 | 141,484 |
Non-cash financing activities: | |||
Dividends declared, not yet paid | 86,152 | 77,213 | 98,568 |
Conversion of convertible debt | 37,339 | 309,820 | 0 |
Agency MBS portfolio | |||
Cash Flows From Investing Activities: | |||
Purchases | (217,263) | (432,822) | (2,929,500) |
Sales | 201,653 | 7,201,313 | 2,815,394 |
Principal payments | 773,381 | 715,931 | 2,237,980 |
Non-agency RMBS Portfolio | |||
Cash Flows From Investing Activities: | |||
Purchases | (9,766) | (32,859) | (373,697) |
Sales | 47,674 | 166,786 | 38,604 |
Principal payments | 299,332 | 261,737 | 415,518 |
Loans held for investment | |||
Cash Flows From Investing Activities: | |||
Sales | 1,653,260 | 1,042,664 | 1,681,227 |
Principal payments | 2,652,767 | 1,966,590 | 1,717,745 |
Purchases | $ (2,852,801) | $ (2,558,943) | $ (4,366,411) |
Organization
Organization | 12 Months Ended |
Dec. 31, 2021 | |
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 is an internally managed REIT that is primarily engaged, through its subsidiaries, in the business of investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Agency RMBS, Non-Agency RMBS, Agency CMBS, and other real estate-related assets. The following defines certain of the commonly used terms in this Annual Report on Form 10-K: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency. IO refers to Interest-only securities. 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 twelve 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 RR Holding LLC formed in April 2016; Anacostia LLC, a TRS formed in June 2018; NYH Funding LLC, a TRS formed in May 2019; Kali 2020 Holdings LLC formed in May 2020; Varuna Capital Partners LLC formed in September 2020; and Aarna Holdings LLC formed in November 2020. The Company holds a non-consolidated interest in Kah Capital Management, which is accounted for as an equity method investment in other assets on the Statement of Financial Condition. The Company paid $1 million, $1 million, and $3 million, during the years ended December 31, 2021, 2020 and 2019, respectively, in fees to Kah Capital Management for investment services provided, which are reported within Other Expenses on the Statement of Operations. |
Summary of the Significant Acco
Summary of the Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2021 | |
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 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. Generally, the securities retained by the Company are the most subordinate in the capital structure, which means those securities receive distributions after the senior securities have been paid. 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) Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2021 and December 31, 2020. (d) Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities, or MBS, representing interests in obligations backed by pools of mortgage loans. The Company’s investments in MBS includes investments in both Agency MBS and Non-Agency MBS. The Company delineates between Agency MBS and Non-Agency MBS as follows: (1) Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations, or CMOs, and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation; and (2) Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is not guaranteed and it is subject to the performance of the mortgage loans or MBS collateralizing the obligation. Agency MBS collectively refers to include Agency CMBS and Agency RMBS as defined in Part I of this annual report. The Company also invests in Interest Only Agency MBS strips and Interest Only Non-Agency RMBS strips, or IO MBS strips. IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. The Company classifies its MBS as available-for-sale sale (AFS) or in accordance with the fair-value option (FVO). MBS classified as AFS are recorded on the Consolidated Statements of Financial Condition at fair value with changes in fair value recorded in Other comprehensive income (OCI). MBS classified as FVO are recorded on the Consolidated Statements of Financial Condition at fair value with changes in fair value recorded in earnings. See Note 5 of these consolidated financial statements for further discussion of MBS carried at FVO and how the Company determines fair value. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations utilizing the average cost method. The Company’s accounting policy for interest income and an allowance for credit losses related to its MBS is as follows: 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 Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC), 325-40, Beneficial Interests in Securitized Financial Assets, (ASC 325-40) as amended by the accounting standards update (ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments (ASU 2016-13). 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 there is no allowance for credit losses, or 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. (e) Loans Held for Investment The Company's Loans held for investments is primarily comprised of seasoned residential mortgage loans that are not guaranteed as to repayment of principal or interest. These loans are serviced and may be modified by a third-party servicer. Additionally, in certain cases, the Company has the ability to remove the servicer with or without cause upon prior notice. These residential mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis and are carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Interest is accrued on all loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s residential mortgage loans are recognized as expenses in the Consolidated Statements of Operations. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned Real estate owned, or REO, represents properties which the Company has received the legal title of the property to satisfy the outstanding loan. REO is re-categorized from loan to REO when the Company takes legal title of the property. REO assets are measured and reported at the estimated fair value less the estimated cost to sell at the end of each reporting period. At the time the asset is re-categorized, any difference between the previously recorded loan balance and the carrying value of the REO at the time the Company takes legal title of the property, is recognized as a gain or loss. All REO assets of the Company are held-for-sale and it is the Company’s intention to sell the property in the shortest time possible to maximize their return and recovery on the previously recorded loan. The carrying value of REO assets at December 31, 2021 and 2020 was $15 million and $14 million, respectively, and were recorded in Other Assets on the Company’s Consolidated Statements of Financial Condition. (f) Secured Financing Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with secured financing agreements. The Company has evaluated each agreement and has determined that each of the secured financing agreements be accounted for as secured borrowings, which is recourse to the Company. (g) Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by Loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS, reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective basis. For securitized debt, where the Company has elected fair value option, the interest expense is recognized using the interest method with changes in yield reflected in earnings on a prospective basis. The Company recognizes a gain or loss on extinguishment of debt when it acquires its outstanding debt at discount or premium. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. (h) Long Term Debt The Company's Long Term Debt is comprised of Convertible Senior 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. (i) Fair Value The Company carries the majority of its financial instruments at fair value. The Company has elected fair value option on certain Non-Agency RMBS, Agency MBS, Loans held for investments and Securitized debt, collateralized by loans held for investment. The Company believes the fair value option election will provide its financial statements user with reduced complexity, greater consistency, understandability and comparability. Agency MBS: The Company has elected to account for Agency MBS investments acquired on or after July 1, 2017 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. All Agency MBS investments acquired prior to July 1, 2017 are carried at fair value with changes in fair value reported in other comprehensive income (OCI) as available-for-sale investments. All revenue recognition for these Agency MBS investments owned prior to July 1, 2017 will be in accordance with ASC 310-20, per the Company’s accounting practices. Non-Agency RMBS: The Company has elected to account for all Non-Agency RMBS investments acquired on or after January 1, 2019 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. The Company has elected the fair value option for certain interests in Non-Agency RMBS which it refers to as the overcollateralization classes. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of Non-Agency RMBS investments is highly subjective and uncertain; therefore, the Company records these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value of the overcollateralization classes are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Loans Held for Investment: The Company’s Loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries Loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of Loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized debt, collateralized by loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. 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. (j) Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 10 Derivative Instruments for further details. (k) Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales, whereby the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield. (l) Income Taxes The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will generally not be subject to U.S. federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary during December 31, 2021 and 2020. (m) Net Income per Share The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock and warrants. In addition, the Company’s Convertible Senior Notes are included in the calculation of diluted EPS if the assumed conversion into common shares is dilutive, using the “if-converted” method. This involves adding back the periodic interest expense associated with the Convertible Senior Notes to the numerator and by adding the shares that would be issued in an assumed conversion (regardless of whether the conversion options is in or out of the money) to the denominator for the purposes of calculating diluted EPS. Refer to Note 11 Capital Stock for further information. (n) Stock-Based Compensation Compensation expense for equity based awards granted to the Company’s independent directors and stock based compensation awards granted to employees of the Company subject only to service condition is recognized on a straight-line basis over the vesting period of such awards, based upon the fair value of such awards at the grant date. The Company recognizes forfeitures when they occur and does not adjust the fair value of the grants for estimated forfeitures. For awards subject to vesting on a straight line basis, the total amount of expense is at least equal to the measured expense of each vested tranche. Awards subject to only a service condition are valued according to the market price for the Company’s common stock at the date of grant. For certain awards based on the performance of the Company, it engages an independent appraisal company to determine the |
Mortgage-Backed Securities
Mortgage-Backed Securities | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | Mortgage-Backed SecuritiesThe 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 the Company's MBS investments as of December 31, 2021 and December 31, 2020. December 31, 2021 (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 $ 1,283,788 $ 5,906 $ (673,207) $ 616,487 $ (212) $ 985,682 $ 369,913 $ (506) $ 369,407 Subordinated 845,432 5,179 (274,843) 575,768 (1) 652,025 99,240 (22,982) 76,258 Interest-only 3,904,665 191,230 — 191,230 — 172,501 36,512 (55,241) (18,729) Agency RMBS Interest-only 992,978 102,934 — 102,934 — 60,487 — (42,447) (42,447) Agency CMBS Project loans 560,565 10,812 (879) 570,498 — 614,419 43,921 — 43,921 Interest-only 2,578,640 147,024 — 147,024 — 146,789 3,044 (3,279) (235) Total $ 10,166,068 $ 463,085 $ (948,929) $ 2,203,941 $ (213) $ 2,631,903 $ 552,630 $ (124,455) $ 428,175 December 31, 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 $ 1,560,135 $ 3,934 $ (773,804) $ 790,265 $ (180) $ 1,277,800 $ 487,963 $ (248) $ 487,715 Subordinated 905,674 7,059 (347,056) 565,677 — 610,655 83,007 (38,029) 44,978 Interest-only 5,628,240 249,610 — 249,610 — 262,259 67,868 (55,219) 12,649 Agency RMBS Interest-only 1,262,963 118,867 — 118,867 — 90,738 270 (28,399) (28,129) Agency CMBS Project loans 1,527,621 28,559 (861) 1,555,319 — 1,714,483 159,233 (69) 159,164 Interest-only 1,326,665 23,572 — 23,572 — 25,885 2,659 (346) 2,313 Total $ 12,211,298 $ 431,601 $ (1,121,721) $ 3,303,310 $ (180) $ 3,981,820 $ 801,000 $ (122,310) $ 678,690 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 December 31, 2021 and December 31, 2020. All available for sale Non-Agency RMBS not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses. December 31, 2021 (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 $ 30,846 $ (506) 2 $ — $ — — $ 30,846 $ (506) 2 Subordinated 36,942 (657) 7 28,371 (22,325) 9 65,313 (22,982) 16 Interest-only 11,872 (1,958) 24 30,474 (53,283) 56 42,346 (55,241) 80 Agency RMBS Interest-only 5,003 (1,215) 4 55,486 (41,232) 21 60,489 (42,447) 25 Agency CMBS Project loans — — — — — — — — — Interest-only 131,551 (3,164) 7 491 (115) 1 132,042 (3,279) 8 Total $ 216,214 $ (7,500) 44 $ 114,822 $ (116,955) 87 $ 331,036 $ (124,455) 131 December 31, 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 $ 11,985 $ (248) 2 $ — $ — — $ 11,985 $ (248) 2 Subordinated 253,822 (8,711) 5 34,697 (29,318) 15 288,519 (38,029) 20 Interest-only 38,604 (8,682) 34 22,761 (46,537) 43 61,365 (55,219) 77 Agency RMBS Interest-only 31,059 (4,938) 6 54,153 (23,461) 16 85,212 (28,399) 22 Agency CMBS Project loans — — — 8,581 (69) 1 8,581 (69) 1 Interest-only 4,052 (346) 6 — — — 4,052 (346) 6 Total $ 339,522 $ (22,925) 53 $ 120,192 $ (99,385) 75 $ 459,714 $ (122,310) 128 At December 31, 2021, 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 December 31, 2021. The Company did not have any gross unrealized losses on its Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) as of December 31, 2021. 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 $69 thousand as of December 31, 2020. 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 December 31, 2021 and December 31, 2020, 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, were $506 thousand and $248 thousand, at December 31, 2021 and December 31, 2020, respectively. After evaluating the securities and recording the allowance for credit losses, the Company 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 it did not intend to sell the securities, it was not considered more likely than not that it would be forced to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused the Company to otherwise conclude that it would not recover the amortized cost. The allowance for 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. 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 losses allowance on available-for-sale securities for the year ended December 31, 2021 and 2020 is presented below. For the Year Ended December 31, 2021 December 31, 2020 (dollars in thousands) Beginning allowance for credit losses $ 180 $ — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 475 6,594 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 (830) (3,765) Write-offs charged against the allowance (86) (2,401) Recoveries of amounts previously written off 474 73 Ending allowance for credit losses $ 213 $ 180 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of December 31, 2021 and December 31, 2020. December 31, 2021 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 6,941,202 2.4% 5.1% 60.9% Subordinated 1,352 10.0% 0.3% 30.0% December 31, 2020 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 46,500,000 9.2% 3.5% 58.3% The increase in the allowance for credit losses for the year ended December 31, 2021 is primarily due to increases in expected losses and delinquencies as compared to the same period of 2020. 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 December 31, 2021 and December 31, 2020. December 31, 2021 (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 $ 369,913 $ — $ 369,913 $ (506) $ — $ (506) Subordinated 33,587 65,653 99,240 — (22,982) (22,982) Interest-only — 36,512 36,512 — (55,241) (55,241) Agency RMBS Interest-only — — — — (42,447) (42,447) Agency CMBS Project loans 2,060 41,861 43,921 — — — Interest-only — 3,044 3,044 — (3,279) (3,279) Total $ 405,560 $ 147,070 $ 552,630 $ (506) $ (123,949) $ (124,455) December 31, 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 $ 487,963 $ — $ 487,963 $ (248) $ — $ (248) Subordinated 65,043 17,964 83,007 — (38,029) (38,029) Interest-only — 67,868 67,868 — (55,219) (55,219) Agency RMBS Interest-only — 270 270 — (28,399) (28,399) Agency CMBS Project loans 5,407 153,826 159,233 (69) — (69) Interest-only — 2,659 2,659 — (346) (346) Total $ 558,413 $ 242,587 $ 801,000 $ (317) $ (121,993) $ (122,310) 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 December 31, 2021 and December 31, 2020. December 31, 2021 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,283,788 $ 48.02 76.78 4.5 % 18.0 % Subordinated 845,432 68.10 77.12 3.8 % 7.1 % Interest-only 3,904,665 4.90 4.42 1.7 % 13.2 % Agency RMBS Interest-only 992,978 10.37 6.09 1.3 % 0.3 % Agency CMBS Project loans 560,565 101.77 109.61 4.3 % 4.1 % Interest-only 2,578,640 5.70 5.69 0.7 % 4.6 % (1) Bond Equivalent Yield at period end. December 31, 2020 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 $ 1,560,135 $ 50.65 $ 81.90 4.5 % 16.9 % Subordinated 905,674 62.46 67.43 3.8 % 6.3 % Interest-only 5,628,240 4.43 4.66 1.5 % 16.2 % Agency RMBS Interest-only 1,262,963 9.41 7.18 1.7 % 1.6 % Agency CMBS Project loans 1,527,621 101.81 112.23 4.1 % 3.8 % Interest-only 1,326,665 1.78 1.95 0.6 % 8.4 % (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 December 31, 2021 and December 31, 2020. December 31, 2021 December 31, 2020 AAA 0.2 % 0.2 % AA 1.4 % 0.1 % A 2.2 % 1.2 % BBB 2.1 % 1.9 % BB 4.1 % 4.3 % B 1.8 % 2.0 % Below B 23.3 % 31.9 % Not Rated 64.9 % 58.4 % 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 underlying mortgages, periodic payments of principal, realized losses and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2021 and December 31, 2020 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. December 31, 2021 (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 $ 3,186 $ 279,222 $ 318,684 $ 384,590 $ 985,682 Subordinated 3,303 149,089 276,979 222,654 652,025 Interest-only 2,300 140,558 29,642 1 172,501 Agency RMBS Interest-only — — 60,487 — 60,487 Agency CMBS Project loans 8,388 — — 606,031 614,419 Interest-only 1,335 141,997 3,457 — 146,789 Total fair value $ 18,512 $ 710,866 $ 689,249 $ 1,213,276 $ 2,631,903 Amortized cost Non-Agency RMBS Senior $ 2,349 $ 194,506 $ 190,030 $ 229,602 $ 616,487 Subordinated 1 129,063 244,103 202,601 575,768 Interest-only 27,764 140,757 22,648 61 191,230 Agency RMBS Interest-only — — 102,934 — 102,934 Agency CMBS Project loans 8,388 — — 562,110 570,498 Interest-only 1,540 142,290 3,194 — 147,024 Total amortized cost $ 40,042 $ 606,616 $ 562,909 $ 994,374 $ 2,203,941 December 31, 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 $ 7,850 $ 366,218 $ 467,336 $ 436,396 $ 1,277,800 Subordinated 5 105,272 102,805 402,573 610,655 Interest-only 5,780 143,631 110,468 2,380 262,259 Agency RMBS Interest-only — 864 89,874 — 90,738 Agency CMBS Project loans 8,581 — — 1,705,902 1,714,483 Interest-only 620 21,500 3,765 — 25,885 Total fair value $ 22,836 $ 637,485 $ 774,248 $ 2,547,251 $ 3,981,820 Amortized cost Non-Agency RMBS Senior $ 4,691 $ 256,935 $ 257,188 $ 271,451 $ 790,265 Subordinated — 83,188 78,435 404,054 565,677 Interest-only 26,286 138,150 82,368 2,806 249,610 Agency RMBS Interest-only — 1,898 116,969 — 118,867 Agency CMBS Project loans 8,650 — — 1,546,669 1,555,319 Interest-only 788 19,273 3,511 — 23,572 Total amortized cost $ 40,415 $ 499,444 $ 538,471 $ 2,224,980 $ 3,303,310 The Non-Agency RMBS investments are secured by pools of mortgage loans which are subject to credit risk. The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at December 31, 2021 and December 31, 2020. When delinquency rates increase, it is expected that the Company will incur additional credit losses. December 31, 2021 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.4 % 1.3 % 5.5 % 1.3 % 2.6 % 0.4 % 14.5 % December 31, 2020 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.1 % 1.4 % 7.2 % 1.3 % 2.9 % 0.4 % 16.3 % The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2021 and December 31, 2020. December 31, 2021 December 31, 2020 Weighted average maturity (years) 21.4 22.2 Weighted average amortized loan to value (1) 60.3 % 61.4 % Weighted average FICO (2) 706 714 Weighted average loan balance (in thousands) $ 259 $ 291 Weighted average percentage owner-occupied 84.0 % 81.8 % Weighted average percentage single family residence 62.7 % 61.7 % Weighted average current credit enhancement 1.2 % 0.9 % Weighted average geographic concentration of top four states CA 31.2 % CA 33.8 % NY 10.4 % NY 8.7 % FL 8.0 % FL 7.9 % NJ 4.6 % NJ 4.3 % (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 December 31, 2021 and December 31, 2020. Origination Year December 31, 2021 December 31, 2020 2003 and prior 1.4 % 1.7 % 2004 1.2 % 1.4 % 2005 8.6 % 10.3 % 2006 53.7 % 52.1 % 2007 25.3 % 27.2 % 2008 and later 9.8 % 7.3 % 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 years ended December 31, 2021, 2020 and 2019 are as follows: For the Year Ended December 31, 2021 December 31, 2020 December 31, 2019 (dollars in thousands) Proceeds from sales: Non-Agency RMBS 47,877 166,747 38,659 Agency RMBS 626 5,710,134 2,915,545 Agency CMBS 201,037 1,060,987 375,489 Gross realized gains: Non-Agency RMBS 37,742 22,021 422 Agency RMBS — 74,264 35,221 Agency CMBS 13,735 88,929 11,328 Gross realized losses: Non-Agency RMBS (4,955) (9,470) (1,445) Agency RMBS (1,209) (5,816) (24,531) Agency CMBS — (2,982) (2,225) Net realized gain (loss) $ 45,313 $ 166,946 $ 18,770 During the first quarter of 2020, the Company transferred Non-Agency RMBS investments with a market value of $135 million to a third party. As part of the transfer, the Company purchased an option to re-acquire these assets for a fixed price at a future date. This transfer was accounted for as a secured borrowing within the Secured financing agreements on the Statement of Financial Condition. During the third quarter of 2020, the Company exercised its option and repurchased the transferred investments with an amortized cost of $196 million for $251 million, which extinguished the secured borrowing. This transaction resulted in a loss on extinguishment of debt of $55 million. There were no such transfers during the years of December 31, 2021 and 2019. |
Loans Held for Investment
Loans Held for Investment | 12 Months Ended |
Dec. 31, 2021 | |
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 December 31, 2021 and 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 the Company's Loans held for investment was $11.4 billion and $12.5 billion as of December 31, 2021 and December 31, 2020, respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at December 31, 2021 and December 31, 2020: For the Year Ended For the Year Ended December 31, 2021 December 31, 2020 (dollars in thousands) Balance, beginning of period $ 13,112,129 $ 14,292,815 Purchases 3,364,609 1,860,998 Principal paydowns (2,652,767) (1,966,590) Sales and settlements (1,679,280) (1,053,943) Net periodic accretion (amortization) (79,368) (85,794) Realized gains (losses) on sales and settlements — — Change in fair value 196,603 64,643 Balance, end of period $ 12,261,926 $ 13,112,129 The primary cause of the change in fair value is due to market demand, interest rates and changes in credit risk of mortgage loans. During the year ended December 31, 2021, the Company sold loans with a fair value of $450 million, with the Company retaining $25 million of beneficial interests in these loans. The Company did not retain any other beneficial interests on loan sales during the year ended December 31, 2021. During the year ended December 31, 2020, the Company sold loans with a fair value of $1.1 billion, with the Company retaining $22 million of beneficial interests in these loans. During the year ended December 31, 2020, the Company transferred loans with unpaid principal balance of $653 million, to a third party. The Company evaluated the sales under ASC 860 and determined that the sales did not effectively transfer control of the loans from the Company, the transferor, to the third party, the transferee, due to a right by the Company to call the loans at a fixed price at a future date. As such, these transfers have been accounted for by the Company as secured borrowings and no gain or loss was recorded upon the transfer of the loans. The proceeds received, net of any collateral received in the transfer, has been recorded as a Securitized debt at fair value, collateralized by loans held for investment on the Consolidated Statements of Financial Condition. The secured borrowings related to the unpaid principal amount of these loans are non-recourse to the Company and these loans can only be used to satisfy the obligations of the transferee and the obligations of the transferee are non-recourse to the Company. There were no such transfers during the year ended December 31, 2021. See footnote 7 for more details regarding Securitized debt. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods: Origination Year December 31, 2021 (1) December 31, 2020 2002 and prior 6.6 % 6.9 % 2003 5.7 % 5.9 % 2004 11.7 % 12.0 % 2005 18.6 % 18.2 % 2006 22.7 % 22.7 % 2007 22.6 % 22.4 % 2008 6.2 % 6.4 % 2009 1.2 % 1.3 % 2010 and later 4.7 % 4.2 % Total 100.0 % 100.0 % (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period. The following table presents a summary of key characteristics of the residential loan portfolio at December 31, 2021 and December 31, 2020: December 31, 2021 (1) December 31, 2020 Number of loans 114,946 132,134 Weighted average maturity (years) 19.3 19.6 Weighted average loan to value 84.2 % 86.1 % Weighted average FICO 656 630 Weighted average loan balance (in thousands) $ 96 $ 96 Weighted average percentage owner occupied 88.8 % 87.7 % Weighted average percentage single family residence 82.2 % 83.3 % Weighted average geographic concentration of top five states CA 13.9 % CA 12.4 % FL 8.1 % FL 8.0 % NY 8.0 % NY 7.3 % VA 4.8 % PA 5.0 % PA 4.8 % VA 4.9 % (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period. The following tables show various characteristics of our residential loan portfolio and outstanding principal balance of the loans that are 30 days delinquent and greater for the years ended December 31, 2021 and 2020, respectively. December 31, 2021 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 6,651 0.50% to 17.74% 7/9/1996 - 8/1/2057 521,020 60,329 32,575 $250 to $500 608 1.25% to 10.50% 11/1/2028 - 2/1/2057 211,276 21,468 11,586 $500 to $750 129 2.13% to 9.13% 9/1/2033 - 10/1/2056 77,678 7,923 5,392 $750 to $1,000 28 2.38% to 6.25% 2/1/2035 - 2/1/2052 23,390 3,176 — Over $1,000 22 2.13% to 6.63% 12/1/2021 - 10/1/2048 41,950 3,787 6,040 7,438 875,314 96,683 55,593 Fixed loans: $1 to $250 100,857 0.00% to 21.20% 7/1/2000 - 1/1/2099 7,520,209 853,015 593,872 $250 to $500 5,610 0.00% to 11.50% 12/1/2005 - 11/1/2061 1,880,177 204,071 211,034 $500 to $750 746 1.00% to 10.14% 3/1/2021 - 7/1/2061 440,377 43,088 58,657 $750 to $1,000 151 2.00% to 9.00% 3/1/2013 - 5/1/2061 129,173 8,544 21,221 Over $1,000 144 2.00% to 10.69% 7/1/2020 - 7/1/2061 236,845 23,930 29,968 107,508 10,206,781 1,132,648 914,752 Total 114,946 11,082,095 1,229,331 970,345 (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period. The foreclosure, bankruptcy, and REO principal balances on our loans were $261 million, $216 million and $28 million, respectively, as of December 31, 2021, which are included in the table above. December 31, 2020 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,347 1.00% to 17.74% 6/1/1983 - 2/1/2059 594,201 49,615 54,702 $250 to $500 425 1.51% to 10.63% 12/1/2027 - 2/1/2057 141,621 14,166 13,453 $500 to $750 80 2.00% to 9.88% 1/1/2034 - 10/1/2056 47,936 3,202 6,943 $750 to $1,000 25 1.97% to 7.88% 7/1/2036 - 2/1/2052 21,516 — 3,511 Over $1,000 15 2.88% to 6.63% 10/1/2034 - 6/1/2049 26,274 2,884 7,134 7,892 831,548 69,867 85,743 Fixed loans: $1 to $250 116,831 0.00% to 21.20% 6/1/1989 - 5/1/2062 8,897,433 713,804 720,323 $250 to $500 6,386 0.00% to 11.59% 12/1/2005 - 3/1/2065 2,115,608 215,357 253,377 $500 to $750 740 1.00% to 10.14% 6/1/2020 - 10/1/2059 433,973 35,765 66,947 $750 to $1,000 146 2.00% to 9.00% 3/1/2013 - 11/1/2058 124,869 7,620 23,804 Over $1,000 139 2.00% to 9.00% 12/1/2019 - 6/1/2059 236,762 18,563 40,235 124,242 11,808,645 991,109 1,104,686 Total 132,134 12,640,193 1,060,976 1,190,429 The foreclosure, bankruptcy, and REO principal balances on our loans were $298 million, $277 million and $30 million, respectively, as of December 31, 2020, which are included in the table above. The fair value of residential mortgage loans 90 days or more past due was $830 million and $910 million as of December 31, 2021 and December 31, 2020, respectively. |
Fair Value Measurements
Fair Value Measurements | 12 Months Ended |
Dec. 31, 2021 | |
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 the 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 generally using market factors or other assumptions, as appropriate. If internally developed model prices differ from the independent third-party prices by greater than these thresholds for the period, the Company conducts a further review, both internally and with the third-party pricing service of the prices of such securities. First, the Company obtains the inputs used by the third-party pricing service and compares them to the Company’s inputs. The Company then 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 thresholds before a final price is established. At December 31, 2021, 7 investment holdings with an internally developed fair value of $50 million had a difference between the model generated prices and third-party prices provided in excess of the thresholds for the period. The internally developed prices were $8 million higher, in the aggregate, than the third-party prices provided of $42 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, 2021 in excess of the thresholds for the period. At December 31, 2020, 23 investment holdings with an internally developed fair value of $389 million had a difference between the model generated prices and third-party prices provided in excess of the thresholds for the period. The internally developed prices were $3 million lower, in the aggregate, than the third-party prices provided of $392 million. After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. No other differences were noted at December 31, 2020 in excess of the thresholds 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 held for investment is comprised primarily of seasoned reperforming residential mortgage loans. Loans held for investment also includes jumbo, prime residential mortgage and business purpose loans. A description of how the Company estimates the fair value for each of these loan groups is below. 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 generally using market factors or other assumptions as appropriate. If the internally developed fair values of the loan pools differ from the independent third-party prices by greater than the 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. Then 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 thresholds before a final price is established. At December 31, 2021, 3 loan pools with an internally developed fair value of $3.5 billion had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $97 million higher than the third-party prices provided of $3.4 billion. 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, 2021 in excess of the threshold for the period. At December 31, 2020, 3 loan pools with an internally developed fair value of $503 million had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $55 million higher than the third-party prices provided of $448 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, 2020 in excess of the threshold for the period. 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 allows 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. Jumbo, prime residential mortgage loans have a fair value of $11 million at December 31, 2021. 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. Business purpose loans: Business purpose loans are loans to businesses that are secured by real property which will be renovated by the borrower. Upon completion of the renovation the property will be either sold by the borrower or refinanced by the borrower who may subsequently sell or rent the property. Most, but not all, of the properties securing these loans are residential and a portion of the loan is used to cover renovation costs. The business purpose loans are included as a part of the Company's Loans held for investment portfolio and are carried at fair value. These loans tend to be short duration, often less than one year, and generally the coupon rate is higher than the Company's residential mortgage loans. As these loans are generally short-term in nature and there is an active market for these loans, the Company estimates fair value of the business purpose loans based on the recent purchase price of the loan, adjusted for observable market activity for similar assets offered in the market. Business purpose loans have a fair value of $230 million at December 31, 2021. As the fair value prices of the business purpose loans are based on the recent trades of similar assets in an active market, the Company has classified them as Level 2 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 December 31, 2021, there were no pricing differences in excess of the predetermined thresholds between the model generated prices and independent third-party prices . At December 31, 2020, two securitized debt positions with an internally developed fair value of $209 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 $17 million higher than the third-party prices provided of $192 million. After review and discussion, the Company affirmed and valued the securitized debt positions at the higher internally developed prices. No other differences were noted at December 31, 2020 in excess of the derived predetermined threshold for the period. 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. 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. Fair value option The table below shows the unpaid principal and fair value of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election as of December 31, 2021 and December 31, 2020, respectively: December 31, 2021 December 31, 2020 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Subordinated 653,616 500,288 632,335 416,745 Interest-only 3,904,665 172,501 5,628,240 262,259 Agency RMBS Interest-only 992,978 60,487 1,262,963 90,738 Agency CMBS Project loans 499,186 549,529 1,413,719 1,592,473 Interest-only 2,578,640 146,789 1,326,665 25,885 Loans held for investment, at fair value 11,519,255 12,261,926 12,640,195 13,112,129 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 7,762,864 7,726,043 8,705,200 8,711,677 The table below shows the impact of change in fair value on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in statement of operations as of December 31, 2021 and 2020, respectively: For the Year Ended December 31, 2021 December 31, 2020 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior — — Subordinated 62,736 (33,950) Interest-only (31,378) 24,919 Agency RMBS Pass-through — (151,056) Interest-only (14,318) (16,260) Agency CMBS Project loans (111,963) 44,783 Interest-only (2,548) 4,429 Loans held for investment, at fair value 196,602 64,643 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 338,226 (48,172) 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 December 31, 2021 and December 31, 2020 are presented below. December 31, 2021 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,810,208 $ — $ 1,810,208 Agency RMBS, at fair value — 60,487 — — 60,487 Agency CMBS, at fair value — 761,208 — — 761,208 Loans held for investment, at fair value — 229,627 12,032,299 — 12,261,926 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 7,726,043 — 7,726,043 December 31, 2020 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,150,714 $ — $ 2,150,714 Agency RMBS, at fair value — 90,738 — — 90,738 Agency CMBS, at fair value — 1,740,368 — — 1,740,368 Loans held for investment, at fair value — — 13,112,129 — 13,112,129 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 8,711,677 — 8,711,677 The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at December 31, 2021 and December 31, 2020. Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2021 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,150,714 $ 13,112,129 $ 8,711,677 Transfers into Level 3 — — — Transfers out of Level 3 — (272,198) — Purchases of assets/ issuance of debt 34,656 3,248,683 5,521,953 Principal payments (299,330) (2,495,015) (2,247,983) Sales and Settlements (47,674) (1,679,280) (4,192,295) Net accretion (amortization) 57,473 (79,223) 12,010 Gains (losses) included in net income (Increase) decrease in provision for credit losses (33) — — Realized gains (losses) on sales and settlements 32,807 — 258,903 Net unrealized gains (losses) included in income 31,358 197,203 (338,222) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (149,763) — — Ending balance Level 3 $ 1,810,208 $ 12,032,299 $ 7,726,043 Fair Value Reconciliation, Level 3 For the Year Ended December 31, 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 54,811 1,860,998 3,043,252 Principal payments (261,738) (1,966,590) (1,751,903) Sales and Settlements (166,786) (1,053,943) (783,880) Net accretion (amortization) 39,246 (85,794) (22,546) Gains (losses) included in net income Other than temporary credit impairment losses (180) — — Realized gains (losses) on sales and settlements 12,571 — (1,031) Net unrealized gains (losses) included in income (9,030) 64,643 48,177 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (132,588) — — Ending balance Level 3 $ 2,150,714 $ 13,112,129 $ 8,711,677 During the year ended December 31, 2021, there were transfers out of $272 million Loans held for investment from Level 3 into Level 2, relating to business purpose loans as these assets are valued based on recent trades of similar assets within an active market. During the first quarter of 2020 there were transfers out of Level 3 to Level 2 of $135 million, as prices were based on unadjusted quoted prices on these assets. These investments of $135 million 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. 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. 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 purchase 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. 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. 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 December 31, 2021 and December 31, 2020 follows. The weighted average discount rates are based on fair value. December 31, 2021 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 1%-10% 3.9% 1%-30% 11.4% 0%-7% 1.8% 26%-78% 36.6% Subordinated 2%-10% 5.6% 6%-45% 17.8% 0%-6% 1.1% 10%-55% 40.1% Interest-only 0%-100% 10.3% 6%-55% 24.9% 0%-9% 1.3% 26%-84% 33.0% December 31, 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% 3.3% 1% -25% 9.5% 1% -10% 2.0% 26% -82% 41.5% Subordinated 2% -10% 6.1% 2% -42% 13.6% 0% -6% 1.3% 10% -77% 39.8% Interest-only 0% -100% 10.2% 6% -47% 26.3% 0% -8% 1.4% 0% -79% 33.6% 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 December 31, 2021 and December 31, 2020 follows: December 31, 2021 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 1%-7% 2.6% 6%-20% 15.1% 0%-11% 1.4% 30%-75% 56.1% December 31, 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% 2.5% 4% - 40% 10.5% 0% - 7% 1.3% 30% - 75% 57.6% 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 of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo and prime residential mortgages. T |
Secured Financing Agreements
Secured Financing Agreements | 12 Months Ended |
Dec. 31, 2021 | |
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 bonds issued by 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 December 2022 through April 2025. The collateral pledged as security on the long-term financing agreements may include the Company’s investments in bonds issued by consolidated VIEs, which are eliminated in consolidation. The interest rates on the long-term financing agreements are generally indexed to one-month and three-month LIBOR rates. The warehouse credit facilities collateralized by loans are repurchase agreements intended to finance loans 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 generally 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, 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 or until the drop is greater than a threshold. At December 31, 2021, the Company has $1.2 billion of secured financing agreements which are not subject to additional margin requirements upon a change in the fair value of the collateral pledged. At December 31, 2021, the Company has $113 million of secured financing agreements which are not subject to additional margin requirements until the drop in the fair value of collateral is greater than a threshold. 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. 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 December 31, 2021 and December 31, 2020 were: December 31, 2021 December 31, 2020 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 23,170 $ 69,180 Agency CMBS (in thousands) 589,535 1,333,799 Non-Agency RMBS and Loans held for investment (in thousands) (1) 2,648,908 3,233,868 Total: $ 3,261,613 $ 4,636,847 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 28,320 $ 86,160 Agency CMBS (in thousands) 617,457 1,382,783 Non-Agency RMBS and Loans held for investment (in thousands) 3,747,573 5,227,271 Total: $ 4,393,350 $ 6,696,214 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 47,155 $ 1,407,713 Agency CMBS (in thousands) 963,894 1,818,721 Non-Agency RMBS and Loans held for investment (in thousands) 2,926,880 4,089,911 Total: $ 3,937,929 $ 7,316,345 Average borrowing rate of Secured financing agreements secured by: Agency RMBS 0.68 % 0.90 % Agency CMBS 0.21 % 0.21 % Non-Agency RMBS and Loans held for investment 2.78 % 4.78 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS 4 Days 12 days Agency CMBS 13 Days 11 days Non-Agency RMBS and Loans held for investment 257 Days 458 days Average original maturity of Secured financing agreements secured by: Agency RMBS 61 Days 14 days Agency CMBS 35 Days 30 days Non-Agency RMBS and Loans held for investment 283 Days 492 days (1) The values for secured financing agreements in the table above is net of $3 million and $8 million of deferred financing cost as of December 31, 2021 and December 31, 2020, respectively. At December 31, 2021 and December 31, 2020, we pledged $19 million and $42 million, respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At December 31, 2021 and December 31, 2020, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. December 31, 2021 December 31, 2020 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — NA —% - —% $ — NA NA 1 to 29 days 1,018,670 0.73% 0.11% - 1.95% 1,521,134 0.38% 0.20% - 2.72% 30 to 59 days 379,031 1.66% 1.55% - 1.70% 481,257 4.35% 2.42% - 6.61% 60 to 89 days 342,790 1.86% 0.90% - 2.35% 352,684 2.78% 1.34% - 6.30% 90 to 119 days 67,840 1.66% 1.66% - 1.66% 301,994 7.97% 7.97% - 7.97% 120 to 180 days 157,944 1.38% 0.95% - 1.45% 595,900 5.29% 2.40% - 6.26% 180 days to 1 year 895,210 3.70% 1.95% - 4.38% 345,204 3.60% 3.25% - 4.50% 1 to 2 years 143,239 3.05% 3.05% - 3.05% — NA NA 2 to 3 years — NA —% - —% 642,696 4.91% 1.65% - 7.00% Greater than 3 years 256,889 5.56% 5.56% - 5.56% 395,978 5.56% 5.56% - 5.56% Total $ 3,261,613 2.30% $ 4,636,847 3.41% (1) The values for secured financing agreements in the table above is net of $3 million and $8 million of deferred financing cost as of December 31, 2021 and December 31, 2020, respectively. 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 $976 million unused uncommitted warehouse credit facilities as of December 31, 2021. At December 31, 2021, there was no amount at risk with any counterparty greater than 10% of the Company's equity. At December 31, 2020, the Company had amounts at risk with Goldman Sachs and Nomura of 17% and 11%, respectively, of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Goldman Sachs and Nomura were 938 and 106 days, respectively. The amounts at risk with Goldman Sachs and Nomura were $649 million and $421 million, respectively. |
Securitized Debt
Securitized Debt | 12 Months Ended |
Dec. 31, 2021 | |
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 December 31, 2021 and December 31, 2020, the Company’s securitized debt collateralized by Non-Agency RMBS was carried at amortized cost and had a principal balance of $113 million and $135 million, respectively. At December 31, 2021 and December 31, 2020, the debt carried a weighted average coupon of 6.7% and 6.5%, respectively. As of December 31, 2021, the maturities of the debt range between the years 2036 and 2037. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. During the year ended December 31, 2021, the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $370 thousand for $478 thousand. This transaction resulted in net loss on extinguishment of debt of $108 thousand. The Company did not acquire any securitized debt collateralized by Non-Agency RMBS during the year ended December 31, 2020. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 2021 and December 31, 2020, 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. December 31, 2021 December 31, 2020 (dollars in thousands) Within One Year $ 4,374 $ 13,552 One to Three Years 2,361 11,229 Three to Five Years 949 1,589 Greater Than Five Years 82 305 Total $ 7,766 $ 26,675 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 December 31, 2021 and December 31, 2020, the Company’s securitized debt collateralized by Loans held for investment had a principal balance of $7.8 billion and $8.7 billion, respectively. At December 31, 2021 and December 31, 2020, the total securitized debt collateralized by Loans held for investment carried a weighted average coupon equal to 2.4% and 3.4%, respectively. As of December 31, 2021, the maturities of the debt range between the years 2023 and 2062. During the year ended December 31, 2021, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $3.9 billion for $4.2 billion. This transaction resulted in net loss on extinguishment of debt of $259 million. During the year ended December 31, 2020, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $785 million for $784 million. This transaction resulted in a net gain on extinguishment of debt of $1 million. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at December 31, 2021 and December 31, 2020, 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. December 31, 2021 December 31, 2020 (dollars in thousands) Within One Year $ 2,031,445 $ 1,837,055 One to Three Years 2,886,255 2,819,646 Three to Five Years 1,697,760 1,774,273 Greater Than Five Years 1,145,995 2,170,253 Total $ 7,761,455 $ 8,601,227 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 December 31, 2021. December 31, 2021 (dollars in thousands) Year Principal Currently callable 333,066 2022 1,515,604 2023 991,939 2024 1,359,229 2025 2,387,361 2026 $ 310,333 Total $ 6,897,532 |
Long Term Debt
Long Term Debt | 12 Months Ended |
Dec. 31, 2021 | |
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). On June 29, 2021, as a result in the change in the dividend, the conversion rate was updated to 154.1546 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $6.49 per common share). Upon conversion of these notes by a holder, the holder will receive shares of the Company's common stock. As of December 31, 2021, approximately $358 million of the Notes have been converted into approximately 55 million shares of common stock of the Company. During the year ended December 31, 2021, the Company acquired $16 million of the Notes for $37 million, this transaction resulted in a loss on extinguishment of debt of $21 million. As of December 31, 2021, there was no outstanding principal amount, unamortized deferred debt issuance cost and accrued interest payable on these Notes. As of December 31, 2020, the outstanding principal amount of these Notes was $53 million, unamortized deferred debt issuance cost was $1 million, and accrued interest payable was $1 million. The net interest expense for the year ended December 31, 2021 and 2020 was $2 million and $7 million, respectively. |
Consolidated Securitization Veh
Consolidated Securitization Vehicles and Other Variable Interest Entities | 12 Months Ended |
Dec. 31, 2021 | |
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. During the year ended December 31, 2021, the Company securitized and consolidated approximately $6.6 billion unpaid principal balance of seasoned residential subprime mortgage loans. During the year ended December 31, 2020, the Company securitized and consolidated approximately $2.5 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 December 31, 2021 and December 31, 2020. December 31, 2021 December 31, 2020 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 399,048 $ 505,479 Loans held for investment, at fair value 10,205,587 11,591,598 Accrued interest receivable 47,237 53,804 Other assets 14,719 14,136 Total Assets: $ 10,666,591 $ 12,165,017 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 87,999 $ 113,433 Securitized debt at fair value, collateralized by Loans held for investment 7,118,374 7,923,523 Accrued interest payable 15,101 23,677 Other liabilities 2,181 2,477 Total Liabilities: 7,223,655 8,063,110 (1) December 31, 2020 balance includes allowance for credit losses of $117 thousand. Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Year ended December 31, 2021 December 31, 2020 December 31, 2019 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 586,580 $ 683,456 $ 780,746 Interest expense, Non-recourse liabilities of VIEs 203,135 285,142 337,387 Net interest income $ 383,445 $ 398,314 $ 443,359 (Increase) decrease in provision for credit losses $ 117 $ (117) $ — Net other-than-temporary credit impairment losses $ — $ — $ (4,255) Servicing fees $ 26,818 $ 32,479 $ 33,920 VIEs for Which the Company is Not the Primary Beneficiary |
Derivative Instruments
Derivative Instruments | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Derivative InstrumentsIn connection with the Company’s interest rate risk strategy, the Company may 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. 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. Treasury futures 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 15 for further discussion of counterparty credit risk. The Company did not have any derivative instruments as of December 31, 2021 and December 31, 2020. There were no Net gains (losses) on derivatives for the year ended December 31, 2021 . The effect of the Company’s derivatives on the Consolidated Statements of Operations for the years ended December 31, 2021, 2020 and 2019, respectively, is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of December 31, 2021 December 31, 2020 December 31, 2019 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ — $ 204,611 $ (122,272) Interest Rate Swaps Net realized gains (losses) on derivatives (1) — (470,352) (356,713) Treasury Futures Net unrealized gains (losses) on derivatives — (3,611) 16,986 Treasury Futures Net realized gains (losses) on derivatives — (34,700) (37,032) Swaptions Net unrealized gains (losses) on derivatives — — (923) Swaptions Net realized gains (losses) on derivatives — — (404) Total $ — $ (304,052) $ (500,358) (1) Includes loss on termination of interest rate swaps of $464 million and $360 million during the years ended December 31, 2020 and 2019, respectively.. There were no swap terminations during the year ended December 31, 2021. The company paid $464 million to terminate interest rate swaps with a notional value of $4.1 billion during the year ended December 31, 2020. The terminated swaps had original maturities from 2023 to 2048. |
Capital Stock
Capital Stock | 12 Months Ended |
Dec. 31, 2021 | |
Equity [Abstract] | |
Capital Stock | Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $12 million, or $2.00 per preferred share, during the years ended December 31, 2021 and 2020, respectively. The Company declared dividends to Series B preferred stockholders of $26 million, or $2.00 per preferred share, during the years ended December 31, 2021 and 2020, respectively. The Company declared dividends to Series C preferred stockholders of $20 million, or $1.937500 per preferred share, during the years ended December 31, 2021 and 2020, respectively. The Company declared dividends to Series D preferred stockholders of $16 million, or $2.00 per preferred share, during the years ended December 31, 2021 and 2020, respectively. On October 30, 2021, all 5,800,000 issued and outstanding shares of Series A Preferred Stock with an outstanding liquidation preference of $145 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including the redemption date. Common Stock In February 2021, the Company's Board of Directors increased the authorization of the Company's share repurchase program to $250 million, 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 the Company's 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 the Company's 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 its 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 repurchased approximately 161 thousand shares of its common stock at an average price of $11.39 per share for a total of $2 million during the year ended December 31, 2021. 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 year ended December 31, 2020. The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $226 million as of December 31, 2021. The Company declared dividends to common shareholders of $308 million, or $1.29 per share, and $301 million, or $1.40 per share, during the years ended December 31, 2021 and 2020, respectively. Warrants During the year ended December 31, 2021, the Company settled the $400 million financed under the senior secured, non-mark-to market credit agreement in full and the Warrant Shares became exercisable. The Company then settled the exercise of 20 million Warrant Shares in cash at a price of 90% of fair market value of the Company's common stock for $221 million. Earnings per Share (EPS) EPS for the years ended December 31, 2021, 2020 and 2019 respectively, are computed as follows: For the Year ended December 31, 2021 December 31, 2020 December 31, 2019 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 596,350 $ 15,104 $ 340,847 Effect of dilutive securities: Interest expense attributable to convertible notes 2,274 — $ — Net income (loss) available to common shareholders - Diluted $ 598,624 $ 15,104 $ 340,847 Denominator: Weighted average basic shares 233,770,474 212,995,533 187,156,990 Effect of dilutive securities 11,726,452 13,442,808 1,249,454 Weighted average dilutive shares 245,496,926 226,438,341 188,406,444 Net income (loss) per average share attributable to common stockholders - Basic $ 2.55 $ 0.07 $ 1.82 Net income (loss) per average share attributable to common stockholders - Diluted $ 2.44 $ 0.07 $ 1.81 For the year ended December 31, 2021 potentially dilutive shares of 126 thousand were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. Anti-dilutive shares for the year ended December 31, 2021 were comprised of restricted stock units. For the year ended December 31, 2020 potentially dilutive shares of 14 million and interest expense attributable to convertible debt of $7 million were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 12 Months Ended |
Dec. 31, 2021 | |
Equity [Abstract] | |
Accumulated Other Comprehensive Income | Accumulated Other Comprehensive Income The following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the years ended December 31, 2021 and 2020: December 31, 2021 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2020 $ 558,096 $ 558,096 OCI before reclassifications (115,926) (115,926) Amounts reclassified from AOCI (37,116) (37,116) Net current period OCI (153,042) (153,042) Balance as of December 31, 2021 $ 405,054 $ 405,054 December 31, 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 (94,136) (94,136) Amounts reclassified from AOCI (56,104) (56,104) Net current period OCI (150,240) (150,240) Balance as of December 31, 2020 $ 558,096 $ 558,096 The amounts reclassified from AOCI balance comprised of $37 million and $56 million net unrealized gains on available-for-sale securities sold for the years ended December 31, 2021 and 2020, respectively. |
Equity Compensation, Employment
Equity Compensation, Employment Agreements and other Benefit Plans | 12 Months Ended |
Dec. 31, 2021 | |
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. There were approximately 2 million shares available for future grants under the Incentive Plan as of December 31, 2021. 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 Incentive 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. At December 31, 2021 and December 31, 2020, there are approximately 914 thousand shares for which payments have been deferred until separation or a date elected by the participant, respectively. These shares are reflected as unvested shares outstanding in the table below. At December 31, 2021, there are approximately 699 thousand dividend equivalent rights earned but not yet delivered. These undelivered dividend equivalent rights earned but not yet delivered are not included in the total unvested shares outstanding in the table below. Grants of Restricted Stock Units, or RSUs During the year ended December 31, 2021 and 2020, 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 who are retirement eligible, defined as 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. The Company granted 393 thousand RSU awards during the year ended December 31, 2021, with a grant date fair value of $5 million. The Company granted 414 thousand RSU awards during the year ended December 31, 2020, with a grant date fair value of $5 million. In addition, during the year ended December 31, 2021, the Company granted certain of its senior management 1 million RSU awards that vest in five equal tranches with one tranche vested immediately and the remaining four will vest equally over a four-year period. These additional RSUs are not subject to retirement eligible provisions and had a grant date fair value of $10 million. 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 year ended December 31, 2021 and 2020, include a three-year performance period ending on December 31, 2023 and December 31, 2022, 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 awarded. During the year ended December 31, 2021, the Company granted 182 thousand PSU awards to senior management with a grant date fair value of $2 million. During the year ended December 31, 2020, the Company granted 173 thousand PSU awards to senior management with a grant date fair value of $3 million. The following table presents information with respect to the Company's stock awards during the years ended December 31, 2021 and 2020. For the Year Ended December 31, 2021 December 31, 2020 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 2,143,868 $ 16.51 1,900,371 $ 17.30 Granted 1,575,137 $ 10.57 587,233 $ 15.10 Vested (264,917) $ 14.87 (213,887) $ 18.59 Forfeited (637,240) $ 16.41 (129,849) $ 18.16 Unvested shares outstanding - end of period 2,816,848 $ 13.37 2,143,868 $ 16.51 The forfeited amounts above include shares forfeited by employees to pay taxes of approximately 632,000 shares and 114,000 shares for the years ended December 31, 2021 and 2020 respectively. The Company recognized stock based compensation expenses of $12 million and $9 million for the years ended December 31, 2021 and 2020. 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 year ended December 31, 2021, 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 years ended December 31, 2021 and 2020, the 401(k) expenses were $417 thousand and $446 thousand, respectively. |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the years ended December 31, 2021 and 2020, 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. The Company recorded current income tax expense of $4 million or the year ended December 31, 2021. There were no significant income tax expenses for the year ended December 31, 2020. The Company recorded a gross deferred tax asset of $10 million and $30 million for the years ended December 31, 2021 and 2020, respectively, relating to the activities of its TRSs. Of these amounts, the amount related to cumulative net operating losses was $9 million and $25 million as of December 31, 2021 and 2020, respectively. The amount related to interest disallowed under Code Section 163(j) was $1 million as of December 31, 2021 and 2020. The amount related to losses which were disallowed under Code Section 267(a) was $4 million as of December 31, 2020. There were no amounts related to losses which were disallowed under Code Section 267(a) as of December 31, 2021. The Company evaluates, based on both positive and negative evidence, the likelihood of realizing its deferred tax assets and established a valuation allowance of $10 million and $30 million for the years ended December 31, 2021 and 2020. 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, 2018 remain open for examination. |
Credit Risk and Interest Rate R
Credit Risk and Interest Rate Risk | 12 Months Ended |
Dec. 31, 2021 | |
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. Additionally, the Company seeks to minimize credit risk through 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. The Company's secured financing agreements transactions are governed by underlying agreements that provide for a right of setoff by the lender, including in the event of default or in the event of bankruptcy of the borrowing part to the transactions. The Company's 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 the Consolidated Statements of Financial Condition. As of December 31, 2021, the Company is not a party to any derivative instrument and not subject to this risk. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and ContingenciesFrom 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. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent EventsNone. |
Summarized Quarterly Results (U
Summarized Quarterly Results (Unaudited) | 12 Months Ended |
Dec. 31, 2021 | |
Quarterly Financial Information Disclosure [Abstract] | |
Summarized Quarterly Results (Unaudited) | Summarized Quarterly Results (Unaudited) The following is a presentation of the results of operations for the quarters ended December 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021. For the Quarter Ended December 31, 2021 September 30, 2021 June 30, 2021 March 31, 2021 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 221,162 $ 220,579 $ 252,677 $ 243,127 Interest expense 66,598 71,353 80,610 108,066 Net interest income 154,564 149,226 172,067 135,061 Increase/(decrease) in provision for credit losses 92 (386) 453 (126) Net unrealized gains (losses) on financial instruments at fair value (108,286) 239,524 36,108 270,012 Net realized gains (losses) on sales of investments — — 7,517 37,796 Gain (loss) on Extinguishment of Debt 980 (25,622) (21,777) (237,137) Total other expenses 30,175 30,723 30,229 44,355 Net income (loss) $ 17,734 $ 331,468 $ 163,321 $ 157,591 Dividend on preferred stock $ 18,452 $ 18,438 $ 18,438 $ 18,438 Net income (loss) available to common shareholders $ (718) $ 313,030 $ 144,883 $ 139,153 Net income (loss) per common share-basic $ (0.00) $ 1.33 $ 0.63 $ 0.60 The following is a presentation of the results of operations for the quarters ended December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020. For the Quarter Ended December 31, 2020 September 30, 2020 June 30, 2020 March 31, 2020 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 236,156 $ 247,905 $ 245,922 $ 300,266 Interest expense 120,285 124,557 129,256 142,083 Net interest income 115,871 123,348 116,666 158,183 Increase/(decrease) in provision for credit losses (13) 1,650 4,497 (6,314) Net gains (losses) on derivatives — — — (304,052) Net unrealized gains (losses) on financial instruments at fair value 61,379 260,766 (171,921) (260,887) Net realized gains (losses) on sales of investments (329) 65,041 26,380 75,854 Gain (loss) on Extinguishment of Debt 919 (55,794) 459 — Total other expenses 30,566 27,620 31,000 33,507 Net income (loss) $ 147,234 $ 367,329 $ (54,955) $ (370,755) Dividend on preferred stock $ 18,438 $ 18,438 $ 18,438 $ 18,438 Net income (loss) available to common shareholders $ 128,796 $ 348,891 $ (73,393) $ (389,193) Net income (loss) per common share-basic $ 0.55 $ 1.50 $ (0.37) $ (2.08) |
Summary of the Significant Ac_2
Summary of the Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2021 | |
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 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. Generally, the securities retained by the Company are the most subordinate in the capital structure, which means those securities receive distributions after the senior securities have been paid. 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. |
Cash and Cash Equivalents | Cash and Cash EquivalentsCash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2021 and December 31, 2020. |
Agency and Non-Agency Mortgage-Backed Securities | Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities, or MBS, representing interests in obligations backed by pools of mortgage loans. The Company’s investments in MBS includes investments in both Agency MBS and Non-Agency MBS. The Company delineates between Agency MBS and Non-Agency MBS as follows: (1) Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations, or CMOs, and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation; and (2) Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is not guaranteed and it is subject to the performance of the mortgage loans or MBS collateralizing the obligation. Agency MBS collectively refers to include Agency CMBS and Agency RMBS as defined in Part I of this annual report. The Company also invests in Interest Only Agency MBS strips and Interest Only Non-Agency RMBS strips, or IO MBS strips. IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. The Company classifies its MBS as available-for-sale sale (AFS) or in accordance with the fair-value option (FVO). MBS classified as AFS are recorded on the Consolidated Statements of Financial Condition at fair value with changes in fair value recorded in Other comprehensive income (OCI). MBS classified as FVO are recorded on the Consolidated Statements of Financial Condition at fair value with changes in fair value recorded in earnings. See Note 5 of these consolidated financial statements for further discussion of MBS carried at FVO and how the Company determines fair value. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations utilizing the average cost method. The Company’s accounting policy for interest income and an allowance for credit losses related to its MBS is as follows: 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 Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC), 325-40, Beneficial Interests in Securitized Financial Assets, (ASC 325-40) as amended by the accounting standards update (ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments (ASU 2016-13). 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 there is no allowance for credit losses, or 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). |
Loans Held for Investment | Loans Held for Investment The Company's Loans held for investments is primarily comprised of seasoned residential mortgage loans that are not guaranteed as to repayment of principal or interest. These loans are serviced and may be modified by a third-party servicer. Additionally, in certain cases, the Company has the ability to remove the servicer with or without cause upon prior notice. These residential mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis and are carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Interest is accrued on all loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s residential mortgage loans are recognized as expenses in the Consolidated Statements of Operations. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned |
Secured Financing Agreements | Secured Financing AgreementsThe Company finances the acquisition of a significant portion of its mortgage-backed securities with secured financing agreements. The Company has evaluated each agreement and has determined that each of the secured financing agreements be accounted for as secured borrowings, which is recourse to the Company. |
Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by Loans held for investment and Long Term Debt | Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by Loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS, reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective basis. For securitized debt, where the Company has elected fair value option, the interest expense is recognized using the interest method with changes in yield reflected in earnings on a prospective basis. The Company recognizes a gain or loss on extinguishment of debt when it acquires its outstanding debt at discount or premium. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. (h) Long Term Debt The Company's Long Term Debt is comprised of Convertible Senior 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. |
Fair Value | Fair Value The Company carries the majority of its financial instruments at fair value. The Company has elected fair value option on certain Non-Agency RMBS, Agency MBS, Loans held for investments and Securitized debt, collateralized by loans held for investment. The Company believes the fair value option election will provide its financial statements user with reduced complexity, greater consistency, understandability and comparability. Agency MBS: The Company has elected to account for Agency MBS investments acquired on or after July 1, 2017 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. All Agency MBS investments acquired prior to July 1, 2017 are carried at fair value with changes in fair value reported in other comprehensive income (OCI) as available-for-sale investments. All revenue recognition for these Agency MBS investments owned prior to July 1, 2017 will be in accordance with ASC 310-20, per the Company’s accounting practices. Non-Agency RMBS: The Company has elected to account for all Non-Agency RMBS investments acquired on or after January 1, 2019 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. The Company has elected the fair value option for certain interests in Non-Agency RMBS which it refers to as the overcollateralization classes. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of Non-Agency RMBS investments is highly subjective and uncertain; therefore, the Company records these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value of the overcollateralization classes are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Loans Held for Investment: The Company’s Loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries Loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of Loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized debt, collateralized by loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. 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. |
Derivatives Financial Instruments | Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 10 Derivative Instruments for further details. |
Sales, Securitizations, and Re-Securitzations | Sales, Securitizations, and Re-SecuritizationsThe Company periodically enters into transactions in which it sells financial assets, such as MBS and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales, whereby the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield. |
Income Taxes | Income TaxesThe Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will generally not be subject to U.S. federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any unrecognized tax positions that would affect its financial statements or require disclosure. |
Net Income per Share | Net Income per ShareThe Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock and warrants. In addition, the Company’s Convertible Senior Notes are included in the calculation of diluted EPS if the assumed conversion into common shares is dilutive, using the “if-converted” method. This involves adding back the periodic interest expense associated with the Convertible Senior Notes to the numerator and by adding the shares that would be issued in an assumed conversion (regardless of whether the conversion options is in or out of the money) to the denominator for the purposes of calculating diluted EPS. |
Stock-Based Compensation | Stock-Based CompensationCompensation expense for equity based awards granted to the Company’s independent directors and stock based compensation awards granted to employees of the Company subject only to service condition is recognized on a straight-line basis over the vesting period of such awards, based upon the fair value of such awards at the grant date. The Company recognizes forfeitures when they occur and does not adjust the fair value of the grants for estimated forfeitures. For awards subject to vesting on a straight line basis, the total amount of expense is at least equal to the measured expense of each vested tranche. Awards subject to only a service condition are valued according to the market price for the Company’s common stock at the date of grant. For certain awards based on the performance of the Company, it engages an independent appraisal company to determine the value of the award at the date of grant and for other awards it estimates the value of the grant based on its expected performance relative to an established peer group. The Company considers the underlying contingency risks associated with the performance criteria. The values of these grants are expensed ratably over their respective vesting periods (irrespective of achievement of the performance criteria) adjusted, as applicable, for forfeitures. |
Use of Estimates | 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 (Notes 4 and 5), securitized debt (Notes 5 and 7) and derivative instruments (Notes 5 and 10). Actual results could differ materially from those estimates. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements Reference Rate Reform (Topic 848) In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standard Update (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 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 contracts held by the Company subject to reference rate reform that fall within the scope of this update beginning immediately through December 31, 2022 at which time the transition is expected to be complete. The Company has not yet had any contracts modified to adopt reference rate reform. When a contract within the scope of this update is updated for reference rate reform, the Company will evaluate the impact in accordance with this update. 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 earnings per share, or 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 the Company on January 1, 2022. The Company currently does not have convertible instruments and contracts in its own equity, therefore, the adoption of this guidance is not expected to have any material impact on the Company's consolidated financial statements. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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 the Company's MBS investments as of December 31, 2021 and December 31, 2020. December 31, 2021 (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 $ 1,283,788 $ 5,906 $ (673,207) $ 616,487 $ (212) $ 985,682 $ 369,913 $ (506) $ 369,407 Subordinated 845,432 5,179 (274,843) 575,768 (1) 652,025 99,240 (22,982) 76,258 Interest-only 3,904,665 191,230 — 191,230 — 172,501 36,512 (55,241) (18,729) Agency RMBS Interest-only 992,978 102,934 — 102,934 — 60,487 — (42,447) (42,447) Agency CMBS Project loans 560,565 10,812 (879) 570,498 — 614,419 43,921 — 43,921 Interest-only 2,578,640 147,024 — 147,024 — 146,789 3,044 (3,279) (235) Total $ 10,166,068 $ 463,085 $ (948,929) $ 2,203,941 $ (213) $ 2,631,903 $ 552,630 $ (124,455) $ 428,175 December 31, 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 $ 1,560,135 $ 3,934 $ (773,804) $ 790,265 $ (180) $ 1,277,800 $ 487,963 $ (248) $ 487,715 Subordinated 905,674 7,059 (347,056) 565,677 — 610,655 83,007 (38,029) 44,978 Interest-only 5,628,240 249,610 — 249,610 — 262,259 67,868 (55,219) 12,649 Agency RMBS Interest-only 1,262,963 118,867 — 118,867 — 90,738 270 (28,399) (28,129) Agency CMBS Project loans 1,527,621 28,559 (861) 1,555,319 — 1,714,483 159,233 (69) 159,164 Interest-only 1,326,665 23,572 — 23,572 — 25,885 2,659 (346) 2,313 Total $ 12,211,298 $ 431,601 $ (1,121,721) $ 3,303,310 $ (180) $ 3,981,820 $ 801,000 $ (122,310) $ 678,690 |
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 December 31, 2021 and December 31, 2020. All available for sale Non-Agency RMBS not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses. December 31, 2021 (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 $ 30,846 $ (506) 2 $ — $ — — $ 30,846 $ (506) 2 Subordinated 36,942 (657) 7 28,371 (22,325) 9 65,313 (22,982) 16 Interest-only 11,872 (1,958) 24 30,474 (53,283) 56 42,346 (55,241) 80 Agency RMBS Interest-only 5,003 (1,215) 4 55,486 (41,232) 21 60,489 (42,447) 25 Agency CMBS Project loans — — — — — — — — — Interest-only 131,551 (3,164) 7 491 (115) 1 132,042 (3,279) 8 Total $ 216,214 $ (7,500) 44 $ 114,822 $ (116,955) 87 $ 331,036 $ (124,455) 131 December 31, 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 $ 11,985 $ (248) 2 $ — $ — — $ 11,985 $ (248) 2 Subordinated 253,822 (8,711) 5 34,697 (29,318) 15 288,519 (38,029) 20 Interest-only 38,604 (8,682) 34 22,761 (46,537) 43 61,365 (55,219) 77 Agency RMBS Interest-only 31,059 (4,938) 6 54,153 (23,461) 16 85,212 (28,399) 22 Agency CMBS Project loans — — — 8,581 (69) 1 8,581 (69) 1 Interest-only 4,052 (346) 6 — — — 4,052 (346) 6 Total $ 339,522 $ (22,925) 53 $ 120,192 $ (99,385) 75 $ 459,714 $ (122,310) 128 |
Schedule of Summary of Credit Loss Allowance | A summary of the credit losses allowance on available-for-sale securities for the year ended December 31, 2021 and 2020 is presented below. For the Year Ended December 31, 2021 December 31, 2020 (dollars in thousands) Beginning allowance for credit losses $ 180 $ — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 475 6,594 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 (830) (3,765) Write-offs charged against the allowance (86) (2,401) Recoveries of amounts previously written off 474 73 Ending allowance for credit losses $ 213 $ 180 |
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 December 31, 2021 and December 31, 2020. December 31, 2021 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 6,941,202 2.4% 5.1% 60.9% Subordinated 1,352 10.0% 0.3% 30.0% December 31, 2020 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 46,500,000 9.2% 3.5% 58.3% |
Summary of Unrealized Gains and Losses on MBS | The following tables present a summary of unrealized gains and losses at December 31, 2021 and December 31, 2020. December 31, 2021 (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 $ 369,913 $ — $ 369,913 $ (506) $ — $ (506) Subordinated 33,587 65,653 99,240 — (22,982) (22,982) Interest-only — 36,512 36,512 — (55,241) (55,241) Agency RMBS Interest-only — — — — (42,447) (42,447) Agency CMBS Project loans 2,060 41,861 43,921 — — — Interest-only — 3,044 3,044 — (3,279) (3,279) Total $ 405,560 $ 147,070 $ 552,630 $ (506) $ (123,949) $ (124,455) December 31, 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 $ 487,963 $ — $ 487,963 $ (248) $ — $ (248) Subordinated 65,043 17,964 83,007 — (38,029) (38,029) Interest-only — 67,868 67,868 — (55,219) (55,219) Agency RMBS Interest-only — 270 270 — (28,399) (28,399) Agency CMBS Project loans 5,407 153,826 159,233 (69) — (69) Interest-only — 2,659 2,659 — (346) (346) Total $ 558,413 $ 242,587 $ 801,000 $ (317) $ (121,993) $ (122,310) |
Residential Mortgage Backed Securities Collateral Characteristics | The following tables provide a summary of the Company’s MBS portfolio at December 31, 2021 and December 31, 2020. December 31, 2021 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,283,788 $ 48.02 76.78 4.5 % 18.0 % Subordinated 845,432 68.10 77.12 3.8 % 7.1 % Interest-only 3,904,665 4.90 4.42 1.7 % 13.2 % Agency RMBS Interest-only 992,978 10.37 6.09 1.3 % 0.3 % Agency CMBS Project loans 560,565 101.77 109.61 4.3 % 4.1 % Interest-only 2,578,640 5.70 5.69 0.7 % 4.6 % (1) Bond Equivalent Yield at period end. December 31, 2020 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 $ 1,560,135 $ 50.65 $ 81.90 4.5 % 16.9 % Subordinated 905,674 62.46 67.43 3.8 % 6.3 % Interest-only 5,628,240 4.43 4.66 1.5 % 16.2 % Agency RMBS Interest-only 1,262,963 9.41 7.18 1.7 % 1.6 % Agency CMBS Project loans 1,527,621 101.81 112.23 4.1 % 3.8 % Interest-only 1,326,665 1.78 1.95 0.6 % 8.4 % (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 December 31, 2021 and December 31, 2020. December 31, 2021 December 31, 2020 AAA 0.2 % 0.2 % AA 1.4 % 0.1 % A 2.2 % 1.2 % BBB 2.1 % 1.9 % BB 4.1 % 4.3 % B 1.8 % 2.0 % Below B 23.3 % 31.9 % Not Rated 64.9 % 58.4 % 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 December 31, 2021 and December 31, 2020 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. December 31, 2021 (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 $ 3,186 $ 279,222 $ 318,684 $ 384,590 $ 985,682 Subordinated 3,303 149,089 276,979 222,654 652,025 Interest-only 2,300 140,558 29,642 1 172,501 Agency RMBS Interest-only — — 60,487 — 60,487 Agency CMBS Project loans 8,388 — — 606,031 614,419 Interest-only 1,335 141,997 3,457 — 146,789 Total fair value $ 18,512 $ 710,866 $ 689,249 $ 1,213,276 $ 2,631,903 Amortized cost Non-Agency RMBS Senior $ 2,349 $ 194,506 $ 190,030 $ 229,602 $ 616,487 Subordinated 1 129,063 244,103 202,601 575,768 Interest-only 27,764 140,757 22,648 61 191,230 Agency RMBS Interest-only — — 102,934 — 102,934 Agency CMBS Project loans 8,388 — — 562,110 570,498 Interest-only 1,540 142,290 3,194 — 147,024 Total amortized cost $ 40,042 $ 606,616 $ 562,909 $ 994,374 $ 2,203,941 December 31, 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 $ 7,850 $ 366,218 $ 467,336 $ 436,396 $ 1,277,800 Subordinated 5 105,272 102,805 402,573 610,655 Interest-only 5,780 143,631 110,468 2,380 262,259 Agency RMBS Interest-only — 864 89,874 — 90,738 Agency CMBS Project loans 8,581 — — 1,705,902 1,714,483 Interest-only 620 21,500 3,765 — 25,885 Total fair value $ 22,836 $ 637,485 $ 774,248 $ 2,547,251 $ 3,981,820 Amortized cost Non-Agency RMBS Senior $ 4,691 $ 256,935 $ 257,188 $ 271,451 $ 790,265 Subordinated — 83,188 78,435 404,054 565,677 Interest-only 26,286 138,150 82,368 2,806 249,610 Agency RMBS Interest-only — 1,898 116,969 — 118,867 Agency CMBS Project loans 8,650 — — 1,546,669 1,555,319 Interest-only 788 19,273 3,511 — 23,572 Total amortized cost $ 40,415 $ 499,444 $ 538,471 $ 2,224,980 $ 3,303,310 |
Schedule of Various Characteristics of Residential Loan Portfolio | The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at December 31, 2021 and December 31, 2020. When delinquency rates increase, it is expected that the Company will incur additional credit losses. December 31, 2021 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.4 % 1.3 % 5.5 % 1.3 % 2.6 % 0.4 % 14.5 % December 31, 2020 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.1 % 1.4 % 7.2 % 1.3 % 2.9 % 0.4 % 16.3 % December 31, 2021 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 6,651 0.50% to 17.74% 7/9/1996 - 8/1/2057 521,020 60,329 32,575 $250 to $500 608 1.25% to 10.50% 11/1/2028 - 2/1/2057 211,276 21,468 11,586 $500 to $750 129 2.13% to 9.13% 9/1/2033 - 10/1/2056 77,678 7,923 5,392 $750 to $1,000 28 2.38% to 6.25% 2/1/2035 - 2/1/2052 23,390 3,176 — Over $1,000 22 2.13% to 6.63% 12/1/2021 - 10/1/2048 41,950 3,787 6,040 7,438 875,314 96,683 55,593 Fixed loans: $1 to $250 100,857 0.00% to 21.20% 7/1/2000 - 1/1/2099 7,520,209 853,015 593,872 $250 to $500 5,610 0.00% to 11.50% 12/1/2005 - 11/1/2061 1,880,177 204,071 211,034 $500 to $750 746 1.00% to 10.14% 3/1/2021 - 7/1/2061 440,377 43,088 58,657 $750 to $1,000 151 2.00% to 9.00% 3/1/2013 - 5/1/2061 129,173 8,544 21,221 Over $1,000 144 2.00% to 10.69% 7/1/2020 - 7/1/2061 236,845 23,930 29,968 107,508 10,206,781 1,132,648 914,752 Total 114,946 11,082,095 1,229,331 970,345 (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period. The foreclosure, bankruptcy, and REO principal balances on our loans were $261 million, $216 million and $28 million, respectively, as of December 31, 2021, which are included in the table above. December 31, 2020 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,347 1.00% to 17.74% 6/1/1983 - 2/1/2059 594,201 49,615 54,702 $250 to $500 425 1.51% to 10.63% 12/1/2027 - 2/1/2057 141,621 14,166 13,453 $500 to $750 80 2.00% to 9.88% 1/1/2034 - 10/1/2056 47,936 3,202 6,943 $750 to $1,000 25 1.97% to 7.88% 7/1/2036 - 2/1/2052 21,516 — 3,511 Over $1,000 15 2.88% to 6.63% 10/1/2034 - 6/1/2049 26,274 2,884 7,134 7,892 831,548 69,867 85,743 Fixed loans: $1 to $250 116,831 0.00% to 21.20% 6/1/1989 - 5/1/2062 8,897,433 713,804 720,323 $250 to $500 6,386 0.00% to 11.59% 12/1/2005 - 3/1/2065 2,115,608 215,357 253,377 $500 to $750 740 1.00% to 10.14% 6/1/2020 - 10/1/2059 433,973 35,765 66,947 $750 to $1,000 146 2.00% to 9.00% 3/1/2013 - 11/1/2058 124,869 7,620 23,804 Over $1,000 139 2.00% to 9.00% 12/1/2019 - 6/1/2059 236,762 18,563 40,235 124,242 11,808,645 991,109 1,104,686 Total 132,134 12,640,193 1,060,976 1,190,429 |
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 December 31, 2021 and December 31, 2020. December 31, 2021 December 31, 2020 Weighted average maturity (years) 21.4 22.2 Weighted average amortized loan to value (1) 60.3 % 61.4 % Weighted average FICO (2) 706 714 Weighted average loan balance (in thousands) $ 259 $ 291 Weighted average percentage owner-occupied 84.0 % 81.8 % Weighted average percentage single family residence 62.7 % 61.7 % Weighted average current credit enhancement 1.2 % 0.9 % Weighted average geographic concentration of top four states CA 31.2 % CA 33.8 % NY 10.4 % NY 8.7 % FL 8.0 % FL 7.9 % NJ 4.6 % NJ 4.3 % (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 December 31, 2021 and December 31, 2020. Origination Year December 31, 2021 December 31, 2020 2003 and prior 1.4 % 1.7 % 2004 1.2 % 1.4 % 2005 8.6 % 10.3 % 2006 53.7 % 52.1 % 2007 25.3 % 27.2 % 2008 and later 9.8 % 7.3 % 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 years ended December 31, 2021, 2020 and 2019 are as follows: For the Year Ended December 31, 2021 December 31, 2020 December 31, 2019 (dollars in thousands) Proceeds from sales: Non-Agency RMBS 47,877 166,747 38,659 Agency RMBS 626 5,710,134 2,915,545 Agency CMBS 201,037 1,060,987 375,489 Gross realized gains: Non-Agency RMBS 37,742 22,021 422 Agency RMBS — 74,264 35,221 Agency CMBS 13,735 88,929 11,328 Gross realized losses: Non-Agency RMBS (4,955) (9,470) (1,445) Agency RMBS (1,209) (5,816) (24,531) Agency CMBS — (2,982) (2,225) Net realized gain (loss) $ 45,313 $ 166,946 $ 18,770 |
Loans Held for Investment (Tabl
Loans Held for Investment (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
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 December 31, 2021 and December 31, 2020: For the Year Ended For the Year Ended December 31, 2021 December 31, 2020 (dollars in thousands) Balance, beginning of period $ 13,112,129 $ 14,292,815 Purchases 3,364,609 1,860,998 Principal paydowns (2,652,767) (1,966,590) Sales and settlements (1,679,280) (1,053,943) Net periodic accretion (amortization) (79,368) (85,794) Realized gains (losses) on sales and settlements — — Change in fair value 196,603 64,643 Balance, end of period $ 12,261,926 $ 13,112,129 |
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 December 31, 2021 (1) December 31, 2020 2002 and prior 6.6 % 6.9 % 2003 5.7 % 5.9 % 2004 11.7 % 12.0 % 2005 18.6 % 18.2 % 2006 22.7 % 22.7 % 2007 22.6 % 22.4 % 2008 6.2 % 6.4 % 2009 1.2 % 1.3 % 2010 and later 4.7 % 4.2 % Total 100.0 % 100.0 % (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period. |
Schedule of Key Characteristics of Residential Loan Portfolio | The following table presents a summary of key characteristics of the residential loan portfolio at December 31, 2021 and December 31, 2020: December 31, 2021 (1) December 31, 2020 Number of loans 114,946 132,134 Weighted average maturity (years) 19.3 19.6 Weighted average loan to value 84.2 % 86.1 % Weighted average FICO 656 630 Weighted average loan balance (in thousands) $ 96 $ 96 Weighted average percentage owner occupied 88.8 % 87.7 % Weighted average percentage single family residence 82.2 % 83.3 % Weighted average geographic concentration of top five states CA 13.9 % CA 12.4 % FL 8.1 % FL 8.0 % NY 8.0 % NY 7.3 % VA 4.8 % PA 5.0 % PA 4.8 % VA 4.9 % (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period. |
Schedule of Various Characteristics of Residential Loan Portfolio | The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at December 31, 2021 and December 31, 2020. When delinquency rates increase, it is expected that the Company will incur additional credit losses. December 31, 2021 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.4 % 1.3 % 5.5 % 1.3 % 2.6 % 0.4 % 14.5 % December 31, 2020 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.1 % 1.4 % 7.2 % 1.3 % 2.9 % 0.4 % 16.3 % December 31, 2021 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 6,651 0.50% to 17.74% 7/9/1996 - 8/1/2057 521,020 60,329 32,575 $250 to $500 608 1.25% to 10.50% 11/1/2028 - 2/1/2057 211,276 21,468 11,586 $500 to $750 129 2.13% to 9.13% 9/1/2033 - 10/1/2056 77,678 7,923 5,392 $750 to $1,000 28 2.38% to 6.25% 2/1/2035 - 2/1/2052 23,390 3,176 — Over $1,000 22 2.13% to 6.63% 12/1/2021 - 10/1/2048 41,950 3,787 6,040 7,438 875,314 96,683 55,593 Fixed loans: $1 to $250 100,857 0.00% to 21.20% 7/1/2000 - 1/1/2099 7,520,209 853,015 593,872 $250 to $500 5,610 0.00% to 11.50% 12/1/2005 - 11/1/2061 1,880,177 204,071 211,034 $500 to $750 746 1.00% to 10.14% 3/1/2021 - 7/1/2061 440,377 43,088 58,657 $750 to $1,000 151 2.00% to 9.00% 3/1/2013 - 5/1/2061 129,173 8,544 21,221 Over $1,000 144 2.00% to 10.69% 7/1/2020 - 7/1/2061 236,845 23,930 29,968 107,508 10,206,781 1,132,648 914,752 Total 114,946 11,082,095 1,229,331 970,345 (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period. The foreclosure, bankruptcy, and REO principal balances on our loans were $261 million, $216 million and $28 million, respectively, as of December 31, 2021, which are included in the table above. December 31, 2020 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,347 1.00% to 17.74% 6/1/1983 - 2/1/2059 594,201 49,615 54,702 $250 to $500 425 1.51% to 10.63% 12/1/2027 - 2/1/2057 141,621 14,166 13,453 $500 to $750 80 2.00% to 9.88% 1/1/2034 - 10/1/2056 47,936 3,202 6,943 $750 to $1,000 25 1.97% to 7.88% 7/1/2036 - 2/1/2052 21,516 — 3,511 Over $1,000 15 2.88% to 6.63% 10/1/2034 - 6/1/2049 26,274 2,884 7,134 7,892 831,548 69,867 85,743 Fixed loans: $1 to $250 116,831 0.00% to 21.20% 6/1/1989 - 5/1/2062 8,897,433 713,804 720,323 $250 to $500 6,386 0.00% to 11.59% 12/1/2005 - 3/1/2065 2,115,608 215,357 253,377 $500 to $750 740 1.00% to 10.14% 6/1/2020 - 10/1/2059 433,973 35,765 66,947 $750 to $1,000 146 2.00% to 9.00% 3/1/2013 - 11/1/2058 124,869 7,620 23,804 Over $1,000 139 2.00% to 9.00% 12/1/2019 - 6/1/2059 236,762 18,563 40,235 124,242 11,808,645 991,109 1,104,686 Total 132,134 12,640,193 1,060,976 1,190,429 |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments | The table below shows the unpaid principal and fair value of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election as of December 31, 2021 and December 31, 2020, respectively: December 31, 2021 December 31, 2020 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Subordinated 653,616 500,288 632,335 416,745 Interest-only 3,904,665 172,501 5,628,240 262,259 Agency RMBS Interest-only 992,978 60,487 1,262,963 90,738 Agency CMBS Project loans 499,186 549,529 1,413,719 1,592,473 Interest-only 2,578,640 146,789 1,326,665 25,885 Loans held for investment, at fair value 11,519,255 12,261,926 12,640,195 13,112,129 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 7,762,864 7,726,043 8,705,200 8,711,677 The table below shows the impact of change in fair value on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in statement of operations as of December 31, 2021 and 2020, respectively: For the Year Ended December 31, 2021 December 31, 2020 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior — — Subordinated 62,736 (33,950) Interest-only (31,378) 24,919 Agency RMBS Pass-through — (151,056) Interest-only (14,318) (16,260) Agency CMBS Project loans (111,963) 44,783 Interest-only (2,548) 4,429 Loans held for investment, at fair value 196,602 64,643 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 338,226 (48,172) |
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 December 31, 2021 and December 31, 2020 are presented below. December 31, 2021 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,810,208 $ — $ 1,810,208 Agency RMBS, at fair value — 60,487 — — 60,487 Agency CMBS, at fair value — 761,208 — — 761,208 Loans held for investment, at fair value — 229,627 12,032,299 — 12,261,926 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 7,726,043 — 7,726,043 December 31, 2020 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,150,714 $ — $ 2,150,714 Agency RMBS, at fair value — 90,738 — — 90,738 Agency CMBS, at fair value — 1,740,368 — — 1,740,368 Loans held for investment, at fair value — — 13,112,129 — 13,112,129 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 8,711,677 — 8,711,677 |
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 December 31, 2021 and December 31, 2020. Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2021 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,150,714 $ 13,112,129 $ 8,711,677 Transfers into Level 3 — — — Transfers out of Level 3 — (272,198) — Purchases of assets/ issuance of debt 34,656 3,248,683 5,521,953 Principal payments (299,330) (2,495,015) (2,247,983) Sales and Settlements (47,674) (1,679,280) (4,192,295) Net accretion (amortization) 57,473 (79,223) 12,010 Gains (losses) included in net income (Increase) decrease in provision for credit losses (33) — — Realized gains (losses) on sales and settlements 32,807 — 258,903 Net unrealized gains (losses) included in income 31,358 197,203 (338,222) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (149,763) — — Ending balance Level 3 $ 1,810,208 $ 12,032,299 $ 7,726,043 Fair Value Reconciliation, Level 3 For the Year Ended December 31, 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 54,811 1,860,998 3,043,252 Principal payments (261,738) (1,966,590) (1,751,903) Sales and Settlements (166,786) (1,053,943) (783,880) Net accretion (amortization) 39,246 (85,794) (22,546) Gains (losses) included in net income Other than temporary credit impairment losses (180) — — Realized gains (losses) on sales and settlements 12,571 — (1,031) Net unrealized gains (losses) included in income (9,030) 64,643 48,177 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (132,588) — — Ending balance Level 3 $ 2,150,714 $ 13,112,129 $ 8,711,677 |
Summary of Unobservable Inputs Assumptions - Non-Agency RMBS 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 December 31, 2021 and December 31, 2020 follows. The weighted average discount rates are based on fair value. December 31, 2021 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 1%-10% 3.9% 1%-30% 11.4% 0%-7% 1.8% 26%-78% 36.6% Subordinated 2%-10% 5.6% 6%-45% 17.8% 0%-6% 1.1% 10%-55% 40.1% Interest-only 0%-100% 10.3% 6%-55% 24.9% 0%-9% 1.3% 26%-84% 33.0% December 31, 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% 3.3% 1% -25% 9.5% 1% -10% 2.0% 26% -82% 41.5% Subordinated 2% -10% 6.1% 2% -42% 13.6% 0% -6% 1.3% 10% -77% 39.8% Interest-only 0% -100% 10.2% 6% -47% 26.3% 0% -8% 1.4% 0% -79% 33.6% 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 December 31, 2021 and December 31, 2020 follows: December 31, 2021 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 1%-7% 2.6% 6%-20% 15.1% 0%-11% 1.4% 30%-75% 56.1% December 31, 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% 2.5% 4% - 40% 10.5% 0% - 7% 1.3% 30% - 75% 57.6% December 31, 2021 December 31, 2020 Factor: Coupon Base Rate 3.1% 3.4% Actual 6.1% 6.3% FICO Base Rate 640 640 Actual 654 627 Loan-to-value (LTV) Base Rate 87% 85% Actual 84% 86% Loan Characteristics: Occupancy Owner Occupied 91% 89% Investor 3% 2% Secondary 6% 9% Property Type Single family 83% 84% Manufactured housing 4% 4% Multi-family/mixed use/other 13% 12% |
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 December 31, 2021 and December 31, 2020. December 31, 2021 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements 2 3,261,613 3,265,577 Securitized debt, collateralized by Non-Agency RMBS 3 87,999 72,505 December 31, 2020 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements 2 4,636,847 4,803,256 Securitized debt, collateralized by Non-Agency RMBS 3 113,433 97,097 Long Term Debt 2 51,623 80,750 |
Secured Financing Agreements (T
Secured Financing Agreements (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Secured Financing Agreements and Maturities | 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 December 31, 2021 and December 31, 2020 were: December 31, 2021 December 31, 2020 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 23,170 $ 69,180 Agency CMBS (in thousands) 589,535 1,333,799 Non-Agency RMBS and Loans held for investment (in thousands) (1) 2,648,908 3,233,868 Total: $ 3,261,613 $ 4,636,847 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 28,320 $ 86,160 Agency CMBS (in thousands) 617,457 1,382,783 Non-Agency RMBS and Loans held for investment (in thousands) 3,747,573 5,227,271 Total: $ 4,393,350 $ 6,696,214 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 47,155 $ 1,407,713 Agency CMBS (in thousands) 963,894 1,818,721 Non-Agency RMBS and Loans held for investment (in thousands) 2,926,880 4,089,911 Total: $ 3,937,929 $ 7,316,345 Average borrowing rate of Secured financing agreements secured by: Agency RMBS 0.68 % 0.90 % Agency CMBS 0.21 % 0.21 % Non-Agency RMBS and Loans held for investment 2.78 % 4.78 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS 4 Days 12 days Agency CMBS 13 Days 11 days Non-Agency RMBS and Loans held for investment 257 Days 458 days Average original maturity of Secured financing agreements secured by: Agency RMBS 61 Days 14 days Agency CMBS 35 Days 30 days Non-Agency RMBS and Loans held for investment 283 Days 492 days (1) The values for secured financing agreements in the table above is net of $3 million and $8 million of deferred financing cost as of December 31, 2021 and December 31, 2020, respectively. At December 31, 2021 and December 31, 2020, we pledged $19 million and $42 million, respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At December 31, 2021 and December 31, 2020, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. December 31, 2021 December 31, 2020 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — NA —% - —% $ — NA NA 1 to 29 days 1,018,670 0.73% 0.11% - 1.95% 1,521,134 0.38% 0.20% - 2.72% 30 to 59 days 379,031 1.66% 1.55% - 1.70% 481,257 4.35% 2.42% - 6.61% 60 to 89 days 342,790 1.86% 0.90% - 2.35% 352,684 2.78% 1.34% - 6.30% 90 to 119 days 67,840 1.66% 1.66% - 1.66% 301,994 7.97% 7.97% - 7.97% 120 to 180 days 157,944 1.38% 0.95% - 1.45% 595,900 5.29% 2.40% - 6.26% 180 days to 1 year 895,210 3.70% 1.95% - 4.38% 345,204 3.60% 3.25% - 4.50% 1 to 2 years 143,239 3.05% 3.05% - 3.05% — NA NA 2 to 3 years — NA —% - —% 642,696 4.91% 1.65% - 7.00% Greater than 3 years 256,889 5.56% 5.56% - 5.56% 395,978 5.56% 5.56% - 5.56% Total $ 3,261,613 2.30% $ 4,636,847 3.41% (1) The values for secured financing agreements in the table above is net of $3 million and $8 million of deferred financing cost as of December 31, 2021 and December 31, 2020, respectively. |
Securitized Debt (Tables)
Securitized Debt (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
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 December 31, 2021 and December 31, 2020, 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. December 31, 2021 December 31, 2020 (dollars in thousands) Within One Year $ 4,374 $ 13,552 One to Three Years 2,361 11,229 Three to Five Years 949 1,589 Greater Than Five Years 82 305 Total $ 7,766 $ 26,675 The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at December 31, 2021 and December 31, 2020, 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. December 31, 2021 December 31, 2020 (dollars in thousands) Within One Year $ 2,031,445 $ 1,837,055 One to Three Years 2,886,255 2,819,646 Three to Five Years 1,697,760 1,774,273 Greater Than Five Years 1,145,995 2,170,253 Total $ 7,761,455 $ 8,601,227 |
Schedule of Callable Debt | The following table presents the par value of the callable debt by year at December 31, 2021. December 31, 2021 (dollars in thousands) Year Principal Currently callable 333,066 2022 1,515,604 2023 991,939 2024 1,359,229 2025 2,387,361 2026 $ 310,333 Total $ 6,897,532 |
Consolidated Securitization V_2
Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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 December 31, 2021 and December 31, 2020. December 31, 2021 December 31, 2020 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 399,048 $ 505,479 Loans held for investment, at fair value 10,205,587 11,591,598 Accrued interest receivable 47,237 53,804 Other assets 14,719 14,136 Total Assets: $ 10,666,591 $ 12,165,017 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 87,999 $ 113,433 Securitized debt at fair value, collateralized by Loans held for investment 7,118,374 7,923,523 Accrued interest payable 15,101 23,677 Other liabilities 2,181 2,477 Total Liabilities: 7,223,655 8,063,110 (1) December 31, 2020 balance includes allowance for credit losses of $117 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 Year ended December 31, 2021 December 31, 2020 December 31, 2019 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 586,580 $ 683,456 $ 780,746 Interest expense, Non-recourse liabilities of VIEs 203,135 285,142 337,387 Net interest income $ 383,445 $ 398,314 $ 443,359 (Increase) decrease in provision for credit losses $ 117 $ (117) $ — Net other-than-temporary credit impairment losses $ — $ — $ (4,255) Servicing fees $ 26,818 $ 32,479 $ 33,920 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments Effects on Operating Results | The effect of the Company’s derivatives on the Consolidated Statements of Operations for the years ended December 31, 2021, 2020 and 2019, respectively, is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of December 31, 2021 December 31, 2020 December 31, 2019 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ — $ 204,611 $ (122,272) Interest Rate Swaps Net realized gains (losses) on derivatives (1) — (470,352) (356,713) Treasury Futures Net unrealized gains (losses) on derivatives — (3,611) 16,986 Treasury Futures Net realized gains (losses) on derivatives — (34,700) (37,032) Swaptions Net unrealized gains (losses) on derivatives — — (923) Swaptions Net realized gains (losses) on derivatives — — (404) Total $ — $ (304,052) $ (500,358) |
Capital Stock (Tables)
Capital Stock (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Equity [Abstract] | |
Schedule of Earnings Per Share | EPS for the years ended December 31, 2021, 2020 and 2019 respectively, are computed as follows: For the Year ended December 31, 2021 December 31, 2020 December 31, 2019 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 596,350 $ 15,104 $ 340,847 Effect of dilutive securities: Interest expense attributable to convertible notes 2,274 — $ — Net income (loss) available to common shareholders - Diluted $ 598,624 $ 15,104 $ 340,847 Denominator: Weighted average basic shares 233,770,474 212,995,533 187,156,990 Effect of dilutive securities 11,726,452 13,442,808 1,249,454 Weighted average dilutive shares 245,496,926 226,438,341 188,406,444 Net income (loss) per average share attributable to common stockholders - Basic $ 2.55 $ 0.07 $ 1.82 Net income (loss) per average share attributable to common stockholders - Diluted $ 2.44 $ 0.07 $ 1.81 |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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 years ended December 31, 2021 and 2020: December 31, 2021 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2020 $ 558,096 $ 558,096 OCI before reclassifications (115,926) (115,926) Amounts reclassified from AOCI (37,116) (37,116) Net current period OCI (153,042) (153,042) Balance as of December 31, 2021 $ 405,054 $ 405,054 December 31, 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 (94,136) (94,136) Amounts reclassified from AOCI (56,104) (56,104) Net current period OCI (150,240) (150,240) Balance as of December 31, 2020 $ 558,096 $ 558,096 |
Equity Compensation, Employme_2
Equity Compensation, Employment Agreements and other Benefit Plans (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Compensation Related Costs [Abstract] | |
Schedule of Stock Awards | The following table presents information with respect to the Company's stock awards during the years ended December 31, 2021 and 2020. For the Year Ended December 31, 2021 December 31, 2020 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 2,143,868 $ 16.51 1,900,371 $ 17.30 Granted 1,575,137 $ 10.57 587,233 $ 15.10 Vested (264,917) $ 14.87 (213,887) $ 18.59 Forfeited (637,240) $ 16.41 (129,849) $ 18.16 Unvested shares outstanding - end of period 2,816,848 $ 13.37 2,143,868 $ 16.51 |
Summarized Quarterly Results _2
Summarized Quarterly Results (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Information | The following is a presentation of the results of operations for the quarters ended December 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021. For the Quarter Ended December 31, 2021 September 30, 2021 June 30, 2021 March 31, 2021 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 221,162 $ 220,579 $ 252,677 $ 243,127 Interest expense 66,598 71,353 80,610 108,066 Net interest income 154,564 149,226 172,067 135,061 Increase/(decrease) in provision for credit losses 92 (386) 453 (126) Net unrealized gains (losses) on financial instruments at fair value (108,286) 239,524 36,108 270,012 Net realized gains (losses) on sales of investments — — 7,517 37,796 Gain (loss) on Extinguishment of Debt 980 (25,622) (21,777) (237,137) Total other expenses 30,175 30,723 30,229 44,355 Net income (loss) $ 17,734 $ 331,468 $ 163,321 $ 157,591 Dividend on preferred stock $ 18,452 $ 18,438 $ 18,438 $ 18,438 Net income (loss) available to common shareholders $ (718) $ 313,030 $ 144,883 $ 139,153 Net income (loss) per common share-basic $ (0.00) $ 1.33 $ 0.63 $ 0.60 The following is a presentation of the results of operations for the quarters ended December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020. For the Quarter Ended December 31, 2020 September 30, 2020 June 30, 2020 March 31, 2020 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 236,156 $ 247,905 $ 245,922 $ 300,266 Interest expense 120,285 124,557 129,256 142,083 Net interest income 115,871 123,348 116,666 158,183 Increase/(decrease) in provision for credit losses (13) 1,650 4,497 (6,314) Net gains (losses) on derivatives — — — (304,052) Net unrealized gains (losses) on financial instruments at fair value 61,379 260,766 (171,921) (260,887) Net realized gains (losses) on sales of investments (329) 65,041 26,380 75,854 Gain (loss) on Extinguishment of Debt 919 (55,794) 459 — Total other expenses 30,566 27,620 31,000 33,507 Net income (loss) $ 147,234 $ 367,329 $ (54,955) $ (370,755) Dividend on preferred stock $ 18,438 $ 18,438 $ 18,438 $ 18,438 Net income (loss) available to common shareholders $ 128,796 $ 348,891 $ (73,393) $ (389,193) Net income (loss) per common share-basic $ 0.55 $ 1.50 $ (0.37) $ (2.08) |
Organization (Details)
Organization (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021USD ($)subsidiary | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | |
Schedule of Equity Method Investments [Line Items] | |||
Number of wholly owned direct subsidiaries | subsidiary | 12 | ||
Kah Capital Management | |||
Schedule of Equity Method Investments [Line Items] | |||
Payments for equity method investment fees | $ | $ 1 | $ 1 | $ 3 |
Summary of the Significant Ac_3
Summary of the Significant Accounting Policies - Narrative (Details) - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 |
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items] | ||
Accruals for penalties and interest | $ 0 | $ 0 |
Seasoned Subprime Residential Mortgage Loans | Loans Held for Investment at Fair Value | ||
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items] | ||
Real estate acquired through foreclosure | $ 15,000,000 | $ 14,000,000 |
Mortgage-Backed Securities - Su
Mortgage-Backed Securities - Summary of Present Amortized Cost, Fair Value and Unrealized Gain/Losses of Company's MBS Investments (Details) - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Investment Holdings [Line Items] | |||
Principal or Notional Value | $ 10,166,068,000 | $ 12,211,298,000 | |
Total Premium | 463,085,000 | 431,601,000 | |
Total Discount | (948,929,000) | (1,121,721,000) | |
Amortized Cost | 2,203,941,000 | 3,303,310,000 | |
Allowance for credit losses | (213,000) | (180,000) | $ 0 |
Fair Value | 2,631,903,000 | 3,981,820,000 | |
Gross Unrealized Gains | 552,630,000 | 801,000,000 | |
Total Gross Unrealized Loss | (124,455,000) | (122,310,000) | |
Net Unrealized Gain/(Loss) | 428,175,000 | 678,690,000 | |
Non-Agency RMBS - Senior | |||
Investment Holdings [Line Items] | |||
Amortized Cost | 6,941,202 | 46,500,000 | |
Non-Agency RMBS - Subordinated | |||
Investment Holdings [Line Items] | |||
Amortized Cost | 1,352 | ||
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 1,283,788,000 | 1,560,135,000 | |
Total Premium | 5,906,000 | 3,934,000 | |
Total Discount | (673,207,000) | (773,804,000) | |
Amortized Cost | 616,487,000 | 790,265,000 | |
Allowance for credit losses | (212,000) | (180,000) | |
Fair Value | 985,682,000 | 1,277,800,000 | |
Gross Unrealized Gains | 369,913,000 | 487,963,000 | |
Total Gross Unrealized Loss | (506,000) | (248,000) | |
Net Unrealized Gain/(Loss) | 369,407,000 | 487,715,000 | |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 845,432,000 | 905,674,000 | |
Total Premium | 5,179,000 | 7,059,000 | |
Total Discount | (274,843,000) | (347,056,000) | |
Amortized Cost | 575,768,000 | 565,677,000 | |
Allowance for credit losses | (1,000) | 0 | |
Fair Value | 652,025,000 | 610,655,000 | |
Gross Unrealized Gains | 99,240,000 | 83,007,000 | |
Total Gross Unrealized Loss | (22,982,000) | (38,029,000) | |
Net Unrealized Gain/(Loss) | 76,258,000 | 44,978,000 | |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 3,904,665,000 | 5,628,240,000 | |
Total Premium | 191,230,000 | 249,610,000 | |
Total Discount | 0 | 0 | |
Amortized Cost | 191,230,000 | 249,610,000 | |
Allowance for credit losses | 0 | 0 | |
Fair Value | 172,501,000 | 262,259,000 | |
Gross Unrealized Gains | 36,512,000 | 67,868,000 | |
Total Gross Unrealized Loss | (55,241,000) | (55,219,000) | |
Net Unrealized Gain/(Loss) | (18,729,000) | 12,649,000 | |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 992,978,000 | 1,262,963,000 | |
Total Premium | 102,934,000 | 118,867,000 | |
Total Discount | 0 | 0 | |
Amortized Cost | 102,934,000 | 118,867,000 | |
Allowance for credit losses | 0 | 0 | |
Fair Value | 60,487,000 | 90,738,000 | |
Gross Unrealized Gains | 0 | 270,000 | |
Total Gross Unrealized Loss | (42,447,000) | (28,399,000) | |
Net Unrealized Gain/(Loss) | (42,447,000) | (28,129,000) | |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 560,565,000 | 1,527,621,000 | |
Total Premium | 10,812,000 | 28,559,000 | |
Total Discount | (879,000) | (861,000) | |
Amortized Cost | 570,498,000 | 1,555,319,000 | |
Allowance for credit losses | 0 | 0 | |
Fair Value | 614,419,000 | 1,714,483,000 | |
Gross Unrealized Gains | 43,921,000 | 159,233,000 | |
Total Gross Unrealized Loss | 0 | (69,000) | |
Net Unrealized Gain/(Loss) | 43,921,000 | 159,164,000 | |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value | 2,578,640,000 | 1,326,665,000 | |
Total Premium | 147,024,000 | 23,572,000 | |
Total Discount | 0 | 0 | |
Amortized Cost | 147,024,000 | 23,572,000 | |
Allowance for credit losses | 0 | 0 | |
Fair Value | 146,789,000 | 25,885,000 | |
Gross Unrealized Gains | 3,044,000 | 2,659,000 | |
Total Gross Unrealized Loss | (3,279,000) | (346,000) | |
Net Unrealized Gain/(Loss) | $ (235,000) | $ 2,313,000 |
Mortgage-Backed Securities - Un
Mortgage-Backed Securities - Unrealized Loss Positions (Details) $ in Thousands | Dec. 31, 2021USD ($)security | Dec. 31, 2020USD ($)security |
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 216,214 | $ 339,522 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (7,500) | $ (22,925) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 44 | 53 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 114,822 | $ 120,192 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (116,955) | $ (99,385) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 87 | 75 |
Total, Estimated Fair Value | $ 331,036 | $ 459,714 |
Total, Unrealized Losses | $ (124,455) | $ (122,310) |
Total, Number of Positions | security | 131 | 128 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 30,846 | $ 11,985 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (506) | $ (248) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 2 | 2 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 0 | $ 0 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ 0 | $ 0 |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 0 | 0 |
Total, Estimated Fair Value | $ 30,846 | $ 11,985 |
Total, Unrealized Losses | $ (506) | $ (248) |
Total, Number of Positions | security | 2 | 2 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 36,942 | $ 253,822 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (657) | $ (8,711) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 7 | 5 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 28,371 | $ 34,697 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (22,325) | $ (29,318) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 9 | 15 |
Total, Estimated Fair Value | $ 65,313 | $ 288,519 |
Total, Unrealized Losses | $ (22,982) | $ (38,029) |
Total, Number of Positions | security | 16 | 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 | $ 11,872 | $ 38,604 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (1,958) | $ (8,682) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 24 | 34 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 30,474 | $ 22,761 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (53,283) | $ (46,537) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 56 | 43 |
Total, Estimated Fair Value | $ 42,346 | $ 61,365 |
Total, Unrealized Losses | $ (55,241) | $ (55,219) |
Total, Number of Positions | security | 80 | 77 |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 5,003 | $ 31,059 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (1,215) | $ (4,938) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 4 | 6 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 55,486 | $ 54,153 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (41,232) | $ (23,461) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 21 | 16 |
Total, Estimated Fair Value | $ 60,489 | $ 85,212 |
Total, Unrealized Losses | $ (42,447) | $ (28,399) |
Total, Number of Positions | security | 25 | 22 |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 0 | $ 0 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ 0 | $ 0 |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 0 | 0 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 0 | $ 8,581 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ 0 | $ (69) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 0 | 1 |
Total, Estimated Fair Value | $ 0 | $ 8,581 |
Total, Unrealized Losses | $ 0 | $ (69) |
Total, Number of Positions | security | 0 | 1 |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 131,551 | $ 4,052 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (3,164) | $ (346) |
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 | $ 491 | $ 0 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (115) | $ 0 |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 1 | 0 |
Total, Estimated Fair Value | $ 132,042 | $ 4,052 |
Total, Unrealized Losses | $ (3,279) | $ (346) |
Total, Number of Positions | security | 8 | 6 |
Mortgage-Backed Securities - Na
Mortgage-Backed Securities - Narrative (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Investment Holdings [Line Items] | |||||||||||
Gross unrealized loss | $ 124,455,000 | $ 122,310,000 | $ 124,455,000 | $ 122,310,000 | |||||||
Gains (losses) on extinguishment of debt | 980,000 | $ (25,622,000) | $ (21,777,000) | $ (237,137,000) | 919,000 | $ (55,794,000) | $ 459,000 | $ 0 | (283,556,000) | (54,418,000) | $ 9,318,000 |
Agency MBS | |||||||||||
Investment Holdings [Line Items] | |||||||||||
Gross unrealized loss | 0 | 69,000 | 0 | 69,000 | |||||||
Non-Agency RMBS | |||||||||||
Investment Holdings [Line Items] | |||||||||||
Gross unrealized loss | $ 506,000 | $ 248,000 | $ 506,000 | $ 248,000 | |||||||
Non-Agency RMBS | |||||||||||
Investment Holdings [Line Items] | |||||||||||
Market value of investments transferred | $ 135,000,000 | ||||||||||
Servicing asset at amortized cost | 196,000,000 | ||||||||||
Repurchase of transferred investments | 251,000,000 | ||||||||||
Gains (losses) on extinguishment of debt | $ (55,000,000) |
Mortgage-Backed Securities - _2
Mortgage-Backed Securities - Summary of Credit Loss Allowance (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Beginning allowance for credit losses | $ 180 | $ 0 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 475 | 6,594 |
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 | (830) | (3,765) |
Write-offs charged against the allowance | (86) | (2,401) |
Recoveries of amounts previously written off | 474 | 73 |
Ending allowance for credit losses | $ 213 | $ 180 |
Mortgage-Backed Securities - Si
Mortgage-Backed Securities - Significant Credit Quality Indicators (Details) | Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) |
Investment Holdings [Line Items] | ||
Amortized Cost | $ 2,203,941,000 | $ 3,303,310,000 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Amortized Cost | $ 6,941,202 | $ 46,500,000 |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.024 | 0.092 |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.051 | 0.035 |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.609 | 0.583 |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Amortized Cost | $ 1,352 | |
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.100 | |
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.003 | |
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.300 |
Mortgage-Backed Securities - Gr
Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | $ 405,560 | $ 558,413 |
Gross Unrealized Gain Included in Cumulative Earnings | 147,070 | 242,587 |
Total Gross Unrealized Gain | 552,630 | 801,000 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (506) | (317) |
Gross Unrealized Loss Included in Cumulative Earnings | (123,949) | (121,993) |
Total Gross Unrealized Loss | (124,455) | (122,310) |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 369,913 | 487,963 |
Gross Unrealized Gain Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Gain | 369,913 | 487,963 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (506) | (248) |
Gross Unrealized Loss Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Loss | (506) | (248) |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 33,587 | 65,043 |
Gross Unrealized Gain Included in Cumulative Earnings | 65,653 | 17,964 |
Total Gross Unrealized Gain | 99,240 | 83,007 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (22,982) | (38,029) |
Total Gross Unrealized Loss | (22,982) | (38,029) |
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 | 36,512 | 67,868 |
Total Gross Unrealized Gain | 36,512 | 67,868 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (55,241) | (55,219) |
Total Gross Unrealized Loss | (55,241) | (55,219) |
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 | 0 | 270 |
Total Gross Unrealized Gain | 0 | 270 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (42,447) | (28,399) |
Total Gross Unrealized Loss | (42,447) | (28,399) |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 2,060 | 5,407 |
Gross Unrealized Gain Included in Cumulative Earnings | 41,861 | 153,826 |
Total Gross Unrealized Gain | 43,921 | 159,233 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | (69) |
Gross Unrealized Loss Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Loss | 0 | (69) |
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 | 3,044 | 2,659 |
Total Gross Unrealized Gain | 3,044 | 2,659 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (3,279) | (346) |
Total Gross Unrealized Loss | $ (3,279) | $ (346) |
Mortgage-Backed Securities - Co
Mortgage-Backed Securities - Collateral Characteristics (Details) - USD ($) $ / shares in Units, $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 10,166,068 | $ 12,211,298 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 1,283,788 | $ 1,560,135 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 48.02 | $ 50.65 |
Weighted Average Fair Value (in dollars per share) | $ 76.78 | $ 81.90 |
Weighted Average Coupon | 4.50% | 4.50% |
Weighted Average Yield at Period-End | 18.00% | 16.90% |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 845,432 | $ 905,674 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 68.10 | $ 62.46 |
Weighted Average Fair Value (in dollars per share) | $ 77.12 | $ 67.43 |
Weighted Average Coupon | 3.80% | 3.80% |
Weighted Average Yield at Period-End | 7.10% | 6.30% |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 3,904,665 | $ 5,628,240 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 4.90 | $ 4.43 |
Weighted Average Fair Value (in dollars per share) | $ 4.42 | $ 4.66 |
Weighted Average Coupon | 1.70% | 1.50% |
Weighted Average Yield at Period-End | 13.20% | 16.20% |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 992,978 | $ 1,262,963 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 10.37 | $ 9.41 |
Weighted Average Fair Value (in dollars per share) | $ 6.09 | $ 7.18 |
Weighted Average Coupon | 1.30% | 1.70% |
Weighted Average Yield at Period-End | 0.30% | 1.60% |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 560,565 | $ 1,527,621 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 101.77 | $ 101.81 |
Weighted Average Fair Value (in dollars per share) | $ 109.61 | $ 112.23 |
Weighted Average Coupon | 4.30% | 4.10% |
Weighted Average Yield at Period-End | 4.10% | 3.80% |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 2,578,640 | $ 1,326,665 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 5.70 | $ 1.78 |
Weighted Average Fair Value (in dollars per share) | $ 5.69 | $ 1.95 |
Weighted Average Coupon | 0.70% | 0.60% |
Weighted Average Yield at Period-End | 4.60% | 8.40% |
Mortgage-Backed Securities - Cr
Mortgage-Backed Securities - Credit Ratings (Details) - Non-Agency RMBS | Dec. 31, 2021 | Dec. 31, 2020 |
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 | 0.20% | 0.20% |
AA | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 1.40% | 0.10% |
A | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 2.20% | 1.20% |
BBB | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 2.10% | 1.90% |
BB | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 4.10% | 4.30% |
B | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 1.80% | 2.00% |
Below B | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 23.30% | 31.90% |
Not Rated | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 64.90% | 58.40% |
Mortgage-Backed Securities - Ma
Mortgage-Backed Securities - Maturities of MBS by Estimated Weighted Average Life Classification (Details) - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 |
Fair value | ||
Less than one year, at fair value | $ 18,512,000 | $ 22,836,000 |
Greater than one year and less than five years, at fair value | 710,866,000 | 637,485,000 |
Greater than five years and less than ten years, at fair value | 689,249,000 | 774,248,000 |
Greater than ten years, at fair value | 1,213,276,000 | 2,547,251,000 |
Total maturities, at fair value | 2,631,903,000 | 3,981,820,000 |
Amortized cost | ||
Less than one year, at amortized cost | 40,042,000 | 40,415,000 |
Greater than one year and less than five years, at amortized cost | 606,616,000 | 499,444,000 |
Greater than five years and less than ten years, at amortized cost | 562,909,000 | 538,471,000 |
Greater than ten years, at amortized cost | 994,374,000 | 2,224,980,000 |
Amortized Cost | 2,203,941,000 | 3,303,310,000 |
Non-Agency RMBS - Senior | ||
Amortized cost | ||
Amortized Cost | 6,941,202 | 46,500,000 |
Non-Agency RMBS - Subordinated | ||
Amortized cost | ||
Amortized Cost | 1,352 | |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Fair value | ||
Less than one year, at fair value | 3,186,000 | 7,850,000 |
Greater than one year and less than five years, at fair value | 279,222,000 | 366,218,000 |
Greater than five years and less than ten years, at fair value | 318,684,000 | 467,336,000 |
Greater than ten years, at fair value | 384,590,000 | 436,396,000 |
Total maturities, at fair value | 985,682,000 | 1,277,800,000 |
Amortized cost | ||
Less than one year, at amortized cost | 2,349,000 | 4,691,000 |
Greater than one year and less than five years, at amortized cost | 194,506,000 | 256,935,000 |
Greater than five years and less than ten years, at amortized cost | 190,030,000 | 257,188,000 |
Greater than ten years, at amortized cost | 229,602,000 | 271,451,000 |
Amortized Cost | 616,487,000 | 790,265,000 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Fair value | ||
Less than one year, at fair value | 3,303,000 | 5,000 |
Greater than one year and less than five years, at fair value | 149,089,000 | 105,272,000 |
Greater than five years and less than ten years, at fair value | 276,979,000 | 102,805,000 |
Greater than ten years, at fair value | 222,654,000 | 402,573,000 |
Total maturities, at fair value | 652,025,000 | 610,655,000 |
Amortized cost | ||
Less than one year, at amortized cost | 1,000 | 0 |
Greater than one year and less than five years, at amortized cost | 129,063,000 | 83,188,000 |
Greater than five years and less than ten years, at amortized cost | 244,103,000 | 78,435,000 |
Greater than ten years, at amortized cost | 202,601,000 | 404,054,000 |
Amortized Cost | 575,768,000 | 565,677,000 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | ||
Fair value | ||
Less than one year, at fair value | 2,300,000 | 5,780,000 |
Greater than one year and less than five years, at fair value | 140,558,000 | 143,631,000 |
Greater than five years and less than ten years, at fair value | 29,642,000 | 110,468,000 |
Greater than ten years, at fair value | 1,000 | 2,380,000 |
Total maturities, at fair value | 172,501,000 | 262,259,000 |
Amortized cost | ||
Less than one year, at amortized cost | 27,764,000 | 26,286,000 |
Greater than one year and less than five years, at amortized cost | 140,757,000 | 138,150,000 |
Greater than five years and less than ten years, at amortized cost | 22,648,000 | 82,368,000 |
Greater than ten years, at amortized cost | 61,000 | 2,806,000 |
Amortized Cost | 191,230,000 | 249,610,000 |
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 | 0 | 864,000 |
Greater than five years and less than ten years, at fair value | 60,487,000 | 89,874,000 |
Greater than ten years, at fair value | 0 | 0 |
Total maturities, at fair value | 60,487,000 | 90,738,000 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | 0 |
Greater than one year and less than five years, at amortized cost | 0 | 1,898,000 |
Greater than five years and less than ten years, at amortized cost | 102,934,000 | 116,969,000 |
Greater than ten years, at amortized cost | 0 | 0 |
Amortized Cost | 102,934,000 | 118,867,000 |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Fair value | ||
Less than one year, at fair value | 8,388,000 | 8,581,000 |
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 | 0 |
Greater than ten years, at fair value | 606,031,000 | 1,705,902,000 |
Total maturities, at fair value | 614,419,000 | 1,714,483,000 |
Amortized cost | ||
Less than one year, at amortized cost | 8,388,000 | 8,650,000 |
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 | 0 |
Greater than ten years, at amortized cost | 562,110,000 | 1,546,669,000 |
Amortized Cost | 570,498,000 | 1,555,319,000 |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Fair value | ||
Less than one year, at fair value | 1,335,000 | 620,000 |
Greater than one year and less than five years, at fair value | 141,997,000 | 21,500,000 |
Greater than five years and less than ten years, at fair value | 3,457,000 | 3,765,000 |
Greater than ten years, at fair value | 0 | 0 |
Total maturities, at fair value | 146,789,000 | 25,885,000 |
Amortized cost | ||
Less than one year, at amortized cost | 1,540,000 | 788,000 |
Greater than one year and less than five years, at amortized cost | 142,290,000 | 19,273,000 |
Greater than five years and less than ten years, at amortized cost | 3,194,000 | 3,511,000 |
Greater than ten years, at amortized cost | 0 | 0 |
Amortized Cost | $ 147,024,000 | $ 23,572,000 |
Mortgage-Backed Securities - Lo
Mortgage-Backed Securities - Loan Products Type and Characteristics (Details) - Non-Agency RMBS | Dec. 31, 2021 | Dec. 31, 2020 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 14.50% | 16.30% |
Bankruptcy | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 1.30% | 1.30% |
Foreclosure | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 2.60% | 2.90% |
REO | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 0.40% | 0.40% |
30 Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 3.40% | 3.10% |
60 Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 1.30% | 1.40% |
90+ Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 5.50% | 7.20% |
Mortgage-Backed Securities - _3
Mortgage-Backed Securities - Collateral Characteristics of Non-Agency Residential MBS (Details) - Non-Agency RMBS - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Investment Holdings [Line Items] | ||
Weighted average maturity (years) | 21 years 4 months 24 days | 22 years 2 months 12 days |
Weighted average amortized loan to value | 60.30% | 61.40% |
Weighted average FICO | 706 | 714 |
Weighted average loan balance (in thousands) | $ 259 | $ 291 |
Weighted average percentage owner-occupied | 84.00% | 81.80% |
Weighted average percentage single family residence | 62.70% | 61.70% |
Weighted average current credit enhancement | 1.20% | 0.90% |
CA | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 31.20% | 33.80% |
NY | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 10.40% | 8.70% |
FL | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 8.00% | 7.90% |
NJ | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 4.60% | 4.30% |
Mortgage-Backed Securities - Pe
Mortgage-Backed Securities - Percentage of Non-Agency RMBS By Year Originated (Details) - Non-Agency RMBS | Dec. 31, 2021 | Dec. 31, 2020 |
Origination Year as a Percentage of Outstanding Principal Balance: | ||
2003 (and prior) | 1.40% | 1.70% |
2004 | 1.20% | 1.40% |
2005 | 8.60% | 10.30% |
2006 | 53.70% | 52.10% |
2007 | 25.30% | 27.20% |
2008 and later | 9.80% | 7.30% |
Total | 100.00% | 100.00% |
Mortgage-Backed Securities - Ga
Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Investment Holdings [Line Items] | |||
Net realized gain (loss) | $ 45,313 | $ 166,946 | $ 18,770 |
Non-Agency RMBS | |||
Investment Holdings [Line Items] | |||
Proceeds from sales: | 47,877 | 166,747 | 38,659 |
Gross realized gains: | 37,742 | 22,021 | 422 |
Gross realized losses: | (4,955) | (9,470) | (1,445) |
Agency RMBS | |||
Investment Holdings [Line Items] | |||
Proceeds from sales: | 626 | 5,710,134 | 2,915,545 |
Gross realized gains: | 0 | 74,264 | 35,221 |
Gross realized losses: | (1,209) | (5,816) | (24,531) |
Agency CMBS | |||
Investment Holdings [Line Items] | |||
Proceeds from sales: | 201,037 | 1,060,987 | 375,489 |
Gross realized gains: | 13,735 | 88,929 | 11,328 |
Gross realized losses: | $ 0 | $ (2,982) | $ (2,225) |
Loans Held for Investment - Nar
Loans Held for Investment - Narrative (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Securitized debt loans held for investment at cost | $ 11,400,000,000 | $ 12,500,000,000 |
90+ Days Delinquent | 970,345,000 | 1,190,429,000 |
Seasoned Subprime Residential Mortgage Loans | Fair Value | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
90+ Days Delinquent | 830,000,000 | 910,000,000 |
Loans Held for Investment at Fair Value | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Purchases | 450,000,000 | 1,100,000,000 |
Retained balance | 25,000,000 | 22,000,000 |
Market value of investments transferred | 0 | 653,000,000 |
Loans Held for Investment at Fair Value | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loans subject to bankruptcy protection | 261,000,000 | 298,000,000 |
Underlying mortgages excluded from portfolio | 216,000,000 | 277,000,000 |
Real estate acquired, loan value | $ 28,000,000 | $ 30,000,000 |
Loans Held for Investment - Cha
Loans Held for Investment - Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value (Details) - Loans Held for Investment at Fair Value - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning of period | $ 13,112,129 | $ 14,292,815 |
Purchases | 3,364,609 | 1,860,998 |
Principal paydowns | (2,652,767) | (1,966,590) |
Sales and settlements | (1,679,280) | (1,053,943) |
Net periodic accretion (amortization) | (79,368) | (85,794) |
Change in fair value | 196,603 | 64,643 |
Balance, end of period | 12,261,926 | 13,112,129 |
Realized gains (losses) on sales and settlements | 0 | 0 |
Level 3 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Sales and settlements | (1,679,280) | (1,053,943) |
Change in fair value | 197,203 | 64,643 |
Realized gains (losses) on sales and settlements | $ 0 | $ 0 |
Loans Held for Investment - Per
Loans Held for Investment - Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated (Details) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
2002 and prior | 6.60% | 6.90% |
2003 | 5.70% | 5.90% |
2004 | 11.70% | 12.00% |
2005 | 18.60% | 18.20% |
2006 | 22.70% | 22.70% |
2007 | 22.60% | 22.40% |
2008 | 6.20% | 6.40% |
2009 | 1.20% | 1.30% |
2010 and later | 4.70% | 4.20% |
Total | 100.00% | 100.00% |
Underlying mortgages excluded from portfolio | $ 437 |
Loans Held for Investment - Key
Loans Held for Investment - Key Characteristics of Residential Loan Portfolio (Details) $ in Thousands | Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($)loan |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of loans | loan | 114,946 | 132,134 |
Loans Held for Investment at Fair Value | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of loans | loan | 114,946 | 132,134 |
Weighted average maturity (years) | 19 years 3 months 18 days | 19 years 7 months 6 days |
Weighted average loan to value | 84.20% | 86.10% |
Weighted average FICO | 656 | 630 |
Weighted average loan balance (in thousands) | $ | $ 96 | $ 96 |
Weighted average percentage owner-occupied | 88.80% | 87.70% |
Weighted average percentage single family residence | 82.20% | 83.30% |
Underlying mortgages excluded from portfolio | $ | $ 437,000 | |
Loans Held for Investment at Fair Value | CA | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 13.90% | 12.40% |
Loans Held for Investment at Fair Value | FL | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 8.10% | 8.00% |
Loans Held for Investment at Fair Value | NY | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 8.00% | 7.30% |
Loans Held for Investment at Fair Value | VA | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 4.80% | 4.90% |
Loans Held for Investment at Fair Value | PA | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 4.80% | 5.00% |
Loans Held for Investment - Var
Loans Held for Investment - Various Characteristics of Residential Loan Portfolio (Details) $ in Thousands | Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($)loan |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 114,946 | 132,134 |
Total Principal | $ 11,082,095 | $ 12,640,193 |
30-89 Days Delinquent | 1,229,331 | 1,060,976 |
90+ Days Delinquent | $ 970,345 | $ 1,190,429 |
Seasoned Subprime Residential Mortgage Loans | Loans Held for Investment at Fair Value | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 114,946 | 132,134 |
Underlying mortgages excluded from portfolio | $ 437,000 | |
Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 7,438 | 7,892 |
Total Principal | $ 875,314 | $ 831,548 |
30-89 Days Delinquent | 96,683 | 69,867 |
90+ Days Delinquent | $ 55,593 | $ 85,743 |
Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 107,508 | 124,242 |
Total Principal | $ 10,206,781 | $ 11,808,645 |
30-89 Days Delinquent | 1,132,648 | 991,109 |
90+ Days Delinquent | $ 914,752 | $ 1,104,686 |
$1 to $250 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 6,651 | 7,347 |
Total Principal | $ 521,020 | $ 594,201 |
30-89 Days Delinquent | 60,329 | 49,615 |
90+ Days Delinquent | $ 32,575 | $ 54,702 |
$1 to $250 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 100,857 | 116,831 |
Total Principal | $ 7,520,209 | $ 8,897,433 |
30-89 Days Delinquent | 853,015 | 713,804 |
90+ Days Delinquent | $ 593,872 | $ 720,323 |
$250 to $500 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 608 | 425 |
Total Principal | $ 211,276 | $ 141,621 |
30-89 Days Delinquent | 21,468 | 14,166 |
90+ Days Delinquent | $ 11,586 | $ 13,453 |
$250 to $500 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 5,610 | 6,386 |
Total Principal | $ 1,880,177 | $ 2,115,608 |
30-89 Days Delinquent | 204,071 | 215,357 |
90+ Days Delinquent | $ 211,034 | $ 253,377 |
$500 to $750 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 129 | 80 |
Total Principal | $ 77,678 | $ 47,936 |
30-89 Days Delinquent | 7,923 | 3,202 |
90+ Days Delinquent | $ 5,392 | $ 6,943 |
$500 to $750 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 746 | 740 |
Total Principal | $ 440,377 | $ 433,973 |
30-89 Days Delinquent | 43,088 | 35,765 |
90+ Days Delinquent | $ 58,657 | $ 66,947 |
$750 to $1,000 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 28 | 25 |
Total Principal | $ 23,390 | $ 21,516 |
30-89 Days Delinquent | 3,176 | 0 |
90+ Days Delinquent | $ 0 | $ 3,511 |
$750 to $1,000 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of Loans | loan | 151 | 146 |
Total Principal | $ 129,173 | $ 124,869 |
30-89 Days Delinquent | 8,544 | 7,620 |
90+ Days Delinquent | 21,221 | 23,804 |
Over $1,000 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 1,000 | $ 1,000 |
Number of Loans | loan | 22 | 15 |
Total Principal | $ 41,950 | $ 26,274 |
30-89 Days Delinquent | 3,787 | 2,884 |
90+ Days Delinquent | 6,040 | 7,134 |
Over $1,000 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 1,000 | $ 1,000 |
Number of Loans | loan | 144 | 139 |
Total Principal | $ 236,845 | $ 236,762 |
30-89 Days Delinquent | 23,930 | 18,563 |
90+ Days Delinquent | 29,968 | 40,235 |
Minimum | $1 to $250 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 1 | $ 1 |
Long-term financing agreements, interest rate (as a percent) | 0.50% | 1.00% |
Minimum | $1 to $250 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 1 | $ 1 |
Long-term financing agreements, interest rate (as a percent) | 0.00% | 0.00% |
Minimum | $250 to $500 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 250 | $ 250 |
Long-term financing agreements, interest rate (as a percent) | 1.25% | 1.51% |
Minimum | $250 to $500 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 250 | $ 250 |
Long-term financing agreements, interest rate (as a percent) | 0.00% | 0.00% |
Minimum | $500 to $750 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 500 | $ 500 |
Long-term financing agreements, interest rate (as a percent) | 2.13% | 2.00% |
Minimum | $500 to $750 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 500 | $ 500 |
Long-term financing agreements, interest rate (as a percent) | 1.00% | 1.00% |
Minimum | $750 to $1,000 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 750 | $ 750 |
Long-term financing agreements, interest rate (as a percent) | 2.38% | 1.97% |
Minimum | $750 to $1,000 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 750 | $ 750 |
Long-term financing agreements, interest rate (as a percent) | 2.00% | 2.00% |
Minimum | Over $1,000 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Long-term financing agreements, interest rate (as a percent) | 2.13% | 2.88% |
Minimum | Over $1,000 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Long-term financing agreements, interest rate (as a percent) | 2.00% | 2.00% |
Maximum | $1 to $250 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 250 | $ 250 |
Long-term financing agreements, interest rate (as a percent) | 17.74% | 17.74% |
Maximum | $1 to $250 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 250 | $ 250 |
Long-term financing agreements, interest rate (as a percent) | 21.20% | 21.20% |
Maximum | $250 to $500 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 500 | $ 500 |
Long-term financing agreements, interest rate (as a percent) | 10.50% | 10.63% |
Maximum | $250 to $500 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 500 | $ 500 |
Long-term financing agreements, interest rate (as a percent) | 11.50% | 11.59% |
Maximum | $500 to $750 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 750 | $ 750 |
Long-term financing agreements, interest rate (as a percent) | 9.13% | 9.88% |
Maximum | $500 to $750 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 750 | $ 750 |
Long-term financing agreements, interest rate (as a percent) | 10.14% | 10.14% |
Maximum | $750 to $1,000 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 1,000 | $ 1,000 |
Long-term financing agreements, interest rate (as a percent) | 6.25% | 7.88% |
Maximum | $750 to $1,000 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loan Balance | $ 1,000 | $ 1,000 |
Long-term financing agreements, interest rate (as a percent) | 9.00% | 9.00% |
Maximum | Over $1,000 | Adjustable Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Long-term financing agreements, interest rate (as a percent) | 6.63% | 6.63% |
Maximum | Over $1,000 | Fixed Rate Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Long-term financing agreements, interest rate (as a percent) | 10.69% | 9.00% |
Fair Value Measurements - Narra
Fair Value Measurements - Narrative (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Jun. 30, 2020USD ($) | Mar. 31, 2020USD ($) | Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securitized debt at fair value, collateralized by Loans held for investment | $ 7,726,043 | $ 8,711,677 | ||
Level 3 | Jumbo, Prime Residential Mortgages | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securitized debt at fair value, collateralized by Loans held for investment | $ 11,000 | |||
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 | 7 | 23 | ||
Excess (deficit) of third party prices over internally developed price, assets | $ 8,000 | $ (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 | 97,000 | 55,000 | ||
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 | $ 50,000 | $ 389,000 | ||
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] | ||||
Loans internally valued lower than third party prices | loan | 3 | 3 | ||
Assets, fair value disclosure | $ 3,500,000 | $ 503,000 | ||
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 | 42,000 | 392,000 | ||
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 | 3,400,000 | 448,000 | ||
Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Transfers out of level 3 | $ 135,000 | $ 135,000 | ||
Non-Agency RMBS | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Transfers out of level 3 | 0 | $ 135,118 | ||
Loans Held for Investment at Fair Value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Transfers out of level 3 | $ 272,000 | |||
Securitized debt | Non-Agency RMBS | Internal Assessment | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans internally valued lower than third party prices | loan | 2 | |||
Liabilities, fair value disclosure | $ 209,000 | |||
Excess (deficit) of third party prices over internally developed price, liabilities | 17,000 | |||
Securitized debt | Non-Agency RMBS | Third Party Assessment | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Liabilities, fair value disclosure | $ 192,000 |
Fair Value Measurements - Unpai
Fair Value Measurements - Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Assets: | ||
Unpaid Principal/ Notional | $ 10,166,068 | $ 12,211,298 |
Loans held for investment, fair value | 12,261,926 | 13,112,129 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment, Fair value | 7,726,043 | 8,711,677 |
Non-Agency RMBS | Senior | ||
Liabilities: | ||
Change in fair value of financial instruments | 0 | 0 |
Non-Agency RMBS | Subordinated | ||
Assets: | ||
Unpaid Principal/ Notional | 653,616 | 632,335 |
Fair Value | 500,288 | 416,745 |
Liabilities: | ||
Change in fair value of financial instruments | 62,736 | (33,950) |
Non-Agency RMBS | Senior, interest-only | ||
Assets: | ||
Unpaid Principal/ Notional | 3,904,665 | 5,628,240 |
Fair Value | 172,501 | 262,259 |
Liabilities: | ||
Change in fair value of financial instruments | (31,378) | 24,919 |
Agency RMBS | Pass-through | ||
Liabilities: | ||
Change in fair value of financial instruments | 0 | (151,056) |
Agency RMBS | Interest-only | ||
Assets: | ||
Unpaid Principal/ Notional | 992,978 | 1,262,963 |
Fair Value | 60,487 | 90,738 |
Liabilities: | ||
Change in fair value of financial instruments | (14,318) | (16,260) |
Agency CMBS | Interest-only | ||
Assets: | ||
Unpaid Principal/ Notional | 2,578,640 | 1,326,665 |
Fair Value | 146,789 | 25,885 |
Liabilities: | ||
Change in fair value of financial instruments | (2,548) | 4,429 |
Agency CMBS | Project loans | ||
Assets: | ||
Unpaid Principal/ Notional | 499,186 | 1,413,719 |
Fair Value | 549,529 | 1,592,473 |
Liabilities: | ||
Change in fair value of financial instruments | (111,963) | 44,783 |
Loans held for investment | ||
Assets: | ||
Loans held for investment, Unpaid Principal/Notional | 11,519,255 | 12,640,195 |
Loans held for investment, fair value | 12,261,926 | 13,112,129 |
Liabilities: | ||
Change in fair value of financial instruments | 196,602 | 64,643 |
Securitized debt | ||
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional | 7,762,864 | 8,705,200 |
Securitized debt at fair value, collateralized by loans held for investment, Fair value | 7,726,043 | 8,711,677 |
Change in fair value of financial instruments | $ 338,226 | $ (48,172) |
Fair Value Measurements - Finan
Fair Value Measurements - Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets: | ||
Non-Agency RMBS, at fair value | $ 1,810,208 | $ 2,150,714 |
Agency RMBS, at fair value | 60,487 | 90,738 |
Agency CMBS, at fair value | 761,208 | 1,740,368 |
Loans held for investment, at fair value | 12,261,926 | 13,112,129 |
Liabilities: | ||
Securitized debt at fair value, collateralized by Loans held for investment | 7,726,043 | 8,711,677 |
Fair Value, Measurements, Recurring | ||
Assets: | ||
Non-Agency RMBS, at fair value | 1,810,208 | 2,150,714 |
Agency RMBS, at fair value | 60,487 | 90,738 |
Agency CMBS, at fair value | 761,208 | |
Loans held for investment, at fair value | 12,261,926 | 13,112,129 |
Liabilities: | ||
Securitized debt at fair value, collateralized by Loans held for investment | 7,726,043 | 8,711,677 |
Fair Value, Measurements, Recurring | Level 1 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 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 |
Liabilities: | ||
Securitized debt at fair value, collateralized by Loans held for investment | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 0 | 0 |
Agency RMBS, at fair value | 60,487 | 90,738 |
Agency CMBS, at fair value | 761,208 | 1,740,368 |
Loans held for investment, at fair value | 229,627 | 0 |
Liabilities: | ||
Securitized debt at fair value, collateralized by Loans held for investment | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 1,810,208 | 2,150,714 |
Agency RMBS, at fair value | 0 | 0 |
Agency CMBS, at fair value | 0 | 0 |
Loans held for investment, at fair value | 12,032,299 | 13,112,129 |
Liabilities: | ||
Securitized debt at fair value, collateralized by Loans held for investment | $ 7,726,043 | $ 8,711,677 |
Fair Value Measurements - Chang
Fair Value Measurements - Changes in the Fair Value of Securities Classified as Level 3 (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | |
Securitized Debt | Variable Interest Entities, Primary Beneficiary | Level 3 | ||||
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward] | ||||
Securitized Debt, Beginning balance, Level 3 | $ 8,179,608 | $ 8,711,677 | $ 8,179,608 | |
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 | 5,521,953 | 3,043,252 | ||
Securitized Debt, Principal payments | (2,247,983) | (1,751,903) | ||
Securitized Debt, Sales and Settlements | (4,192,295) | (783,880) | ||
Securitized Debt, Net accretion (amortization) | 12,010 | (22,546) | ||
Securitized Debt, Other than temporary credit impairment losses | 0 | 0 | ||
Securitized Debt, Realized gains (losses) on sales and settlements | 258,903 | (1,031) | ||
Securitized Debt, Net unrealized gains (losses) included in income | (338,222) | 48,177 | ||
Securitized Debt, Gains (losses) included in other comprehensive income | 0 | 0 | ||
Securitized Debt, Ending balance, Level 3 | 7,726,043 | 8,711,677 | ||
Non-Agency RMBS | ||||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||||
Transfers out of Level 3 | $ (135,000) | (135,000) | ||
Non-Agency RMBS | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||||
Beginning balance Level 3 | 2,614,408 | 2,150,714 | 2,614,408 | |
Transfers into Level 3 | 0 | 135,118 | ||
Transfers out of Level 3 | 0 | (135,118) | ||
Purchases of assets/ issuance of debt | 34,656 | 54,811 | ||
Principal payments | (299,330) | (261,738) | ||
Sales and settlements | (47,674) | (166,786) | ||
Net accretion (amortization) | 57,473 | 39,246 | ||
Gains (losses) included in net income | ||||
(Increase) decrease in provision for credit losses | (33) | (180) | ||
Realized gains (losses) on sales and settlements | 32,807 | 12,571 | ||
Net unrealized gains (losses) included in income | 31,358 | (9,030) | ||
Gains (losses) included in other comprehensive income | ||||
Total unrealized gains (losses) for the period | (149,763) | (132,588) | ||
Ending balance Level 3 | 1,810,208 | 2,150,714 | ||
Loans held for investment | ||||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||||
Transfers out of Level 3 | (272,000) | |||
Loans held for investment | Variable Interest Entities, Primary Beneficiary | ||||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||||
Sales and settlements | (1,679,280) | (1,053,943) | ||
Gains (losses) included in net income | ||||
Realized gains (losses) on sales and settlements | 0 | 0 | ||
Net unrealized gains (losses) included in income | 196,603 | 64,643 | ||
Loans held for investment | Variable Interest Entities, Primary Beneficiary | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||||
Beginning balance Level 3 | $ 14,292,815 | 13,112,129 | 14,292,815 | |
Transfers into Level 3 | 0 | 0 | ||
Transfers out of Level 3 | (272,198) | 0 | ||
Purchases of assets/ issuance of debt | 3,248,683 | 1,860,998 | ||
Principal payments | (2,495,015) | (1,966,590) | ||
Sales and settlements | (1,679,280) | (1,053,943) | ||
Net accretion (amortization) | (79,223) | (85,794) | ||
Gains (losses) included in net income | ||||
(Increase) decrease in provision for credit losses | 0 | 0 | ||
Realized gains (losses) on sales and settlements | 0 | 0 | ||
Net unrealized gains (losses) included in income | 197,203 | 64,643 | ||
Gains (losses) included in other comprehensive income | ||||
Total unrealized gains (losses) for the period | 0 | 0 | ||
Ending balance Level 3 | $ 12,032,299 | $ 13,112,129 |
Fair Value Measurements - Unobs
Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Details) - Level 3 | Dec. 31, 2021 | Dec. 31, 2020 |
Discount Rate | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.01 | 0.02 |
Discount Rate | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.02 | 0.02 |
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 | 0.10 |
Discount Rate | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.10 | 0.10 |
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 | 0.039 | 0.033 |
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.056 | 0.061 |
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.103 | 0.102 |
Prepay Rate | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.01 | 0.01 |
Prepay Rate | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.06 | 0.02 |
Prepay Rate | Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.06 | 0.06 |
Prepay Rate | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.30 | 0.25 |
Prepay Rate | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.45 | 0.42 |
Prepay Rate | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.55 | 0.47 |
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.114 | 0.095 |
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.178 | 0.136 |
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.249 | 0.263 |
CDR | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0.01 |
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 | 0.07 | 0.10 |
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 | 0.09 | 0.08 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.018 | 0.020 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.011 | 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 | 0.014 |
Loss Severity | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.26 | 0.26 |
Loss Severity | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.10 | 0.10 |
Loss Severity | Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.26 | 0 |
Loss Severity | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.78 | 0.82 |
Loss Severity | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.55 | 0.77 |
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.84 | 0.79 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.366 | 0.415 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.401 | 0.398 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.330 | 0.336 |
Fair Value Measurements - Uno_2
Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Details) - Loans held for investment - Level 3 - Variable Interest Entities, Primary Beneficiary | Dec. 31, 2021 | Dec. 31, 2020 |
Discount Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.01 | 0 |
Discount Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.07 | 0.10 |
Discount Rate | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.026 | 0.025 |
Prepay Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.06 | 0.04 |
Prepay Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.20 | 0.40 |
Prepay Rate | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.151 | 0.105 |
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 | 0.11 | 0.07 |
CDR | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.014 | 0.013 |
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 | 0.75 | 0.75 |
Loss Severity | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.561 | 0.576 |
Fair Value Measurements - Uno_3
Fair Value Measurements - Unobservable Inputs Assumptions - Loans Held for Investment (Details) - Loans Held for Investment at Fair Value - Level 3 | Dec. 31, 2021 | Dec. 31, 2020 |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 6.10% | 6.30% |
FICO | 654 | 627 |
Loan-to-value (LTV) | 84.00% | 86.00% |
Single family | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 83.00% | 84.00% |
Manufactured housing | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 4.00% | 4.00% |
Multi-family/mixed use/other | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 13.00% | 12.00% |
Owner Occupied | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 91.00% | 89.00% |
Investor | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 3.00% | 2.00% |
Secondary | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 6.00% | 9.00% |
Base Rate | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 3.10% | 3.40% |
FICO | 640 | 640 |
Loan-to-value (LTV) | 87.00% | 85.00% |
Fair Value Measurements - Carry
Fair Value Measurements - Carrying Value and Fair Value of Financial Instruments Not Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 87,999 | $ 113,433 |
Long term debt | 0 | 51,623 |
Carrying Amount | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Secured financing agreements | 3,261,613 | 4,636,847 |
Long term debt | 51,623 | |
Carrying Amount | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | 87,999 | 113,433 |
Fair Value | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Secured financing agreements | 3,265,577 | 4,803,256 |
Long term debt | 80,750 | |
Fair Value | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 72,505 | $ 97,097 |
Secured Financing Agreements -
Secured Financing Agreements - Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements outstanding | $ 3,261,613 | $ 4,636,847 |
Margin cash collateral pledged to repurchase agreement counterparties | $ 19,000 | 42,000 |
Decrease in share price (as a percent) | 50.00% | |
Goldman Sachs | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | 649,000 | |
Nomura | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | $ 421,000 | |
Warehouse Agreement Borrowings | ||
Repurchase Agreement Counterparty [Line Items] | ||
Unused warehouse credit facilities | $ 976,000 | |
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 | 938 days | |
Repurchase Agreements | Stockholders' Equity, Total | Nomura | Credit Concentration Risk | Asset Pledged as Collateral | ||
Repurchase Agreement Counterparty [Line Items] | ||
Concentration risk (as a percent) | 11.00% | |
Weighted average maturity | 106 days | |
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 Upon Change in Fair Value of Collateral Pledged | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements outstanding | $ 1,200,000 | |
Not Subject to Additional Margin Requirements Until Drop in Fair Value of Collateral | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements outstanding | $ 113,000 |
Secured Financing Agreements _2
Secured Financing Agreements - Schedule of Secured Financing Agreements (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | $ 3,300,000 | $ 4,600,000 |
Debt issuance costs, net | 3,000 | 8,000 |
Repurchase Agreements | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | 3,261,613 | 4,636,847 |
MBS pledged as collateral at fair value on Repurchase agreements: | 4,393,350 | 6,696,214 |
Average balance of Secured financing agreements secured by: | 3,937,929 | 7,316,345 |
Repurchase Agreements | Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | 23,170 | 69,180 |
MBS pledged as collateral at fair value on Repurchase agreements: | 28,320 | 86,160 |
Average balance of Secured financing agreements secured by: | $ 47,155 | $ 1,407,713 |
Average borrowing rate of Secured financing agreements secured by: | 0.68% | 0.90% |
Average remaining maturity of Secured financing agreements secured by: | 4 days | 12 days |
Average original maturity of Secured financing agreements secured by: | 61 days | 14 days |
Repurchase Agreements | Agency CMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | $ 589,535 | $ 1,333,799 |
MBS pledged as collateral at fair value on Repurchase agreements: | 617,457 | 1,382,783 |
Average balance of Secured financing agreements secured by: | $ 963,894 | $ 1,818,721 |
Average borrowing rate of Secured financing agreements secured by: | 0.21% | 0.21% |
Average remaining maturity of Secured financing agreements secured by: | 13 days | 11 days |
Average original maturity of Secured financing agreements secured by: | 35 days | 30 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: | $ 2,648,908 | $ 3,233,868 |
MBS pledged as collateral at fair value on Repurchase agreements: | 3,747,573 | 5,227,271 |
Average balance of Secured financing agreements secured by: | $ 2,926,880 | $ 4,089,911 |
Average borrowing rate of Secured financing agreements secured by: | 2.78% | 4.78% |
Average remaining maturity of Secured financing agreements secured by: | 257 days | 458 days |
Average original maturity of Secured financing agreements secured by: | 283 days | 492 days |
Secured Financing Agreements _3
Secured Financing Agreements - Maturities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 3,300,000 | $ 4,600,000 |
Debt issuance costs, net | 3,000 | 8,000 |
Repurchase Agreements | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 3,261,613 | 4,636,847 |
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 | 1,018,670 | 1,521,134 |
Repurchase Agreements | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 379,031 | 481,257 |
Repurchase Agreements | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 342,790 | 352,684 |
Repurchase Agreements | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 67,840 | 301,994 |
Repurchase Agreements | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 157,944 | 595,900 |
Repurchase Agreements | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 895,210 | 345,204 |
Repurchase Agreements | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 143,239 | 0 |
Repurchase Agreements | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 0 | 642,696 |
Repurchase Agreements | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 256,889 | $ 395,978 |
Repurchase Agreements | Weighted Average Borrowing Rates | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 2.30% | 3.41% |
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.73% | 0.38% |
Repurchase Agreements | Weighted Average Borrowing Rates | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.66% | 4.35% |
Repurchase Agreements | Weighted Average Borrowing Rates | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.86% | 2.78% |
Repurchase Agreements | Weighted Average Borrowing Rates | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.66% | 7.97% |
Repurchase Agreements | Weighted Average Borrowing Rates | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.38% | 5.29% |
Repurchase Agreements | Weighted Average Borrowing Rates | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 3.70% | 3.60% |
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 3.05% | |
Repurchase Agreements | Weighted Average Borrowing Rates | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 4.91% | |
Repurchase Agreements | Weighted Average Borrowing Rates | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 5.56% | 5.56% |
Repurchase Agreements | Minimum | Overnight | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.00% | |
Repurchase Agreements | Minimum | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.11% | 0.20% |
Repurchase Agreements | Minimum | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.55% | 2.42% |
Repurchase Agreements | Minimum | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.90% | 1.34% |
Repurchase Agreements | Minimum | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.66% | 7.97% |
Repurchase Agreements | Minimum | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.95% | 2.40% |
Repurchase Agreements | Minimum | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.95% | 3.25% |
Repurchase Agreements | Minimum | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 3.05% | |
Repurchase Agreements | Minimum | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.65% | |
Repurchase Agreements | Minimum | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 5.56% | 5.56% |
Repurchase Agreements | Maximum | Overnight | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.00% | |
Repurchase Agreements | Maximum | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.95% | 2.72% |
Repurchase Agreements | Maximum | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.70% | 6.61% |
Repurchase Agreements | Maximum | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 2.35% | 6.30% |
Repurchase Agreements | Maximum | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.66% | 7.97% |
Repurchase Agreements | Maximum | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.45% | 6.26% |
Repurchase Agreements | Maximum | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 4.38% | 4.50% |
Repurchase Agreements | Maximum | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 3.05% | |
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% | 5.56% |
Securitized Debt - Narrative (D
Securitized Debt - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | |||||||||||
Gains (losses) on extinguishment of debt | $ 980 | $ (25,622) | $ (21,777) | $ (237,137) | $ 919 | $ (55,794) | $ 459 | $ 0 | $ (283,556) | $ (54,418) | $ 9,318 |
Non-Agency RMBS | |||||||||||
Debt Instrument [Line Items] | |||||||||||
Gains (losses) on extinguishment of debt | $ (55,000) | ||||||||||
Securitized Loans | Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary | |||||||||||
Debt Instrument [Line Items] | |||||||||||
Principal balance | $ 113,000 | $ 135,000 | $ 113,000 | $ 135,000 | |||||||
Weighted average cost of financing | 6.70% | 6.50% | 6.70% | 6.50% | |||||||
Acquired securitized debt collateral outstanding principal balance | $ 370 | ||||||||||
Repurchase of non retained secured debt | 478 | ||||||||||
Gains (losses) on extinguishment of debt | (108) | ||||||||||
Securitized Loans | Securitized debt | Variable Interest Entities, Primary Beneficiary | |||||||||||
Debt Instrument [Line Items] | |||||||||||
Principal balance | $ 7,800,000 | $ 8,700,000 | $ 7,800,000 | $ 8,700,000 | |||||||
Weighted average cost of financing | 2.40% | 3.40% | 2.40% | 3.40% | |||||||
Acquired securitized debt collateral outstanding principal balance | $ 3,900,000 | $ 785,000 | |||||||||
Repurchase of non retained secured debt | 4,200,000 | 784,000 | |||||||||
Gains (losses) on extinguishment of debt | $ (259,000) | $ 1,000 |
Securitized Debt - Maturities o
Securitized Debt - Maturities of Long-Term Debt (Details) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Securitized debt | ||
Debt Instrument [Line Items] | ||
Within One Year | $ 2,031,445 | $ 1,837,055 |
One to Three Years | 2,886,255 | 2,819,646 |
Three to Five Years | 1,697,760 | 1,774,273 |
Greater Than Five Years | 1,145,995 | 2,170,253 |
Total | 7,761,455 | 8,601,227 |
Securitized Loans | Non-Agency RMBS | ||
Debt Instrument [Line Items] | ||
Within One Year | 4,374 | 13,552 |
One to Three Years | 2,361 | 11,229 |
Three to Five Years | 949 | 1,589 |
Greater Than Five Years | 82 | 305 |
Total | $ 7,766 | $ 26,675 |
Securitized Debt - Callable Deb
Securitized Debt - Callable Debt (Details) - Securitized Loans $ in Thousands | Dec. 31, 2021USD ($) |
Debt Instrument, Redemption [Line Items] | |
Currently callable | $ 333,066 |
2022 | 1,515,604 |
2023 | 991,939 |
2024 | 1,359,229 |
2025 | 2,387,361 |
2026 | 310,333 |
Total | $ 6,897,532 |
Long Term Debt (Details)
Long Term Debt (Details) $ / shares in Units, shares in Millions | Jun. 29, 2021$ / shares | Apr. 30, 2020USD ($)$ / shares | Dec. 31, 2021USD ($) | Sep. 30, 2021USD ($) | Jun. 30, 2021USD ($) | Mar. 31, 2021USD ($) | Dec. 31, 2020USD ($) | Sep. 30, 2020USD ($) | Jun. 30, 2020USD ($) | Mar. 31, 2020USD ($) | Dec. 31, 2021USD ($)shares | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) |
Debt Instrument [Line Items] | |||||||||||||
Conversion of convertible debt | $ 37,339,000 | $ 309,820,000 | $ 0 | ||||||||||
Gains (losses) on extinguishment of debt | $ 980,000 | $ (25,622,000) | $ (21,777,000) | $ (237,137,000) | $ 919,000 | $ (55,794,000) | $ 459,000 | $ 0 | (283,556,000) | (54,418,000) | $ 9,318,000 | ||
Accrued interest payable | 20,416,000 | 40,950,000 | $ 20,416,000 | 40,950,000 | |||||||||
Common Stock Par Value | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Debt conversion, shares converted into (in shares) | shares | 55 | ||||||||||||
Convertible Senior Notes due 2023 | Convertible Debt | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Principal balance | $ 374,000,000 | ||||||||||||
Long-term financing agreements, interest rate (as a percent) | 7.00% | ||||||||||||
Proceeds from issuance of debt | $ 362,000,000 | ||||||||||||
Conversion rate ratio | 0.1541546 | 0.1538461 | |||||||||||
Conversion price (in dollars per share) | $ / shares | $ 6.49 | $ 6.50 | |||||||||||
Conversion of convertible debt | $ 358,000,000 | ||||||||||||
Convertible debt acquired | 16,000,000 | ||||||||||||
Payments to acquire convertible debt | 37,000,000 | ||||||||||||
Gains (losses) on extinguishment of debt | (21,000,000) | ||||||||||||
Outstanding amount of debt | $ 0 | 53,000,000 | 0 | 53,000,000 | |||||||||
Unamortized debt issuance cost | 1,000,000 | 1,000,000 | |||||||||||
Accrued interest payable | $ 1,000,000 | 1,000,000 | |||||||||||
Interest expense | $ 2,000,000 | $ 7,000,000 |
Consolidated Securitization V_3
Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | ||
Variable Interest Entity [Line Items] | |||
Assets | [1] | $ 15,407,403 | $ 17,523,019 |
Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | 1,200,000 | 1,300,000 | |
Non-Agency RMBS | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Unconsolidated VIEs, individual investments (Less than $1 million) | 1,400,000 | ||
Assets | 1,600,000 | ||
Non-Agency RMBS | Minimum | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Unconsolidated VIEs, individual investments (Less than $1 million) | 1,000 | 1,000 | |
Non-Agency RMBS | Maximum | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Unconsolidated VIEs, individual investments (Less than $1 million) | 220,000 | 190,000 | |
Subprime | Residential Mortgage | |||
Variable Interest Entity [Line Items] | |||
Financing receivable, purchases | $ 6,600,000 | $ 2,500,000 | |
[1] | The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations and liabilities of the VIE for which c reditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,666,591 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,223,655 and $8,063,110, respectively. See Note 9 for further discussion. |
Consolidated Securitization V_4
Consolidated Securitization Vehicles and Other Variable Interest Entities - Assets and Liabilities Related to the Consolidated VIEs (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets: | ||||
Non-Agency RMBS, at fair value | $ 1,810,208 | $ 2,150,714 | ||
Loans held for investment, at fair value | 12,261,926 | 13,112,129 | ||
Accrued interest receivable | 69,513 | 81,158 | ||
Other Assets | 58,320 | 78,822 | ||
Assets | [1] | 15,407,403 | 17,523,019 | |
Liabilities: | ||||
Securitized debt, collateralized by Non-Agency RMBS | 87,999 | 113,433 | ||
Securitized debt at fair value, collateralized by Loans held for investment | 7,726,043 | 8,711,677 | ||
Accrued interest payable | 20,416 | 40,950 | ||
Other liabilities | 11,574 | 5,721 | ||
Liabilities | [1] | 11,671,212 | 13,743,633 | |
Allowance for credit losses | 213 | 180 | $ 0 | |
Non-Agency RMBS | ||||
Liabilities: | ||||
Allowance for credit losses | 213 | 180 | ||
Variable Interest Entities, Primary Beneficiary | ||||
Assets: | ||||
Non-Agency RMBS, at fair value | 399,048 | 505,479 | ||
Loans held for investment, at fair value | 10,205,587 | 11,591,598 | ||
Accrued interest receivable | 47,237 | 53,804 | ||
Other Assets | 14,719 | 14,136 | ||
Assets | 10,666,591 | 12,165,017 | ||
Liabilities: | ||||
Securitized debt, collateralized by Non-Agency RMBS | 87,999 | 113,433 | ||
Securitized debt at fair value, collateralized by Loans held for investment | 7,118,374 | 7,923,523 | ||
Accrued interest payable | 15,101 | 23,677 | ||
Other liabilities | 2,181 | 2,477 | ||
Liabilities | $ 7,223,655 | 8,063,110 | ||
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS | ||||
Liabilities: | ||||
Allowance for credit losses | $ 117 | |||
[1] | The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations and liabilities of the VIE for which c reditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of December 31, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,666,591 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,223,655 and $8,063,110, respectively. See Note 9 for further discussion. |
Consolidated Securitization V_5
Consolidated Securitization Vehicles and Other Variable Interest Entities - Income, OTTI and Expense Amounts Related to Consolidated VIEs (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | |||||||||||
Net interest income | $ 154,564 | $ 149,226 | $ 172,067 | $ 135,061 | $ 115,871 | $ 123,348 | $ 116,666 | $ 158,183 | $ 610,918 | $ 514,069 | $ 602,296 |
(Increase) decrease in provision for credit losses | (33) | (180) | 0 | ||||||||
Net other-than-temporary credit impairment losses | 0 | 0 | (4,853) | ||||||||
Servicing and asset manager fees | 36,555 | 39,896 | 38,930 | ||||||||
Variable Interest Entities, Primary Beneficiary | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
(Increase) decrease in provision for credit losses | 117 | (117) | 0 | ||||||||
Net other-than-temporary credit impairment losses | 0 | 0 | (4,255) | ||||||||
Servicing and asset manager fees | 26,818 | 32,479 | 33,920 | ||||||||
Non Agency Residential Mortgage Backed Securities And Securitized Loans | Variable Interest Entities, Primary Beneficiary | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Interest income, assets of consolidated VIEs | 586,580 | 683,456 | 780,746 | ||||||||
Interest expense, Non-recourse liabilities of VIEs | 203,135 | 285,142 | 337,387 | ||||||||
Net interest income | $ 383,445 | $ 398,314 | $ 443,359 |
Derivative Instruments - Deriva
Derivative Instruments - Derivative Instruments Effects on Operating Results (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net unrealized gains (losses) on derivatives | $ 0 | $ 201,000 | $ (106,209) | ||||
Net gains (losses) on derivatives | $ 0 | $ 0 | $ 0 | $ (304,052) | 0 | (304,052) | (500,358) |
Realized loss on terminations of interest rate swaps | 0 | 463,966 | 359,726 | ||||
Interest Rate Swaps | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net unrealized gains (losses) on derivatives | 0 | 204,611 | (122,272) | ||||
Net realized gains (losses) on derivatives | 0 | (470,352) | (356,713) | ||||
Treasury Futures | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net unrealized gains (losses) on derivatives | 0 | (3,611) | 16,986 | ||||
Net realized gains (losses) on derivatives | 0 | (34,700) | (37,032) | ||||
Swaptions | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net unrealized gains (losses) on derivatives | 0 | 0 | (923) | ||||
Net realized gains (losses) on derivatives | $ 0 | $ 0 | $ (404) |
Derivative Instruments - Narrat
Derivative Instruments - Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Realized loss on terminations of interest rate swaps | $ 0 | $ 463,966 | $ 359,726 |
Interest Rate Swaps | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, notional amount of derivative terminated | $ 4,100,000 |
Capital Stock - Preferred Stock
Capital Stock - Preferred Stock (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Oct. 31, 2021 | |
Class of Stock [Line Items] | ||||||||||||
Dividends on preferred stock | $ 18,452,000 | $ 18,438,000 | $ 18,438,000 | $ 18,438,000 | $ 18,438,000 | $ 18,438,000 | $ 18,438,000 | $ 18,438,000 | $ 73,764,000 | $ 73,750,000 | $ 72,704,000 | |
Series A Preferred Stock | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Dividends on preferred stock | $ 12,000,000 | $ 12,000,000 | ||||||||||
Preferred stock dividends declared (in USD per share) | $ 2 | $ 2 | ||||||||||
Preferred stock, shares outstanding (shares) | 5,800,000 | 5,800,000 | 5,800,000 | 5,800,000 | 5,800,000 | |||||||
Preferred Stock, liquidation preference | $ 145,000 | $ 145,000 | $ 145,000 | $ 145,000 | $ 145,000,000 | |||||||
Series B Preferred Stock | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Dividends on preferred stock | $ 26,000,000 | $ 26,000,000 | ||||||||||
Preferred stock dividends declared (in USD per share) | $ 2 | $ 2 | ||||||||||
Preferred stock, shares outstanding (shares) | 13,000,000 | 13,000,000 | 13,000,000 | 13,000,000 | ||||||||
Preferred Stock, liquidation preference | $ 325,000 | $ 325,000 | $ 325,000 | $ 325,000 | ||||||||
Series C Preferred Stock | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Dividends on preferred stock | $ 20,000,000 | $ 20,000,000 | ||||||||||
Preferred stock dividends declared (in USD per share) | $ 1.937500 | $ 1.937500 | ||||||||||
Preferred stock, shares outstanding (shares) | 10,400,000 | 10,400,000 | 10,400,000 | 10,400,000 | ||||||||
Preferred Stock, liquidation preference | $ 260,000 | $ 260,000 | $ 260,000 | $ 260,000 | ||||||||
Series D Preferred Stock | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Dividends on preferred stock | $ 16,000,000 | $ 16,000,000 | ||||||||||
Preferred stock dividends declared (in USD per share) | $ 2 | $ 2 | ||||||||||
Preferred stock, shares outstanding (shares) | 8,000,000 | 8,000,000 | 8,000,000 | 8,000,000 | ||||||||
Preferred Stock, liquidation preference | $ 200,000 | $ 200,000 | $ 200,000 | $ 200,000 |
Capital Stock - Common Stock (D
Capital Stock - Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Feb. 28, 2021 | |
Class of Stock [Line Items] | ||||
Stock repurchase program, authorized amount | $ 250,000,000 | |||
Stock repurchased during period (in shares) | 161 | 1,400 | ||
Stock repurchased during period, average price (in dollars per share) | $ 11.39 | $ 15.34 | ||
Stock repurchased during period | $ 1,828,000 | $ 22,066,000 | $ 0 | |
Remaining authorized repurchase amount | 226,000,000 | |||
Common dividends declared | $ 307,583,000 | $ 301,270,000 | $ 376,839,000 | |
Dividends declared per share of common stock (usd per share) | $ 1.29 | $ 1.40 | ||
Regular Dividend | ||||
Class of Stock [Line Items] | ||||
Common dividends declared | $ 308,000,000 | $ 301,000,000 |
Capital Stock - Warrants (Detai
Capital Stock - Warrants (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Jun. 08, 2020 | |
Class of Warrant or Right [Line Items] | ||||
Payments for settlement of warrants | $ 220,945,000 | $ 0 | $ 0 | |
Common Stock Par Value | Warrant Shares | ||||
Class of Warrant or Right [Line Items] | ||||
Exercise of warrants or rights (in shares) | 20,000,000 | |||
Exercise percent of common stock (as a percent) | 90.00% | |||
Payments for settlement of warrants | $ 221,000,000 | |||
Credit Agreement | Securitized debt | ||||
Class of Warrant or Right [Line Items] | ||||
Principal balance | $ 400,000,000 |
Capital Stock - Earnings Per Sh
Capital Stock - Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Numerator: | |||||||||||
Net income (loss) available to common shareholders - Basic | $ (718) | $ 313,030 | $ 144,883 | $ 139,153 | $ 128,796 | $ 348,891 | $ (73,393) | $ (389,193) | $ 596,350 | $ 15,104 | $ 340,847 |
Effect of dilutive securities: | 2,274 | 0 | 0 | ||||||||
Net income (loss) available to common shareholders - Diluted | $ 598,624 | $ 15,104 | $ 340,847 | ||||||||
Denominator: | |||||||||||
Weighted average basic shares (shares) | 233,770,474 | 212,995,533 | 187,156,990 | ||||||||
Effect of dilutive securities (shares) | 11,726,452 | 13,442,808 | 1,249,454 | ||||||||
Weighted average dilutive shares (shares) | 245,496,926 | 226,438,341 | 188,406,444 | ||||||||
Net income (loss) per average share attributable to common stockholders - Basic (usd per share) | $ 0 | $ 1.33 | $ 0.63 | $ 0.60 | $ 0.55 | $ 1.50 | $ (0.37) | $ (2.08) | $ 2.55 | $ 0.07 | $ 1.82 |
Net income (loss) per average share attributable to common stockholders - Diluted (usd per share) | $ 2.44 | $ 0.07 | $ 1.81 |
Capital Stock - Dilutive Securi
Capital Stock - Dilutive Securities (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||||||
Dec. 31, 2021 | [1] | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | [1] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |||||||||||||||
Securities excluded from computation of EPS (in shares) | 126 | 14,000 | |||||||||||||
Interest expense | $ 66,598 | $ 71,353 | $ 80,610 | $ 108,066 | $ 120,285 | $ 124,557 | $ 129,256 | $ 142,083 | $ 326,628 | [1] | $ 516,181 | [1] | $ 758,814 | ||
Convertible Senior Notes due 2023 | Convertible Debt | |||||||||||||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |||||||||||||||
Interest expense | $ 7,000 | ||||||||||||||
[1] | Includes interest expense of consolidated VIEs of $203,135 , $285,142 and $337,387 for the years ended December 31, 2021, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion. |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income - Schedule of Components of AOCI (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
AOCI [Roll Forward] | |||
Beginning Balance | $ 3,779,386 | $ 3,953,293 | $ 3,703,829 |
OCI before reclassifications | (115,926) | (94,136) | |
Amounts reclassified from AOCI | (37,116) | (56,104) | |
Other comprehensive income (loss) | (153,042) | (150,240) | 81,504 |
Ending Balance | 3,736,191 | 3,779,386 | 3,953,293 |
Unrealized gains (losses) on available-for-sale securities, net | |||
AOCI [Roll Forward] | |||
Beginning Balance | 558,096 | 708,336 | |
OCI before reclassifications | (115,926) | (94,136) | |
Amounts reclassified from AOCI | (37,116) | (56,104) | |
Other comprehensive income (loss) | (153,042) | (150,240) | |
Ending Balance | 405,054 | 558,096 | 708,336 |
Total Accumulated OCI Balance | |||
AOCI [Roll Forward] | |||
Beginning Balance | 558,096 | 708,336 | 626,832 |
Other comprehensive income (loss) | (153,042) | (150,240) | 81,504 |
Ending Balance | $ 405,054 | $ 558,096 | $ 708,336 |
Accumulated Other Comprehensi_4
Accumulated Other Comprehensive Income - Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Amounts reclassified from AOCI | $ 37,116 | $ 56,104 |
Unrealized gains (losses) on available-for-sale securities, net | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Amounts reclassified from AOCI | $ 37,116 | $ 56,104 |
Equity Compensation, Employme_3
Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Details) | 12 Months Ended | ||
Dec. 31, 2021USD ($)installmenttrancheshares | Dec. 31, 2020USD ($)shares | Dec. 31, 2019shares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Awards reserved for future issuance (in shares) | 2,816,848 | 2,143,868 | 1,900,371 |
Granted shares (shares) | 1,575,137 | 587,233 | |
Shares forfeited by employees to pay taxes (in shares) | 632,000 | 114,000 | |
Common dividends declared | $ | $ 12,000,000 | $ 9,000,000 | |
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 | $ | $ 417,000 | $ 446,000 | |
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) | 2,000,000 | ||
Deferred Stock Units | 2007 Equity Incentive Plan | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Awards reserved for future issuance (in shares) | 914,000 | 914,000 | |
Dividend Equivalent Rights | 2007 Equity Incentive Plan | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Awards reserved for future issuance (in shares) | 699,000 | ||
Restricted Stock Units (RSUs) | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Performance period | 3 years | ||
Granted shares (shares) | 393,000 | 414,000 | |
Grant date fair value | $ | $ 5,000,000 | $ 5,000,000 | |
Restricted Stock Units (RSUs) | Senior Management | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Vesting period | 4 years | ||
Granted shares (shares) | 1,000,000 | ||
Grant date fair value | $ | $ 10,000,000 | ||
Number of tranches | tranche | 5 | ||
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] | |||
Performance period | 3 years | 3 years | |
Granted shares (shares) | 182,000 | 173,000 | |
Grant date fair value | $ | $ 2,000,000 | $ 3,000,000 | |
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% |
Equity Compensation, Employme_4
Equity Compensation, Employment Agreements and other Benefit Plans - Stock Awards (Details) - $ / shares | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Number of Shares | ||
Unvested shares outstanding - beginning of period (in shares) | 2,143,868 | 1,900,371 |
Granted (in shares) | 1,575,137 | 587,233 |
Vested (in shares) | (264,917) | (213,887) |
Forfeited (in shares) | (637,240) | (129,849) |
Unvested shares outstanding - end of period (in shares) | 2,816,848 | 2,143,868 |
Weighted Average Grant Date Fair Value | ||
Unvested shares outstanding - beginning of period (in dollars per share) | $ 16.51 | $ 17.30 |
Granted (in dollars per share) | 10.57 | 15.10 |
Vested (in dollars per share) | 14.87 | 18.59 |
Forfeited (in dollars per share) | 16.41 | 18.16 |
Unvested shares outstanding - end of period (in dollars per share) | $ 13.37 | $ 16.51 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Operating Loss Carryforwards [Line Items] | |||
Income tax expense (benefit) | $ 4,405,000 | $ 158,000 | $ 193,000 |
Deferred tax assets | 10,000,000 | 30,000,000 | |
Operating loss carryforwards | 9,000,000 | 25,000,000 | |
Deferred tax assets, valuation allowance | 10,000,000 | 30,000,000 | |
Section 163(j) | |||
Operating Loss Carryforwards [Line Items] | |||
Amount related to losses disallowed under code sections | 1,000,000 | 1,000,000 | |
Section 267(a) | |||
Operating Loss Carryforwards [Line Items] | |||
Amount related to losses disallowed under code sections | $ 0 | $ 4,000,000 |
Credit Risk and Interest Rate_2
Credit Risk and Interest Rate Risk (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Offsetting [Abstract] | ||
Repurchase agreements outstanding | $ 3,300 | $ 4,600 |
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments | 4,400 | 6,700 |
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged | 19 | 42 |
Net amount | $ 1,100 | $ 2,100 |
Summarized Quarterly Results _3
Summarized Quarterly Results (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |||||
Net interest income: | |||||||||||||||
Interest income | $ 221,162 | [1] | $ 220,579 | $ 252,677 | $ 243,127 | $ 236,156 | $ 247,905 | $ 245,922 | $ 300,266 | $ 937,546 | [1] | $ 1,030,250 | [1] | $ 1,361,110 | [1] |
Interest expense | 66,598 | [2] | 71,353 | 80,610 | 108,066 | 120,285 | 124,557 | 129,256 | 142,083 | 326,628 | [2] | 516,181 | [2] | 758,814 | [2] |
Net interest income | 154,564 | 149,226 | 172,067 | 135,061 | 115,871 | 123,348 | 116,666 | 158,183 | 610,918 | 514,069 | 602,296 | ||||
Increase/(decrease) in provision for credit losses | 92 | (386) | 453 | (126) | 13 | (1,650) | (4,497) | 6,314 | 33 | 180 | 0 | ||||
Net gains (losses) on derivatives | 0 | 0 | 0 | (304,052) | 0 | (304,052) | (500,358) | ||||||||
Net unrealized gains (losses) on financial instruments at fair value | (108,286) | 239,524 | 36,108 | 270,012 | 61,379 | 260,766 | (171,921) | (260,887) | 437,357 | (110,664) | 409,634 | ||||
Net realized gains (losses) on sales of investments | 0 | 0 | 7,517 | 37,796 | (329) | 65,041 | 26,380 | 75,854 | 45,313 | 166,946 | 20,360 | ||||
Gain (loss) on Extinguishment of Debt | 980 | (25,622) | (21,777) | (237,137) | 919 | (55,794) | 459 | 0 | (283,556) | (54,418) | 9,318 | ||||
Total other expenses | 30,175 | 30,723 | 30,229 | 44,355 | 30,566 | 27,620 | 31,000 | 33,507 | 135,480 | 122,689 | 122,653 | ||||
Net income (loss) | 17,734 | 331,468 | 163,321 | 157,591 | 147,234 | 367,329 | (54,955) | (370,755) | 670,114 | 88,854 | 413,551 | ||||
Dividends on preferred stock | 18,452 | 18,438 | 18,438 | 18,438 | 18,438 | 18,438 | 18,438 | 18,438 | 73,764 | 73,750 | 72,704 | ||||
Net income (loss) available to common shareholders | $ (718) | $ 313,030 | $ 144,883 | $ 139,153 | $ 128,796 | $ 348,891 | $ (73,393) | $ (389,193) | $ 596,350 | $ 15,104 | $ 340,847 | ||||
Net income per common share-basic (usd per share) | $ 0 | $ 1.33 | $ 0.63 | $ 0.60 | $ 0.55 | $ 1.50 | $ (0.37) | $ (2.08) | $ 2.55 | $ 0.07 | $ 1.82 | ||||
[1] | Includes interest income of consolidated VIEs of $586,580, $683,456 and $780,746 for the years ended December 31, 2021, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion. | ||||||||||||||
[2] | Includes interest expense of consolidated VIEs of $203,135 , $285,142 and $337,387 for the years ended December 31, 2021, 2020 and 2019, respectively. See Note 9 to consolidated financial statements for further discussion. |