COVER PAGE
COVER PAGE - shares | 3 Months Ended | |
Mar. 31, 2022 | Apr. 30, 2022 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2022 | |
Document Transition Report | false | |
Entity File Number | 1-33796 | |
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 Ave, 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 Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding (in shares) | 237,047,539 | |
Entity Central Index Key | 0001409493 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Common Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | CIM | |
Security Exchange Name | NYSE | |
Series A Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | CIM PRA | |
Security Exchange Name | NYSE | |
Series B Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | CIM PRB | |
Security Exchange Name | NYSE | |
Series C Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.75% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | CIM PRC | |
Security Exchange Name | NYSE | |
Series D Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | CIM PRD | |
Security Exchange Name | NYSE |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | |
Cash and cash equivalents | $ 165,728 | $ 385,741 | |
Non-Agency RMBS, at fair value (net of allowance for credit losses of $453 thousand and $213 thousand, respectively) | 1,458,887 | 1,810,208 | |
Agency RMBS, at fair value | 74,104 | 60,487 | |
Agency CMBS, at fair value | 503,231 | 761,208 | |
Loans held for investment, at fair value | 12,905,280 | 12,261,926 | |
Accrued interest receivable | 72,418 | 69,513 | |
Other assets | 61,531 | 58,320 | |
Total assets | [1] | 15,241,179 | 15,407,403 |
Liabilities: | |||
Secured financing agreements ($4.5 billion and $4.4 billion pledged as collateral, respectively) | 3,424,405 | 3,261,613 | |
Securitized debt, collateralized by Non-Agency RMBS ($337 million and $365 million pledged as collateral, respectively) | 84,188 | 87,999 | |
Securitized debt at fair value, collateralized by Loans held for investment ($11.4 billion and $11.0 billion pledged as collateral, respectively) | 8,010,170 | 7,726,043 | |
Payable for investments purchased | 259,796 | 477,415 | |
Accrued interest payable | 21,422 | 20,416 | |
Dividends payable | 86,560 | 86,152 | |
Accounts payable and other liabilities | 17,910 | 11,574 | |
Total liabilities | [1] | 11,904,451 | 11,671,212 |
Commitments and Contingencies (See Note 15) | |||
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 | 2,370 | |
Additional paid-in-capital | 4,360,340 | 4,359,045 | |
Accumulated other comprehensive income | 364,099 | 405,054 | |
Cumulative earnings | 4,289,214 | 4,552,008 | |
Cumulative distributions to stockholders | (5,679,667) | (5,582,658) | |
Total stockholders' equity | 3,336,728 | 3,736,191 | |
Total liabilities and stockholders' equity | 15,241,179 | 15,407,403 | |
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 V IEs, that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of March 31, 2022, and December 31, 2021, total assets of consolidate d VIEs were $11,025,170 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $7,564,121 and $7,223,655 , respectively. See Note 9 for further discussion. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2022 | Dec. 31, 2021 | ||
Allowance for credit losses | $ 453,000 | $ 213,000 | |
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) | 237,044,792 | 236,951,266 | |
Common stock, shares outstanding (shares) | 237,044,792 | 236,951,266 | |
Assets | [1] | $ 15,241,179,000 | $ 15,407,403,000 |
Liabilities | [1] | 11,904,451,000 | 11,671,212,000 |
Variable Interest Entities, Primary Beneficiary | |||
Stockholders' Equity: | |||
Assets | 11,025,170,000 | 10,666,591,000 | |
Liabilities | 7,564,121,000 | 7,223,655,000 | |
Non-Agency RMBS | |||
Allowance for credit losses | 453,000 | 213,000 | |
Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary | |||
Allowance for credit losses | 23,000 | ||
Repurchase Agreements | |||
Liabilities: | |||
Securities pledged as collateral | 4,519,419,000 | 4,393,350,000 | |
Repurchase Agreements | Residential Mortgage-Backed Securities | |||
Liabilities: | |||
Securities pledged as collateral | 4,500,000,000 | 4,400,000,000 | |
Securitized Loans | Non-Agency RMBS | |||
Liabilities: | |||
Securities pledged as collateral | 337,000,000 | 365,000,000 | |
Securitized Loans | Loans Held for Investment at Fair Value | |||
Liabilities: | |||
Securities pledged as collateral | $ 11,400,000,000 | $ 11,000,000,000 | |
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 V IEs, that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of March 31, 2022, and December 31, 2021, total assets of consolidate d VIEs were $11,025,170 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $7,564,121 and $7,223,655 , respectively. See Note 9 for further discussion. |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2022 | Mar. 31, 2021 | |||
Net interest income: | ||||
Interest income | [1] | $ 202,175 | $ 243,127 | |
Interest expense | 64,473 | 108,066 | [2] | |
Net interest income | 137,702 | 135,061 | ||
Increase/(decrease) in provision for credit losses | 240 | (126) | ||
Other investment gains (losses): | ||||
Net unrealized gains (losses) on financial instruments at fair value | (370,167) | 270,012 | ||
Net realized gains (losses) on sales of investments | 0 | 37,796 | ||
Gains (losses) on extinguishment of debt | 0 | (237,137) | ||
Total other gains (losses) | (370,167) | 70,671 | ||
Other expenses: | ||||
Compensation and benefits | 11,353 | 13,439 | ||
General and administrative expenses | 5,711 | 5,198 | ||
Servicing and asset manager fees | 9,291 | 9,281 | ||
Transaction expenses | 3,804 | 16,437 | ||
Total other expenses | 30,159 | 44,355 | ||
Income (loss) before income taxes | (262,864) | 161,503 | ||
Income tax expense (benefit) | (70) | 3,912 | ||
Net income (loss) | (262,794) | 157,591 | ||
Dividends on preferred stock | 18,408 | 18,438 | ||
Net income (loss) available to common shareholders | $ (281,202) | $ 139,153 | ||
Net income (loss) per share available to common shareholders: | ||||
Basic (usd per share) | $ (1.19) | $ 0.60 | ||
Diluted (usd per share) | $ (1.19) | $ 0.54 | ||
Weighted average number of common shares outstanding: | ||||
Basic (shares) | 237,012,702 | 230,567,231 | ||
Diluted (shares) | 237,012,702 | 261,435,081 | ||
[1] | Includes interest income of consolidated VIEs of $131,066 and $158,100 for the quarters ended MarchĀ 31, 2022 and 2021, respectively. See Note 9 to consolidated financial statements for further discussion. | |||
[2] | Includes interest expense of consolidated VIEs of $42,491 and $65,205 for the quarters ended MarchĀ 31, 2022 and 2021, respectively. See Note 9 to consolidated financial statements for further discussion. |
CONSOLIDATED STATEMENTS OF OP_2
CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Non Agency Residential Mortgage Backed Securities And Securitized Loans - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Interest income, assets of consolidated VIEs | $ 131,066 | $ 158,100 |
Interest expense, Non-recourse liabilities of VIEs | $ 42,491 | $ 65,205 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Comprehensive income (loss): | ||
Net income (loss) | $ (262,794) | $ 157,591 |
Other comprehensive income: | ||
Unrealized gains (losses) on available-for-sale securities, net | (40,955) | (38,652) |
Reclassification adjustment for net realized losses (gains) included in net income | 0 | (25,793) |
Other comprehensive income (loss) | (40,955) | (64,445) |
Comprehensive income (loss) before preferred stock dividends | (303,749) | 93,146 |
Dividends on preferred stock | 18,408 | 18,438 |
Comprehensive income (loss) available to common stock shareholders | $ (322,157) | $ 74,708 |
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, 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) | 157,591 | 157,591 | ||||||||||||
Other comprehensive income (loss) | (64,445) | (64,445) | ||||||||||||
Repurchase of common stock | (1,828) | (2) | (1,826) | |||||||||||
Settlement of warrants | (219,840) | (219,840) | ||||||||||||
Stock based compensation | 4,058 | 2 | 4,056 | |||||||||||
Common dividends declared | (69,986) | (69,986) | ||||||||||||
Preferred dividends declared | (18,438) | (18,438) | $ (3,000) | $ (7,000) | $ (5,000) | $ (4,000) | ||||||||
Ending Balance at Mar. 31, 2021 | 3,566,498 | 2,306 | 4,320,419 | 493,651 | 4,039,485 | (5,289,735) | 58 | 130 | 104 | 80 | ||||
Beginning 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 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Net income (loss) | (262,794) | |||||||||||||
Other comprehensive income (loss) | (40,955) | (40,955) | ||||||||||||
Repurchase of common stock | 0 | |||||||||||||
Stock based compensation | 1,295 | 1,295 | ||||||||||||
Common dividends declared | (78,601) | (78,601) | ||||||||||||
Preferred dividends declared | (18,408) | (18,408) | $ (3,000) | $ (7,000) | $ (5,000) | $ (4,000) | ||||||||
Ending Balance at Mar. 31, 2022 | $ 3,336,728 | $ 2,370 | $ 4,360,340 | $ 364,099 | $ 4,289,214 | $ (5,679,667) | $ 58 | $ 130 | $ 104 | $ 80 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Cash Flows From Operating Activities: | ||
Net income (loss) | $ (262,794) | $ 157,591 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||
(Accretion) amortization of investment discounts/premiums, net | 25,897 | 13,260 |
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net | (2,676) | 9,673 |
Net unrealized losses (gains) on financial instruments at fair value | 370,167 | (270,012) |
Net realized losses (gains) on sales of investments | 0 | (37,796) |
Net increase (decrease) in provision for credit losses | 240 | (126) |
(Gain) loss on extinguishment of debt | 0 | 237,137 |
Equity-based compensation expense | 1,295 | 4,058 |
Changes in operating assets: | ||
Decrease (increase) in accrued interest receivable, net | (2,904) | 3,593 |
Decrease (increase) in other assets | (1,160) | 12,042 |
Changes in operating liabilities: | ||
Increase (decrease) in accounts payable and other liabilities | 6,335 | 8,877 |
Increase (decrease) in accrued interest payable, net | 1,518 | (16,096) |
Net cash provided by (used in) operating activities | 135,918 | 122,201 |
Cash Flows From Investing Activities: | ||
Net cash provided by (used in) investing activities | (187,349) | 814,173 |
Cash Flows From Financing Activities: | ||
Proceeds from secured financing agreements | 8,972,972 | 14,021,592 |
Payments on secured financing agreements | (8,810,180) | (14,615,709) |
Net proceeds from preferred stock offerings | 0 | 0 |
Payments on repurchase of common stock | 0 | (1,828) |
Proceeds from securitized debt borrowings, collateralized by Loans held for investment | 262,118 | 3,400,687 |
Payments on securitized debt borrowings, collateralized by Loans held for investment | (495,172) | (3,379,096) |
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (1,719) | (5,499) |
Settlement of warrants | 0 | (219,840) |
Common dividends paid | (78,194) | (69,844) |
Preferred dividends paid | (18,407) | (18,438) |
Net cash provided by (used in) financing activities | (168,582) | (887,975) |
Net increase (decrease) in cash and cash equivalents | (220,013) | 48,399 |
Cash and cash equivalents at beginning of period | 385,741 | 269,090 |
Cash and cash equivalents at end of period | 165,728 | 317,489 |
Supplemental disclosure of cash flow information: | ||
Interest received | 225,168 | 259,981 |
Interest paid | 66,143 | 114,490 |
Non-cash investing activities: | ||
Payable for investments purchased | 259,796 | 76,534 |
Net change in unrealized gain (loss) on available-for sale securities | (40,955) | (64,445) |
Non-cash financing activities: | ||
Dividends declared, not yet paid | 86,560 | 77,355 |
Variable Interest Entities, Primary Beneficiary | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||
Net increase (decrease) in provision for credit losses | 23 | (117) |
Variable Interest Entities, Primary Beneficiary | Securitized Debt Loans Held For Investment At Fair Value [Member] | ||
Transfer of investments due to consolidation | ||
Securitized debt at fair value, collateralized by loans held for investment | 774,510 | 0 |
Agency MBS portfolio | ||
Cash Flows From Investing Activities: | ||
Purchases | (44,627) | (28,856) |
Sales | 0 | 201,037 |
Principal payments | 230,321 | 147,859 |
Non-agency RMBS Portfolio | ||
Cash Flows From Investing Activities: | ||
Purchases | (23,000) | 0 |
Sales | 0 | 32,459 |
Principal payments | 76,472 | 63,311 |
Transfer of investments due to consolidation | ||
Non-Agency RMBS, at fair value | (218,276) | 0 |
Loans held for investment | ||
Cash Flows From Investing Activities: | ||
Sales | 0 | 903,358 |
Principal payments | 592,603 | 564,559 |
Purchases | (1,019,118) | (1,069,554) |
Loans Held for Investment at Fair Value | Variable Interest Entities, Primary Beneficiary | ||
Transfer of investments due to consolidation | ||
Loans held for investment, at fair value | $ 1,047,838 | $ 0 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2022 | |
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 Quarterly Report on Form 10-Q: 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 $250 thousand and $346 thousand, during the quarters ended March 31, 2022 and 2021, 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 | 3 Months Ended |
Mar. 31, 2022 | |
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 transactions are recorded on the trade date. The consolidated financial statements include the Companyās 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 VIEsā 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 VIEsā economic performance may be determined by an entityās 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 Companyās 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 VIEsā 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 Companyās interest in the assets held by these securitization vehicles, which are consolidated on the Companyās Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Companyās investment in the vehicles will be limited by each entityās 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 Companyās Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicleās 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 Companyās portfolio. (b) Statements of Financial Condition Presentation The Companyās Consolidated Statements of Financial Condition include both the Companyās 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 Companyās assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 9 for additional information related to the Companyās investments in consolidated securitization vehicles. (c) Use of Estimates The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Companyās 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 Companyās 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) and securitized debt (Notes 5 and 7). Actual results could differ materially from those estimates. d) Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Companyās Form 10-K for the year ended December 31, 2021, other than the significant accounting policies discussed below. 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. Income Taxes The Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of March 31, 2022, or December 31, 2021. (e) 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. DebtāDebt with Conversion and Other Options (Subtopic 470-20) and Derivatives and HedgingāContracts in Entityās Own Equity (Subtopic 815-40) In August 2020, the FASB issued ASU No. 2020-6, DebtāDebt with Conversion and Other Options (Subtopic 470-20) and Derivatives and HedgingāContracts in Entityās Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entityās Own Equity. The FASB issued this update to simplify the current guidance for convertible instruments and the derivatives scope exception for contracts in an entityās 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 Company adopted the guidance on January 1, 2022. The Company does not have convertible instruments and contracts in its own equity, therefore, the adoption of this guidance did not have any material impact on the Company's consolidated financial statements. |
Mortgage-Backed Securities
Mortgage-Backed Securities | 3 Months Ended |
Mar. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | Mortgage-Backed Securities The Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of the Company's MBS investments as of March 31, 2022 and December 31, 2021. March 31, 2022 (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 $ 1,250,785 $ 4,613 $ (664,447) $ 590,951 $ (283) $ 929,028 $ 339,274 $ (914) $ 338,360 Subordinated 512,981 4,781 (169,024) 348,738 (170) 394,387 51,853 (6,034) 45,819 Interest-only 3,644,165 181,159 ā 181,159 ā 135,472 20,791 (66,478) (45,687) Agency RMBS Interest-only 1,501,720 122,163 ā 122,163 ā 74,104 6 (48,065) (48,059) Agency CMBS Project loans 329,515 6,830 (205) 336,140 ā 356,200 20,060 ā 20,060 Interest-only 2,779,083 154,135 ā 154,135 ā 147,031 2,299 (9,403) (7,104) Total $ 10,018,249 $ 473,681 $ (833,676) $ 1,733,286 $ (453) $ 2,036,222 $ 434,283 $ (130,894) $ 303,389 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 ā 191,230 ā 172,501 36,512 (55,241) (18,729) Agency RMBS Interest-only 992,978 102,934 ā 102,934 ā 60,487 ā (42,447) (42,447) Agency CMBS Project loans 560,565 10,812 (879) 570,498 ā 614,419 43,921 ā 43,921 Interest-only 2,578,640 147,024 ā 147,024 ā 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 The following tables present the gross unrealized losses and estimated fair value of the Companyās Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2022 and December 31, 2021. 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. March 31, 2022 (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 $ 33,061 $ (914) 3 $ ā $ ā ā $ 33,061 $ (914) 3 Subordinated 82,823 (4,880) 14 20,458 (1,154) 8 103,281 (6,034) 22 Interest-only 40,088 (9,890) 56 23,215 (56,588) 56 63,303 (66,478) 112 Agency RMBS Interest-only 24,695 (3,688) 14 49,215 (44,377) 21 73,910 (48,065) 35 Agency CMBS Interest-only 134,635 (9,218) 8 444 (185) 2 135,079 (9,403) 10 Total $ 315,302 $ (28,590) 95 $ 93,332 $ (102,304) 87 $ 408,634 $ (130,894) 182 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 $ ā $ ā ā $ 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 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 At March 31, 2022, 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 March 31, 2022. 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 March 31, 2022 and December 31, 2021. Gross unrealized losses on the Companyās 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 $909 thousand and $506 thousand, at March 31, 2022 and December 31, 2021, respectively. After evaluating the securities and recording any 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 quarter ended March 31, 2022 and 2021 is presented below. For the Quarter Ended March 31, 2022 March 31, 2021 (dollars in thousands) Beginning allowance for credit losses $ 213 $ 180 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 339 ā Allowance on purchased financial assets with credit deterioration ā ā Reductions for the securities sold during the period ā ā Increase/(decrease) on securities with an allowance in the prior period (41) (164) Write-offs charged against the allowance (58) (62) Recoveries of amounts previously written off ā 100 Ending allowance for credit losses $ 453 $ 54 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of March 31, 2022 and December 31, 2021. March 31, 2022 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 29,392 14.1% 3.3% 50.8% Subordinated 11,013 15.0% 0.5% 45.0% 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 2.4% 5.1% 60.9% Subordinated 1 10.0% 0.3% 30.0% The increase in the allowance for credit losses for the quarter ended March 31, 2022 is primarily due to increases in expected losses and delinquencies as compared to the same period of 2021. 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 March 31, 2022 and December 31, 2021. March 31, 2022 (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 $ 339,274 $ ā $ 339,274 $ (312) $ (602) $ (914) Subordinated 24,580 27,273 51,853 (597) (5,437) (6,034) Interest-only ā 20,791 20,791 ā (66,478) (66,478) Agency RMBS Interest-only ā 6 6 ā (48,065) (48,065) Agency CMBS Project loans 1,154 18,906 20,060 ā ā ā Interest-only ā 2,299 2,299 ā (9,403) (9,403) Total $ 365,008 $ 69,275 $ 434,283 $ (909) $ (129,985) $ (130,894) 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 $ ā $ 369,913 $ (506) $ ā $ (506) Subordinated 33,587 65,653 99,240 ā (22,982) (22,982) Interest-only ā 36,512 36,512 ā (55,241) (55,241) Agency RMBS Interest-only ā ā ā ā (42,447) (42,447) Agency CMBS Project loans 2,060 41,861 43,921 ā ā ā Interest-only ā 3,044 3,044 ā (3,279) (3,279) Total $ 405,560 $ 147,070 $ 552,630 $ (506) $ (123,949) $ (124,455) 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 investmentās risk profile. The following tables provide a summary of the Companyās MBS portfolio at March 31, 2022 and December 31, 2021. March 31, 2022 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,250,785 $ 47.25 74.28 4.5 % 17.7 % Subordinated 512,981 67.98 76.88 4.6 % 7.1 % Interest-only 3,644,165 4.97 3.72 1.7 % 12.2 % Agency RMBS Interest-only 1,501,720 8.13 4.93 1.1 % 1.3 % Agency CMBS Project loans 329,515 102.01 108.10 4.4 % 4.2 % Interest-only 2,779,083 5.55 5.29 0.7 % 4.0 % (1) Bond Equivalent Yield at period end. December 31, 2021 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 $ 1,283,788 $ 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. Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Companyās 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 Companyās MBS at March 31, 2022 and December 31, 2021 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. March 31, 2022 (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 $ 36,524 $ 234,069 $ 290,550 $ 367,885 $ 929,028 Subordinated 6,252 119,940 32,735 235,460 394,387 Interest-only 2,761 82,374 47,967 2,370 135,472 Agency RMBS Interest-only ā 1,978 72,126 ā 74,104 Agency CMBS Project loans 8,320 ā ā 347,880 356,200 Interest-only 666 143,114 3,251 ā 147,031 Total fair value $ 54,523 $ 581,475 $ 446,629 $ 953,595 $ 2,036,222 Amortized cost Non-Agency RMBS Senior $ 27,144 $ 166,158 $ 173,406 $ 224,243 $ 590,951 Subordinated 2,216 106,481 28,438 211,603 348,738 Interest-only 27,909 103,354 47,539 2,357 181,159 Agency RMBS Interest-only ā 2,249 119,914 ā 122,163 Agency CMBS Project loans 8,320 ā ā 327,820 336,140 Interest-only 1,248 149,771 3,116 ā 154,135 Total amortized cost $ 66,837 $ 528,013 $ 372,413 $ 766,023 $ 1,733,286 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 ā ā 60,487 ā 60,487 Agency CMBS Project loans 8,388 ā ā 606,031 614,419 Interest-only 1,335 141,997 3,457 ā 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 ā ā 102,934 ā 102,934 Agency CMBS Project loans 8,388 ā ā 562,110 570,498 Interest-only 1,540 142,290 3,194 ā 147,024 Total amortized cost $ 40,042 $ 606,616 $ 562,909 $ 994,374 $ 2,203,941 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 Companyās investments in Non-Agency RMBS at March 31, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses. March 31, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.9 % 1.0 % 4.5 % 1.3 % 3.1 % 0.5 % 13.3 % 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 % The Non-Agency RMBS in the Portfolio have the following collateral characteristics at March 31, 2022 and December 31, 2021. March 31, 2022 December 31, 2021 Weighted average maturity (years) 20.1 21.4 Weighted average amortized loan to value (1) 59.3 % 60.3 % Weighted average FICO (2) 713 706 Weighted average loan balance (in thousands) $ 262 $ 259 Weighted average percentage owner-occupied 83.7 % 84.0 % Weighted average percentage single family residence 61.4 % 62.7 % Weighted average current credit enhancement 1.0 % 1.2 % Weighted average geographic concentration of top four states CA 32.3 % CA 31.2 % NY 10.7 % NY 10.4 % FL 8.0 % FL 8.0 % NJ 4.6 % NJ 4.6 % (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 Companyās portfolio of Non-Agency RMBS at March 31, 2022 and December 31, 2021. Origination Year March 31, 2022 December 31, 2021 2003 and prior 1.4 % 1.4 % 2004 1.2 % 1.2 % 2005 9.5 % 8.6 % 2006 45.4 % 53.7 % 2007 30.9 % 25.3 % 2008 and later 11.6 % 9.8 % Total 100.0 % 100.0 % Gross realized gains and losses are recorded in āNet realized gains (losses) on sales of investmentsā on the Companyās Consolidated Statements of Operations. The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters ended March 31, 2022 and 2021 are as follows: For the Quarters Ended March 31, 2022 March 31, 2021 (dollars in thousands) Proceeds from sales: Non-Agency RMBS ā 32,459 Agency CMBS ā 201,037 Gross realized gains: Non-Agency RMBS ā 26,513 Agency CMBS ā 13,735 Gross realized losses: Non-Agency RMBS ā (2,452) Net realized gain (loss) $ ā $ 37,796 |
Loans Held for Investment
Loans Held for Investment | 3 Months Ended |
Mar. 31, 2022 | |
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 business purpose loans. At March 31, 2022 and December 31, 2021, 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 $12.7 billion and $11.4 billion as of March 31, 2022 and December 31, 2021, respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at March 31, 2022 and December 31, 2021: For the Quarter Ended For the Year Ended March 31, 2022 December 31, 2021 (dollars in thousands) Balance, beginning of period $ 12,261,926 $ 13,112,129 Transfer due to consolidation 1,047,838 ā Purchases 807,541 3,364,609 Principal paydowns (592,603) (2,652,767) Sales and settlements (2,540) (1,679,280) Net periodic accretion (amortization) (18,586) (79,368) Change in fair value (598,296) 196,603 Balance, end of period $ 12,905,280 $ 12,261,926 The primary cause of the change in fair value is due to market demand, interest rates and changes in credit risk of mortgage loans. The Company did not retain any beneficial interests on loan sales during the quarter ended March 31, 2022. 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. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods: Origination Year March 31, 2022 (1) December 31, 2021 (1) 2002 and prior 6.4 % 6.6 % 2003 5.6 % 5.7 % 2004 10.9 % 11.7 % 2005 17.7 % 18.6 % 2006 21.8 % 22.7 % 2007 22.5 % 22.6 % 2008 6.3 % 6.2 % 2009 1.5 % 1.2 % 2010 and later 7.3 % 4.7 % Total 100.0 % 100.0 % (1) The above table excludes approximately $238 million and $437 million of Loans held for investment for March 31, 2022 and December 31, 2021, respectively, which were purchased prior to the reporting dates and settled subsequent to the reporting periods. The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2022 and December 31, 2021: March 31, 2022 (1) December 31, 2021 (1) Number of loans 124,202 114,946 Weighted average maturity (years) 21.0 19.3 Weighted average loan to value 83.7 % 84.2 % Weighted average FICO 651 656 Weighted average loan balance (in thousands) $ 101 $ 96 Weighted average percentage owner occupied 87.7 % 88.8 % Weighted average percentage single family residence 80.6 % 82.2 % Weighted average geographic concentration of top five states CA 13.7 % CA 13.9 % NY 8.5 % FL 8.1 % FL 8.4 % NY 8.0 % PA 4.7 % VA 4.8 % VA 4.5 % PA 4.8 % (1) The above table excludes approximately $238 million and $437 million of Loans held for investment for March 31, 2022 and December 31, 2021, respectively, which were purchased prior to the reporting dates and settled subsequent to the reporting periods. The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at March 31, 2022 and December 31, 2021, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) March 31, 2022 (1) $805,856 $251,822 $639,956 $230,734 $314,231 $30,686 $2,273,285 $12,561,998 % of Unpaid Principal Balance 6.4 % 2.0 % 5.1 % 1.8 % 2.5 % 0.2 % 18.0 % December 31, 2021 (1) $959,481 $227,593 $582,311 $215,669 $260,888 $27,712 $2,273,654 $11,082,096 % of Unpaid Principal Balance 8.7 % 2.1 % 5.3 % 1.9 % 2.4 % 0.3 % 20.7 % (1) The above table excludes approximately $238 million and $437 million of Loans held for investment for March 31, 2022 and December 31, 2021, respectively, which were purchased prior to the reporting dates and settled subsequent to the reporting periods. The fair value of residential mortgage loans 90 days or more past due was $899 million and $830 million as of March 31, 2022 and December 31, 2021, respectively. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2022 | |
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 ā inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 ā 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 ā 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 Companyās 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 Companyās 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 March 31, 2022, twenty-one investment holdings with an internally developed fair value of $141 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 $26 million higher, in the aggregate, than the third-party prices provided of $115 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at March 31, 2022 in excess of the thresholds for the period. At December 31, 2021, seven 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. The Companyās 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 business purpose loans. 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 reperforming 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 March 31, 2022, two loan pools with an internally developed fair value of $15 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 $1 million higher than the third-party prices provided of $14 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at March 31, 2022 in excess of the threshold for the period. At December 31, 2021, three 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. The Companyās 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. 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 $147 million at March 31, 2022. 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 March 31, 2022, four securitized debt collateralized by loans held for investment positions with an internally developed fair value of $13 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 $1 million lower than the third-party prices provided of $14 million. After review and discussion, the Company affirmed and valued the securitized debt positions at the lower internally developed prices. No other differences were noted at March 31, 2022 in excess of the threshold for the period. 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 The Companyās 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 Companyās 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 March 31, 2022 and December 31, 2021, respectively: March 31, 2022 December 31, 2021 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Senior 21,878 21,281 ā ā Subordinated 323,982 254,450 653,616 500,288 Interest-only 3,644,165 135,472 3,904,665 172,501 Agency RMBS Interest-only 1,501,720 74,104 992,978 60,487 Agency CMBS Project loans 294,455 319,236 499,186 549,529 Interest-only 2,779,083 147,031 2,578,640 146,789 Loans held for investment, at fair value 12,799,611 12,905,280 11,519,255 12,261,926 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 8,312,710 8,010,170 7,762,864 7,726,043 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 March 31, 2022 and 2021, respectively: For the Quarter Ended March 31, 2022 March 31, 2021 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior (601) ā Subordinated (20,582) 9,264 Interest-only (26,959) (25,851) Agency RMBS Pass-through ā ā Interest-only (5,612) 238 Agency CMBS Project loans (22,954) (40,550) Interest-only (6,870) (79) Loans held for investment, at fair value (598,379) 84,049 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 256,738 242,941 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. 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 Companyās financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at March 31, 2022 and December 31, 2021 are presented below. March 31, 2022 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ ā $ ā $ 1,458,887 $ ā $ 1,458,887 Agency RMBS, at fair value ā 74,104 ā ā 74,104 Agency CMBS, at fair value ā 503,231 ā ā 503,231 Loans held for investment, at fair value ā 146,727 12,758,553 ā 12,905,280 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment ā ā 8,010,170 ā 8,010,170 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 $ ā $ ā 1,810,208 $ ā $ 1,810,208 Agency RMBS, at fair value ā 60,487 ā ā 60,487 Agency CMBS, at fair value ā 761,208 ā ā 761,208 Loans held for investment, at fair value ā 229,627 12,032,299 ā 12,261,926 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment ā ā 7,726,043 ā 7,726,043 The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at March 31, 2022 and December 31, 2021. Fair Value Reconciliation, Level 3 For the Quarter Ended March 31, 2022 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 1,810,208 $ 12,032,299 $ 7,726,043 Transfers into Level 3 ā ā ā Transfers out of Level 3 ā ā ā Transfer due to consolidation (218,276) 1,047,838 774,514 Purchases of assets/ issuance of debt 23,000 807,541 262,118 Principal payments (76,472) (511,205) (495,175) Sales and Settlements ā (2,540) ā Net accretion (amortization) 9,112 (17,880) (584) Gains (losses) included in net income (Increase) decrease in provision for credit losses (240) ā ā Realized gains (losses) on sales and settlements ā ā ā Net unrealized gains (losses) included in income (48,142) (597,500) (256,746) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (40,303) ā ā Ending balance Level 3 $ 1,458,887 $ 12,758,553 $ 8,010,170 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 ā ā ā Transfers out of Level 3 ā (272,198) ā 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 Other than temporary credit impairment losses (33) ā ā Realized gains (losses) on sales and settlements 32,807 ā 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) ā ā Ending balance Level 3 $ 1,810,208 $ 12,032,299 $ 7,726,043 There were no transfers in or out from Level 3 during the quarter ended March 31, 2022. 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. 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 Companyās 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 āpipelineā 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 Companyās 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 ā 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 March 31, 2022 and December 31, 2021 follows. The weighted average discount rates are based on fair value. March 31, 2022 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% 4.7% 1%-30% 11.7% 0%-9% 1.8% 26%-78% 36.1% Subordinated 3%-10% 5.9% 1%-45% 18.4% 0%-7% 0.6% 10%-60% 39.7% Interest-only 0%-100% 10.4% 6%-50% 20.8% 0%-8% 1.3% 0%-87% 31.5% 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% 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 March 31, 2022 and December 31, 2021 follows: March 31, 2022 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 2%-9% 4.0% 5%-20% 13.5% 0%-11% 1.4% 30%-75% 54.2% 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% All of the significant inputs listed have some degree of market observability based on the Companyās 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 ācurvesā that are updated quarterly to reflect the Companyās 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 ā 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. The significant unobservable factors used to estimate the fair value of the Loans held for investment collateralized by seasoned reperforming residential mortgage loans, as of March 31, 2022 and December 31, 2021, include coupon, FICO score at origination, loan-to-value, or LTV ratios, owner occupancy status, and property type. A summary of the significant factors used to estimate the fair value of Loans held for investment collateralized primarily by seasoned reperforming mortgages at fair value as of March 31, 2022 and December 31, 2021 follows: March 31, 2022 December 31, 2021 Factor: Coupon Base Rate 4.5% 3.1% Actual 5.9% 6.1% FICO Base Rate 640 640 Actual 650 654 Loan-to-value (LTV) Base Rate 87% 87% Actual 84% 84% Loan Characteristics: Occupancy Owner Occupied 89% 91% Investor 4% 3% Secondary 7% 6% Property Type Single family 81% 83% Manufactured housing 4% 4% Multi-family/mixed use/other 15% 13% The loan factors are generally not observable for the individual loans and the base rates developed by the Companyās internal model are subjective and change as market conditions change. The impact of the loan coupon on the value of the loan is dependent on the loan history of delinquent payments. A loan with no history of delinquent payments would result in a higher overall value than a loan which has a history of delinquent payments. Similarly, a higher FICO score and a lower LTV ratio results in increases in the fair market value of the loan and a lower FICO score and a higher LTV ratio results in a lower value. Property types also affect the overall loan values. Property types include single family, manufactured housing and multi-family/mixed use and other types of properties. Single family homes represent properties which house one to four family units. Manufactured homes include mobile homes and modular homes. Loan value for properties that are investor or secondary homes have a reduced value as compared to the baseline loan value. Additionally, single family homes will result in an increase to the l |
Secured Financing Agreements
Secured Financing Agreements | 3 Months Ended |
Mar. 31, 2022 | |
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 Companyās investments in bonds issued by consolidated VIEs, which are eliminated in consolidation. The long-term financing agreement include a long-term secured financing arrangement with an original term of one year or greater which is secured by Non-Agency RMBS pledged as collateral. Maturity date on this long-term secured financing agreement is April 2025. The collateral pledged as security on the long-term financing agreement may include the Companyās investments in bonds issued by consolidated VIEs, which are eliminated in consolidation. 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 either Secured Overnight Financing Rate (āSOFRā), or 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 March 31, 2022 and December 31, 2021, the Company has $1.1 billion and $1.2 billion, respectively, of secured financing agreements which are not subject to additional margin requirements upon a change in the fair value of the collateral pledged. At March 31, 2022 and December 31, 2021, the Company has $110 million and $113 million, respectively, 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 March 31, 2022 and December 31, 2021 were: March 31, 2022 December 31, 2021 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 18,210 $ 23,170 Agency CMBS (in thousands) 336,593 589,535 Non-Agency RMBS and Loans held for investment (in thousands) (1) 3,069,602 2,648,908 Total: $ 3,424,405 $ 3,261,613 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 21,877 $ 28,320 Agency CMBS (in thousands) 360,658 617,457 Non-Agency RMBS and Loans held for investment (in thousands) 4,136,884 3,747,573 Total: $ 4,519,419 $ 4,393,350 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 20,342 $ 47,155 Agency CMBS (in thousands) 435,545 963,894 Non-Agency RMBS and Loans held for investment (in thousands) 2,766,235 2,926,880 Total: $ 3,222,122 $ 3,937,929 Average borrowing rate of Secured financing agreements secured by: Agency RMBS 0.60 % 0.68 % Agency CMBS 0.43 % 0.21 % Non-Agency RMBS and Loans held for investment 2.78 % 2.78 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS 4 Days 4 Days Agency CMBS 11 Days 13 Days Non-Agency RMBS and Loans held for investment 178 Days 257 Days Average original maturity of Secured financing agreements secured by: Agency RMBS 31 Days 61 Days Agency CMBS 30 Days 35 Days Non-Agency RMBS and Loans held for investment 194 Days 283 Days (1) The outstanding balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of March 31, 2022 and December 31, 2021. At March 31, 2022 and December 31, 2021, we pledged $20 million and $19 million, respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At March 31, 2022 and December 31, 2021, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. March 31, 2022 December 31, 2021 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ ā NA NA $ ā NA NA 1 to 29 days 1,561,598 1.57% 0.30% - 2.35% 1,018,670 0.73% 0.11% - 1.95% 30 to 59 days 162,097 1.44% 0.95% - 1.67% 379,031 1.66% 1.55% - 1.70% 60 to 89 days 146,974 2.48% 1.49% - 2.71% 342,790 1.86% 0.90% - 2.35% 90 to 119 days 78,400 1.50% 1.50% - 1.50% 67,840 1.66% 1.66% - 1.66% 120 to 180 days 847,135 3.64% 1.73% - 4.38% 157,944 1.38% 0.95% - 1.45% 180 days to 1 year 406,705 2.95% 0.94% - 3.45% 895,210 3.70% 1.95% - 4.38% 1 to 2 years ā NA NA 143,239 3.05% 3.05% - 3.05% Greater than 3 years 221,496 5.56% 5.56% - 5.56% 256,889 5.56% 5.56% - 5.56% Total $ 3,424,405 2.53% $ 3,261,613 2.30% (1) The principal balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of March 31, 2022 and December 31, 2021. Certain of the long-term financing agreements and warehouse credit facilities are subject to certain covenants. These covenants include that the Company maintain its REIT status as well as maintain a net asset value or GAAP equity greater than a certain level. If the Company fails to comply with these covenants at any time, the financing may become immediately due in full. Additionally, certain financing agreements become immediately due if the total stockholders' equity of the Company drops by 50% from the most recent year end. Currently, the Company is in compliance with all covenants and does not expect to fail to comply with any of these covenants within the next twelve months. The Company has a total of $1.2 billion unused uncommitted warehouse credit facilities as of March 31, 2022. At March 31, 2022 and December 31, 2021 , there was no amount at risk with any counterparty greater than 10% of the Company's equity. |
Securitized Debt
Securitized Debt | 3 Months Ended |
Mar. 31, 2022 | |
Debt Disclosure [Abstract] | |
Securitized Debt | Securitized Debt All of the Companyās securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Companyās 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 March 31, 2022 and December 31, 2021, the Companyās securitized debt collateralized by Non-Agency RMBS was carried at amortized cost and had a principal balance of $111 million and $113 million, respectively. At March 31, 2022 and December 31, 2021, the debt carried a weighted average coupon of 6.7%. As of March 31, 2022, the maturities of the debt range between the years 2036 and 2037. None of the Companyās securitized debt collateralized by Non-Agency RMBS is callable. The Company did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarters ended March 31, 2022 and 2021. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at March 31, 2022 and December 31, 2021, 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 Companyās Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 2,193 $ 4,374 One to Three Years 1,517 2,361 Three to Five Years 565 949 Greater Than Five Years 29 82 Total $ 4,304 $ 7,766 Maturities of the Companyās 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 March 31, 2022 and December 31, 2021, the Companyās securitized debt collateralized by Loans held for investment had a principal balance of $8.3 billion and $7.8 billion, respectively. At March 31, 2022 and December 31, 2021, the total securitized debt collateralized by Loans held for investment carried a weighted average coupon of 2.5% and 2.4%, respectively. As of March 31, 2022, the maturities of the debt range between the years 2023 and 2070. The Company did not acquire any securitized debt collateralized by loans held for investment during the quarter ended March 31, 2022. During the quarter ended March 31, 2021, the Company acquired securitized debt collateralized by loans held for investment with an amortized cost balance of $2.7 billion for $2.9 billion. This transaction resulted in net loss on extinguishment of debt of $234 million. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at March 31, 2022 and December 31, 2021, 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 Companyās Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 1,989,813 $ 2,031,445 One to Three Years 2,898,571 2,886,255 Three to Five Years 1,790,442 1,697,760 Greater Than Five Years 1,631,291 1,145,995 Total $ 8,310,117 $ 7,761,455 Maturities of the Companyās 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 March 31, 2022. March 31, 2022 (dollars in thousands) Year Principal Currently callable $ 446,431 2022 1,415,469 2023 1,574,780 2024 1,286,893 2025 2,229,102 2026 288,028 2027 258,309 Total $ 7,499,012 |
Long Term Debt
Long Term Debt | 3 Months Ended |
Mar. 31, 2022 | |
Debt Disclosure [Abstract] | |
Long Term Debt | Long Term Debt Convertible Senior Notes As of December 31, 2021 all of the outstanding principal amount on the Company's 7.0% convertible senior notes due 2023 (the āNotesā) were either converted or acquired by the Company. At December 31, 2021, there was no outstanding principal amount, unamortized deferred debt issuance cost and accrued interest payable on these Notes. The net interest expense for the quarter ended March 31, 2021 was $1 million. |
Consolidated Securitization Veh
Consolidated Securitization Vehicles and Other Variable Interest Entities | 3 Months Ended |
Mar. 31, 2022 | |
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 quarters ended March 31, 2022 and 2021, the Company consolidated approximately $1.4 billion and $4.1 billion, respectively, unpaid principal balance of seasoned residential reperforming 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 March 31, 2022 and December 31, 2021. March 31, 2022 December 31, 2021 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 336,558 $ 399,048 Loans held for investment, at fair value 10,621,317 10,205,587 Accrued interest receivable 50,070 47,237 Other assets 17,225 14,719 Total Assets: $ 11,025,170 $ 10,666,591 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 84,188 $ 87,999 Securitized debt at fair value, collateralized by Loans held for investment 7,460,747 7,118,374 Accrued interest payable 16,808 15,101 Other liabilities 2,378 2,181 Total Liabilities: 7,564,121 7,223,655 (1) March 31, 2022 balance includes allowance for credit losses of $23 thousand. Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarter ended March 31, 2022 March 31, 2021 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 131,066 $ 158,100 Interest expense, Non-recourse liabilities of VIEs 42,491 65,205 Net interest income $ 88,575 $ 92,895 (Increase) decrease in provision for credit losses $ (23) $ 117 Servicing fees $ 6,863 $ 6,977 VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entitiesā most significant activities, such as rights to replace the servicer without cause, and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Companyās investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs. |
Capital Stock
Capital Stock | 3 Months Ended |
Mar. 31, 2022 | |
Equity [Abstract] | |
Capital Stock | Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $3 million, or $0.50 per preferred share, during the quarter ended March 31, 2022 and 2021, respectively. The Company declared dividends to Series B preferred stockholders of $7 million, or $0.50 per preferred share, during the quarter ended March 31, 2022 and 2021, respectively. The Company declared dividends to Series C preferred stockholders of $5 million, or $0.484375 per preferred share, during quarter ended March 31, 2022 and 2021, respectively. The Company declared dividends to Series D preferred stockholders of $4 million, or $0.50 per preferred share, during the quarter ended March 31, 2022 and 2021, 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. The Company's fixed-to-floating rate series B, C and D preferred stock are LIBOR based and will become floating on their respective call dates. 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 did not repurchase any of its common stock during the quarter ended March 31, 2022. 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 quarter ended March 31, 2021. The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $226 million as of March 31, 2022. In February 2022, the Company entered into separate Distribution Agency Agreements (the āSales Agreementsā) with each of Credit Suisse Securities (USA) LLC, JMP Securities LLC, Goldman Sachs & Co. LLC, Morgan Stanley & Co. LLC and RBC Capital Markets, LLC (the āSales Agentsā). Pursuant to the terms of the Sales Agreements, the Company may offer and sell shares of our common stock, having an aggregate offering price of up to $500,000,000, from time to time through any of the Sales Agents under the Securities Act of 1933. During the quarter ended March 31, 2022, the Company did not issue any shares under the at-the-market sales program. The Company declared dividends to common shareholders of $79 million, or $0.33 per share, and $70 million, or $0.30 per share, during the quarters ended March 31, 2022 and 2021, respectively. Warrants During the quarter ended March 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 $220 million. Earnings per Share (EPS) EPS for the quarter ended March 31, 2022 and 2021, respectively, are computed as follows: For the Quarter ended March 31, 2022 March 31, 2021 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (281,202) $ 139,153 Effect of dilutive securities: Interest expense attributable to convertible notes ā 1,076 Net income (loss) available to common shareholders - Diluted $ (281,202) $ 140,229 Denominator: Weighted average basic shares 237,012,702 230,567,231 Effect of dilutive securities ā 30,867,850 Weighted average dilutive shares 237,012,702 261,435,081 Net income (loss) per average share attributable to common stockholders - Basic $ (1.19) $ 0.60 Net income (loss) per average share attributable to common stockholders - Diluted $ (1.19) $ 0.54 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 3 Months Ended |
Mar. 31, 2022 | |
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 quarters ended March 31, 2022 and 2021: March 31, 2022 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2021 $ 405,054 $ 405,054 OCI before reclassifications (40,955) (40,955) Amounts reclassified from AOCI ā ā Net current period OCI (40,955) (40,955) Balance as of March 31, 2022 $ 364,099 $ 364,099 March 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 (38,652) (38,652) Amounts reclassified from AOCI (25,793) (25,793) Net current period OCI (64,445) (64,445) Balance as of March 31, 2021 $ 493,651 $ 493,651 There were no amounts reclassified from AOCI during the quarter ended March 31, 2022. The amounts reclassified from AOCI balance comprised of $26 million net unrealized gains on available-for-sale securities sold for the quarter ended March 31, 2021. |
Equity Compensation, Employment
Equity Compensation, Employment Agreements and other Benefit Plans | 3 Months Ended |
Mar. 31, 2022 | |
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 Companyās 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 1 million shares available for future grants under the Incentive Plan as of March 31, 2022. 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 March 31, 2022 and December 31, 2021, there are approximately 1 million and 914 thousand shares for which payments have been deferred until separation or a date elected by the participant, respectively. At March 31, 2022 and December 31, 2021, there are approximately 723 thousand and 699 thousand dividend equivalent rights earned but not yet delivered. Grants of Restricted Stock Units, or RSUs During the quarters ended March 31, 2022 and 2021, 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 Companyās 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 128 thousand RSU awards during the quarter ended March 31, 2022, with a grant date fair value of $2 million. The Company granted 182 thousand RSU awards during the quarter ended March 31, 2021, with a grant date fair value of $2 million. In addition, during the quarter ended March 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 Companyās future performance. The PSU awards granted during the quarters ended March 31, 2022 and 2021, include a three-year performance period ending on December 31, 2024 and December 31, 2023, 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 Companyās three-year Company Economic Return is equal to the Companyās 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 Companyās best estimate of the actual number of shares awarded. During the quarter ended March 31, 2022, the Company granted 128 thousand PSU awards to senior management with a grant date fair value of $2 million. During the quarter ended March 31, 2021, the Company granted 182 thousand PSU awards to senior management with a grant date fair value of $2 million. The Company recognized stock based compensation expenses of $3 million and $5 million for the quarters ended March 31, 2022 and 2021. The Company also maintains a qualified 401(k) plan. The plan is a retirement savings plan that allows eligible employees to contribute a portion of their wages on a tax-deferred basis under Section 401(k) of the Code. For the quarter ended March 31, 2022, employees may contribute, through payroll deductions, up to $20,500 if under the age of 50 years and an additional $6,500 ācatch-upā 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 Companyās 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 Companyās qualified plan for the quarters ended March 31, 2022 and 2021, were $148 thousand and $126 thousand, respectively. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the year ended December 31, 2021, 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 Companyās policy to distribute to its shareholders all of the Companyās taxable income. The state and local tax jurisdictions in which the Company is subject to tax-filing obligations recognize the Companyās 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 a current income tax benefit of $70 thousand and current income tax expense of $4 million for the quarters ended March 31, 2022 and 2021, respectively. The Companyās 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 Companyās 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 | 3 Months Ended |
Mar. 31, 2022 | |
Offsetting [Abstract] | |
Credit Risk and Interest Rate Risk | Credit Risk and Interest Rate Risk The Companyās 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 secured financing agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. 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 counterpartyās 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 presents its assets and liabilities subject to such arrangements on a net basis in the Consolidated Statements of Financial Condition. The Company had $3.4 billion and $3.3 billion of secured financing agreements that are subject to such arrangements and can potentially be offset on the consolidated statement of financial condition as of March 31, 2022 and December 31, 2021, respectively. These amounts were not offset in consolidated statement of financial position as of March 31, 2022 and December 31, 2021 against any assets or liabilities. The Company had $4.5 billion and $4.4 billion of financial instruments, and $20 million and $19 million of cash collateral pledged against those secured financing agreements as of March 31, 2022 and December 31, 2021, respectively, and were not offset with the secured financing agreements. The Company had net amount at risk of $1.1 billion as of March 31, 2022 and December 31, 2021. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2022 | |
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 | 3 Months Ended |
Mar. 31, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent EventsNone. |
Summary of the Significant Ac_2
Summary of the Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2022 | |
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 transactions are recorded on the trade date. The consolidated financial statements include the Companyās 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 VIEsā 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 VIEsā economic performance may be determined by an entityās 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 Companyās 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 VIEsā 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 Companyās interest in the assets held by these securitization vehicles, which are consolidated on the Companyās Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Companyās investment in the vehicles will be limited by each entityās 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 Companyās Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicleās respective asset pool. |
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 Companyās 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 Companyās 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) and securitized debt (Notes 5 and 7). Actual results could differ materially from those estimates. |
Significant Accounting Policies and Recent Accounting Pronouncements | Significant Accounting PoliciesThere have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Companyās Form 10-K for the year ended December 31, 2021, other than the significant accounting policies discussed below.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. DebtāDebt with Conversion and Other Options (Subtopic 470-20) and Derivatives and HedgingāContracts in Entityās Own Equity (Subtopic 815-40) In August 2020, the FASB issued ASU No. 2020-6, DebtāDebt with Conversion and Other Options (Subtopic 470-20) and Derivatives and HedgingāContracts in Entityās Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entityās Own Equity. The FASB issued this update to simplify the current guidance for convertible instruments and the derivatives scope exception for contracts in an entityās 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 Company adopted the guidance on January 1, 2022. The Company does not have convertible instruments and contracts in its own equity, therefore, the adoption of this guidance did not have any material impact on the Company's consolidated financial statements. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021. March 31, 2022 (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 $ 1,250,785 $ 4,613 $ (664,447) $ 590,951 $ (283) $ 929,028 $ 339,274 $ (914) $ 338,360 Subordinated 512,981 4,781 (169,024) 348,738 (170) 394,387 51,853 (6,034) 45,819 Interest-only 3,644,165 181,159 ā 181,159 ā 135,472 20,791 (66,478) (45,687) Agency RMBS Interest-only 1,501,720 122,163 ā 122,163 ā 74,104 6 (48,065) (48,059) Agency CMBS Project loans 329,515 6,830 (205) 336,140 ā 356,200 20,060 ā 20,060 Interest-only 2,779,083 154,135 ā 154,135 ā 147,031 2,299 (9,403) (7,104) Total $ 10,018,249 $ 473,681 $ (833,676) $ 1,733,286 $ (453) $ 2,036,222 $ 434,283 $ (130,894) $ 303,389 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 ā 191,230 ā 172,501 36,512 (55,241) (18,729) Agency RMBS Interest-only 992,978 102,934 ā 102,934 ā 60,487 ā (42,447) (42,447) Agency CMBS Project loans 560,565 10,812 (879) 570,498 ā 614,419 43,921 ā 43,921 Interest-only 2,578,640 147,024 ā 147,024 ā 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 |
Schedule of Temporary Impairment Losses, Investments | The following tables present the gross unrealized losses and estimated fair value of the Companyās Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2022 and December 31, 2021. 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. March 31, 2022 (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 $ 33,061 $ (914) 3 $ ā $ ā ā $ 33,061 $ (914) 3 Subordinated 82,823 (4,880) 14 20,458 (1,154) 8 103,281 (6,034) 22 Interest-only 40,088 (9,890) 56 23,215 (56,588) 56 63,303 (66,478) 112 Agency RMBS Interest-only 24,695 (3,688) 14 49,215 (44,377) 21 73,910 (48,065) 35 Agency CMBS Interest-only 134,635 (9,218) 8 444 (185) 2 135,079 (9,403) 10 Total $ 315,302 $ (28,590) 95 $ 93,332 $ (102,304) 87 $ 408,634 $ (130,894) 182 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 $ ā $ ā ā $ 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 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 |
Schedule of Summary of Credit Loss Allowance | A summary of the credit losses allowance on available-for-sale securities for the quarter ended March 31, 2022 and 2021 is presented below. For the Quarter Ended March 31, 2022 March 31, 2021 (dollars in thousands) Beginning allowance for credit losses $ 213 $ 180 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 339 ā Allowance on purchased financial assets with credit deterioration ā ā Reductions for the securities sold during the period ā ā Increase/(decrease) on securities with an allowance in the prior period (41) (164) Write-offs charged against the allowance (58) (62) Recoveries of amounts previously written off ā 100 Ending allowance for credit losses $ 453 $ 54 |
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 March 31, 2022 and December 31, 2021. March 31, 2022 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 29,392 14.1% 3.3% 50.8% Subordinated 11,013 15.0% 0.5% 45.0% 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 2.4% 5.1% 60.9% Subordinated 1 10.0% 0.3% 30.0% |
Summary of Unrealized Gains and Losses on MBS | The following tables present a summary of unrealized gains and losses at March 31, 2022 and December 31, 2021. March 31, 2022 (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 $ 339,274 $ ā $ 339,274 $ (312) $ (602) $ (914) Subordinated 24,580 27,273 51,853 (597) (5,437) (6,034) Interest-only ā 20,791 20,791 ā (66,478) (66,478) Agency RMBS Interest-only ā 6 6 ā (48,065) (48,065) Agency CMBS Project loans 1,154 18,906 20,060 ā ā ā Interest-only ā 2,299 2,299 ā (9,403) (9,403) Total $ 365,008 $ 69,275 $ 434,283 $ (909) $ (129,985) $ (130,894) 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 $ ā $ 369,913 $ (506) $ ā $ (506) Subordinated 33,587 65,653 99,240 ā (22,982) (22,982) Interest-only ā 36,512 36,512 ā (55,241) (55,241) Agency RMBS Interest-only ā ā ā ā (42,447) (42,447) Agency CMBS Project loans 2,060 41,861 43,921 ā ā ā Interest-only ā 3,044 3,044 ā (3,279) (3,279) Total $ 405,560 $ 147,070 $ 552,630 $ (506) $ (123,949) $ (124,455) |
Residential Mortgage Backed Securities Collateral Characteristics | The following tables provide a summary of the Companyās MBS portfolio at March 31, 2022 and December 31, 2021. March 31, 2022 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,250,785 $ 47.25 74.28 4.5 % 17.7 % Subordinated 512,981 67.98 76.88 4.6 % 7.1 % Interest-only 3,644,165 4.97 3.72 1.7 % 12.2 % Agency RMBS Interest-only 1,501,720 8.13 4.93 1.1 % 1.3 % Agency CMBS Project loans 329,515 102.01 108.10 4.4 % 4.2 % Interest-only 2,779,083 5.55 5.29 0.7 % 4.0 % (1) Bond Equivalent Yield at period end. December 31, 2021 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 $ 1,283,788 $ 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. |
Schedule of MBS by Estimated Weighted Average Life Classification | The following tables provide a summary of the fair value and amortized cost of the Companyās MBS at March 31, 2022 and December 31, 2021 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. March 31, 2022 (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 $ 36,524 $ 234,069 $ 290,550 $ 367,885 $ 929,028 Subordinated 6,252 119,940 32,735 235,460 394,387 Interest-only 2,761 82,374 47,967 2,370 135,472 Agency RMBS Interest-only ā 1,978 72,126 ā 74,104 Agency CMBS Project loans 8,320 ā ā 347,880 356,200 Interest-only 666 143,114 3,251 ā 147,031 Total fair value $ 54,523 $ 581,475 $ 446,629 $ 953,595 $ 2,036,222 Amortized cost Non-Agency RMBS Senior $ 27,144 $ 166,158 $ 173,406 $ 224,243 $ 590,951 Subordinated 2,216 106,481 28,438 211,603 348,738 Interest-only 27,909 103,354 47,539 2,357 181,159 Agency RMBS Interest-only ā 2,249 119,914 ā 122,163 Agency CMBS Project loans 8,320 ā ā 327,820 336,140 Interest-only 1,248 149,771 3,116 ā 154,135 Total amortized cost $ 66,837 $ 528,013 $ 372,413 $ 766,023 $ 1,733,286 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 ā ā 60,487 ā 60,487 Agency CMBS Project loans 8,388 ā ā 606,031 614,419 Interest-only 1,335 141,997 3,457 ā 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 ā ā 102,934 ā 102,934 Agency CMBS Project loans 8,388 ā ā 562,110 570,498 Interest-only 1,540 142,290 3,194 ā 147,024 Total amortized cost $ 40,042 $ 606,616 $ 562,909 $ 994,374 $ 2,203,941 |
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 Companyās investments in Non-Agency RMBS at March 31, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses. March 31, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.9 % 1.0 % 4.5 % 1.3 % 3.1 % 0.5 % 13.3 % 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 % The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at March 31, 2022 and December 31, 2021, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) March 31, 2022 (1) $805,856 $251,822 $639,956 $230,734 $314,231 $30,686 $2,273,285 $12,561,998 % of Unpaid Principal Balance 6.4 % 2.0 % 5.1 % 1.8 % 2.5 % 0.2 % 18.0 % December 31, 2021 (1) $959,481 $227,593 $582,311 $215,669 $260,888 $27,712 $2,273,654 $11,082,096 % of Unpaid Principal Balance 8.7 % 2.1 % 5.3 % 1.9 % 2.4 % 0.3 % 20.7 % (1) The above table excludes approximately $238 million and $437 million of Loans held for investment for March 31, 2022 and December 31, 2021, respectively, which were purchased prior to the reporting dates and settled subsequent to the reporting periods. |
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 March 31, 2022 and December 31, 2021. March 31, 2022 December 31, 2021 Weighted average maturity (years) 20.1 21.4 Weighted average amortized loan to value (1) 59.3 % 60.3 % Weighted average FICO (2) 713 706 Weighted average loan balance (in thousands) $ 262 $ 259 Weighted average percentage owner-occupied 83.7 % 84.0 % Weighted average percentage single family residence 61.4 % 62.7 % Weighted average current credit enhancement 1.0 % 1.2 % Weighted average geographic concentration of top four states CA 32.3 % CA 31.2 % NY 10.7 % NY 10.4 % FL 8.0 % FL 8.0 % NJ 4.6 % NJ 4.6 % (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 Companyās portfolio of Non-Agency RMBS at March 31, 2022 and December 31, 2021. Origination Year March 31, 2022 December 31, 2021 2003 and prior 1.4 % 1.4 % 2004 1.2 % 1.2 % 2005 9.5 % 8.6 % 2006 45.4 % 53.7 % 2007 30.9 % 25.3 % 2008 and later 11.6 % 9.8 % Total 100.0 % 100.0 % |
Schedule of Gains and Losses from Sales of Investments | The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters ended March 31, 2022 and 2021 are as follows: For the Quarters Ended March 31, 2022 March 31, 2021 (dollars in thousands) Proceeds from sales: Non-Agency RMBS ā 32,459 Agency CMBS ā 201,037 Gross realized gains: Non-Agency RMBS ā 26,513 Agency CMBS ā 13,735 Gross realized losses: Non-Agency RMBS ā (2,452) Net realized gain (loss) $ ā $ 37,796 |
Loans Held for Investment (Tabl
Loans Held for Investment (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021: For the Quarter Ended For the Year Ended March 31, 2022 December 31, 2021 (dollars in thousands) Balance, beginning of period $ 12,261,926 $ 13,112,129 Transfer due to consolidation 1,047,838 ā Purchases 807,541 3,364,609 Principal paydowns (592,603) (2,652,767) Sales and settlements (2,540) (1,679,280) Net periodic accretion (amortization) (18,586) (79,368) Change in fair value (598,296) 196,603 Balance, end of period $ 12,905,280 $ 12,261,926 |
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 March 31, 2022 (1) December 31, 2021 (1) 2002 and prior 6.4 % 6.6 % 2003 5.6 % 5.7 % 2004 10.9 % 11.7 % 2005 17.7 % 18.6 % 2006 21.8 % 22.7 % 2007 22.5 % 22.6 % 2008 6.3 % 6.2 % 2009 1.5 % 1.2 % 2010 and later 7.3 % 4.7 % Total 100.0 % 100.0 % (1) The above table excludes approximately $238 million and $437 million of Loans held for investment for March 31, 2022 and December 31, 2021, respectively, which were purchased prior to the reporting dates and settled subsequent to the reporting periods. |
Schedule of Key Characteristics of Residential Loan Portfolio | The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2022 and December 31, 2021: March 31, 2022 (1) December 31, 2021 (1) Number of loans 124,202 114,946 Weighted average maturity (years) 21.0 19.3 Weighted average loan to value 83.7 % 84.2 % Weighted average FICO 651 656 Weighted average loan balance (in thousands) $ 101 $ 96 Weighted average percentage owner occupied 87.7 % 88.8 % Weighted average percentage single family residence 80.6 % 82.2 % Weighted average geographic concentration of top five states CA 13.7 % CA 13.9 % NY 8.5 % FL 8.1 % FL 8.4 % NY 8.0 % PA 4.7 % VA 4.8 % VA 4.5 % PA 4.8 % (1) The above table excludes approximately $238 million and $437 million of Loans held for investment for March 31, 2022 and December 31, 2021, respectively, which were purchased prior to the reporting dates and settled subsequent to the reporting periods. |
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 Companyās investments in Non-Agency RMBS at March 31, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses. March 31, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.9 % 1.0 % 4.5 % 1.3 % 3.1 % 0.5 % 13.3 % 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 % The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at March 31, 2022 and December 31, 2021, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) March 31, 2022 (1) $805,856 $251,822 $639,956 $230,734 $314,231 $30,686 $2,273,285 $12,561,998 % of Unpaid Principal Balance 6.4 % 2.0 % 5.1 % 1.8 % 2.5 % 0.2 % 18.0 % December 31, 2021 (1) $959,481 $227,593 $582,311 $215,669 $260,888 $27,712 $2,273,654 $11,082,096 % of Unpaid Principal Balance 8.7 % 2.1 % 5.3 % 1.9 % 2.4 % 0.3 % 20.7 % (1) The above table excludes approximately $238 million and $437 million of Loans held for investment for March 31, 2022 and December 31, 2021, respectively, which were purchased prior to the reporting dates and settled subsequent to the reporting periods. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021, respectively: March 31, 2022 December 31, 2021 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Senior 21,878 21,281 ā ā Subordinated 323,982 254,450 653,616 500,288 Interest-only 3,644,165 135,472 3,904,665 172,501 Agency RMBS Interest-only 1,501,720 74,104 992,978 60,487 Agency CMBS Project loans 294,455 319,236 499,186 549,529 Interest-only 2,779,083 147,031 2,578,640 146,789 Loans held for investment, at fair value 12,799,611 12,905,280 11,519,255 12,261,926 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 8,312,710 8,010,170 7,762,864 7,726,043 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 March 31, 2022 and 2021, respectively: For the Quarter Ended March 31, 2022 March 31, 2021 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior (601) ā Subordinated (20,582) 9,264 Interest-only (26,959) (25,851) Agency RMBS Pass-through ā ā Interest-only (5,612) 238 Agency CMBS Project loans (22,954) (40,550) Interest-only (6,870) (79) Loans held for investment, at fair value (598,379) 84,049 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 256,738 242,941 |
Schedule of Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis | The Companyās financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at March 31, 2022 and December 31, 2021 are presented below. March 31, 2022 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ ā $ ā $ 1,458,887 $ ā $ 1,458,887 Agency RMBS, at fair value ā 74,104 ā ā 74,104 Agency CMBS, at fair value ā 503,231 ā ā 503,231 Loans held for investment, at fair value ā 146,727 12,758,553 ā 12,905,280 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment ā ā 8,010,170 ā 8,010,170 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 $ ā $ ā 1,810,208 $ ā $ 1,810,208 Agency RMBS, at fair value ā 60,487 ā ā 60,487 Agency CMBS, at fair value ā 761,208 ā ā 761,208 Loans held for investment, at fair value ā 229,627 12,032,299 ā 12,261,926 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment ā ā 7,726,043 ā 7,726,043 |
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 March 31, 2022 and December 31, 2021. Fair Value Reconciliation, Level 3 For the Quarter Ended March 31, 2022 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 1,810,208 $ 12,032,299 $ 7,726,043 Transfers into Level 3 ā ā ā Transfers out of Level 3 ā ā ā Transfer due to consolidation (218,276) 1,047,838 774,514 Purchases of assets/ issuance of debt 23,000 807,541 262,118 Principal payments (76,472) (511,205) (495,175) Sales and Settlements ā (2,540) ā Net accretion (amortization) 9,112 (17,880) (584) Gains (losses) included in net income (Increase) decrease in provision for credit losses (240) ā ā Realized gains (losses) on sales and settlements ā ā ā Net unrealized gains (losses) included in income (48,142) (597,500) (256,746) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (40,303) ā ā Ending balance Level 3 $ 1,458,887 $ 12,758,553 $ 8,010,170 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 ā ā ā Transfers out of Level 3 ā (272,198) ā 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 Other than temporary credit impairment losses (33) ā ā Realized gains (losses) on sales and settlements 32,807 ā 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) ā ā Ending balance Level 3 $ 1,810,208 $ 12,032,299 $ 7,726,043 |
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 March 31, 2022 and December 31, 2021 follows. The weighted average discount rates are based on fair value. March 31, 2022 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% 4.7% 1%-30% 11.7% 0%-9% 1.8% 26%-78% 36.1% Subordinated 3%-10% 5.9% 1%-45% 18.4% 0%-7% 0.6% 10%-60% 39.7% Interest-only 0%-100% 10.4% 6%-50% 20.8% 0%-8% 1.3% 0%-87% 31.5% 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% 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 March 31, 2022 and December 31, 2021 follows: March 31, 2022 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 2%-9% 4.0% 5%-20% 13.5% 0%-11% 1.4% 30%-75% 54.2% 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% March 31, 2022 December 31, 2021 Factor: Coupon Base Rate 4.5% 3.1% Actual 5.9% 6.1% FICO Base Rate 640 640 Actual 650 654 Loan-to-value (LTV) Base Rate 87% 87% Actual 84% 84% Loan Characteristics: Occupancy Owner Occupied 89% 91% Investor 4% 3% Secondary 7% 6% Property Type Single family 81% 83% Manufactured housing 4% 4% Multi-family/mixed use/other 15% 13% |
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 Companyās financial instruments not carried at fair value on a recurring basis at March 31, 2022 and December 31, 2021. March 31, 2022 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements 2 3,424,405 3,427,763 Securitized debt, collateralized by Non-Agency RMBS 3 84,188 60,944 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 |
Secured Financing Agreements (T
Secured Financing Agreements (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021 were: March 31, 2022 December 31, 2021 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 18,210 $ 23,170 Agency CMBS (in thousands) 336,593 589,535 Non-Agency RMBS and Loans held for investment (in thousands) (1) 3,069,602 2,648,908 Total: $ 3,424,405 $ 3,261,613 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 21,877 $ 28,320 Agency CMBS (in thousands) 360,658 617,457 Non-Agency RMBS and Loans held for investment (in thousands) 4,136,884 3,747,573 Total: $ 4,519,419 $ 4,393,350 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 20,342 $ 47,155 Agency CMBS (in thousands) 435,545 963,894 Non-Agency RMBS and Loans held for investment (in thousands) 2,766,235 2,926,880 Total: $ 3,222,122 $ 3,937,929 Average borrowing rate of Secured financing agreements secured by: Agency RMBS 0.60 % 0.68 % Agency CMBS 0.43 % 0.21 % Non-Agency RMBS and Loans held for investment 2.78 % 2.78 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS 4 Days 4 Days Agency CMBS 11 Days 13 Days Non-Agency RMBS and Loans held for investment 178 Days 257 Days Average original maturity of Secured financing agreements secured by: Agency RMBS 31 Days 61 Days Agency CMBS 30 Days 35 Days Non-Agency RMBS and Loans held for investment 194 Days 283 Days (1) The outstanding balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of March 31, 2022 and December 31, 2021. At March 31, 2022 and December 31, 2021, we pledged $20 million and $19 million, respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At March 31, 2022 and December 31, 2021, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. March 31, 2022 December 31, 2021 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ ā NA NA $ ā NA NA 1 to 29 days 1,561,598 1.57% 0.30% - 2.35% 1,018,670 0.73% 0.11% - 1.95% 30 to 59 days 162,097 1.44% 0.95% - 1.67% 379,031 1.66% 1.55% - 1.70% 60 to 89 days 146,974 2.48% 1.49% - 2.71% 342,790 1.86% 0.90% - 2.35% 90 to 119 days 78,400 1.50% 1.50% - 1.50% 67,840 1.66% 1.66% - 1.66% 120 to 180 days 847,135 3.64% 1.73% - 4.38% 157,944 1.38% 0.95% - 1.45% 180 days to 1 year 406,705 2.95% 0.94% - 3.45% 895,210 3.70% 1.95% - 4.38% 1 to 2 years ā NA NA 143,239 3.05% 3.05% - 3.05% Greater than 3 years 221,496 5.56% 5.56% - 5.56% 256,889 5.56% 5.56% - 5.56% Total $ 3,424,405 2.53% $ 3,261,613 2.30% (1) The principal balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of March 31, 2022 and December 31, 2021. |
Securitized Debt (Tables)
Securitized Debt (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021, 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 Companyās Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 2,193 $ 4,374 One to Three Years 1,517 2,361 Three to Five Years 565 949 Greater Than Five Years 29 82 Total $ 4,304 $ 7,766 The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at March 31, 2022 and December 31, 2021, 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 Companyās Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 1,989,813 $ 2,031,445 One to Three Years 2,898,571 2,886,255 Three to Five Years 1,790,442 1,697,760 Greater Than Five Years 1,631,291 1,145,995 Total $ 8,310,117 $ 7,761,455 |
Schedule of Callable Debt | The following table presents the par value of the callable debt by year at March 31, 2022. March 31, 2022 (dollars in thousands) Year Principal Currently callable $ 446,431 2022 1,415,469 2023 1,574,780 2024 1,286,893 2025 2,229,102 2026 288,028 2027 258,309 Total $ 7,499,012 |
Consolidated Securitization V_2
Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021. March 31, 2022 December 31, 2021 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 336,558 $ 399,048 Loans held for investment, at fair value 10,621,317 10,205,587 Accrued interest receivable 50,070 47,237 Other assets 17,225 14,719 Total Assets: $ 11,025,170 $ 10,666,591 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 84,188 $ 87,999 Securitized debt at fair value, collateralized by Loans held for investment 7,460,747 7,118,374 Accrued interest payable 16,808 15,101 Other liabilities 2,378 2,181 Total Liabilities: 7,564,121 7,223,655 (1) March 31, 2022 balance includes allowance for credit losses of $23 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 Quarter ended March 31, 2022 March 31, 2021 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 131,066 $ 158,100 Interest expense, Non-recourse liabilities of VIEs 42,491 65,205 Net interest income $ 88,575 $ 92,895 (Increase) decrease in provision for credit losses $ (23) $ 117 Servicing fees $ 6,863 $ 6,977 |
Capital Stock (Tables)
Capital Stock (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Equity [Abstract] | |
Schedule of Earnings Per Share | EPS for the quarter ended March 31, 2022 and 2021, respectively, are computed as follows: For the Quarter ended March 31, 2022 March 31, 2021 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (281,202) $ 139,153 Effect of dilutive securities: Interest expense attributable to convertible notes ā 1,076 Net income (loss) available to common shareholders - Diluted $ (281,202) $ 140,229 Denominator: Weighted average basic shares 237,012,702 230,567,231 Effect of dilutive securities ā 30,867,850 Weighted average dilutive shares 237,012,702 261,435,081 Net income (loss) per average share attributable to common stockholders - Basic $ (1.19) $ 0.60 Net income (loss) per average share attributable to common stockholders - Diluted $ (1.19) $ 0.54 |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 quarters ended March 31, 2022 and 2021: March 31, 2022 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2021 $ 405,054 $ 405,054 OCI before reclassifications (40,955) (40,955) Amounts reclassified from AOCI ā ā Net current period OCI (40,955) (40,955) Balance as of March 31, 2022 $ 364,099 $ 364,099 March 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 (38,652) (38,652) Amounts reclassified from AOCI (25,793) (25,793) Net current period OCI (64,445) (64,445) Balance as of March 31, 2021 $ 493,651 $ 493,651 |
Organization (Details)
Organization (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022USD ($)subsidiary | Mar. 31, 2021USD ($) | |
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 | $ | $ 250 | $ 346 |
Summary of the Significant Ac_3
Summary of the Significant Accounting Policies (Details) - USD ($) | Mar. 31, 2022 | Dec. 31, 2021 |
Accounting Policies [Abstract] | ||
Accruals for penalties and interest | $ 0 | $ 0 |
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 ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Dec. 31, 2020 |
Investment Holdings [Line Items] | ||||
Principal or Notional Value | $ 10,018,249 | $ 10,166,068 | ||
Total Premium | 473,681 | 463,085 | ||
Total Discount | (833,676) | (948,929) | ||
Amortized Cost | 1,733,286 | 2,203,941 | ||
Allowance for credit losses | (453) | (213) | $ (54) | $ (180) |
Fair Value | 2,036,222 | 2,631,903 | ||
Gross Unrealized Gains | 434,283 | 552,630 | ||
Gross Unrealized Losses | (130,894) | (124,455) | ||
Net Unrealized Gain/(Loss) | 303,389 | 428,175 | ||
Non-Agency RMBS - Senior | ||||
Investment Holdings [Line Items] | ||||
Amortized Cost | 29,392 | 6,941 | ||
Non-Agency RMBS - Subordinated | ||||
Investment Holdings [Line Items] | ||||
Amortized Cost | 11,013 | 1 | ||
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||||
Investment Holdings [Line Items] | ||||
Principal or Notional Value | 1,250,785 | 1,283,788 | ||
Total Premium | 4,613 | 5,906 | ||
Total Discount | (664,447) | (673,207) | ||
Amortized Cost | 590,951 | 616,487 | ||
Allowance for credit losses | (283) | (212) | ||
Fair Value | 929,028 | 985,682 | ||
Gross Unrealized Gains | 339,274 | 369,913 | ||
Gross Unrealized Losses | (914) | (506) | ||
Net Unrealized Gain/(Loss) | 338,360 | 369,407 | ||
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||||
Investment Holdings [Line Items] | ||||
Principal or Notional Value | 512,981 | 845,432 | ||
Total Premium | 4,781 | 5,179 | ||
Total Discount | (169,024) | (274,843) | ||
Amortized Cost | 348,738 | 575,768 | ||
Allowance for credit losses | (170) | (1) | ||
Fair Value | 394,387 | 652,025 | ||
Gross Unrealized Gains | 51,853 | 99,240 | ||
Gross Unrealized Losses | (6,034) | (22,982) | ||
Net Unrealized Gain/(Loss) | 45,819 | 76,258 | ||
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | ||||
Investment Holdings [Line Items] | ||||
Principal or Notional Value | 3,644,165 | 3,904,665 | ||
Total Premium | 181,159 | 191,230 | ||
Total Discount | 0 | 0 | ||
Amortized Cost | 181,159 | 191,230 | ||
Allowance for credit losses | 0 | 0 | ||
Fair Value | 135,472 | 172,501 | ||
Gross Unrealized Gains | 20,791 | 36,512 | ||
Gross Unrealized Losses | (66,478) | (55,241) | ||
Net Unrealized Gain/(Loss) | (45,687) | (18,729) | ||
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||||
Investment Holdings [Line Items] | ||||
Principal or Notional Value | 1,501,720 | 992,978 | ||
Total Premium | 122,163 | 102,934 | ||
Total Discount | 0 | 0 | ||
Amortized Cost | 122,163 | 102,934 | ||
Allowance for credit losses | 0 | 0 | ||
Fair Value | 74,104 | 60,487 | ||
Gross Unrealized Gains | 6 | 0 | ||
Gross Unrealized Losses | (48,065) | (42,447) | ||
Net Unrealized Gain/(Loss) | (48,059) | (42,447) | ||
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||||
Investment Holdings [Line Items] | ||||
Principal or Notional Value | 329,515 | 560,565 | ||
Total Premium | 6,830 | 10,812 | ||
Total Discount | (205) | (879) | ||
Amortized Cost | 336,140 | 570,498 | ||
Allowance for credit losses | 0 | 0 | ||
Fair Value | 356,200 | 614,419 | ||
Gross Unrealized Gains | 20,060 | 43,921 | ||
Gross Unrealized Losses | 0 | 0 | ||
Net Unrealized Gain/(Loss) | 20,060 | 43,921 | ||
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||||
Investment Holdings [Line Items] | ||||
Principal or Notional Value | 2,779,083 | 2,578,640 | ||
Total Premium | 154,135 | 147,024 | ||
Total Discount | 0 | 0 | ||
Amortized Cost | 154,135 | 147,024 | ||
Allowance for credit losses | 0 | 0 | ||
Fair Value | 147,031 | 146,789 | ||
Gross Unrealized Gains | 2,299 | 3,044 | ||
Gross Unrealized Losses | (9,403) | (3,279) | ||
Net Unrealized Gain/(Loss) | $ (7,104) | $ (235) |
Mortgage-Backed Securities - Un
Mortgage-Backed Securities - Unrealized Loss Positions (Details) $ in Thousands | Mar. 31, 2022USD ($)security | Dec. 31, 2021USD ($)security |
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 315,302 | $ 216,214 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (28,590) | $ (7,500) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 95 | 44 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 93,332 | $ 114,822 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (102,304) | $ (116,955) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 87 | 87 |
Total, Estimated Fair Value | $ 408,634 | $ 331,036 |
Total, Unrealized Losses | $ (130,894) | $ (124,455) |
Total, Number of Positions | security | 182 | 131 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 33,061 | $ 30,846 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (914) | $ (506) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 3 | 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 | $ 33,061 | $ 30,846 |
Total, Unrealized Losses | $ (914) | $ (506) |
Total, Number of Positions | security | 3 | 2 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 82,823 | $ 36,942 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (4,880) | $ (657) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 14 | 7 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 20,458 | $ 28,371 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (1,154) | $ (22,325) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 8 | 9 |
Total, Estimated Fair Value | $ 103,281 | $ 65,313 |
Total, Unrealized Losses | $ (6,034) | $ (22,982) |
Total, Number of Positions | security | 22 | 16 |
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 | $ 40,088 | $ 11,872 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (9,890) | $ (1,958) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 56 | 24 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 23,215 | $ 30,474 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (56,588) | $ (53,283) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 56 | 56 |
Total, Estimated Fair Value | $ 63,303 | $ 42,346 |
Total, Unrealized Losses | $ (66,478) | $ (55,241) |
Total, Number of Positions | security | 112 | 80 |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 24,695 | $ 5,003 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (3,688) | $ (1,215) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 14 | 4 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 49,215 | $ 55,486 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (44,377) | $ (41,232) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 21 | 21 |
Total, Estimated Fair Value | $ 73,910 | $ 60,489 |
Total, Unrealized Losses | $ (48,065) | $ (42,447) |
Total, Number of Positions | security | 35 | 25 |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 134,635 | $ 131,551 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (9,218) | $ (3,164) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 8 | 7 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 444 | $ 491 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (185) | $ (115) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 2 | 1 |
Total, Estimated Fair Value | $ 135,079 | $ 132,042 |
Total, Unrealized Losses | $ (9,403) | $ (3,279) |
Total, Number of Positions | security | 10 | 8 |
Mortgage-Backed Securities - Na
Mortgage-Backed Securities - Narrative (Details) - USD ($) | Mar. 31, 2022 | Dec. 31, 2021 |
Investment Holdings [Line Items] | ||
Gross unrealized loss | $ 130,894,000 | $ 124,455,000 |
Agency MBS | ||
Investment Holdings [Line Items] | ||
Gross unrealized loss | 0 | 0 |
Non-Agency RMBS | ||
Investment Holdings [Line Items] | ||
Gross unrealized loss | $ 909,000 | $ 506,000 |
Mortgage-Backed Securities - _2
Mortgage-Backed Securities - Summary of Credit Loss Allowance (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Beginning allowance for credit losses | $ 213 | $ 180 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 339 | 0 |
Allowance on purchased financial assets with credit deterioration | 0 | 0 |
Reductions for the securities sold during the period | 0 | 0 |
Increase/(decrease) on securities with an allowance in the prior period | (41) | (164) |
Write-offs charged against the allowance | (58) | (62) |
Recoveries of amounts previously written off | 0 | 100 |
Ending allowance for credit losses | $ 453 | $ 54 |
Mortgage-Backed Securities - Si
Mortgage-Backed Securities - Significant Credit Quality Indicators (Details) $ in Thousands | Mar. 31, 2022USD ($) | Dec. 31, 2021USD ($) |
Investment Holdings [Line Items] | ||
Amortized Cost | $ 1,733,286 | $ 2,203,941 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Amortized Cost | $ 29,392 | $ 6,941 |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.141 | 0.024 |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.033 | 0.051 |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.508 | 0.609 |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Amortized Cost | $ 11,013 | $ 1 |
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.150 | 0.100 |
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.005 | 0.003 |
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity | ||
Investment Holdings [Line Items] | ||
Significant Inputs | 0.450 | 0.300 |
Mortgage-Backed Securities - Gr
Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | $ 365,008 | $ 405,560 |
Gross Unrealized Gain Included in Cumulative Earnings | 69,275 | 147,070 |
Total Gross Unrealized Gain | 434,283 | 552,630 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (909) | (506) |
Gross Unrealized Loss Included in Cumulative Earnings | (129,985) | (123,949) |
Total Gross Unrealized Loss | (130,894) | (124,455) |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 339,274 | 369,913 |
Gross Unrealized Gain Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Gain | 339,274 | 369,913 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (312) | (506) |
Gross Unrealized Loss Included in Cumulative Earnings | (602) | 0 |
Total Gross Unrealized Loss | (914) | (506) |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 24,580 | 33,587 |
Gross Unrealized Gain Included in Cumulative Earnings | 27,273 | 65,653 |
Total Gross Unrealized Gain | 51,853 | 99,240 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (597) | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (5,437) | (22,982) |
Total Gross Unrealized Loss | (6,034) | (22,982) |
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 | 20,791 | 36,512 |
Total Gross Unrealized Gain | 20,791 | 36,512 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (66,478) | (55,241) |
Total Gross Unrealized Loss | (66,478) | (55,241) |
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 | 6 | 0 |
Total Gross Unrealized Gain | 6 | 0 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (48,065) | (42,447) |
Total Gross Unrealized Loss | (48,065) | (42,447) |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 1,154 | 2,060 |
Gross Unrealized Gain Included in Cumulative Earnings | 18,906 | 41,861 |
Total Gross Unrealized Gain | 20,060 | 43,921 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Loss | 0 | 0 |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 2,299 | 3,044 |
Total Gross Unrealized Gain | 2,299 | 3,044 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (9,403) | (3,279) |
Total Gross Unrealized Loss | $ (9,403) | $ (3,279) |
Mortgage-Backed Securities - Co
Mortgage-Backed Securities - Collateral Characteristics (Details) - USD ($) $ / shares in Units, $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 10,018,249 | $ 10,166,068 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 1,250,785 | $ 1,283,788 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 47.25 | $ 48.02 |
Weighted Average Fair Value (in dollars per share) | $ 74.28 | $ 76.78 |
Weighted Average Coupon | 4.50% | 4.50% |
Weighted Average Yield at Period-End | 17.70% | 18.00% |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 512,981 | $ 845,432 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 67.98 | $ 68.10 |
Weighted Average Fair Value (in dollars per share) | $ 76.88 | $ 77.12 |
Weighted Average Coupon | 4.60% | 3.80% |
Weighted Average Yield at Period-End | 7.10% | 7.10% |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 3,644,165 | $ 3,904,665 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 4.97 | $ 4.90 |
Weighted Average Fair Value (in dollars per share) | $ 3.72 | $ 4.42 |
Weighted Average Coupon | 1.70% | 1.70% |
Weighted Average Yield at Period-End | 12.20% | 13.20% |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 1,501,720 | $ 992,978 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 8.13 | $ 10.37 |
Weighted Average Fair Value (in dollars per share) | $ 4.93 | $ 6.09 |
Weighted Average Coupon | 1.10% | 1.30% |
Weighted Average Yield at Period-End | 1.30% | 0.30% |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 329,515 | $ 560,565 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 102.01 | $ 101.77 |
Weighted Average Fair Value (in dollars per share) | $ 108.10 | $ 109.61 |
Weighted Average Coupon | 4.40% | 4.30% |
Weighted Average Yield at Period-End | 4.20% | 4.10% |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End (dollars in thousands) | $ 2,779,083 | $ 2,578,640 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 5.55 | $ 5.70 |
Weighted Average Fair Value (in dollars per share) | $ 5.29 | $ 5.69 |
Weighted Average Coupon | 0.70% | 0.70% |
Weighted Average Yield at Period-End | 4.00% | 4.60% |
Mortgage-Backed Securities - Ma
Mortgage-Backed Securities - Maturities of MBS by Estimated Weighted Average Life Classification (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Fair value | ||
Less than one year, at fair value | $ 54,523 | $ 18,512 |
Greater than one year and less than five years, at fair value | 581,475 | 710,866 |
Greater than five years and less than ten years, at fair value | 446,629 | 689,249 |
Greater than ten years, at fair value | 953,595 | 1,213,276 |
Total maturities, at fair value | 2,036,222 | 2,631,903 |
Amortized cost | ||
Less than one year, at amortized cost | 66,837 | 40,042 |
Greater than one year and less than five years, at amortized cost | 528,013 | 606,616 |
Greater than five years and less than ten years, at amortized cost | 372,413 | 562,909 |
Greater than ten years, at amortized cost | 766,023 | 994,374 |
Amortized Cost | 1,733,286 | 2,203,941 |
Non-Agency RMBS - Senior | ||
Amortized cost | ||
Amortized Cost | 29,392 | 6,941 |
Non-Agency RMBS - Subordinated | ||
Amortized cost | ||
Amortized Cost | 11,013 | 1 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Fair value | ||
Less than one year, at fair value | 36,524 | 3,186 |
Greater than one year and less than five years, at fair value | 234,069 | 279,222 |
Greater than five years and less than ten years, at fair value | 290,550 | 318,684 |
Greater than ten years, at fair value | 367,885 | 384,590 |
Total maturities, at fair value | 929,028 | 985,682 |
Amortized cost | ||
Less than one year, at amortized cost | 27,144 | 2,349 |
Greater than one year and less than five years, at amortized cost | 166,158 | 194,506 |
Greater than five years and less than ten years, at amortized cost | 173,406 | 190,030 |
Greater than ten years, at amortized cost | 224,243 | 229,602 |
Amortized Cost | 590,951 | 616,487 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Fair value | ||
Less than one year, at fair value | 6,252 | 3,303 |
Greater than one year and less than five years, at fair value | 119,940 | 149,089 |
Greater than five years and less than ten years, at fair value | 32,735 | 276,979 |
Greater than ten years, at fair value | 235,460 | 222,654 |
Total maturities, at fair value | 394,387 | 652,025 |
Amortized cost | ||
Less than one year, at amortized cost | 2,216 | 1 |
Greater than one year and less than five years, at amortized cost | 106,481 | 129,063 |
Greater than five years and less than ten years, at amortized cost | 28,438 | 244,103 |
Greater than ten years, at amortized cost | 211,603 | 202,601 |
Amortized Cost | 348,738 | 575,768 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only | ||
Fair value | ||
Less than one year, at fair value | 2,761 | 2,300 |
Greater than one year and less than five years, at fair value | 82,374 | 140,558 |
Greater than five years and less than ten years, at fair value | 47,967 | 29,642 |
Greater than ten years, at fair value | 2,370 | 1 |
Total maturities, at fair value | 135,472 | 172,501 |
Amortized cost | ||
Less than one year, at amortized cost | 27,909 | 27,764 |
Greater than one year and less than five years, at amortized cost | 103,354 | 140,757 |
Greater than five years and less than ten years, at amortized cost | 47,539 | 22,648 |
Greater than ten years, at amortized cost | 2,357 | 61 |
Amortized Cost | 181,159 | 191,230 |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Fair value | ||
Less than one year, at fair value | 0 | 0 |
Greater than one year and less than five years, at fair value | 1,978 | 0 |
Greater than five years and less than ten years, at fair value | 72,126 | 60,487 |
Greater than ten years, at fair value | 0 | 0 |
Total maturities, at fair value | 74,104 | 60,487 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | 0 |
Greater than one year and less than five years, at amortized cost | 2,249 | 0 |
Greater than five years and less than ten years, at amortized cost | 119,914 | 102,934 |
Greater than ten years, at amortized cost | 0 | 0 |
Amortized Cost | 122,163 | 102,934 |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Fair value | ||
Less than one year, at fair value | 8,320 | 8,388 |
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 | 347,880 | 606,031 |
Total maturities, at fair value | 356,200 | 614,419 |
Amortized cost | ||
Less than one year, at amortized cost | 8,320 | 8,388 |
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 | 327,820 | 562,110 |
Amortized Cost | 336,140 | 570,498 |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Fair value | ||
Less than one year, at fair value | 666 | 1,335 |
Greater than one year and less than five years, at fair value | 143,114 | 141,997 |
Greater than five years and less than ten years, at fair value | 3,251 | 3,457 |
Greater than ten years, at fair value | 0 | 0 |
Total maturities, at fair value | 147,031 | 146,789 |
Amortized cost | ||
Less than one year, at amortized cost | 1,248 | 1,540 |
Greater than one year and less than five years, at amortized cost | 149,771 | 142,290 |
Greater than five years and less than ten years, at amortized cost | 3,116 | 3,194 |
Greater than ten years, at amortized cost | 0 | 0 |
Amortized Cost | $ 154,135 | $ 147,024 |
Mortgage-Backed Securities - Lo
Mortgage-Backed Securities - Loan Products Type and Characteristics (Details) - Non-Agency RMBS | Mar. 31, 2022 | Dec. 31, 2021 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 13.30% | 14.50% |
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 | 3.10% | 2.60% |
REO | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 0.50% | 0.40% |
30 Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 2.90% | 3.40% |
60 Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 1.00% | 1.30% |
90+ Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 4.50% | 5.50% |
Mortgage-Backed Securities - _3
Mortgage-Backed Securities - Collateral Characteristics of Non-Agency Residential MBS (Details) - Non-Agency RMBS - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Investment Holdings [Line Items] | ||
Weighted average maturity (years) | 20 years 1 month 6 days | 21 years 4 months 24 days |
Weighted average amortized loan to value | 59.30% | 60.30% |
Weighted average FICO | 713 | 706 |
Weighted average loan balance (in thousands) | $ 262 | $ 259 |
Weighted average percentage owner-occupied | 83.70% | 84.00% |
Weighted average percentage single family residence | 61.40% | 62.70% |
Weighted average current credit enhancement | 1.00% | 1.20% |
CA | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 32.30% | 31.20% |
NY | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 10.70% | 10.40% |
FL | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 8.00% | 8.00% |
NJ | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 4.60% | 4.60% |
Mortgage-Backed Securities - Pe
Mortgage-Backed Securities - Percentage of Non-Agency RMBS By Year Originated (Details) - Non-Agency RMBS | Mar. 31, 2022 | Dec. 31, 2021 |
Origination Year as a Percentage of Outstanding Principal Balance: | ||
2003 (and prior) | 1.40% | 1.40% |
2004 | 1.20% | 1.20% |
2005 | 9.50% | 8.60% |
2006 | 45.40% | 53.70% |
2007 | 30.90% | 25.30% |
2008 and later | 11.60% | 9.80% |
Total | 100.00% | 100.00% |
Mortgage-Backed Securities - Ga
Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Investment Holdings [Line Items] | ||
Net realized gain (loss) | $ 0 | $ 37,796 |
Non-Agency RMBS | ||
Investment Holdings [Line Items] | ||
Proceeds from sales: | 0 | 32,459 |
Gross realized gains: | 0 | 26,513 |
Gross realized losses: | 0 | (2,452) |
Agency CMBS | ||
Investment Holdings [Line Items] | ||
Proceeds from sales: | 0 | 201,037 |
Gross realized gains: | $ 0 | $ 13,735 |
Loans Held for Investment - Nar
Loans Held for Investment - Narrative (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2021 | Mar. 31, 2022 | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Securitized debt loans held for investment at cost | $ 11,400,000,000 | $ 12,700,000,000 |
Loans Held for Investment at Fair Value | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Purchases | 450,000,000 | |
Retained balance | 25,000,000 | 0 |
Seasoned Subprime Residential Mortgage Loans | Fair Value | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Loans 90 or more days past due | $ 830,000,000 | $ 899,000,000 |
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 | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Balance, beginning of period | $ 12,261,926 | $ 13,112,129 | $ 13,112,129 |
Transfer due to consolidation | 1,047,838 | 0 | |
Purchases | 807,541 | 3,364,609 | |
Principal paydowns | (592,603) | (2,652,767) | |
Sales and settlements | (2,540) | (1,679,280) | |
Net periodic accretion (amortization) | (18,586) | (79,368) | |
Change in fair value | (598,296) | $ 196,603 | |
Balance, end of period | $ 12,905,280 | $ 12,261,926 |
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 | Mar. 31, 2022 | Dec. 31, 2021 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
2002 and prior | 6.40% | 6.60% |
2003 | 5.60% | 5.70% |
2004 | 10.90% | 11.70% |
2005 | 17.70% | 18.60% |
2006 | 21.80% | 22.70% |
2007 | 22.50% | 22.60% |
2008 | 6.30% | 6.20% |
2009 | 1.50% | 1.20% |
2010 and later | 7.30% | 4.70% |
Total | 100.00% | 100.00% |
Underlying mortgages excluded from portfolio | $ 238 | $ 437 |
Loans Held for Investment - Key
Loans Held for Investment - Key Characteristics of Residential Loan Portfolio (Details) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans $ in Thousands | Mar. 31, 2022USD ($)loan | Dec. 31, 2021USD ($)loan |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of loans | loan | 124,202 | 114,946 |
Weighted average maturity (years) | 21 years | 19 years 3 months 18 days |
Weighted average loan to value | 83.70% | 84.20% |
Weighted average FICO | 651 | 656 |
Weighted average loan balance (in thousands) | $ 101 | $ 96 |
Weighted average percentage owner-occupied | 87.70% | 88.80% |
Weighted average percentage single family residence | 80.60% | 82.20% |
Underlying mortgages excluded from portfolio | $ 238,000 | $ 437,000 |
CA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 13.70% | 13.90% |
NY | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 8.50% | 8.00% |
FL | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 8.40% | 8.10% |
PA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 4.70% | 4.80% |
VA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 4.50% | 4.80% |
Loans Held for Investment - Loa
Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Securitized Residential Mortgage Loans Principal Amount Outstanding | $ 12,561,998 | $ 11,082,096 |
Seasoned Subprime Residential Mortgage Loans | Loans Held for Investment at Fair Value | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Underlying mortgages excluded from portfolio | 238,000 | 437,000 |
Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 2,273,285 | $ 2,273,654 |
% of Unpaid Principal Balance | 18.00% | 20.70% |
Residential Portfolio Segment | Bankruptcy | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 230,734 | $ 215,669 |
% of Unpaid Principal Balance | 1.80% | 1.90% |
Residential Portfolio Segment | Foreclosure | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 314,231 | $ 260,888 |
% of Unpaid Principal Balance | 2.50% | 2.40% |
Residential Portfolio Segment | REO | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 30,686 | $ 27,712 |
% of Unpaid Principal Balance | 0.20% | 0.30% |
Residential Portfolio Segment | 30 Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 805,856 | $ 959,481 |
% of Unpaid Principal Balance | 6.40% | 8.70% |
Residential Portfolio Segment | 60 Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 251,822 | $ 227,593 |
% of Unpaid Principal Balance | 2.00% | 2.10% |
Residential Portfolio Segment | 90+ Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 639,956 | $ 582,311 |
% of Unpaid Principal Balance | 5.10% | 5.30% |
Fair Value Measurements - Narra
Fair Value Measurements - Narrative (Details) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022USD ($)loan | Dec. 31, 2021USD ($)loan | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held for investment, at fair value | $ 12,905,280 | $ 12,261,926 |
Fair Value, Measurements, Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held for investment, at fair value | 12,905,280 | 12,261,926 |
Level 3 | Fair Value, Measurements, Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held for investment, at fair value | 12,758,553 | 12,032,299 |
Level 2 | Fair Value, Measurements, Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held for investment, at fair value | 146,727 | $ 229,627 |
Investments with Difference Between Model Price and Third-Party Price | Securitized debt | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Excess (deficit) of third party prices over internally developed price, assets | $ (1,000) | |
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 | 21 | 7 |
Excess (deficit) of third party prices over internally developed price, assets | $ 26,000 | $ 8,000 |
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 | $ 1,000 | 97,000 |
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized debt | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans internally valued lower than third party prices | loan | 4 | |
Assets, fair value disclosure | $ 13,000 | |
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 | $ 141,000 | $ 50,000 |
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 | 2 | 3 |
Assets, fair value disclosure | $ 15,000 | $ 3,500,000 |
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized debt | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Excess (deficit) of third party prices over internally developed price, assets | 14,000 | |
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 | 115,000 | 42,000 |
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 | 14,000 | 3,400,000 |
Non-Agency RMBS | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Transfers out of level 3 | $ 0 | 0 |
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 |
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 | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Assets: | |||
Unpaid Principal/ Notional | $ 10,018,249 | $ 10,166,068 | |
Loans held for investment, fair value | 12,905,280 | 12,261,926 | |
Liabilities: | |||
Securitized debt at fair value, collateralized by loans held for investment, Fair value | 8,010,170 | 7,726,043 | |
Non-Agency RMBS | Senior | |||
Assets: | |||
Unpaid Principal/ Notional | 21,878 | 0 | |
Fair Value | 21,281 | 0 | |
Liabilities: | |||
Change in fair value of financial instruments | (601) | $ 0 | |
Non-Agency RMBS | Subordinated | |||
Assets: | |||
Unpaid Principal/ Notional | 323,982 | 653,616 | |
Fair Value | 254,450 | 500,288 | |
Liabilities: | |||
Change in fair value of financial instruments | (20,582) | 9,264 | |
Non-Agency RMBS | Senior, interest-only | |||
Assets: | |||
Unpaid Principal/ Notional | 3,644,165 | 3,904,665 | |
Fair Value | 135,472 | 172,501 | |
Liabilities: | |||
Change in fair value of financial instruments | (26,959) | (25,851) | |
Agency RMBS | Pass-through | |||
Liabilities: | |||
Change in fair value of financial instruments | 0 | 0 | |
Agency RMBS | Interest-only | |||
Assets: | |||
Unpaid Principal/ Notional | 1,501,720 | 992,978 | |
Fair Value | 74,104 | 60,487 | |
Liabilities: | |||
Change in fair value of financial instruments | (5,612) | 238 | |
Agency CMBS | Interest-only | |||
Assets: | |||
Unpaid Principal/ Notional | 2,779,083 | 2,578,640 | |
Fair Value | 147,031 | 146,789 | |
Liabilities: | |||
Change in fair value of financial instruments | (6,870) | (79) | |
Agency CMBS | Project loans | |||
Assets: | |||
Unpaid Principal/ Notional | 294,455 | 499,186 | |
Fair Value | 319,236 | 549,529 | |
Liabilities: | |||
Change in fair value of financial instruments | (22,954) | (40,550) | |
Loans held for investment | |||
Assets: | |||
Loans held for investment, Unpaid Principal/Notional | 12,799,611 | 11,519,255 | |
Loans held for investment, fair value | 12,905,280 | 12,261,926 | |
Liabilities: | |||
Change in fair value of financial instruments | (598,379) | 84,049 | |
Securitized debt | |||
Liabilities: | |||
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional | 8,312,710 | 7,762,864 | |
Securitized debt at fair value, collateralized by loans held for investment, Fair value | 8,010,170 | $ 7,726,043 | |
Change in fair value of financial instruments | $ 256,738 | $ 242,941 |
Fair Value Measurements - Finan
Fair Value Measurements - Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Assets: | ||
Non-Agency RMBS, at fair value | $ 1,458,887 | $ 1,810,208 |
Agency RMBS, at fair value | 74,104 | 60,487 |
Agency CMBS, at fair value | 503,231 | 761,208 |
Loans held for investment, at fair value | 12,905,280 | 12,261,926 |
Liabilities: | ||
Securitized debt at fair value, collateralized by Loans held for investment | 8,010,170 | 7,726,043 |
Fair Value, Measurements, Recurring | ||
Assets: | ||
Non-Agency RMBS, at fair value | 1,458,887 | 1,810,208 |
Agency RMBS, at fair value | 74,104 | 60,487 |
Agency CMBS, at fair value | 503,231 | |
Loans held for investment, at fair value | 12,905,280 | 12,261,926 |
Liabilities: | ||
Securitized debt at fair value, collateralized by Loans held for investment | 8,010,170 | 7,726,043 |
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 | 74,104 | 60,487 |
Agency CMBS, at fair value | 503,231 | 761,208 |
Loans held for investment, at fair value | 146,727 | 229,627 |
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 | 1,458,887 | 1,810,208 |
Agency RMBS, at fair value | 0 | 0 |
Agency CMBS, at fair value | 0 | 0 |
Loans held for investment, at fair value | 12,758,553 | 12,032,299 |
Liabilities: | ||
Securitized debt at fair value, collateralized by Loans held for investment | $ 8,010,170 | $ 7,726,043 |
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 | |
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Securitized Debt | Variable Interest Entities, Primary Beneficiary | Level 3 | |||
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward] | |||
Securitized Debt, Beginning balance, Level 3 | $ 7,726,043 | $ 8,711,677 | $ 8,711,677 |
Securitized Debt, Transfers in to Level 3 assets | 0 | 0 | |
Securitized Debt, Transfers out of Level 3 assets | 0 | 0 | |
Securitized Debt, Transfer due to consolidation | 774,514 | ||
Securitized Debt, Purchases of assets/ issuance of debt | 262,118 | 5,521,953 | |
Securitized Debt, Principal payments | (495,175) | (2,247,983) | |
Securitized Debt, Sales and Settlements | 0 | (4,192,295) | |
Securitized Debt, Net accretion (amortization) | (584) | 12,010 | |
Securitized Debt, Other than temporary credit impairment losses | 0 | 0 | |
Securitized Debt, Realized gains (losses) on sales and settlements | 0 | 258,903 | |
Securitized Debt, Net unrealized gains (losses) included in income | (256,746) | (338,222) | |
Securitized Debt, Gains (losses) included in other comprehensive income | 0 | 0 | |
Securitized Debt, Ending balance, Level 3 | 8,010,170 | 7,726,043 | |
Non-Agency RMBS | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | |||
Beginning balance Level 3 | 1,810,208 | 2,150,714 | 2,150,714 |
Transfers into Level 3 | 0 | 0 | |
Transfers out of Level 3 | 0 | 0 | |
Transfer due to consolidation | (218,276) | ||
Purchases of assets/ issuance of debt | 23,000 | 34,656 | |
Principal payments | (76,472) | (299,330) | |
Sales and settlements | 0 | (47,674) | |
Net accretion (amortization) | 9,112 | 57,473 | |
Gains (losses) included in net income | |||
(Increase) decrease in provision for credit losses | (240) | (33) | |
Realized gains (losses) on sales and settlements | 0 | 32,807 | |
Net unrealized gains (losses) included in income | (48,142) | 31,358 | |
Gains (losses) included in other comprehensive income | |||
Total unrealized gains (losses) for the period | (40,303) | (149,763) | |
Ending balance Level 3 | 1,458,887 | 1,810,208 | |
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 | (2,540) | (1,679,280) | |
Gains (losses) included in net income | |||
Net unrealized gains (losses) included in income | (598,296) | 196,603 | |
Loans held for investment | Variable Interest Entities, Primary Beneficiary | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | |||
Beginning balance Level 3 | 12,032,299 | $ 13,112,129 | 13,112,129 |
Transfers into Level 3 | 0 | 0 | |
Transfers out of Level 3 | 0 | (272,198) | |
Transfer due to consolidation | 1,047,838 | ||
Purchases of assets/ issuance of debt | 807,541 | 3,248,683 | |
Principal payments | (511,205) | (2,495,015) | |
Sales and settlements | (2,540) | (1,679,280) | |
Net accretion (amortization) | (17,880) | (79,223) | |
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 | (597,500) | 197,203 | |
Gains (losses) included in other comprehensive income | |||
Total unrealized gains (losses) for the period | 0 | 0 | |
Ending balance Level 3 | $ 12,758,553 | $ 12,032,299 |
Fair Value Measurements - Unobs
Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Details) - Level 3 | Mar. 31, 2022 | Dec. 31, 2021 |
Discount Rate | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.02 | 0.01 |
Discount Rate | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.03 | 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 | 0.047 | 0.039 |
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.059 | 0.056 |
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.104 | 0.103 |
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 | 0.01 | 0.06 |
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 | 0.30 |
Prepay Rate | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.45 | 0.45 |
Prepay Rate | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.50 | 0.55 |
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.117 | 0.114 |
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.184 | 0.178 |
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.208 | 0.249 |
CDR | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.09 | 0.07 |
CDR | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.07 | 0.06 |
CDR | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.08 | 0.09 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.018 | 0.018 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.006 | 0.011 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.013 | 0.013 |
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 | 0.26 |
Loss Severity | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.78 | 0.78 |
Loss Severity | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.60 | 0.55 |
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.87 | 0.84 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.361 | 0.366 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.397 | 0.401 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.315 | 0.330 |
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 | Mar. 31, 2022 | Dec. 31, 2021 |
Discount Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.02 | 0.01 |
Discount Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.09 | 0.07 |
Discount Rate | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.040 | 0.026 |
Prepay Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.05 | 0.06 |
Prepay Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.20 | 0.20 |
Prepay Rate | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.135 | 0.151 |
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 | 0.11 |
CDR | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.014 | 0.014 |
Loss Severity | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.30 | 0.30 |
Loss Severity | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.75 | 0.75 |
Loss Severity | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.542 | 0.561 |
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 | Mar. 31, 2022 | Dec. 31, 2021 |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 5.90% | 6.10% |
FICO | 650 | 654 |
Loan-to-value (LTV) | 84.00% | 84.00% |
Single family | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 81.00% | 83.00% |
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 | 15.00% | 13.00% |
Owner Occupied | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 89.00% | 91.00% |
Investor | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 4.00% | 3.00% |
Secondary | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 7.00% | 6.00% |
Base Rate | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 4.50% | 3.10% |
FICO | 640 | 640 |
Loan-to-value (LTV) | 87.00% | 87.00% |
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 | Mar. 31, 2022 | Dec. 31, 2021 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 84,188 | $ 87,999 |
Carrying Amount | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Secured financing agreements | 3,424,405 | 3,261,613 |
Carrying Amount | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | 84,188 | 87,999 |
Fair Value | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Secured financing agreements | 3,427,763 | 3,265,577 |
Fair Value | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 60,944 | $ 72,505 |
Secured Financing Agreements -
Secured Financing Agreements - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Dec. 31, 2021 | |
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements outstanding | $ 3,424,405 | $ 3,261,613 |
Margin cash collateral pledged to repurchase agreement counterparties | $ 20,000 | 19,000 |
Decrease in share price (as a percent) | 50.00% | |
Warehouse Agreement Borrowings | ||
Repurchase Agreement Counterparty [Line Items] | ||
Unused warehouse credit facilities | $ 1,200,000 | |
Minimum | Warehouse Agreement Borrowings | ||
Repurchase Agreement Counterparty [Line Items] | ||
Maturity dates of credit facility | 30 days | |
Maximum | Warehouse Agreement Borrowings | ||
Repurchase Agreement Counterparty [Line Items] | ||
Maturity dates of credit facility | 1 year | |
Not Subject to Additional Margin Requirements Upon Change in Fair Value of Collateral Pledged | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements outstanding | $ 1,100,000 | 1,200,000 |
Not Subject to Additional Margin Requirements Until Drop in Fair Value of Collateral | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements outstanding | $ 110,000 | $ 113,000 |
Secured Financing Agreements _2
Secured Financing Agreements - Schedule of Secured Financing Agreements (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | $ 3,400,000 | $ 3,300,000 |
Debt issuance costs, net | 3,000 | 3,000 |
Repurchase Agreements | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | 3,424,405 | 3,261,613 |
MBS pledged as collateral at fair value on Repurchase agreements: | 4,519,419 | 4,393,350 |
Average balance of Secured financing agreements secured by: | 3,222,122 | 3,937,929 |
Repurchase Agreements | Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | 18,210 | 23,170 |
MBS pledged as collateral at fair value on Repurchase agreements: | 21,877 | 28,320 |
Average balance of Secured financing agreements secured by: | $ 20,342 | $ 47,155 |
Average borrowing rate of Secured financing agreements secured by: | 0.60% | 0.68% |
Average remaining maturity of Secured financing agreements secured by: | 4 days | 4 days |
Average original maturity of Secured financing agreements secured by: | 31 days | 61 days |
Repurchase Agreements | Agency CMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | $ 336,593 | $ 589,535 |
MBS pledged as collateral at fair value on Repurchase agreements: | 360,658 | 617,457 |
Average balance of Secured financing agreements secured by: | $ 435,545 | $ 963,894 |
Average borrowing rate of Secured financing agreements secured by: | 0.43% | 0.21% |
Average remaining maturity of Secured financing agreements secured by: | 11 days | 13 days |
Average original maturity of Secured financing agreements secured by: | 30 days | 35 days |
Repurchase Agreements | Non-agency MBS and Loans held for investment | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding secured by: | $ 3,069,602 | $ 2,648,908 |
MBS pledged as collateral at fair value on Repurchase agreements: | 4,136,884 | 3,747,573 |
Average balance of Secured financing agreements secured by: | $ 2,766,235 | $ 2,926,880 |
Average borrowing rate of Secured financing agreements secured by: | 2.78% | 2.78% |
Average remaining maturity of Secured financing agreements secured by: | 178 days | 257 days |
Average original maturity of Secured financing agreements secured by: | 194 days | 283 days |
Secured Financing Agreements _3
Secured Financing Agreements - Maturities (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 3,400,000 | $ 3,300,000 |
Debt issuance costs, net | 3,000 | 3,000 |
Repurchase Agreements | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 3,424,405 | 3,261,613 |
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 | 1,561,598 | 1,018,670 |
Repurchase Agreements | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 162,097 | 379,031 |
Repurchase Agreements | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 146,974 | 342,790 |
Repurchase Agreements | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 78,400 | 67,840 |
Repurchase Agreements | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 847,135 | 157,944 |
Repurchase Agreements | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 406,705 | 895,210 |
Repurchase Agreements | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 0 | 143,239 |
Repurchase Agreements | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 221,496 | $ 256,889 |
Repurchase Agreements | Weighted Average Borrowing Rates | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 2.53% | 2.30% |
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.57% | 0.73% |
Repurchase Agreements | Weighted Average Borrowing Rates | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.44% | 1.66% |
Repurchase Agreements | Weighted Average Borrowing Rates | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 2.48% | 1.86% |
Repurchase Agreements | Weighted Average Borrowing Rates | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.50% | 1.66% |
Repurchase Agreements | Weighted Average Borrowing Rates | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 3.64% | 1.38% |
Repurchase Agreements | Weighted Average Borrowing Rates | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 2.95% | 3.70% |
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 | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 5.56% | 5.56% |
Repurchase Agreements | Minimum | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.30% | 0.11% |
Repurchase Agreements | Minimum | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.95% | 1.55% |
Repurchase Agreements | Minimum | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.49% | 0.90% |
Repurchase Agreements | Minimum | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.50% | 1.66% |
Repurchase Agreements | Minimum | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.73% | 0.95% |
Repurchase Agreements | Minimum | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.94% | 1.95% |
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 | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 5.56% | 5.56% |
Repurchase Agreements | Maximum | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 2.35% | 1.95% |
Repurchase Agreements | Maximum | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.67% | 1.70% |
Repurchase Agreements | Maximum | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 2.71% | 2.35% |
Repurchase Agreements | Maximum | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 1.50% | 1.66% |
Repurchase Agreements | Maximum | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 4.38% | 1.45% |
Repurchase Agreements | Maximum | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 3.45% | 4.38% |
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 | 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 | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Debt Instrument [Line Items] | |||
Gains (losses) on extinguishment of debt | $ 0 | $ (237,137) | |
Securitized Loans | Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary | |||
Debt Instrument [Line Items] | |||
Principal balance | $ 111,000 | $ 113,000 | |
Weighted average cost of financing (as a percent) | 6.70% | 6.70% | |
Securitized Loans | Securitized debt | Variable Interest Entities, Primary Beneficiary | |||
Debt Instrument [Line Items] | |||
Principal balance | $ 8,300,000 | $ 7,800,000 | |
Weighted average cost of financing (as a percent) | 2.50% | 2.40% | |
Acquired securitized debt collateral outstanding principal balance | 2,700,000 | ||
Repurchase of non retained secured debt | 2,900,000 | ||
Gains (losses) on extinguishment of debt | $ (234,000) |
Securitized Debt - Maturities o
Securitized Debt - Maturities of Long-Term Debt (Details) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Securitized debt | ||
Debt Instrument [Line Items] | ||
Within One Year | $ 1,989,813 | $ 2,031,445 |
One to Three Years | 2,898,571 | 2,886,255 |
Three to Five Years | 1,790,442 | 1,697,760 |
Greater Than Five Years | 1,631,291 | 1,145,995 |
Total | 8,310,117 | 7,761,455 |
Securitized Loans | Non-Agency RMBS | ||
Debt Instrument [Line Items] | ||
Within One Year | 2,193 | 4,374 |
One to Three Years | 1,517 | 2,361 |
Three to Five Years | 565 | 949 |
Greater Than Five Years | 29 | 82 |
Total | $ 4,304 | $ 7,766 |
Securitized Debt - Callable Deb
Securitized Debt - Callable Debt (Details) - Securitized Loans $ in Thousands | Mar. 31, 2022USD ($) |
Debt Instrument, Redemption [Line Items] | |
Currently callable | $ 446,431 |
2022 | 1,415,469 |
2023 | 1,574,780 |
2024 | 1,286,893 |
2025 | 2,229,102 |
2026 | 288,028 |
2027 | 258,309 |
Total | $ 7,499,012 |
Long Term Debt (Details)
Long Term Debt (Details) - Convertible Senior Notes due 2023 - Convertible Debt - USD ($) | 3 Months Ended | ||
Mar. 31, 2021 | Dec. 31, 2021 | Apr. 30, 2020 | |
Debt Instrument [Line Items] | |||
Long-term financing agreements, interest rate (as a percent) | 7.00% | ||
Outstanding amount of debt | $ 0 | ||
Interest expense | $ 1,000,000 |
Consolidated Securitization V_3
Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | ||
Variable Interest Entity [Line Items] | ||||
Assets | [1] | $ 15,241,179 | $ 15,407,403 | |
Variable Interest Entity, Not Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | 924,000 | 1,200,000 | ||
Non-Agency RMBS | Variable Interest Entity, Not Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Unconsolidated VIEs, individual investments (Less than $1 million) | 1,100,000 | 1,400,000 | ||
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) | 30,000 | $ 220,000 | ||
Subprime | Residential Mortgage | ||||
Variable Interest Entity [Line Items] | ||||
Financing receivable, purchases | $ 1,400,000 | $ 4,100,000 | ||
[1] | The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or V IEs, that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of March 31, 2022, and December 31, 2021, total assets of consolidate d VIEs were $11,025,170 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $7,564,121 and $7,223,655 , respectively. See Note 9 for further discussion. |
Consolidated Securitization V_4
Consolidated Securitization Vehicles and Other Variable Interest Entities - Assets and Liabilities Related to the Consolidated VIEs (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | |
Assets: | |||||
Non-Agency RMBS, at fair value | $ 1,458,887 | $ 1,810,208 | |||
Loans held for investment, at fair value | 12,905,280 | 12,261,926 | |||
Accrued interest receivable | 72,418 | 69,513 | |||
Other Assets | 61,531 | 58,320 | |||
Assets | [1] | 15,241,179 | 15,407,403 | ||
Liabilities: | |||||
Securitized debt, collateralized by Non-Agency RMBS | 84,188 | 87,999 | |||
Securitized debt at fair value, collateralized by Loans held for investment | 8,010,170 | 7,726,043 | |||
Accrued interest payable | 21,422 | 20,416 | |||
Other liabilities | 17,910 | 11,574 | |||
Liabilities | [1] | 11,904,451 | 11,671,212 | ||
Allowance for credit losses | 453 | 213 | $ 54 | $ 180 | |
Non-Agency RMBS | |||||
Liabilities: | |||||
Allowance for credit losses | 453 | 213 | |||
Variable Interest Entities, Primary Beneficiary | |||||
Assets: | |||||
Non-Agency RMBS, at fair value | 336,558 | 399,048 | |||
Loans held for investment, at fair value | 10,621,317 | 10,205,587 | |||
Accrued interest receivable | 50,070 | 47,237 | |||
Other Assets | 17,225 | 14,719 | |||
Assets | 11,025,170 | 10,666,591 | |||
Liabilities: | |||||
Securitized debt, collateralized by Non-Agency RMBS | 84,188 | 87,999 | |||
Securitized debt at fair value, collateralized by Loans held for investment | 7,460,747 | 7,118,374 | |||
Accrued interest payable | 16,808 | 15,101 | |||
Other liabilities | 2,378 | 2,181 | |||
Liabilities | $ 7,564,121 | 7,223,655 | |||
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS | |||||
Liabilities: | |||||
Allowance for credit losses | $ 23 | ||||
[1] | The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or V IEs, that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of March 31, 2022, and December 31, 2021, total assets of consolidate d VIEs were $11,025,170 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $7,564,121 and $7,223,655 , respectively. See Note 9 for further discussion. |
Consolidated Securitization V_5
Consolidated Securitization Vehicles and Other Variable Interest Entities - Income, OTTI and Expense Amounts Related to Consolidated VIEs (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Variable Interest Entity [Line Items] | ||
Net interest income | $ 137,702 | $ 135,061 |
(Increase) decrease in provision for credit losses | (240) | 126 |
Servicing fees | 9,291 | 9,281 |
Variable Interest Entities, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
(Increase) decrease in provision for credit losses | (23) | 117 |
Servicing fees | 6,863 | 6,977 |
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 | 131,066 | 158,100 |
Interest expense, Non-recourse liabilities of VIEs | 42,491 | 65,205 |
Net interest income | $ 88,575 | $ 92,895 |
Capital Stock - Preferred Stock
Capital Stock - Preferred Stock (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | Oct. 31, 2021 | |
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 18,408,000 | $ 18,438,000 | ||
Series A Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 3,000,000 | $ 3,000,000 | ||
Preferred stock dividends declared (in USD per share) | $ 0.50 | $ 0.50 | ||
Preferred stock, shares outstanding (shares) | 5,800,000 | 5,800,000 | 5,800,000 | |
Preferred Stock, liquidation preference | $ 145,000 | $ 145,000 | $ 145,000,000 | |
Series B Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 7,000,000 | $ 7,000,000 | ||
Preferred stock dividends declared (in USD per share) | $ 0.50 | $ 0.50 | ||
Preferred stock, shares outstanding (shares) | 13,000,000 | 13,000,000 | ||
Preferred Stock, liquidation preference | $ 325,000 | $ 325,000 | ||
Series C Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 5,000,000 | $ 5,000,000 | ||
Preferred stock dividends declared (in USD per share) | $ 0.484375 | $ 0.484375 | ||
Preferred stock, shares outstanding (shares) | 10,400,000 | 10,400,000 | ||
Preferred Stock, liquidation preference | $ 260,000 | $ 260,000 | ||
Series D Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 4,000,000 | $ 4,000,000 | ||
Preferred stock dividends declared (in USD per share) | $ 0.50 | $ 0.50 | ||
Preferred stock, shares outstanding (shares) | 8,000,000 | 8,000,000 | ||
Preferred Stock, liquidation preference | $ 200,000 | $ 200,000 |
Capital Stock - Common Stock (D
Capital Stock - Common Stock (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2022 | Mar. 31, 2021 | Feb. 28, 2022 | Feb. 28, 2021 | |
Class of Stock [Line Items] | ||||
Stock repurchase program, authorized amount | $ 250,000,000 | |||
Stock repurchased during period (in shares) | 0 | 161,000 | ||
Stock repurchased during period, average price (in dollars per share) | $ 11.39 | |||
Stock repurchased during period | $ 0 | $ 1,828,000 | ||
Remaining authorized repurchase amount | 226,000,000 | |||
Common dividends declared | $ 78,601,000 | $ 69,986,000 | ||
Dividends declared per share of common stock (usd per share) | $ 0.33 | $ 0.30 | ||
Sales Agreements | ||||
Class of Stock [Line Items] | ||||
Aggregate offering price | $ 500,000,000 | |||
Regular Dividend | ||||
Class of Stock [Line Items] | ||||
Common dividends declared | $ 79,000,000 | $ 70,000,000 |
Capital Stock - Warrants (Detai
Capital Stock - Warrants (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Jun. 08, 2020 | |
Class of Stock [Line Items] | |||
Payments for settlement of warrants | $ 0 | $ 219,840,000 | |
Warrant Shares | Common Stock Par Value | |||
Class of Stock [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 | $ 220,000,000 | ||
Credit Agreement | Securitized debt | |||
Class of Stock [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 | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Numerator: | ||
Net income (loss) available to common shareholders - Basic | $ (281,202) | $ 139,153 |
Effect of dilutive securities: | 0 | 1,076 |
Net incomeĀ (loss) available to common shareholders - Diluted | $ (281,202) | $ 140,229 |
Denominator: | ||
Weighted average basic shares (shares) | 237,012,702 | 230,567,231 |
Effect of dilutive securities (shares) | 0 | 30,867,850 |
Weighted average dilutive shares (shares) | 237,012,702 | 261,435,081 |
Net income (loss) per average share attributable to common stockholders - Basic (usd per share) | $ (1.19) | $ 0.60 |
Net income (loss) per average share attributable to common stockholders - Diluted (usd per share) | $ (1.19) | $ 0.54 |
Capital Stock - Dilutive Securi
Capital Stock - Dilutive Securities (Details) - shares shares in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Equity [Abstract] | ||
Securities excluded from computation of EPS (in shares) | 2,000 | 242 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income - Schedule of Components of AOCI (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
AOCI [Roll Forward] | ||
Beginning Balance | $ 3,736,191 | $ 3,779,386 |
OCI before reclassifications | (40,955) | (38,652) |
Amounts reclassified from AOCI | 0 | (25,793) |
Other comprehensive income (loss) | (40,955) | (64,445) |
Ending Balance | 3,336,728 | 3,566,498 |
Unrealized gains (losses) on available-for-sale securities, net | ||
AOCI [Roll Forward] | ||
Beginning Balance | 405,054 | 558,096 |
OCI before reclassifications | (40,955) | (38,652) |
Amounts reclassified from AOCI | 0 | (25,793) |
Other comprehensive income (loss) | (40,955) | (64,445) |
Ending Balance | 364,099 | 493,651 |
Total Accumulated OCI Balance | ||
AOCI [Roll Forward] | ||
Beginning Balance | 405,054 | 558,096 |
Other comprehensive income (loss) | (40,955) | (64,445) |
Ending Balance | $ 364,099 | $ 493,651 |
Accumulated Other Comprehensi_4
Accumulated Other Comprehensive Income - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Amounts reclassified from AOCI | $ 0 | $ 25,793 |
Unrealized gains (losses) on available-for-sale securities, net | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Amounts reclassified from AOCI | $ 0 | $ 25,793 |
Equity Compensation, Employme_2
Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Details) shares in Thousands | 3 Months Ended | ||
Mar. 31, 2022USD ($)installmentshares | Mar. 31, 2021USD ($)trancheshares | Dec. 31, 2021shares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Common dividends declared | $ 3,000,000 | $ 5,000,000 | |
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 | 20,500 | ||
Maximum catch-up contribution if over the age of 50 | 6,500 | ||
Expense related to qualified plan | $ 148,000 | $ 126,000 | |
Maximum | 401(k) Plan | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Employer matching contribution, percent of match | 100.00% | ||
Employer matching contribution, percent of employees' gross pay | 6.00% | ||
Stock Award Deferral Program | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Number of installments | installment | 5 | ||
Restricted Stock | 2007 Equity Incentive Plan | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Vesting period | 3 years | ||
Shares available for future grants (shares) | shares | 1,000 | ||
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) | shares | 1,000 | 914 | |
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) | shares | 723 | 699 | |
Restricted Stock Units (RSUs) | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Performance period | 3 years | ||
Granted shares (shares) | shares | 128 | 182 | |
Grant date fair value | $ 2,000,000 | $ 2,000,000 | |
Restricted Stock Units (RSUs) | Senior Management | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Vesting period | 4 years | ||
Granted shares (shares) | shares | 1,000 | ||
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) | shares | 128 | 182 | |
Grant date fair value | $ 2,000,000 | $ 2,000,000 | |
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% |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Income Tax Disclosure [Abstract] | ||
Income tax expense (benefit) | $ (70) | $ 3,912 |
Credit Risk and Interest Rate_2
Credit Risk and Interest Rate Risk (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Offsetting [Abstract] | ||
Repurchase agreements outstanding | $ 3,400 | $ 3,300 |
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments | 4,500 | 4,400 |
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged | 20 | 19 |
Net amount | $ 1,100 | $ 1,100 |