Cover Page
Cover Page - shares | 9 Months Ended | |
Sep. 30, 2020 | Nov. 06, 2020 | |
Class of Stock [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2020 | |
Document Transition Report | false | |
Entity File Number | 001-34569 | |
Entity Registrant Name | Ellington Financial Inc. | |
Entity Incorporation, State or Country Code | DE | |
Entity Tax Identification Number | 26-0489289 | |
Entity Address, Address Line One | 53 Forest Avenue | |
Entity Address, City or Town | Old Greenwich | |
Entity Address, State or Province | CT | |
Entity Address, Postal Zip Code | 06870 | |
City Area Code | 203 | |
Local Phone Number | 698-1200 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 43,781,684 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q3 | |
Entity Central Index Key | 0001411342 | |
Current Fiscal Year End Date | --12-31 | |
Common Stock | ||
Class of Stock [Line Items] | ||
Title of 12(b) Security | Common Stock, $0.001 par value per share | |
Trading Symbol | EFC | |
Security Exchange Name | NYSE | |
Cumulative Redeemable Preferred Stock | ||
Class of Stock [Line Items] | ||
Title of 12(b) Security | 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | EFC PR A | |
Security Exchange Name | NYSE |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheet - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Assets | |||
Cash and cash equivalents | [1] | $ 126,783 | $ 72,302 |
Restricted cash | [1] | 175 | 175 |
Securities, at fair value(1) | [1] | 1,451,420 | 2,449,941 |
Loans, at fair value | [1] | 1,442,612 | 1,412,426 |
Investment in unconsolidated entities, at fair value | [1] | 95,803 | 71,850 |
Real estate owned | [1] | 24,794 | 30,584 |
Financial derivatives—assets, at fair value | 27,864 | 16,788 | |
Reverse repurchase agreements | 47,041 | 73,639 | |
Due from brokers | [1] | 63,991 | 79,829 |
Investment related receivables | [1] | 67,540 | 123,120 |
Other assets | [1] | 2,850 | 7,563 |
Total Assets | 3,350,873 | 4,338,217 | |
Liabilities | |||
Securities sold short, at fair value | 51,493 | 73,409 | |
Repurchase agreements | [1] | 1,439,984 | 2,445,300 |
Financial derivatives—liabilities, at fair value | 34,814 | 27,621 | |
Due to brokers | 7,147 | 2,197 | |
Investment related payables | [1] | 0 | 66,133 |
Other secured borrowings | [1] | 142,674 | 150,334 |
Other secured borrowings, at fair value | [1] | 695,516 | 594,396 |
Senior notes, net | 85,495 | 85,298 | |
Base management fee payable to affiliate | 2,981 | 2,663 | |
Incentive fee payable to affiliate | 0 | 116 | |
Dividends payable | 5,299 | 6,978 | |
Interest payable | [1] | 2,074 | 7,320 |
Accrued expenses and other liabilities | [1] | 11,119 | 7,753 |
Total Liabilities | 2,478,596 | 3,469,518 | |
Commitments and contingencies | |||
ANALYSIS OF EQUITY: | |||
Preferred stock, par value $0.001 per share, 100,000,000 shares authorized;6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable; 4,600,000 shares issued and outstanding ($115,000 liquidation preference) | 111,034 | 111,034 | |
Common stock, par value $0.001 per share, 100,000,000 shares authorized; 43,779,924 and 38,647,943 shares issued and outstanding, respectively | 44 | 39 | |
Additional paid-in-capital | 916,038 | 821,747 | |
Retained earnings (accumulated deficit) | (191,986) | (103,555) | |
Total Stockholders' Equity | 835,130 | 829,265 | |
Non-controlling interests | [1] | 37,147 | 39,434 |
Total Equity | 872,277 | 868,699 | |
Total Liabilities and Equity | $ 3,350,873 | $ 4,338,217 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Condensed Consolidated Balanc_2
Condensed Consolidated Balance Sheet (Parenthetical) - USD ($) | 9 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | |
Statement of Financial Position [Abstract] | ||
Common shares | $ 0.001 | $ 0.001 |
Common stock, shares authorized | 100,000,000 | 100,000,000 |
Common stock, shares issued | 43,781,684 | 38,647,943 |
Common stock, shares outstanding | 43,781,684 | 38,647,943 |
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 |
Preferred Stock, Shares Authorized | 100,000,000 | 100,000,000 |
Preferred Stock, Shares Issued | 4,600,000 | 4,600,000 |
Preferred Stock, Shares Outstanding | 4,600,000 | 4,600,000 |
Preferred Stock, Dividend Rate, Percentage | 6.75% | |
Preferred Stock, Liquidation Preference, Value | $ 115,000 | $ 115,000 |
Condensed Consolidated Statemen
Condensed Consolidated Statement of Operations - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | ||
Net Interest Income | |||||
Interest income | $ 43,075 | $ 39,985 | $ 134,463 | $ 114,548 | |
Interest expense | (12,937) | (19,954) | (49,713) | (57,275) | |
Total net interest income | 30,138 | 20,031 | 84,750 | 57,273 | |
Other Income (Loss) | |||||
Realized gains (losses) on securities and loans, net | 1,446 | 3,368 | (2,335) | (3,460) | |
Realized (gains) losses on financial derivatives, net | (1,620) | (9,360) | (25,702) | (31,850) | |
Realized gains (losses) on real estate owned, net | (18) | 1,165 | 121 | 1,205 | |
Unrealized gains (losses) on securities and loans, net | 24,208 | 6,519 | (65,418) | 51,395 | |
Unrealized gains (losses) on financial derivatives, net | (298) | 1,473 | (2,109) | (9,136) | |
Unrealized gains (losses) on real estate owned, net | 122 | (22) | (462) | (535) | |
Other, net | (2,747) | 539 | (1,503) | 4,349 | |
Total other income (loss) | 21,093 | 3,682 | (97,408) | 11,968 | |
Expenses | |||||
Base management fee to affiliate (Net of fee rebates) | [1] | 2,981 | 1,942 | 8,330 | 5,324 |
Other investment related expenses | |||||
Servicing expense | 2,379 | 1,940 | 7,402 | 6,578 | |
Debt issuance costs related to Other secured borrowings, at fair value | 0 | 0 | 2,075 | 1,671 | |
Other | 1,199 | 1,347 | 3,328 | 3,668 | |
Professional fees | 1,209 | 698 | 3,819 | 3,832 | |
Compensation expense | 1,085 | 712 | 2,813 | 2,687 | |
Other expenses | 1,625 | 1,156 | 4,876 | 3,194 | |
Total expenses | 10,478 | 7,795 | 32,643 | 26,954 | |
Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities | 40,753 | 15,918 | (45,301) | 42,287 | |
Income Tax Expense (Benefit) | 2,494 | 2 | 3,490 | 378 | |
Earnings (losses) from investments in unconsolidated entities | 11,443 | 2,796 | 10,590 | 6,947 | |
Net Income (Loss) | 49,702 | 18,712 | (38,201) | 48,856 | |
Net income (loss) attributable to non-controlling interests | 1,559 | 1,419 | 1,894 | 3,511 | |
Preferred Stock Dividends, Income Statement Impact | 1,940 | 0 | 5,822 | 0 | |
Net Income (Loss) Attributable to Common Stockholders | $ 46,203 | $ 17,293 | $ (45,917) | $ 45,345 | |
Net Income (Loss) per Share of Common Stock: | |||||
Basic and Diluted (USD per share) | $ 1.06 | $ 0.53 | $ (1.06) | $ 1.47 | |
[1] | See Note 13 for further details on management fee rebates. |
Condensed Consolidated Statem_2
Condensed Consolidated Statement of Operations (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |||
Management Fee Expense, Rebates | $ 201 | $ 503 | [1] | $ 853 | $ 1,458 | [1] |
[1] | See Note 13 for further details on management fee rebates. |
Condensed Consolidated Statem_3
Condensed Consolidated Statement of Changes in Equity - USD ($) $ in Thousands | Total | Total Stockholders' Equity | Common Stock | Additional Paid-in Capital | Retained Earnings/(Accumulated Deficit) | Non-controlling Interest | Common Stock | Common StockTotal Stockholders' Equity | Common StockCommon Stock | Common StockAdditional Paid-in Capital | ||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Preferred Stock, Value, Outstanding | $ 0 | |||||||||||
Beginning balance (in shares) at Dec. 31, 2018 | 29,796,601 | 29,796,601 | ||||||||||
Beginning balance at Dec. 31, 2018 | $ 595,170 | $ 563,833 | $ 0 | $ 665,356 | $ (101,523) | $ 31,337 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Share conversion | [1] | $ 30 | (30) | |||||||||
Net income (loss) | 16,488 | 15,408 | 15,408 | 1,080 | ||||||||
Contributions from non-controlling interests | 2,512 | 2,512 | ||||||||||
Dividends | [2] | (16,764) | (16,360) | (16,360) | (404) | |||||||
Distributions to non-controlling interests | (4,306) | (4,306) | ||||||||||
Adjustment to non-controlling interests | (4) | (4) | 4 | |||||||||
Repurchase of shares of common stock (in shares) | (50,825) | |||||||||||
Repurchase of shares of common stock | (782) | (782) | (782) | |||||||||
Share-based long term incentive plan unit awards | 116 | 114 | 114 | 2 | ||||||||
Ending balance (in shares) at Mar. 31, 2019 | 29,745,776 | |||||||||||
Ending balance at Mar. 31, 2019 | $ 592,434 | 562,209 | $ 30 | 664,654 | (102,475) | 30,225 | ||||||
Beginning balance (in shares) at Dec. 31, 2018 | 29,796,601 | 29,796,601 | ||||||||||
Beginning balance at Dec. 31, 2018 | $ 595,170 | 563,833 | $ 0 | 665,356 | (101,523) | 31,337 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Stock Issued During Period, Shares, New Issues | 4,025,000 | |||||||||||
Shares Issued As Payment of Incentive Fee, Shares | 0 | |||||||||||
Repurchase of shares of common stock (in shares) | (50,825) | |||||||||||
Repurchase of shares of common stock | $ (800) | |||||||||||
Ending balance (in shares) at Sep. 30, 2019 | 33,774,386 | 33,774,386 | ||||||||||
Ending balance at Sep. 30, 2019 | $ 668,967 | 635,446 | $ 34 | 734,628 | (99,216) | 33,521 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Dividends declared (in usd per share) | $ 1.39 | |||||||||||
Preferred Stock, Value, Outstanding | $ 0 | |||||||||||
Beginning balance (in shares) at Mar. 31, 2019 | 29,745,776 | |||||||||||
Beginning balance at Mar. 31, 2019 | 592,434 | 562,209 | $ 30 | 664,654 | (102,475) | 30,225 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Net income (loss) | 13,656 | 12,644 | 12,644 | 1,012 | ||||||||
Contributions from non-controlling interests | 4,936 | 4,936 | ||||||||||
Dividends | [2] | (12,801) | (12,493) | (12,493) | (308) | |||||||
Distributions to non-controlling interests | (5,225) | (5,225) | ||||||||||
Share-based long term incentive plan unit awards | $ 114 | 110 | 110 | 4 | ||||||||
Ending balance (in shares) at Jun. 30, 2019 | 29,745,776 | 29,745,776 | ||||||||||
Ending balance at Jun. 30, 2019 | $ 593,114 | 562,470 | $ 30 | 664,764 | (102,324) | 30,644 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Preferred Stock, Value, Outstanding | 0 | |||||||||||
Net income (loss) | $ 18,712 | 17,293 | 17,293 | 1,419 | ||||||||
Stock Issued During Period, Shares, New Issues | 4,025,000 | 4,025,000 | [3] | |||||||||
Stock Issued During Period, Value, New Issues | [3] | $ 69,810 | $ 69,810 | $ 4 | $ 69,806 | |||||||
Shares Issued As Payment of Incentive Fee, Shares | 0 | |||||||||||
Contributions from non-controlling interests | $ 9,428 | 9,428 | ||||||||||
Dividends | [2] | (14,494) | (14,185) | (14,185) | (309) | |||||||
Distributions to non-controlling interests | $ (7,719) | (7,719) | ||||||||||
Adjustment to non-controlling interests | (56) | (56) | 56 | |||||||||
Stock issued during period, shares, conversion of units | (3,610) | |||||||||||
Repurchase of shares of common stock (in shares) | 0 | |||||||||||
Share-based long term incentive plan unit awards | $ 116 | 114 | 114 | 2 | ||||||||
Ending balance (in shares) at Sep. 30, 2019 | 33,774,386 | 33,774,386 | ||||||||||
Ending balance at Sep. 30, 2019 | $ 668,967 | 635,446 | $ 34 | 734,628 | (99,216) | 33,521 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Dividends declared (in usd per share) | $ 0.42 | |||||||||||
Preferred Stock, Value, Outstanding | $ 0 | |||||||||||
Preferred Stock, Value, Outstanding | $ 111,034 | |||||||||||
Beginning balance (in shares) at Dec. 31, 2019 | 38,647,943 | 38,647,943 | ||||||||||
Beginning balance at Dec. 31, 2019 | $ 868,699 | 829,265 | $ 39 | 821,747 | (103,555) | 39,434 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Net income (loss) | (128,342) | (127,457) | (127,457) | (885) | ||||||||
Stock Issued During Period, Shares, New Issues | [3] | 5,290,000 | ||||||||||
Stock Issued During Period, Value, New Issues | [3] | $ 95,292 | 95,292 | 5 | 95,287 | |||||||
Shares Issued As Payment of Incentive Fee, Shares | 637 | |||||||||||
Shares Issued As Payment of Incentive Fee | $ 12 | $ 12 | $ 0 | $ 12 | ||||||||
Contributions from non-controlling interests | 3,487 | 3,487 | ||||||||||
Dividends | [2] | (20,057) | (19,748) | (19,748) | (309) | |||||||
Dividends, Preferred Stock, Cash | [4] | (1,941) | (1,941) | (1,941) | 0 | |||||||
Distributions to non-controlling interests | (4,798) | (4,798) | ||||||||||
Adjustment to non-controlling interests | (545) | (545) | 545 | |||||||||
Stock issued during period, shares, conversion of units | 129,516 | |||||||||||
Stock Issued During Period, Value, Conversion of Units | 2,378 | 2,378 | 2,378 | |||||||||
Repurchase of shares of common stock (in shares) | (288,172) | |||||||||||
Repurchase of shares of common stock | (3,035) | (3,035) | (3,035) | |||||||||
Share-based long term incentive plan unit awards | 164 | 162 | 162 | 2 | ||||||||
Ending balance (in shares) at Mar. 31, 2020 | 43,779,924 | |||||||||||
Ending balance at Mar. 31, 2020 | $ 809,481 | 774,383 | $ 44 | 916,006 | (252,701) | 35,098 | ||||||
Beginning balance (in shares) at Dec. 31, 2019 | 38,647,943 | 38,647,943 | ||||||||||
Beginning balance at Dec. 31, 2019 | $ 868,699 | 829,265 | $ 39 | 821,747 | (103,555) | 39,434 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Stock Issued During Period, Shares, New Issues | 5,290,000 | |||||||||||
Shares Issued As Payment of Incentive Fee, Shares | 637 | |||||||||||
Repurchase of shares of common stock (in shares) | (290,050) | |||||||||||
Repurchase of shares of common stock | $ (3,100) | |||||||||||
Ending balance (in shares) at Sep. 30, 2020 | 43,781,684 | 43,781,684 | ||||||||||
Ending balance at Sep. 30, 2020 | $ 872,277 | 835,130 | $ 44 | 916,038 | (191,986) | 37,147 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Dividends declared (in usd per share) | $ 0.97 | |||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 0.84375 | |||||||||||
Preferred Stock, Value, Outstanding | $ 111,034 | |||||||||||
Beginning balance (in shares) at Mar. 31, 2020 | 43,779,924 | |||||||||||
Beginning balance at Mar. 31, 2020 | 809,481 | 774,383 | $ 44 | 916,006 | (252,701) | 35,098 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Net income (loss) | 40,439 | 39,219 | 39,219 | 1,220 | ||||||||
Contributions from non-controlling interests | 2,895 | 2,895 | ||||||||||
Dividends | [2] | (11,097) | (10,945) | (10,945) | (152) | |||||||
Dividends, Preferred Stock, Cash | [4] | (1,941) | (1,941) | (1,941) | 0 | |||||||
Distributions to non-controlling interests | (2,280) | (2,280) | ||||||||||
Share-based long term incentive plan unit awards | $ 182 | 180 | 180 | 2 | ||||||||
Ending balance (in shares) at Jun. 30, 2020 | 43,779,924 | 43,779,924 | ||||||||||
Ending balance at Jun. 30, 2020 | $ 837,679 | 800,896 | $ 44 | 916,186 | (226,368) | 36,783 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Preferred Stock, Value, Outstanding | 111,034 | |||||||||||
Net income (loss) | $ 49,702 | 48,143 | 48,143 | 1,559 | ||||||||
Stock Issued During Period, Shares, New Issues | 0 | |||||||||||
Shares Issued As Payment of Incentive Fee, Shares | 0 | |||||||||||
Contributions from non-controlling interests | $ 1,199 | 1,199 | ||||||||||
Dividends | [2] | (11,987) | (11,821) | (11,821) | (166) | |||||||
Dividends, Preferred Stock, Cash | [4] | (1,940) | (1,940) | (1,940) | 0 | |||||||
Distributions to non-controlling interests | $ (2,541) | (2,541) | ||||||||||
Adjustment to non-controlling interests | (369) | (369) | 369 | |||||||||
Stock issued during period, shares, conversion of units | 3,638 | 0 | ||||||||||
Stock Issued During Period, Value, Conversion of Units | 59 | 59 | 59 | |||||||||
Repurchase of shares of common stock (in shares) | (1,878) | (1,878) | ||||||||||
Repurchase of shares of common stock | $ (21) | (21) | (21) | |||||||||
Share-based long term incentive plan unit awards | $ 186 | 183 | 183 | 3 | ||||||||
Ending balance (in shares) at Sep. 30, 2020 | 43,781,684 | 43,781,684 | ||||||||||
Ending balance at Sep. 30, 2020 | $ 872,277 | $ 835,130 | $ 44 | $ 916,038 | $ (191,986) | $ 37,147 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||
Dividends declared (in usd per share) | $ 0.27 | |||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 0.421875 | |||||||||||
Preferred Stock, Value, Outstanding | $ 111,034 | |||||||||||
[1] | See Note 1 for further details on the share conversion. | |||||||||||
[2] | For the three-month periods ended September 30, 2020 and 2019, dividends totaling $0.27 and $0.42, respectively, per share of common stock and convertible unit outstanding, were declared. For the nine-month periods ended September 30, 2020 and 2019, dividends totaling $0.97 and $1.39, respectively, per share of common stock and convertible unit outstanding, were declared. | |||||||||||
[3] | Net of underwriters' discounts and offering costs. | |||||||||||
[4] | For the three- and nine-month periods ended September 30, 2020, dividends totaling $0.421875 and $0.84375, respectively, per share of preferred stock was declared. |
Condensed Consolidated Statem_4
Condensed Consolidated Statement of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | ||
Statement of Cash Flows [Abstract] | |||
Net Income (Loss) | $ (38,201) | $ 48,856 | |
Reconciliation of the net increase (decrease) in equity resulting from operations to net cash provided by (used in) operating activities: | |||
Realized (gains) losses on securities and loans, net | 2,335 | 3,460 | |
Realized (gains) losses on financial derivatives, net | 25,702 | 31,850 | |
Realized (gains) losses on real estate owned, net | (121) | (1,205) | |
Unrealized (gains) losses on securities and loans, net | 65,418 | (51,395) | |
Unrealized (gains) losses on financial derivatives, net | 2,109 | 9,136 | |
Unrealized (gains) losses on real estate owned, net | 462 | 535 | |
Share-based long term incentive plan unit expense | 500 | 300 | |
Debt issuance costs related to Other secured borrowings, at fair value(1) | 0 | (1,034) | |
(Earnings) losses from investments in unconsolidated entities | (10,590) | (6,947) | |
Increase (decrease) in liabilities: | |||
Net cash provided by (used in) operating activities | 82,480 | 56,119 | |
Cash Flows from Investing Activities: | |||
Purchase of securities | (1,189,684) | (1,890,456) | |
Purchase of loans | (548,104) | (701,569) | |
Capital improvements of real estate owned | (153) | (240) | |
Proceeds from disposition of securities | 1,830,612 | 1,353,755 | |
Proceeds from disposition of loans | 8,006 | 28,344 | |
Contributions to investments in unconsolidated entities | (19,711) | (39,369) | |
Distributions from investments in unconsolidated entities | 17,181 | 43,587 | |
Proceeds from disposition of real estate owned | 7,801 | 5,579 | |
Proceeds from principal payments of securities | 284,242 | 175,804 | |
Proceeds from principal payments of loans | 337,748 | 207,413 | |
Proceeds from investments sold short | 264,267 | 508,074 | |
Repurchase of securities sold short | (292,105) | (549,782) | |
Payments on financial derivatives | (99,800) | (79,558) | |
Proceeds from financial derivatives | 68,546 | 45,368 | |
Payments made on reverse repurchase agreements | (6,659,967) | (4,171,036) | |
Proceeds from reverse repurchase agreements | 6,686,565 | 4,343,602 | |
Due from brokers, net | 12,376 | 10,160 | |
Due to brokers, net | 5,641 | (2,995) | |
Net cash provided by (used in) investing activities | 713,461 | (713,319) | |
Cash flows provided by (used in) financing activities: | |||
Net proceeds from issuance of common stock | [1] | 95,537 | 70,035 |
Offering costs paid | (253) | (462) | |
Repurchase of common stock | (3,056) | (782) | |
Dividends paid | (50,642) | (39,226) | |
Contributions from non-controlling interests | 9,134 | 16,876 | |
Distributions to non-controlling interests | (7,961) | (17,250) | |
Proceeds from issuance of securitized debt | 45,963 | 28,490 | |
Proceeds from issuance of Other secured borrowings | 205,357 | 70,988 | |
Principal payment on securitized debt | (59,893) | (51,439) | |
Borrowings under repurchase agreements | 3,445,412 | 6,110,390 | |
Repayments of repurchase agreements | (4,423,440) | (5,540,301) | |
Due from brokers, net | 2,620 | (3,826) | |
Due to brokers, net | (238) | 3,086 | |
Net cash provided by (used in) financing activities | (741,460) | 645,545 | |
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | 54,481 | (11,655) | |
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | 72,477 | 45,081 | |
Cash, Cash Equivalents, and Restricted Cash, End of Period | 126,958 | 33,426 | |
Supplemental disclosure of cash flow information: | |||
Interest paid | 54,958 | 58,298 | |
Dividends payable | 5,299 | 4,833 | |
Contribution from non-controlling interest (non-cash) | 2,340 | 0 | |
Distributions to non-controlling interests | (2,340) | 0 | |
Income tax paid | 505 | 142 | |
Share-based long term incentive plan unit awards (non-cash) | 500 | 300 | |
Transfers from mortgage loans to real estate owned (non-cash) | 2,198 | 18,314 | |
Transfers from mortgage loans to investments in non-consolidated entities (non-cash) | 10,833 | 0 | |
Purchase of investments (non-cash) | 0 | (2,975) | |
Purchase of Loans Non Cash | 6,270 | 0 | |
Proceeds from issuance of Other secured borrowings (non-cash) | 6,270 | 0 | |
Proceeds from principal payments of investments (non-cash) | 138,608 | 78,887 | |
Repayments of repurchase agreement (non-cash) | (27,288) | (148,158) | |
Principal payments on Other secured borrowings, at fair value (non-cash) | (138,608) | (78,887) | |
Proceeds received from Other secured borrowings, at fair value (non-cash) | 27,735 | 148,547 | |
Repayment of senior notes (non-cash) | 0 | (86,000) | |
Issuance of senior notes (non-cash) | $ 0 | $ 86,000 | |
[1] | Net of underwriters' discounts. |
Organization and Investment Obj
Organization and Investment Objective | 9 Months Ended |
Sep. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Investment Objective | Organization and Investment Objective Ellington Financial Inc., formerly known as Ellington Financial LLC, was originally formed as a Delaware limited liability company on July 9, 2007 and commenced operations on August 17, 2007. On February 28, 2019, Ellington Financial LLC filed a certificate of conversion with the Secretary of State of the State of Delaware (the "Secretary") to convert from a Delaware limited liability company to a Delaware corporation (the "Conversion") and change its name to Ellington Financial Inc. The Conversion became effective on March 1, 2019, and upon effectiveness, each of Ellington Financial LLC's existing common shares representing limited liability company interests, no par value, converted into one issued and outstanding, fully paid and nonassessable share of common stock, $0.001 par value per share, of Ellington Financial Inc. In connection with the Conversion, Ellington Financial Inc.'s Board of Directors (the "Board of Directors") approved Ellington Financial Inc.'s Certificate of Incorporation (which was also filed with the Secretary) and Bylaws. Ellington Financial Operating Partnership LLC (the "Operating Partnership"), a 98.8% owned consolidated subsidiary of Ellington Financial Inc., was formed as a Delaware limited liability company on December 14, 2012 and commenced operations on January 1, 2013. All of Ellington Financial Inc.'s operations and business activities are conducted through the Operating Partnership. Ellington Financial Inc., the Operating Partnership, and their consolidated subsidiaries are hereafter collectively referred to as the "Company." All intercompany accounts are eliminated in consolidation. The Company conducts its operations to qualify and be taxed as a real estate investment trust, or "REIT," under the Internal Revenue Code of 1986, as amended (the "Code"), and has elected to be taxed as a corporation effective January 1, 2019. The Company has elected to be taxed as a REIT for U.S. federal income tax purposes. In anticipation of the Company's intended election to be taxed as a REIT under the Code beginning with its 2019 taxable year (the "REIT Election"), the Company implemented an internal restructuring as of December 31, 2018. As part of this restructuring, the Company moved certain of its non-REIT-qualifying investments and financial derivatives to taxable REIT subsidiaries or, "TRSs," and disposed of certain of its investments in non-REIT-qualifying investments and financial derivatives. The Company invests in a diverse array of financial assets, including residential and commercial mortgage loans, residential mortgage-backed securities, or "RMBS," commercial mortgage-backed securities, or "CMBS," consumer loans and asset-backed securities, or "ABS," including ABS backed by consumer loans, collateralized loan obligations, or "CLOs," non-mortgage- and mortgage-related derivatives, equity investments in loan origination companies, and other strategic investments. Ellington Financial Management LLC (the "Manager") is an SEC-registered investment adviser that serves as the Manager to the Company pursuant to the terms of its Seventh Amended and Restated Management Agreement (the "Management Agreement"), which was approved by the Board of Directors effective March 13, 2018. The Manager is an affiliate of Ellington Management Group, L.L.C. ("Ellington"), an investment management firm that is registered as both an investment adviser and a commodity pool operator. In accordance with the terms of the Management Agreement, the Manager implements the investment strategy and manages the business and operations on a day-to-day basis for the Company and performs certain services for the Company, subject to oversight by the Board of Directors. COVID-19 Impact During the first quarter of 2020, there was a worldwide outbreak of a novel coronavirus disease, or "COVID-19." The outbreak was declared a pandemic by the World Health Organization and numerous countries, including the United States, have responded by instituting quarantines or lockdowns, imposing restrictions on travel, restrictions on the ability of individuals to assemble in groups, and restrictions on the ability of certain businesses to operate, all of which have resulted in significant disruptions in the U.S. and global economies. In mid-March 2020, adverse economic conditions related to the COVID-19 pandemic began to impact the Company's financial position and results of operations. The COVID-19 pandemic has contributed to volatility, dislocations in the financial markets, and illiquidity. As a result, during the first quarter of 2020 the Company received margin calls under its repurchase agreements that were higher than typical historical levels. During the second and third quarters, prices for most credit assets, which are assets for which the principal and interest payments are not guaranteed by a U.S. government agency or a U.S. government-sponsored entity, stabilized, and market volatility subsided, and as a result our margin calls reverted to more typical levels. We satisfied all margin calls during the nine-month period ended September 30, 2020. Actions by the U.S. Federal Reserve starting in the second half of March 2020 helped stabilize the market for certain assets, including RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," and investment-grade corporate bonds, while other sectors, including non- investment-grade CMBS and CLOs, noticeably lagged. In light of the heightened levels of market volatility and systemic liquidity risk experienced during the first quarter of 2020, the Company proactively reduced the size of its Agency RMBS portfolio, thereby bolstering its liquidity and lowering its leverage. In the second quarter, the Company resumed making new credit and Agency RMBS investments, but as of September 30, 2020, its investment portfolios were smaller and its debt-to-equity ratio lower than prior to the outbreak of COVID-19, and the Company maintained a higher cash balance. The Company's management team has implemented business continuity plans, and the Company, the Manager, and Ellington continue to be fully operational in a largely work-from-home environment. |
Significant Accounting Policies
Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Significant Accounting Policies (A) Basis of Presentation : The Company's unaudited interim condensed consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," and Regulation S-X. The condensed consolidated financial statements include the accounts of the Company, the Operating Partnership, its subsidiaries, and variable interest entities, or "VIEs," for which the Company is deemed to be the primary beneficiary. All intercompany balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material (particularly in light of the significant volatility, lack of pricing transparency, and market dislocations that have been caused by the COVID-19 pandemic, and associated responses to the pandemic). In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim condensed consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in the condensed consolidated financial statements and notes thereto should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2019 and Part II. Item 1A— Risk Factors, included in the Company's Quarterly Report on Form 10-Q, as amended, for the three-month period ended March 31, 2020. The Company adopted ASC 946, Financial Services—Investment Companies ("ASC 946") upon its commencement of operations in August 2007, and applied U.S. GAAP for investment companies. In connection with the Company's internal restructuring and the Company's intention to qualify as a REIT for the year ended December 31, 2019, the Company determined that, effective January 1, 2019, it no longer qualified for investment company accounting in accordance with ASC 946-10-25, and has prospectively discontinued its use. The Company elected the fair value option, or "FVO," for, and therefore the Company continued to measure at fair value, those of its assets and liabilities it had previously measured at fair value and for which such election is permitted, as provided for under ASC 825, Financial Instruments ("ASC 825"). Due to the prospective application of a change in accounting as required under ASC 946-10-25-2, the Company determined that the presentation of its condensed consolidated financial statements for periods beginning after December 31, 2018 are not comparable to the condensed consolidated financial statements previously prepared for prior periods for which the Company applied ASC 946. Reclassification and Presentation Effective January 1, 2019, the Company prospectively discontinued its application of ASC 946. Upon its change in status, the following significant changes and elections were made: • Investments in securities are now accounted for in accordance with ASC 320, Investments—Debt and Equity Securities ("ASC 320"); • The Company elected the FVO as provided for under ASC 825-10-25-4 for all eligible financial instruments for which the Company had previously measured at fair value, including investments in securities, loans, financial derivatives, and certain of the Company's secured borrowings. As a result, all changes in the fair value of such financial instruments will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations; • Real estate owned, or "REO," is not eligible for the FVO election. As a result, REO is carried at the lower of cost or fair value. The Company's cost basis in any REO that was previously measured at fair value under ASC 946 was adjusted on January 1, 2019 to equal the fair value of such investment as of December 31, 2018; • The Company elected not to designate its financial derivatives as hedging instruments in accordance with ASC 815, Derivatives and Hedging ("ASC 815"). As a result, all changes in the fair value of financial derivatives will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations; • Forward settling to-be-announced mortgage-backed-securities, or "TBAs," are no longer classified as investments. TBAs will be classified as financial derivatives, with the difference between the forward contract price and the market value of the TBA position as of the reporting date included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations; and • The Company is required to account for certain of its equity investments under ASC 323-10, Investments—Equity Method and Joint Ventures ("ASC 323-10"). The Company has elected the FVO for such equity investments and changes in fair value will be reported in Earnings (losses) from investments in unconsolidated entities, on the Condensed Consolidated Statement of Operations. (B) Valuation : The Company applies ASC 820-10, Fair Value Measurement ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: • Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives; • Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, credit default swaps, or "CDS," on individual ABS, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, and private corporate debt and equity investments. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities, or "MBS," TBAs, CLOs, and corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given financial instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically classified as Level 2. Non-Agency RMBS, CMBS, Agency interest only and inverse interest only RMBS, CLOs, and corporate bonds are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments, as well as related non-listed equity investments, are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from third-party pricing services. Private equity investments are generally classified as Level 3. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential and commercial mortgage loans and consumer loans, management determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. Management has obtained third-party valuations on the majority of these investments and expects to continue to solicit third-party valuations in the future. In determining fair value for non-performing mortgage loans, management evaluates third-party valuations, if applicable, as well as management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. In determining fair value for performing mortgage loans and consumer loans, management evaluates third-party valuations, if applicable, as well as discounted cash flows of the loans based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans are classified as Level 3. The Company has securitized certain mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans." The Company's securitized non-QM loans are held as part of a collateralized financing entity, or "CFE." A CFE is a VIE that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810 allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the FVO for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that each consolidated securitization trust meets the definition of a CFE; see Note 10 " Securitization Transactions — Residential Mortgage Loan Securitizations " for further discussion on the Company's securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of each of its CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of each of the CFEs to measure the fair value of the financial assets of each of the CFEs. The fair value of the debt issued by each CFE is typically valued using discounted cash flows and other market data. The securitized non-QM loans, which are assets of the CFEs, are included in Loans, at fair value, on the Company's Condensed Consolidated Balance Sheet. The debt issued by the CFEs is included in Other secured borrowings, at fair value, on the Company's Condensed Consolidated Balance Sheet. Unrealized gains (losses) from changes in fair value of Other secured borrowings, at fair value, are included in Other, net, on the Company's Condensed Consolidated Statement of Operations. The securitized non-QM loans and the debt issued by the Company's CFEs are both classified as Level 3. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities or indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally classified as Level 2. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are classified as Level 3. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its financial derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each financial derivative agreement. Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and independent third party valuation estimates. These investments are classified as Level 3. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2, based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee (the "Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's financial instruments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's condensed consolidated financial statements. (C) Accounting for Securities : Purchases and sales of investments in securities are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. Investments in securities are recorded in accordance with ASC 320 or ASC 325-40, Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company generally classifies its securities as available-for-sale. The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in securities. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, as a component of Unrealized gains (losses) on securities and loans, net, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all investment activities will be recorded in a similar manner. Many of the Company's investments in securities, such as MBS and CLOs, are issued by entities that are deemed to be VIEs. For the majority of such investments, the Company has determined it is not the primary beneficiary of such VIEs and therefore has not consolidated such VIEs. The Company's maximum risk of loss in these unconsolidated VIEs is generally limited to the fair value of the Company's investment in the VIE. The Company evaluates its investments in interest only securities to determine whether they meet the requirements for classification as financial derivatives under ASC 815. For interest only securities, where the holder is entitled only to a portion of the interest payments made on the mortgages underlying certain MBS, and inverse interest only securities, which are interest only securities whose coupon has an inverse relationship to its benchmark rate, such as LIBOR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities. Periods after January 1, 2020— For periods subsequent to the Company's application of the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13"), as discussed below, the Company evaluates the cost basis of its investments in securities on at least a quarterly basis, under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. Periods prior to January 1, 2020— For periods prior to the Company's adoption of ASU 2016-13, the Company evaluated the cost basis of its investments in securities for other-than-temporary impairment, or "OTTI," on at least a quarterly basis. When the fair value of a security was less than its amortized cost basis as of the balance sheet date, the security's cost basis was considered impaired, and the impairment was designated as either temporary or other-than-temporary. When a security's cost basis was impaired, an OTTI was considered to have occurred if (i) the Company intended to sell the security, (ii) it was more likely than not that the Company would have been required to sell the security before recovery of its amortized cost basis, or (iii) the Company did not expect to recover the security's amortized cost basis, even if the Company did not intend to sell the security and it was not more likely than not that the Company would have been required to sell the security. Additionally, for securities accounted for under ASC 325-40, an impairment of the cost basis was recorded when there was an adverse change in the expected cash flows to be received and the fair value of the security was less than its carrying amount. Any resulting OTTI adjustments made to the cost basis of the security were reflected in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. (D) Accounting for Loans : The Company's loan portfolio primarily consists of residential mortgage, commercial mortgage, and consumer loans. The Company's loans are accounted for under ASC 310-10, Receivables , and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. When the Company has the intent to sell loans, such loans will be classified as held-for-sale. Mortgage loans held-for-sale are accounted for under ASC 948-310, Financial services—mortgage banking. The Company may aggregate its loans into pools based on common risk characteristics at purchase. The Company has chosen to elect the FVO pursuant to ASC 825 for its loan portfolios. Loans are recorded at fair value on the Condensed Consolidated Balance Sheet and changes in fair value are recorded in earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. The Company generates income from fees on certain loans, generally commercial mortgage loans, that it originates and holds for investment, including origination and exit fees. Such fee income is recorded when earned and included in Other, net on the Condensed Consolidated Statement of Operations. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. For residential and commercial mortgage loans, the Company generally accrues interest payments. Such loans are typically moved to non-accrual status if the loan becomes 90 days or more delinquent. The Company does not accrue interest payments on its consumer loans; interest payments are recorded upon receipt. Once consumer loans are more than 120 days past due, the Company will generally charge off such loans. The Company evaluates its charged-off loans and determines collectibility, if any, on such loans. The Company evaluates the collectibility of both interest and principal on each of its loan investments and whether the cost basis of the loan is impaired. A loan's cost basis is impaired when, based on current information and market developments, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the FVO on all of its loan investments. Periods after January 1, 2020 —For periods subsequent to the Company's application of the principles of ASU 2016-13, in its assessment of whether a credit loss exists, the Company compares the present value of the amount expected to be collected on the impaired loan with the amortized cost basis of such loan. If the present value of the amount expected to be collected on the impaired loan is less than the amortized cost basis of such loan, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a loan's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the loan's cost basis. This adjustment to the amortized cost basis of the loan is reflected in Realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. Periods prior to January 1, 2020 —For periods prior to the Company's application of the principles of ASU 2016-13, the Company recognized impairments through an adjustment to the amortized cost basis; the Company recognized a realized loss in the period such adjustment was made, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. (E) Interest Income : The Company amortizes premiums and accretes discounts on its debt securities. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon rate. For debt securities that are deemed to be of high credit quality at the time of purchase (generally Agency RMBS, exclusive of interest only securities), premiums and discounts are amortized/accreted into interest income over the life of such securities using the effective interest method. For such securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (generally non-Agency RMBS, CMBS, ABS, CLOs, and interest only securities) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices, GDP growth rates, and unemployment rates). These assumptions are re-evaluated not less than quarterly. Changes in projected cash flows may result in prospective changes in the yield/interest income recognized on such securities based on the updated expected future cash flows. For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, based on current information and market developments, the Company re-assesses the collectibility of interest and principal, and generally designates a loan as in non-accrual status either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as in non-accrual status, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). Periods after January 1, 2020 —Certain of the Company's debt securities and loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. For periods subsequent to the Company's application of the principles of ASU 2016-13, if at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method. Periods prior to January 1, 2020 —Prior to the Company's application of the principles of ASU 2016-13, for each loan acquired that had evidence of credit deterioration since origination and the expectation that either principal or interest would not be paid in full, interest income was generally recognized using the effective interest method for so long as the cash flows could be reasonably estimated. Here, instead of amortizing the purchase discount (i.e., the excess of the unpaid principal balance over the purchase price) over the life of the loan, the Company effectively amortized the accretable yield (i.e., the excess of the Company's estimate of the total cash flows to be collected over the life of the loan over the purchase price). Not less than quarterly, the Company updated its estimate of the cash flows expected to be collected over the life of the loan, and applied revised yields prospectively. In estimating future cash flows on the Company's debt securities, there are a number of assumptions that are subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. (F) Investments in unconsolidated entities : The Company has made an |
Valuation
Valuation | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Valuation | Valuation The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of September 30, 2020 and December 31, 2019: September 30, 2020: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 907,715 $ 12,140 $ 919,855 Non-Agency RMBS — 73,538 139,199 212,737 CMBS — 62,206 42,809 105,015 CLOs — 50,304 112,990 163,294 Asset-backed securities, backed by consumer loans — — 47,298 47,298 Corporate debt securities — — 2,207 2,207 Corporate equity securities — — 1,014 1,014 Loans, at fair value: Residential mortgage loans — — 1,030,709 1,030,709 Commercial mortgage loans — — 252,231 252,231 Consumer loans — — 152,609 152,609 Corporate loans — — 7,063 7,063 Investment in unconsolidated entities, at fair value — — 95,803 95,803 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities — — 351 351 Credit default swaps on asset-backed indices — 9,722 — 9,722 Credit default swaps on corporate bonds — 39 — 39 Credit default swaps on corporate bond indices — 2,419 — 2,419 Interest rate swaps — 13,790 — 13,790 TBAs — 1,150 — 1,150 Total return swaps — — 105 105 Warrants — 31 — 31 Futures 1 — — 1 Forwards — 256 — 256 Total assets $ 1 $ 1,121,170 $ 1,896,528 $ 3,017,699 Liabilities: Securities sold short, at fair value: Government debt $ — $ (51,032) $ — $ (51,032) Corporate debt securities — (461) — (461) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (142) — (142) Credit default swaps on corporate bonds — (580) — (580) Credit default swaps on corporate bond indices — (3,572) — (3,572) Interest rate swaps — (29,774) — (29,774) TBAs — (286) — (286) Futures (331) — — (331) Forwards — (41) — (41) Total return swaps — — (88) (88) Other secured borrowings, at fair value — — (695,516) (695,516) Total liabilities $ (331) $ (85,888) $ (695,604) $ (781,823) December 31, 2019: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 1,917,059 $ 19,904 $ 1,936,963 Non-Agency RMBS — 76,969 89,581 166,550 CMBS — 95,063 29,805 124,868 CLOs — 125,464 44,979 170,443 Asset-backed securities, backed by consumer loans — — 48,610 48,610 Corporate debt securities — — 1,113 1,113 Corporate equity securities — — 1,394 1,394 Loans, at fair value: Residential mortgage loans — — 932,203 932,203 Commercial mortgage loans — — 274,759 274,759 Consumer loans — — 186,954 186,954 Corporate loans — — 18,510 18,510 Investment in unconsolidated entities, at fair value — — 71,850 71,850 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities — — 993 993 Credit default swaps on asset-backed indices — 3,319 — 3,319 Credit default swaps on corporate bonds — 2 — 2 Credit default swaps on corporate bond indices — 5,599 — 5,599 Interest rate swaps — 5,468 — 5,468 TBAs — 596 — 596 Total return swaps — — 620 620 Futures 148 — — 148 Forwards — 43 — 43 Total assets $ 148 $ 2,229,582 $ 1,721,275 $ 3,951,005 Liabilities: Securities sold short, at fair value: Government debt $ — $ (72,938) $ — $ (72,938) Corporate debt securities — (471) — (471) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (250) — (250) Credit default swaps on corporate bonds — (1,693) — (1,693) Credit default swaps on corporate bond indices — (14,524) — (14,524) Interest rate swaps — (8,719) — (8,719) TBAs — (1,012) — (1,012) Futures (45) — — (45) Forwards — (169) — (169) Total return swaps — (773) (436) (1,209) Other secured borrowings, at fair value — — (594,396) (594,396) Total liabilities $ (45) $ (100,549) $ (594,832) $ (695,426) The following tables identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2020 and December 31, 2019: September 30, 2020: Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Non-Agency RMBS $ 85,183 Market Quotes Non Binding Third-Party Valuation $ 9.43 $ 314.93 $ 87.41 CMBS 41,602 Market Quotes Non Binding Third-Party Valuation 4.56 95.32 59.06 CLOs 88,907 Market Quotes Non Binding Third-Party Valuation 2.00 93.50 78.04 Agency interest only RMBS 3,503 Market Quotes Non Binding Third-Party Valuation 0.80 22.13 12.60 Corporate loans 7,063 Market Quotes Non Binding Third-Party Valuation 100.00 100.00 100.00 ABS backed by consumer loans 107 Market Quotes Non Binding Third-Party Valuation 96.01 97.58 96.80 Non-Agency RMBS 54,016 Discounted Cash Flows Yield 0.8 % 60.0 % 8.5 % Projected Collateral Prepayments 13.5 % 77.6 % 59.2 % Projected Collateral Losses 0.0 % 70.3 % 8.7 % Projected Collateral Recoveries 0.0 % 46.5 % 10.3 % Projected Collateral Scheduled Amortization 7.7 % 70.4 % 21.8 % 100.0 % Non-Agency CMBS 1,207 Discounted Cash Flows Yield 23.1 % 25.7 % 23.7 % Projected Collateral Losses 0.7 % 0.9 % 0.8 % Projected Collateral Recoveries 1.9 % 3.8 % 3.4 % Projected Collateral Scheduled Amortization 95.4 % 97.4 % 95.8 % 100.0 % Corporate debt and equity 3,221 Discounted Cash Flows Yield 10.0 % 10.0 % 10.0 % CLOs 24,083 Discounted Cash Flows Yield 6.7 % 85.2 % 20.1 % Projected Collateral Prepayments 65.7 % 88.5 % 71.3 % Projected Collateral Losses 4.4 % 20.9 % 17.0 % Projected Collateral Recoveries 4.3 % 11.2 % 9.7 % Projected Collateral Scheduled Amortization 0.0 % 2.8 % 2.0 % 100.0 % ABS backed by consumer loans 47,191 Discounted Cash Flows Yield 14.0 % 23.6 % 14.1 % Projected Collateral Prepayments 0.0 % 9.8 % 7.3 % Projected Collateral Losses 1.0 % 34.7 % 16.3 % Projected Collateral Scheduled Amortization 56.7 % 99.0 % 76.4 % 100.0 % (continued) Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Consumer loans $ 152,609 Discounted Cash Flows Yield 9.0 % 12.0 % 10.0 % Projected Collateral Prepayments 0.0 % 37.1 % 12.9 % Projected Collateral Losses 1.1 % 86.6 % 10.7 % Projected Collateral Scheduled Amortization 13.4 % 98.2 % 76.4 % 100.0 % Performing commercial mortgage loans 228,560 Discounted Cash Flows Yield 6.8 % 10.4 % 8.0 % Non-performing commercial mortgage loans 23,671 Discounted Cash Flows Yield 9.5 % 16.2 % 12.5 % Months to Resolution 4.9 8.8 7.0 Performing and re-performing residential mortgage loans 245,027 Discounted Cash Flows Yield 0.6 % 54.3 % 6.0 % Securitized residential mortgage loans (1)(2) 760,420 Discounted Cash Flows Yield 1.8 % 7.3 % 4.2 % Non-performing residential mortgage loans 25,262 Discounted Cash Flows Yield 1.5 % 28.4 % 10.3 % Months to Resolution — 90.9 33.2 Total return swaps—asset 105 Discounted Cash Flows Yield 11.7 % 20.8 % 12.7 % Credit default swaps on asset-backed securities 351 Net Discounted Cash Flows Projected Collateral Prepayments 33.3 % 41.0 % 39.2 % Projected Collateral Losses 6.8 % 11.2 % 9.1 % Projected Collateral Recoveries 13.6 % 18.3 % 15.2 % Projected Collateral Scheduled Amortization 35.1 % 41.6 % 36.5 % 100.0 % Agency interest only RMBS 8,637 Option Adjusted Spread ("OAS") LIBOR OAS (3)(4) 160 3,992 954 Projected Collateral Prepayments 0.7 % 100.0 % 78.3 % Projected Collateral Scheduled Amortization 0.0 % 99.3 % 21.7 % 100.0 % Investment in unconsolidated entities 95,803 Enterprise Value Equity Price-to-Book (5) 1.0x 4.0x 1.3x Other secured borrowings, at fair value (1)(6) (695,516) Discounted Cash Flows Yield 1.8% 3.3% 2.4% Total return swaps—liability (88) Discounted Cash Flows Yield 20.8% 20.8% 20.8% (1) Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (2) Includes $37.1 million of non-performing securitized residential mortgage loans. (3) Shown in basis points. (4) For range minimum, range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $1.4 million. Including these securities the weighted average was 596 basis points. (5) Represents an estimation of where market participants might value an enterprise on a price-to-book basis. (6) For range minimum, range maximum, and the weighted average of yield, excludes Other secured borrowings, at fair value with a negative yield, with a total fair value of $(116.1) million. Including these borrowings the weighted average yield was 1.81%. December 31, 2019: Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Non-Agency RMBS $ 38,754 Market Quotes Non Binding Third-Party Valuation $ 6.68 $ 144.79 $ 86.21 CMBS 29,630 Market Quotes Non Binding Third-Party Valuation 5.08 80.72 64.73 CLOs 38,220 Market Quotes Non Binding Third-Party Valuation 40.00 96.00 73.98 Agency interest only RMBS 3,753 Market Quotes Non Binding Third-Party Valuation 1.36 16.61 5.11 Corporate loans 6,010 Market Quotes Non Binding Third-Party Valuation 100.00 100.00 100.00 ABS backed by consumer loans 139 Market Quotes Non Binding Third-Party Valuation 95.47 96.78 96.12 Non-Agency RMBS 50,827 Discounted Cash Flows Yield 3.3 % 60.9 % 10.0 % Projected Collateral Prepayments 0.8 % 72.0 % 49.3 % Projected Collateral Losses 0.0 % 22.7 % 6.6 % Projected Collateral Recoveries 0.0 % 32.4 % 6.9 % Projected Collateral Scheduled Amortization 16.9 % 92.9 % 37.2 % 100.0 % Non-Agency CMBS 175 Discounted Cash Flows Yield 10.0 % 10.0 % 10.0 % Projected Collateral Prepayments 100.0 % 100.0 % 100.0 % 100.0 % Corporate debt and equity 2,507 Discounted Cash Flows Yield 10.0 % 10.0 % 10.0 % CLOs 6,759 Discounted Cash Flows Yield 14.0 % 41.9 % 26.2 % Projected Collateral Prepayments 48.5 % 84.6 % 72.5 % Projected Collateral Losses 11.7 % 36.4 % 19.9 % Projected Collateral Recoveries 3.7 % 15.1 % 7.6 % 100.0 % ABS backed by consumer loans 48,471 Discounted Cash Flows Yield 12.0 % 20.2 % 12.1 % Projected Collateral Prepayments 0.0 % 11.2 % 9.7 % Projected Collateral Losses 0.6 % 18.0 % 15.4 % Projected Collateral Scheduled Amortization 71.3 % 99.4 % 74.9 % 100.0 % (continued) Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Consumer loans $ 186,954 Discounted Cash Flows Yield 7.0 % 10.0 % 8.1 % Projected Collateral Prepayments 0.0 % 44.2 % 16.0 % Projected Collateral Losses 3.0 % 84.5 % 8.6 % Projected Collateral Scheduled Amortization 15.5 % 95.8 % 75.4 % 100.0 % Corporate loans 12,500 Discounted Cash Flows Yield 15.0 % 18.0 % 16.8 % Performing commercial mortgage loans 248,214 Discounted Cash Flows Yield 7.7 % 16.6 % 8.8 % Non-performing commercial mortgage loans 26,545 Discounted Cash Flows Yield 9.8 % 14.7 % 12.4 % Months to Resolution 1.1 23.0 11.4 Performing and re-performing residential mortgage loans 289,672 Discounted Cash Flows Yield 1.6 % 19.5 % 6.2 % Securitized residential mortgage loans (1)(2) 628,415 Discounted Cash Flows Yield 3.2 % 4.3 % 3.6 % Non-performing residential mortgage loans 14,116 Discounted Cash Flows Yield 1.0 % 26.6 % 9.1 % Months to Resolution 1.1 165.4 54.6 Total return swaps—asset 620 Discounted Cash Flows Yield 8.5 % 27.7 % 11.5 % Credit default swaps on asset-backed securities 993 Net Discounted Cash Flows Projected Collateral Prepayments 35.4 % 42.0 % 37.3 % Projected Collateral Losses 4.2 % 12.4 % 10.2 % Projected Collateral Recoveries 10.0 % 18.2 % 15.3 % Projected Collateral Scheduled Amortization 36.2 % 41.5 % 37.2 % 100.0 % Agency interest only RMBS 16,151 Option Adjusted Spread ("OAS") LIBOR OAS (3) 93 3,527 701 Projected Collateral Prepayments 12.3 % 100.0 % 72.3 % Projected Collateral Scheduled Amortization 0.0 % 87.7 % 27.7 % 100.0 % Investment in unconsolidated entities 41,392 Enterprise Value Equity Price-to-Book (4) 1.0x 4.7x 1.7x Investment in unconsolidated entities 30,458 Discounted Cash Flows Yield (5) 3.7% 14.8% 9.9% Other secured borrowings, at fair value (1) (594,396) Discounted Cash Flows Yield 2.9% 4.0% 3.3% Total return swaps—liability (436) Discounted Cash Flows Yield 27.7% 27.7% 27.7% (1) Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (2) Includes $1.5 million of non-performing securitized residential mortgage loans. (3) Shown in basis points. (4) Represent an estimation of where market participants might value an enterprise on a price-to-book basis. (5) Represents the significant unobservable inputs used to fair value the financial instruments of the unconsolidated entity. The fair value of such financial instruments is the largest component of the valuation of such entity as a whole. Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and, when available, to recent trading activity in the same or similar instruments. For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("LIBOR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. The tables below includes a roll-forward of the Company's financial instruments for the three- and nine-month periods ended September 30, 2020 and 2019 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended September 30, 2020 (In thousands) Beginning Balance as of Accreted Net Realized Change in Net Purchases/Payments (1) Sales/Issuances (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Securities, at fair value: Agency RMBS $ 12,907 $ (1,482) $ 494 $ 280 $ 3,490 $ (2,243) $ 2,621 $ (3,927) $ 12,140 Non-Agency RMBS 128,607 884 (77) 2,610 21,138 (6,395) 10,895 (18,463) 139,199 CMBS 65,695 659 8 4,117 12,699 (8) 560 (40,921) 42,809 CLOs 136,466 1,962 (82) 1,920 2,241 (127) 6,483 (35,873) 112,990 Asset-backed securities backed by consumer loans 47,941 (1,435) (4) 1,165 7,455 (7,824) — — 47,298 Corporate debt securities 1,951 — 296 509 28 (577) — — 2,207 Corporate equity securities 1,084 — — (73) 3 — — — 1,014 Loans, at fair value: Residential mortgage loans 948,447 (2,009) (146) 15,672 139,609 (70,864) — — 1,030,709 Commercial mortgage loans 295,496 17 36 (6) 18,881 (62,193) — — 252,231 Consumer loans 166,681 (6,342) (112) (1,627) 28,554 (34,545) — — 152,609 Corporate loan 6,227 — — — 836 — — — 7,063 Investments in unconsolidated entities, at fair value 72,553 — 62 11,381 15,307 (3,500) — — 95,803 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 353 — 1 (2) 3 (4) — — 351 Total return swaps 442 — (129) (338) 209 (79) — — 105 Total assets, at fair value $ 1,884,850 $ (7,746) $ 347 $ 35,608 $ 250,453 $ (188,359) $ 20,559 $ (99,184) $ 1,896,528 Liabilities: Financial derivatives–assets, at fair value: Total return swaps $ (77) $ — $ 4 $ (11) $ (4) $ — $ — $ — $ (88) Other secured borrowings, at fair value (742,688) — — (5,178) 52,350 — — — (695,516) Total liabilities, at fair value $ (742,765) $ — $ 4 $ (5,189) $ 52,346 $ — $ — $ — $ (695,604) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2020. For Level 3 financial instruments held by the Company at September 30, 2020, change in net unrealized gain (loss) of $9.3 million, $14.2 million, $11.3 million, $(0.3) million, $(11) thousand, and $(5.2) million, for the three-month period ended September 30, 2020 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At September 30, 2020, the Company transferred $99.2 million of assets from Level 3 to Level 2 and $20.6 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Three-Month Period Ended September 30, 2019 (In thousands) Beginning Balance as of Accreted Net Realized Change in Net Purchases/ (1) Sales/ (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Securities, at fair value: Agency RMBS $ 11,034 $ (1,164) $ (621) $ 696 $ 13,254 $ — $ 737 $ (437) $ 23,499 Non-Agency RMBS 96,790 (121) 7,836 (6,457) 6,483 (21,457) 5,808 (7,400) 81,482 CMBS 6,278 25 374 (302) 6,815 (1,474) 652 — 12,368 CLOs 17,222 (184) 1,158 184 — (1,139) 15,287 (4,520) 28,008 Asset-backed securities backed by consumer loans 25,019 (611) (100) (320) 18,638 (3,310) — — 39,316 Corporate debt securities 4,081 — (583) 142 6,425 (6,883) — — 3,182 Corporate equity securities 1,791 — (768) (61) 1,316 — — — 2,278 Loans, at fair value: Residential mortgage loans 663,880 (2,241) (400) 3,559 191,512 (58,582) — — 797,728 Commercial mortgage loans 260,034 (52) (1) 507 32,426 (32,288) — — 260,626 Consumer loans 162,609 (6,474) (1,055) 28 33,101 (36,510) — — 151,699 Corporate loans 5,000 — — — 10,790 — — — 15,790 Investment in unconsolidated entities, at fair value 69,676 — (139) 2,935 9,643 (11,680) — — 70,435 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 1,090 — 16 (12) 10 (26) — — 1,078 Total return swaps 87 — (15) 148 — 15 — — 235 Total assets, at fair value $ 1,324,591 $ (10,822) $ 5,702 $ 1,047 $ 330,413 $ (173,334) $ 22,484 $ (12,357) $ 1,487,724 Liabilities: Financial derivatives–liabilities, at fair value: Total return swaps $ — $ — $ 48 $ (214) $ — $ (48) $ — $ — $ (214) Other secured borrowings, at fair value $ (475,816) $ — $ — $ (72) $ 37,259 $ — $ — $ — $ (438,629) Total liabilities, at fair value $ (475,816) $ — $ 48 $ (286) $ 37,259 $ (48) $ — $ — $ (438,843) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2019. For Level 3 financial instruments held by the Company at September 30, 2019, change in net unrealized gain (loss) of $(4.7) million, $4.1 million, $3.3 million, $0.1 million, $(0.2) million, and $(0.1) million, for the three-month period ended September 30, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At September 30, 2019, the Company transferred $12.4 million of assets from Level 3 to Level 2 and $22.5 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Nine-Month Period Ended September 30, 2020 (In thousands) Beginning Balance as of Accreted Net Realized Change in Net Purchases/Payments (1) Sales/Issuances (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Securities, at fair value: Agency RMBS $ 19,904 $ (6,072) $ 614 $ 2,803 $ 8,219 $ (3,295) $ 2,177 $ (12,210) $ 12,140 Non-Agency RMBS 89,581 1,113 303 (1,996) 61,933 (29,811) 22,974 (4,898) 139,199 CMBS 29,805 617 (867) (4,638) 51,432 (32,284) 7,828 (9,084) 42,809 CLOs 44,979 1,237 (7,586) (24,206) 47,730 — 53,462 (2,626) 112,990 Asset-backed securities backed by consumer loans 48,610 (3,584) (200) (1,501) 25,001 (21,028) — — 47,298 Corporate debt securities 1,113 — 504 991 3,450 (3,851) — — 2,207 Corporate equity securities 1,394 — 7 (741) 366 (12) — — 1,014 Loans, at fair value: Residential mortgage loans 932,203 (4,414) (722) 7,008 340,842 (244,208) — — 1,030,709 Commercial mortgage loans 274,759 113 135 (140) 107,608 (130,244) — — 252,231 Consumer loans 186,954 (21,712) (97) (6,965) 104,872 (110,443) — — 152,609 Corporate loan 18,510 — — — 1,053 (12,500) — — 7,063 Investments in unconsolidated entities, at fair value 71,850 — 62 10,528 29,522 (16,159) — — 95,803 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 993 — (955) 915 29 (631) — — 351 Total return swaps 620 — 113 (515) 209 (322) — — 105 Total assets, at fair value $ 1,721,275 $ (32,702) $ (8,689) $ (18,457) $ 782,266 $ (604,788) $ 86,441 $ (28,818) $ 1,896,528 Liabilities: Financial derivatives–liabilities, at fair value: Total return swaps $ (436) $ — $ (501) $ 349 $ 500 $ — $ — $ — $ (88) Other secured borrowings, at fair value (594,396) — — (6,636) 138,608 (233,092) — — (695,516) Total liabilities, at fair value $ (594,832) $ — $ (501) $ (6,287) $ 139,108 $ (233,092) $ — $ — $ (695,604) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2020. For Level 3 financial instruments held by the Company at September 30, 2020, change in net unrealized gain (loss) of $(56.3) million, $12 thousand, $10.2 million, $0.6 million, $(0.1) million, and $(6.6) million, for the nine-month period ended September 30, 2020 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At September 30, 2020, the Company transferred $28.8 million of assets from Level 3 to Level 2 and $86.4 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Nine-Month Period Ended September 30, 2019 (In thousands) Beginning Balance as of Accreted Net Realized Change in Net Purchases/ (1) Sales/ (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Securities, at fair value: Agency RMBS $ 7,293 $ (2,228) $ (1,228) $ 1,430 $ 14,854 $ (463) $ 4,708 $ (867) $ 23,499 Non-Agency RMBS 91,291 104 7,187 (4,482) 10,239 (27,514) 14,633 (9,976) 81,482 CMBS 803 (16) 76 (73) 7,937 (221) 3,862 — 12,368 CLOs 14,915 (670) (536) 1,889 816 (1,125) 15,287 (2,568) 28,008 Asset-backed securities backed by consumer loans 22,800 (1,580) (765) 537 28,189 (9,865) — — 39,316 Corporate debt securities 6,318 22 (928) 65 9,257 (11,552) — — 3,182 Corporate equity securities 1,534 — (910) 337 1,317 — — — 2,278 Loans, at fair value: Residential mortgage loans 496,829 (4,515) 1,554 7,717 452,958 (156,815) — — 797,728 Commercial mortgage loans 195,301 1,087 1,412 (1,844) 128,839 (64,169) — — 260,626 Consumer loans 183,961 (22,432) (4,565) 2,726 103,983 (111,974) — — 151,699 Corporate loan — — — — 15,790 — — — 15,790 Investment in unconsolidated entities, at fair value 72,298 276 1,545 5,125 40,097 (48,906) — — 70,435 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 1,472 — 419 (394) 18 (437) — — 1,078 Total return swaps — — 1 235 — (1) — — 235 Total assets, at fair value $ 1,094,815 $ (29,952) $ 3,262 $ 13,268 $ 814,294 $ (433,042) $ 38,490 $ (13,411) $ 1,487,724 Liabilities: Financial derivatives–liabilities, at fair value: Total return swaps $ — $ — $ 48 $ (214) $ — $ (48) $ — $ — $ (214) Other secured borrowings, at fair value (297,948) — — (32) 78,887 (219,536) — — (438,629) Total liabilities, at fair value $ (297,948) $ — $ 48 $ (246) $ 78,887 $ (219,584) $ — $ — $ (438,843) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2019. For Level 3 financial instruments held by the Company at September 30, 2019, change in net unrealized gain (loss) of $(0.4) million, $10.2 million, $2.4 million, $(0.2) million, $(0.2) million, and $(32) thousand, for the nine-month period ended September 30, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At September 30, 2019, the Company transferred $13.4 million of assets from Level 3 to Level 2 and $38.5 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of September 30, 2020 and December 31, 2019: As of September 30, 2020 December 31, 2019 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 126,783 $ 126,783 $ 72,302 $ 72,302 Restricted cash 175 175 175 175 Due from brokers 63,991 63,991 79,829 79,829 Reverse repurchase agreements 47,041 47,041 73,639 73,639 Liabilities: Repurchase agreements 1,439,984 1,439,984 2,445,300 2,445,300 Other secured borrowings 142,674 142,674 150,334 150,334 Senior notes, net 86,000 85,495 88,365 85,298 Due to brokers 7,147 7,147 2,197 2,197 Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in a segregated account for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short term nature. The Senior notes are considered Level 3 liabilities given the relative unobservability of the most significant inputs to valuation estimation as well as the lack of trading activity of these instruments. As of September 30, 2020 and December 31, 2019, the estimated fair value of the Company's Senior notes was based on a third-party valuation. |
Investment in Securities
Investment in Securities | 9 Months Ended |
Sep. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment in Securities | Investment in Securities The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS backed by consumer loans, and corporate debt and equity. The following tables detail the Company's investment in securities as of September 30, 2020 and December 31, 2019. September 30, 2020: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Life (Years) (2) Long: Agency RMBS: 15-year fixed-rate mortgages $ 69,491 $ 2,641 $ 72,132 $ 1,890 $ (27) $ 73,995 3.31 % 1.89 % 3.38 20-year fixed-rate mortgages 587 39 626 29 — 655 4.71 % 2.94 % 3.88 30-year fixed-rate mortgages 625,882 30,133 656,015 26,286 (371) 681,930 4.06 % 2.42 % 4.06 Adjustable rate mortgages 6,751 173 6,924 123 (1) 7,046 3.65 % 2.15 % 3.35 Reverse mortgages 94,741 5,466 100,207 4,317 — 104,524 4.02 % 2.36 % 5.10 Interest only securities n/a n/a 47,507 5,682 (1,484) 51,705 3.47 % 10.17 % 4.58 Non-Agency RMBS 336,997 (131,976) 205,021 12,488 (7,959) 209,550 3.16 % 6.35 % 4.68 CMBS 184,695 (62,938) 121,757 803 (24,307) 98,253 2.54 % 7.74 % 8.43 Non-Agency interest only securities n/a n/a 8,367 1,832 (250) 9,949 1.17 % 16.73 % 2.75 CLOs n/a n/a 211,236 1 (47,943) 163,294 3.25 % 8.48 % 3.84 ABS backed by consumer loans 71,617 (24,277) 47,340 1,052 (1,094) 47,298 11.82 % 17.39 % 1.08 Corporate debt 24,174 (23,187) 987 1,220 — 2,207 — % — % 2.85 Corporate equity n/a n/a 1,604 160 (750) 1,014 n/a n/a n/a Total Long 1,414,935 (203,926) 1,479,723 55,883 (84,186) 1,451,420 3.86 % 5.05 % 4.37 Short: Corporate debt (450) (6) (456) 5 (10) (461) 5.32 % 5.21 % 4.14 U.S. Treasury securities (14,000) (273) (14,273) — (37) (14,310) 0.63 % 0.41 % 6.21 European sovereign bonds (36,280) 1,622 (34,658) — (2,064) (36,722) 0.22 % 0.06 % 3.36 Total Short (50,730) 1,343 (49,387) 5 (2,111) (51,493) 0.39 % 0.21 % 4.16 Total $ 1,364,205 $ (202,583) $ 1,430,336 $ 55,888 $ (86,297) $ 1,399,927 3.98 % 4.89 % 4.38 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. December 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Life (Years) (2) Long: Agency RMBS: 15-year fixed-rate mortgages $ 314,636 $ 6,369 $ 321,005 $ 2,604 $ (203) $ 323,406 3.05 % 2.28 % 3.05 20-year fixed-rate mortgages 804 49 853 24 — 877 4.62 % 2.99 % 4.80 30-year fixed-rate mortgages 1,358,762 64,846 1,423,608 13,821 (2,830) 1,434,599 4.20 % 2.95 % 6.63 Adjustable rate mortgages 9,651 315 9,966 90 (54) 10,002 3.99 % 2.03 % 4.09 Reverse mortgages 122,670 8,133 130,803 2,023 (26) 132,800 4.43 % 2.78 % 6.67 Interest only securities n/a n/a 34,044 1,624 (389) 35,279 2.81 % 9.27 % 3.86 Non-Agency RMBS 274,353 (122,685) 151,668 12,549 (1,081) 163,136 3.41 % 7.25 % 5.31 CMBS 185,417 (67,961) 117,456 2,990 (480) 119,966 3.31 % 6.62 % 8.94 Non-Agency interest only securities n/a n/a 6,517 1,817 (18) 8,316 1.10 % 8.18 % 4.14 CLOs n/a n/a 169,238 4,219 (3,014) 170,443 5.05 % 9.62 % 4.75 ABS backed by consumer loans 67,080 (19,154) 47,926 1,596 (912) 48,610 12.17 % 14.00 % 1.22 Corporate debt 22,125 (21,241) 884 229 — 1,113 — % — % 0.33 Corporate equity n/a n/a 1,242 152 — 1,394 n/a n/a n/a Total Long 2,355,498 (151,329) 2,415,210 43,738 (9,007) 2,449,941 4.15 % 4.09 % 5.88 Short: Corporate debt (450) (6) (456) — (15) (471) 5.44 % 5.21 % 4.90 U.S. Treasury securities (63,140) 381 (62,759) 63 (298) (62,994) 1.76 % 1.87 % 6.11 European sovereign bonds (9,759) 133 (9,626) — (318) (9,944) 0.77 % 0.12 % 1.58 Total Short (73,349) 508 (72,841) 63 (631) (73,409) 1.65 % 1.66 % 5.49 Total $ 2,282,149 $ (150,821) $ 2,342,369 $ 43,801 $ (9,638) $ 2,376,532 4.23 % 4.01 % 5.90 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. The following tables detail weighted average life of the Company's Agency RMBS as of September 30, 2020 and December 31, 2019. September 30, 2020: ($ in thousands) Agency RMBS Agency Interest Only Securities Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 150,492 $ 146,624 4.26 % $ 8,893 $ 8,267 3.90 % Greater than three years and less than seven years 706,422 678,227 3.95 % 39,604 36,038 3.63 % Greater than seven years and less than eleven years 11,236 11,053 3.01 % 1,048 1,049 0.28 % Greater than eleven years — — — % 2,160 2,153 0.78 % Total $ 868,150 $ 835,904 3.99 % $ 51,705 $ 47,507 3.47 % (1) Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. December 31, 2019: ($ in thousands) Agency RMBS Agency Interest Only Securities Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 188,593 $ 187,099 3.39 % $ 9,011 $ 8,611 3.35 % Greater than three years and less than seven years 961,839 953,031 4.25 % 25,334 24,512 2.66 % Greater than seven years and less than eleven years 713,862 708,805 3.89 % 934 921 1.90 % Greater than eleven years 37,390 37,300 3.51 % — — — % Total $ 1,901,684 $ 1,886,235 4.02 % $ 35,279 $ 34,044 2.81 % (1) Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of September 30, 2020 and December 31, 2019. September 30, 2020: ($ in thousands) Non-Agency RMBS and CMBS Non-Agency IOs CLOs and Other Securities (2) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Less than three years $ 80,873 $ 77,739 3.67 % $ 4,079 $ 2,685 0.55 % $ 61,222 $ 63,694 9.43 % Greater than three years and less than seven years 106,561 102,374 3.38 % 5,870 5,682 1.47 % 150,175 193,955 3.38 % Greater than seven years and less than eleven years 96,327 119,267 2.48 % — — — % 1,402 1,914 — % Greater than eleven years 24,042 27,398 1.04 % — — — % — — — % Total $ 307,803 $ 326,778 2.93 % $ 9,949 $ 8,367 1.17 % $ 212,799 $ 259,563 4.84 % (1) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Other Securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities. (3) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. December 31, 2019: ($ in thousands) Non-Agency RMBS and CMBS Non-Agency IOs CLOs and Other Securities (2) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Less than three years $ 50,120 $ 48,213 2.73 % $ 439 $ 401 1.37 % $ 54,446 $ 54,090 11.11 % Greater than three years and less than seven years 87,436 79,326 4.42 % 7,877 6,116 1.08 % 157,384 155,651 5.38 % Greater than seven years and less than eleven years 127,533 123,924 3.31 % — — — % 8,336 8,307 — % Greater than eleven years 18,013 17,661 0.81 % — — — % — — — % Total $ 283,102 $ 269,124 3.37 % $ 8,316 $ 6,517 1.10 % $ 220,166 $ 218,048 6.60 % (1) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Other Securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities. (3) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following tables detail the components of interest income by security type for the three- and nine-month periods ended September 30, 2020 and 2019: Three-Month Period Ended (In thousands) September 30, 2020 September 30, 2019 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 14,117 $ (7,454) $ 6,663 $ 16,026 $ (6,290) $ 9,736 Non-Agency RMBS and CMBS 3,311 1,911 5,222 3,383 430 3,813 CLOs 2,256 2,179 4,435 3,480 (627) 2,853 Other securities (1) 2,970 (1,435) 1,535 1,670 (611) 1,059 Total $ 22,654 $ (4,799) $ 17,855 $ 24,559 $ (7,098) $ 17,461 Nine-Month Period Ended (In thousands) September 30, 2020 September 30, 2019 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 47,632 $ (25,516) $ 22,116 $ 42,681 $ (15,883) $ 26,798 Non-Agency RMBS and CMBS 10,995 4,001 14,996 10,514 1,666 12,180 CLOs 11,662 1,543 13,205 11,391 (1,138) 10,253 Other securities (1) 8,992 (3,584) 5,408 4,706 (1,528) 3,178 Total $ 79,281 $ (23,556) $ 55,725 $ 69,292 $ (16,883) $ 52,409 (1) Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities. For the three-month periods ended September 30, 2020 and 2019, the Catch-Up Premium Amortization Adjustment was $0.3 million and $(1.5) million, respectively. For the nine-month periods ended September 30, 2020 and 2019, the Catch-Up Premium Amortization Adjustment was $(4.4) million and $(2.9) million, respectively. The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and nine-month periods ended September 30, 2020 and 2019. Three-Month Period Ended (In thousands) September 30, 2020 September 30, 2019 (1) Security Type Proceeds (2) Gross Realized Gains Gross Realized Losses (3) Net Realized Gain (Loss) Proceeds (2) Gross Realized Gains Gross Realized Losses (3) Net Realized Gain (Loss) Agency RMBS $ 10,675 $ 2,467 $ (564) $ 1,903 $ 331,572 $ 4,511 $ (34) $ 4,477 Non-Agency RMBS and CMBS 17,926 1,669 (171) 1,498 16,496 9,606 (341) 9,265 CLOs — — 256 256 2,060 1,287 27 1,314 Other securities (4) 11,861 373 (74) 299 138,000 63 (220) (157) Total $ 40,462 $ 4,509 $ (553) $ 3,956 $ 488,128 $ 15,467 $ (568) $ 14,899 (1) Conformed to current period presentation. (2) Includes proceeds on sales of securities not yet settled as of period end. (3) Excludes realized losses of $(2.5) million and $(10.1) million, for the three-month periods ended September 30, 2020 and 2019, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (4) Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. Nine-Month Period Ended (In thousands) September 30, 2020 September 30, 2019 (1) Security Type Proceeds (2) Gross Realized Gains Gross Realized Losses Net Realized Gain (Loss) Proceeds (2) Gross Realized Gains Gross Realized Losses (3) Net Realized Gain (Loss) Agency RMBS $ 1,438,469 $ 15,982 $ (3,369) $ 12,613 $ 719,082 $ 6,954 $ (1,950) $ 5,004 Non-Agency RMBS and CMBS 116,349 11,081 (3,880) 7,201 165,180 11,356 (3,835) 7,521 CLOs 41,714 1,122 (2,928) (1,806) 58,157 1,169 (816) 353 Other securities (4) 169,172 1,273 (329) 944 602,443 801 (1,206) (405) Total $ 1,765,704 $ 29,458 $ (10,506) $ 18,952 $ 1,544,862 $ 20,280 $ (7,807) $ 12,473 (1) Conformed to current period presentation. (2) Includes proceeds on sales of securities not yet settled as of period end. (3) Excludes realized losses of $(16.3) million and $(16.1) million, for the nine-month periods ended September 30, 2020 and 2019, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (4) Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. The following table presents the fair value and gross unrealized losses of our long securities, excluding those where there are expected credit losses as of the balance sheet date in relation to such securities' cost bases, by length of time that such securities have been in an unrealized loss position at September 30, 2020. September 30, 2020: (In thousands) Less than 12 Months Greater than 12 Months Total Security Type Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Agency RMBS $ 138,286 $ (673) $ 1,881 $ (112) $ 140,167 $ (785) Non-Agency RMBS and CMBS 18,887 (1,560) 1,665 (84) 20,552 (1,644) CLOs 10,204 (10,069) 54 — 10,258 (10,069) Other securities (1) 647 (431) — — 647 (431) Total $ 168,024 $ (12,733) $ 3,600 $ (196) $ 171,624 $ (12,929) (1) Other securities includes ABS backed by consumer loans, corporate debt and equity, and U.S. Treasury securities. The following table presents the fair value and gross unrealized losses of our long securities by length of time that such securities have been in an unrealized loss position at December 31, 2019. December 31, 2019: (In thousands) Less than 12 Months Greater than 12 Months Total Security Type Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Agency RMBS $ 328,968 $ (1,503) $ 125,095 $ (1,999) $ 454,063 $ (3,502) Non-Agency RMBS and CMBS 88,495 (880) 27,218 (699) 115,713 (1,579) CLOs 37,354 (1,911) 9,245 (1,103) 46,599 (3,014) Other securities (1) 16,562 (852) 1,380 (60) 17,942 (912) Total $ 471,379 $ (5,146) $ 162,938 $ (3,861) $ 634,317 $ (9,007) (1) Other securities includes ABS backed by consumer loans, corporate debt and equity, and U.S. Treasury securities. As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. As of September 30, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $28.4 million related to adverse changes in estimated future cash flows on its securities, primarily due to the economic impact of the COVID-19 pandemic. Certain of the Company's securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such securities; as of September 30, 2020, the estimated credit losses on such securities was $4.0 million. As of September 30, 2020, the Company determined for certain securities that a portion of such securities cost basis is not collectible; for the three- and nine-month periods ended September 30, 2020, the Company recognized realized losses on these securities of $(2.5) million and $(16.3) million, respectively, which are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. For the three- and nine-month periods ended September 30, 2019, the Company recognized an impairment charge of $10.1 million and $16.1 million, respectively, on the cost basis of its securities, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. |
Investment in Loans
Investment in Loans | 9 Months Ended |
Sep. 30, 2020 | |
Receivables [Abstract] | |
Investment in Loans | Investment in Loans The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, and corporate loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of September 30, 2020 and December 31, 2019: As of (In thousands) September 30, 2020 December 31, 2019 Loan Type Unpaid Principal Balance Fair Unpaid Principal Balance Fair Residential mortgage loans $ 1,004,980 $ 1,030,709 $ 911,705 $ 932,203 Commercial mortgage loans 252,305 252,231 277,870 274,759 Consumer loans 150,062 152,609 179,743 186,954 Corporate loans 7,063 7,063 18,415 18,510 Total $ 1,414,410 $ 1,442,612 $ 1,387,733 $ 1,412,426 The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. Credit risk in our loan portfolio can be amplified by exogenous shocks impacting our borrowers such as man-made or natural disasters, including the COVID-19 pandemic. The following table provides details, by accrual status, for loans that are 90 days or more past due as of September 30, 2020 and December 31, 2019: As of September 30, 2020 December 31, 2019 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value 90 days or more past due—non-accrual status Residential mortgage loans $ 67,121 $ 64,414 $ 22,092 $ 19,401 Commercial mortgage loans 23,750 23,671 28,936 26,545 Consumer loans 1,284 1,131 5,633 5,225 Residential Mortgage Loans The tables below detail certain information regarding the Company's residential mortgage loans as of September 30, 2020 and December 31, 2019. September 30, 2020: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 996,429 $ 8,676 $ 1,005,105 $ 21,504 $ (4,355) $ 1,022,254 6.23 % 5.15 % 1.66 Residential mortgage loans, held-for-sale 8,551 (863) 7,688 793 (26) 8,455 4.73 % 6.04 % 5.50 Total $ 1,004,980 $ 7,813 $ 1,012,793 $ 22,297 $ (4,381) $ 1,030,709 6.22 % 5.16 % 1.70 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2) Includes $760.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $17.5 million and $(0.2) million of gross unrealized gains and gross unrealized losses, respectively; such unrealized gains (losses) are presented on a gross basis on the Company's Condensed Consolidated Statement of Operations. See Residential Mortgage Loan Securitizations in Note 10 for additional information. December 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 911,705 $ 9,354 $ 921,059 $ 13,082 $ (1,938) $ 932,203 6.44 % 5.79 % 1.90 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2) Includes $628.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2020 and December 31, 2019: Property Location by U.S. State September 30, 2020 December 31, 2019 California 44.0 % 46.6 % Florida 13.8 % 11.9 % Texas 10.4 % 11.9 % Colorado 2.8 % 3.2 % Massachusetts 2.6 % 2.9 % Oregon 2.4 % 2.2 % Arizona 1.9 % 2.4 % Utah 1.9 % 1.9 % Illinois 1.8 % 1.7 % New Jersey 1.8 % 1.1 % Nevada 1.7 % 1.6 % Washington 1.6 % 1.6 % New York 1.3 % 1.3 % North Carolina 1.2 % — % Georgia 1.1 % — % Maryland 1.0 % 1.1 % Connecticut 1.0 % — % Other 7.7 % 8.6 % 100.0 % 100.0 % The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of September 30, 2020 and December 31, 2019. As of September 30, 2020 December 31, 2019 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Re-performing $ 23,002 $ 21,572 $ 27,663 $ 25,323 Non-performing 64,710 62,343 17,757 15,580 As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. At September 30, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $2.6 million related to adverse changes in estimated future cash flows on its residential mortgage loans, primarily due to the economic impact of the COVID-19 pandemic. Certain of the Company's residential mortgage loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such loans; as of September 30, 2020, the estimated credit losses on such loans was $0.4 million. The Company has determined for certain of its residential mortgage loans that a portion of such loans' cost basis is not collectible; for the three- and nine-month periods ended September 30, 2020, the Company recognized realized losses on these loans of $51 thousand and $(0.5) million, which are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. For the three- and nine-month periods ended September 30, 2019, the Company recognized an impairment charge of $0.3 million and $0.7 million, on the cost basis of its residential mortgage loans, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. As of September 30, 2020 and December 31, 2019, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $11.1 million and $10.9 million, respectively. Commercial Mortgage Loans The tables below detail certain information regarding the Company's commercial mortgage loans as of September 30, 2020 and December 31, 2019: September 30, 2020: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Commercial mortgage loans, held-for-investment $ 252,305 $ (122) $ 252,183 $ 535 $ (487) $ 252,231 8.25 % 8.14 % 0.77 (1) Excludes commercial mortgage loans, in non-accrual status, with a fair value of $23.8 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Commercial mortgage loans, held-for-investment $ 277,870 $ (3,302) $ 274,568 $ 253 $ (62) $ 274,759 7.65 % 8.58 % 1.07 (1) Excludes commercial mortgage loans, held at par in non-accrual status, with a fair value of $10.7 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2020 and December 31, 2019: Property Location by U.S. State September 30, 2020 December 31, 2019 Florida 17.6 % 31.7 % New York 16.5 % 17.7 % Pennsylvania 11.5 % — % Connecticut 9.3 % 8.2 % Missouri 6.6 % 4.6 % Ohio 6.1 % — % California 5.7 % — % Massachusetts 5.2 % 4.7 % New Jersey 4.9 % 13.3 % Arizona 3.7 % 3.8 % Virginia 3.6 % 6.8 % Indiana 2.4 % 2.1 % North Carolina 2.0 % 1.8 % Nevada 1.6 % 1.5 % Tennessee 1.6 % 1.5 % Illinois 1.3 % 1.2 % Other 0.4 % 1.1 % 100.0 % 100.0 % As of September 30, 2020, the Company had two non-performing commercial mortgage loans with an unpaid principal balance and fair value of $23.8 million and $23.7 million, respectively. As of December 31, 2019, the Company had three non-performing commercial mortgage loans with an unpaid principal balance and fair value of $28.9 million and $26.5 million, respectively. As described in Note 2, the Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. At September 30, 2020, the expected future credit losses, which it tracks for purposes of calculating interest income, of $0.4 million related to adverse changes in estimated future cash flows on its commercial mortgage loans. For the three- and nine-month periods ended September 30, 2019, the Company did not recognize any impairment charge on the cost basis of its commercial mortgage loans. As of September 30, 2020, the Company did not have any commercial mortgage loans that were in the process of foreclosure. As of December 31, 2019, the Company had two commercial mortgage loans with a fair value of $16.0 million that were in the process of foreclosure. Consumer Loans The tables below detail certain information regarding the Company's consumer loans as of September 30, 2020 and December 31, 2019: September 30, 2020: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value (1) Life (Years) (2) Delinquency (Days) Consumer loans, held-for-investment $ 150,062 $ 7,347 $ 157,409 $ 1,430 $ (6,230) $ 152,609 0.88 4 (1) Includes $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value (1) Life (Years) (2) Delinquency (Days) Consumer loans, held-for-investment $ 179,743 $ 5,027 $ 184,770 $ 2,561 $ (377) $ 186,954 0.82 4 (1) Includes $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of September 30, 2020 and December 31, 2019: Days Past Due September 30, 2020 December 31, 2019 Current 96.2 % 95.3 % 30-59 Days 1.6 % 2.1 % 60-89 Days 1.1 % 1.4 % 90-119 Days 0.8 % 1.2 % >120 Days 0.3 % — % 100.0 % 100.0 % During the three-month periods ended September 30, 2020 and 2019, the Company charged off $3.9 million and $4.9 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. During each of the nine-month periods ended September 30, 2020 and 2019, the Company charged off $13.9 million of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of both September 30, 2020 and December 31, 2019, the Company held charged-off consumer loans with an aggregate fair value of $0.6 million for which the Company has determined that it is probable the servicer will be able to collect principal and interest. As described in Note 2, the Company evaluates the cost basis of its consumer loans for impairment on at least a quarterly basis. At September 30, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $4.7 million on its consumer loans. The Company has determined for certain of its consumer loans that a portion of such loans' cost basis is not collectible; for each of the three- and nine-month periods ended September 30, 2020, the Company recognized realized losses on these loans of $0.1 million. For the three- and nine-month periods ended September 30, 2019, the Company recognized an impairment charge of $1.1 million and $4.6 million, respectively, on the cost basis of its consumer loan pools, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. Corporate Loans The tables below detail certain information regarding the Company's corporate loans as of September 30, 2020 and December 31, 2019: September 30, 2020: Weighted Average ($ in thousands) Unpaid Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 7,063 $ 7,063 19.43 % 1.98 (1) See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2019: Weighted Average ($ in thousands) Unpaid Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1)(2) $ 18,415 $ 18,510 17.62 % 0.87 (1) See Note 13 for further details on the Company's transactions involving a loan originator in which the Company also holds an equity investment. (2) See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans. |
Investments in Unconsolidated E
Investments in Unconsolidated Entities | 9 Months Ended |
Sep. 30, 2020 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Investments in Unconsolidated Entities | Investments in Unconsolidated EntitiesThe Company has various equity investments in entities where it has the ability to exert significant influence over such entity, but does not control such entity. In these cases the criteria for consolidation have not been met and the Company is required to account for such investments under ASC 323-10; the Company has elected the FVO for its investments in unconsolidated entities. As of September 30, 2020 and December 31, 2019, the Company's investments in unconsolidated entities had an aggregate fair value of $95.8 million and $71.9 million, respectively, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. For the three-month periods ended September 30, 2020 and 2019, the Company recognized $11.4 million and $2.8 million, respectively, in Earnings (losses) from investments in unconsolidated entities, on its Condensed Consolidated Statement of Operations. For the nine-month periods ended September 30, 2020 and 2019, the Company recognized $10.6 million and $6.9 million, respectively, in Earnings (losses) from investments in unconsolidated entities, on its Condensed Consolidated Statement of Operations. Certain of the entities that the Company accounts for under ASC 323-10 are deemed to be VIEs, and the maximum amount at risk is generally limited to the Company's investment in the VIE. As of September 30, 2020 and December 31, 2019, the fair value of the Company's investments in unconsolidated entities that have been deemed to be VIEs was $37.1 million and $28.5 million. The following table provides details about the Company's investments in unconsolidated entities as of September 30, 2020 and December 31, 2019: Percentage Ownership Investment in Unconsolidated Entity Form of Investment September 30, 2020 December 31, 2019 Longbridge Financial, LLC (1) Preferred shares 49.7% 49.7% LendSure Mortgage Corp. (1)(2) Common shares 49.9% 49.9% Jepson Holdings Limited (1) Membership Interest 30.1% 30.1% Elizon AFG 2018-1 LLC (1)(3)(4) Membership Interest 22.1% 13.4% Elizon DB 2015-1 LLC (1)(3)(5) Membership Interest 8.5% 3.5% Other Various 7.4%–51.0% 7.7%–51.0% (1) See Note 13 for additional details on the Company's related party transactions. (2) Excludes investment in warrants convertible into non-voting common shares; including such warrants the Company's additional non-voting stake in the entity was 15.0% as of September 30, 2020. See Note 13 Related Party Transactions— Transactions Involving Certain Loan Originators for additional information. (3) The Company has evaluated this entity and determined that it meets the definition of a VIE. The Company evaluated its interest in the VIE and determined that the Company does not have the power to direct the activities of the VIE and does not have control of the underlying assets, where applicable. As a result, the Company determined that it is not the primary beneficiary of this VIE and therefore has not consolidated the VIE. (4) As discussed in Note 13 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 13) each consolidate their segregated portions of the Joint Entity (as defined in Note 13). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated portions of the Joint Entity, was 61.7% and 70.4% as of September 30, 2020 and December 31, 2019, respectively. (5) As discussed in Note 13 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities each consolidate their segregated portions of the Joint Entity . The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated portions of the Joint Entity, was 53.1% and 48.7% as of September 30, 2020 and December 31, 2019, respectively. For the nine-month period ended September 30, 2020, the Company recognized unrealized gains that may be deemed to be significant in relation to the Company's net income related to one of the Company's investments in an unconsolidated entity, a mortgage originator. For the three-month periods ended September 30, 2020 and 2019, the Company recognized $8.9 million and $2.1 million, respectively of unrealized gains included in Earnings (losses) from investments in unconsolidated entities on the Condensed Consolidated Statement of Operations. For the nine-month periods ended September 30, 2020 and 2019, the Company recognized $13.2 million and $0.6 million, respectively of unrealized gains included in Earnings (losses) from investments in unconsolidated entities on the Condensed Consolidated Statement of Operations. The following table provides a summary of the results of operations of this entity for the three- and nine-month periods ended September 30, 2020 and 2019. Three-Month Period Ended Nine-Month Period Ended (In thousands) September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 Revenue $ 4,827 $ 6,957 $ 10,030 $ 14,486 Net income (loss) $ 15,962 $ 4,739 $ 28,901 $ 3,074 |
Real Estate Owned
Real Estate Owned | 9 Months Ended |
Sep. 30, 2020 | |
Real Estate Owned, Disclosure of Detailed Components [Abstract] | |
Real Estate Owned | Real Estate Owned As discussed in Note 2, the Company obtains possession of REO as a result of foreclosures on the associated mortgage loans. The following tables detail activity in the Company's carrying value of REO for the three- and nine-month periods ended September 30, 2020 and 2019: Three-Month Period Ended September 30, 2020 September 30, 2019 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (June 30, 2020 and June 30, 2019, respectively) 13 $ 24,044 20 $ 47,621 Transfers from mortgage loans 4 676 1 601 Capital expenditures and other adjustments to cost 27 — Adjustments to record at the lower of cost or fair value 147 6 Disposals (1) (100) (7) (3,805) Ending Balance (September 30, 2020 and September 30, 2019, respectively) 16 $ 24,794 14 $ 44,423 Nine-Month Period Ended September 30, 2020 September 30, 2019 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (December 31, 2019 and January 1, 2019, respectively) 15 $ 30,584 20 $ 30,778 Transfers from mortgage loans 9 2,198 5 18,314 Capital expenditures and other adjustments to cost 153 240 Adjustments to record at the lower of cost or fair value (813) (257) Disposals (8) (7,328) (11) (4,652) Ending Balance (September 30, 2020 and September 30, 2019, respectively) 16 $ 24,794 14 $ 44,423 During the three-month period ended September 30, 2020, the Company sold one REO property, realizing a net gain (loss) of approximately $(18) thousand. During the three-month period ended September 30, 2019, the Company sold seven REO properties, realizing a net gain (loss) of approximately $1.2 million. During the nine-month period ended September 30, 2020, the Company sold eight REO properties, realizing a net gain (loss) of approximately $0.1 million. During the nine-month period ended September 30, 2019, the Company sold eleven REO properties, realizing a net gain (loss) of approximately $1.2 million. Such realized gains (losses) are included in R ealized gains (losses) on real estate owned, net, on the Company's Condensed Consolidated Statement of Operations. As of September 30, 2020 and December 31, 2019 all of the Company's REO had been obtained as a result of obtaining physical possession through foreclosure. As of September 30, 2020 and December 31, 2019, the Company had REO measured at fair value on a non-recurring basis of $18.4 million and $19.4 million, respectively. |
Financial Derivatives
Financial Derivatives | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Financial Derivatives | Financial Derivatives The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company manages certain risks associated with its investments and borrowings, including interest rate, credit, liquidity, and foreign exchange rate risk primarily by managing the amount, sources, and duration of its investments and borrowings, and through the use of derivative financial instruments. The Company's derivative financial instruments are used to manage differences in the amount, timing, and duration of its known or expected cash receipts and its known or expected cash payments principally related to its investments and borrowings. The following table details the fair value of the Company's holdings of financial derivatives as of September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 394 $ 90 TBA securities sale contracts 756 506 Fixed payer interest rate swaps 5 3,914 Fixed receiver interest rate swaps 13,785 1,554 Credit default swaps on asset-backed securities 351 993 Credit default swaps on asset-backed indices 9,722 3,319 Credit default swaps on corporate bonds 39 2 Credit default swaps on corporate bond indices 2,419 5,599 Total return swaps 105 620 Futures 1 148 Forwards 256 43 Warrants 31 — Total financial derivatives–assets, at fair value 27,864 16,788 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts $ (156) $ — TBA securities sale contracts (130) (1,012) Fixed payer interest rate swaps (29,712) (8,513) Fixed receiver interest rate swaps (62) (206) Credit default swaps on asset-backed indices (142) (250) Credit default swaps on corporate bonds (580) (1,693) Credit default swaps on corporate bond indices (3,572) (14,524) Total return swaps (88) (1,209) Futures (331) (45) Forwards (41) (169) Total financial derivatives–liabilities, at fair value (34,814) (27,621) Total $ (6,950) $ (10,833) Interest Rate Swaps The following tables provide information about the Company's fixed payer interest rate swaps as of September 30, 2020 and December 31, 2019: September 30, 2020: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2021 $ 17,500 $ (223) 2.75 % 0.23 % 0.47 2022 129,975 (1,952) 1.21 0.26 1.40 2023 146,012 (5,052) 1.50 0.24 2.67 2025 31,500 (902) 0.95 0.25 4.61 2026 28,104 (1,463) 1.25 0.22 5.74 2027 34,000 (89) 0.49 0.22 6.73 2028 32,942 (4,721) 2.40 0.23 7.59 2029 92,594 (9,789) 1.78 0.25 9.04 2030 68,463 (2,781) 1.10 0.25 9.44 2036 1,100 (84) 1.45 0.22 15.39 2049 5,796 (2,651) 2.89 0.30 28.28 Total $ 587,986 $ (29,707) 1.43 % 0.25 % 5.15 December 31, 2019: Weighted Average Maturity Notional Amount (1) Fair Value (1) Pay Rate (2)(3) Receive Rate (2) Remaining Years to Maturity (4) (In thousands) 2020 $ 68,607 $ (234) 1.74 % 1.93 % 0.24 2021 268,929 (419) 1.73 1.95 1.64 2022 31,350 9 1.65 1.93 2.14 2023 101,012 (1,265) 2.06 1.91 3.29 2024 13,000 99 1.56 1.89 4.90 2025 12,800 (24) n/a n/a 5.22 2026 59,902 1,946 1.24 1.94 6.50 2028 32,942 (1,634) 2.40 1.93 8.34 2029 136,838 (2,018) 2.02 1.96 9.61 2030 685 (32) 2.38 1.90 10.90 2036 1,100 87 1.45 1.94 16.14 2049 5,796 (1,114) 2.89 2.09 29.03 Total $ 732,961 $ (4,599) 1.83 % 1.94 % 4.31 (1) Includes forward-starting interest rate swaps with a notional amount of $20.9 million and fair value of $(41) thousand. (2) Excludes forward-starting interest rate swaps. (3) Including forward-starting interest rate swaps the total weighted average pay rate was 1.83%. (4) Includes forward-starting interest rate swaps, all of which start within six months of period end. The following tables provide information about the Company's fixed receiver interest rate swaps as of September 30, 2020 and December 31, 2019: September 30, 2020: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2021 $ 12,950 $ 201 0.23 % 1.75 % 0.96 2022 87,683 1,514 0.26 1.33 1.45 2023 48,657 2,234 0.23 2.00 2.51 2024 86,342 5,262 0.26 1.65 3.99 2025 39,685 226 0.24 0.44 4.66 2027 25,108 343 0.30 0.63 6.50 2029 9,800 1,030 0.24 1.78 9.02 2030 128,335 2,913 0.25 0.90 9.47 Total $ 438,560 $ 13,723 0.25 % 1.25 % 5.15 December 31, 2019: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2021 $ 181,950 $ (49) 1.89 % 1.67 % 1.84 2022 53,974 441 1.91 1.85 2.17 2023 48,657 709 1.92 2.00 3.26 2024 11,342 306 2.09 2.33 4.23 2029 9,800 (59) 1.91 1.78 9.77 Total $ 305,723 $ 1,348 1.91 % 1.78 % 2.47 Credit Default Swaps The following table provides information about the Company's credit default swaps as of September 30, 2020 and December 31, 2019: As of September 30, 2020 December 31, 2019 Type (1) Notional Fair Value Weighted Average Remaining Term (Years) Notional Fair Value Weighted Average Remaining Term (Years) ($ in thousands) Asset: Long: Credit default swaps on asset-backed indices $ 416 $ 6 17.25 $ 695 $ 10 23.80 Credit default swaps on corporate bonds 1,600 39 5.22 430 2 0.47 Credit default swaps on corporate bond indices 69,381 1,913 2.71 130,707 5,547 2.42 Short: Credit default swaps on asset-backed securities (955) 351 14.95 (2,640) 993 15.63 Credit default swaps on asset-backed indices (30,668) 9,716 37.71 (63,515) 3,309 38.40 Credit default swaps on corporate bond indices (10,036) 506 1.64 (1,997) 52 3.97 Liability: Long: Credit default swaps on asset-backed indices 480 (142) 32.61 344 (145) 29.35 Short: Credit default swaps on asset-backed indices (1) — 29.25 (4,501) (105) 40.31 Credit default swaps on corporate bonds (12,200) (580) 3.71 (10,800) (1,693) 3.92 Credit default swaps on corporate bond indices (126,983) (3,572) 2.07 (250,088) (14,524) 2.51 $ (108,966) $ 8,237 11.71 $ (201,365) $ (6,554) 14.88 (1) Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection. Futures The following table provides information about the Company's long and short positions in futures as of September 30, 2020 and December 31, 2019: As of September 30, 2020 December 31, 2019 Description Notional Amount Fair Value Remaining Months to Expiration Notional Amount Fair Value Remaining Months to Expiration (In thousands) (In thousands) Assets: Short Contracts: U.S. Treasury futures $ (300) $ 1 2.73 $ — $ — — Liabilities: Long Contracts: U.S. Treasury futures $ 1,900 $ (31) 2.73 — — — Short Contracts: U.S. Treasury futures (165,600) (300) 3.00 (16,000) 148 2.77 Eurodollar futures — — — (14,000) (45) 4.05 Total, net $ (164,000) $ (330) 3.00 $ (30,000) $ 103 3.37 Warrants The following table provides information about the Company's warrants contracts to purchase shares as of September 30, 2020 and December 31, 2019: September 30, 2020 As of December, 31, 2019 Description Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration (In thousands) (In thousands) Warrants 1,546 $ 31 2.08 1,515 $ — 2.82 TBAs The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for investment purposes, including holding long positions. The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. As of September 30, 2020 and December 31, 2019, the Company had outstanding TBA purchase and sale contracts as follows: September 30, 2020 December 31, 2019 TBA Securities Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) (In thousands) Purchase contracts: Assets $ 100,890 $ 103,882 $ 104,276 $ 394 $ 40,100 $ 40,585 $ 40,675 $ 90 Liabilities 68,000 71,370 71,214 (156) — — — — 168,890 175,252 175,490 238 40,100 40,585 40,675 90 Sale contracts: Assets (401,722) (428,049) (427,293) 756 (319,981) (332,080) (331,574) 506 Liabilities (86,845) (91,369) (91,499) (130) (773,749) (806,568) (807,580) (1,012) (488,567) (519,418) (518,792) 626 (1,093,730) (1,138,648) (1,139,154) (506) Total TBA securities, net $ (319,677) $ (344,166) $ (343,302) $ 864 $ (1,053,630) $ (1,098,063) $ (1,098,479) $ (416) (1) Notional amount represents the principal balance of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet. Gains and losses on the Company's derivative contracts for the three- and nine-month periods ended September 30, 2020 and 2019 are summarized in the tables below: Three-Month Period Ended September 30, 2020: Derivative Type Primary Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps (1) Net Realized Gains (Losses) on Financial Derivatives (1) Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2) Change in Net Unrealized Gains (Losses) on Financial Derivatives (2) (In thousands) Interest rate swaps Interest Rate $ (1,150) $ (29) $ (1,179) $ 516 $ 1,104 $ 1,620 Credit default swaps on asset-backed securities Credit 1 1 (1) (1) Credit default swaps on asset-backed indices Credit (239) (239) 503 503 Credit default swaps on corporate bond indices Credit (1,067) (1,067) (1,059) (1,059) Credit default swaps on corporate bonds Credit (93) (93) (334) (334) Total return swaps Credit (125) (125) (348) (348) TBAs Interest Rate 2,367 2,367 (744) (744) Futures Interest Rate (402) (402) 52 52 Forwards Currency (898) (898) 33 33 Total $ (1,150) $ (485) $ (1,635) $ 516 $ (794) $ (278) (1) Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $(15) thousand for the three-month period ended September 30, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2) Includes foreign currency remeasurement on financial derivatives in the amount of $20 thousand for the three-month period ended September 30, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net. Three-Month Period Ended September 30, 2019 Derivative Type Primary Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps (1) Net Realized Gains (Losses) on Financial Derivatives (1) Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2) Change in Net Unrealized Gains (Losses) on Financial Derivatives (2) (In thousands) Interest rate swaps Interest Rate $ 82 $ 34 $ 116 $ 171 $ (2,598) $ (2,427) Credit default swaps on asset-backed securities Credit 16 16 (12) (12) Credit default swaps on asset-backed indices Credit (261) (261) (81) (81) Credit default swaps on corporate bond indices Credit (1,113) (1,113) 909 909 Credit default swaps on corporate bonds Credit (259) (259) 268 268 Total return swaps Equity Market/Credit 251 251 (716) (716) TBAs Interest Rate (5,067) (5,067) 1,542 1,542 Futures Interest Rate/Currency (3,551) (3,551) 1,627 1,627 Forwards Currency 525 525 379 379 Total $ 82 $ (9,425) $ (9,343) $ 171 $ 1,318 $ 1,489 (1) Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $17 thousand for the three-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2) Includes foreign currency remeasurement on financial derivatives in the amount of $16 thousand for the three-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. Nine-Month Period Ended September 30, 2020: Derivative Type Primary Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps (1) Net Realized Gains (Losses) on Financial Derivatives (1) Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2) Change in Net Unrealized Gains (Losses) on Financial Derivatives (2) (In thousands) Interest rate swaps Interest Rate $ (1,900) $ (8,761) $ (10,661) $ 541 $ (16,373) $ (15,832) Credit default swaps on asset-backed securities Credit (955) (955) 915 915 Credit default swaps on asset-backed indices Credit 3,660 3,660 7,642 7,642 Credit default swaps on corporate bond indices Credit (550) (550) 3,080 3,080 Credit default swaps on corporate bonds Credit 356 356 711 711 Total return swaps Credit (2,180) (2,180) 607 607 TBAs Interest Rate (6,778) (6,778) 1,280 1,280 Futures Interest Rate (7,866) (7,866) (434) (434) Forwards Currency (616) (616) 343 343 Warrants Equity Market/Credit — — (382) (382) Options Credit (100) (100) — — Total $ (1,900) $ (23,790) $ (25,690) $ 541 $ (2,611) $ (2,070) (1) Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $12 thousand for the nine-month period ended September 30, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2) Includes foreign currency remeasurement on financial derivatives in the amount of $39 thousand for the nine-month period ended September 30, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net. Nine-Month Period Ended September 30, 2019: Derivative Type Primary Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps (1) Net Realized Gains (Losses) on Financial Derivatives (1) Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2) Change in Net Unrealized Gains (Losses) on Financial Derivatives (2) (In thousands) Interest rate swaps Interest Rate $ 852 $ (1,117) $ (265) $ (60) $ (11,915) $ (11,975) Credit default swaps on asset-backed securities Credit 419 419 (394) (394) Credit default swaps on asset-backed indices Credit (1,245) (1,245) (832) (832) Credit default swaps on corporate bond indices Credit (4,387) (4,387) (1,026) (1,026) Credit default swaps on corporate bonds Credit (764) (764) 1,110 1,110 Total return swaps Equity Market/Credit (1,046) (1,046) (681) (681) TBAs Interest Rate (17,183) (17,183) 3,680 3,680 Futures Interest Rate/Currency (8,365) (8,365) 761 761 Forwards Currency 1,068 1,068 228 228 Options Interest Rate (35) (35) 1 1 Total $ 852 $ (32,655) $ (31,803) $ (60) $ (9,068) $ (9,128) (1) Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $47 thousand for the nine-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2) Includes foreign currency remeasurement on financial derivatives in the amount of $8 thousand for the nine-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the nine-month period ended September 30, 2020 and year ended December 31, 2019: Derivative Type Nine-Month Year Ended (In thousands) Interest rate swaps $ 1,078,808 $ 731,941 TBAs 732,048 973,331 Credit default swaps 290,822 399,316 Total return swaps 7,819 39,434 Futures 143,440 167,708 Options 1,950 19,825 Forwards 36,935 30,930 Warrants 1,543 2,222 From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of September 30, 2020 and December 31, 2019, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets. Written credit derivatives held by the Company at September 30, 2020 and December 31, 2019 are summarized below: Credit Derivatives September 30, 2020 December 31, 2019 (In thousands) Fair Value of Written Credit Derivatives, Net $ 1,816 $ 5,414 Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) — (3,248) Notional Value of Written Credit Derivatives (2) 71,877 132,176 Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) — (81,637) (1) Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. (2) The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform ( i.e. , make protection payments) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. For the Company's written credit derivatives that were outstanding at September 30, 2020 and December 31, 2019, implied credit spreads on such contracts ranged between 53.2 and 382.3 basis points and 10.9 and 440.0 basis points, respectively. Excluded from these spread ranges are contracts outstanding for which the individual spread is greater than 2,000 basis points. The Company believes that these contracts would be quoted based on estimated points up front. The total fair value of contracts with individual implied credit spreads in excess of 2,000 basis points was $(0.1) million as of both September 30, 2020 and December 31, 2019. Estimated points up front on these contracts as of September 30, 2020 ranged between 54.2 and 85.2 and as of December 31, 2019 estimated points up front on these contracts was 57.0. Total net up-front payments (paid) or received relating to written credit derivatives outstanding at September 30, 2020 and December 31, 2019 were $(2.1) million and $(3.3) million, respectively. |
Consolidated VIEs
Consolidated VIEs | 9 Months Ended |
Sep. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Consolidated VIEs | Consolidated VIEs As discussed in Note 2, the Company has interests in entities that it has determined to be VIEs. The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Condensed Consolidated Balance Sheet as of September 30, 2020 and December 31, 2019. (In thousands) September 30, 2020 (1) December 31, 2019 (1) Assets Cash and cash equivalents $ 1,152 $ 6,016 Restricted cash 175 175 Securities, at fair value 46,857 47,923 Loans, at fair value 1,423,035 1,393,916 Investments in unconsolidated entities, at fair value 6,289 5,641 Real estate owned 24,794 30,584 Investment related receivables 43,542 28,668 Other assets 2,250 6,191 Total Assets $ 1,548,094 $ 1,519,114 Liabilities Repurchase agreements $ 260,310 $ 302,791 Investment related payables — 3,275 Other secured borrowings 142,674 150,334 Other secured borrowings, at fair value 695,516 594,396 Interest payable 402 1,247 Accrued expenses and other liabilities 1,301 2,279 Total Liabilities 1,100,203 1,054,322 Total Stockholders' Equity 422,217 440,394 Non-controlling interests 25,674 24,400 Total Equity 447,891 464,794 Total Liabilities and Equity $ 1,548,094 $ 1,519,116 (1) See Note 10 and Note 13 for additional information on the Company's consolidated VIEs. |
Securitization Transactions
Securitization Transactions | 9 Months Ended |
Sep. 30, 2020 | |
Securitization Transactions [Abstract] | |
Securitization Transactions | Securitization Transactions Participation in CLO Transactions Since June 2017, an affiliate of Ellington has sponsored four CLO securitization transactions (the "Ellington-sponsored CLO Securitizations"), collateralized by corporate loans and managed by an affiliate of Ellington (the "CLO Manager"). Ellington, the Company, several other affiliates of Ellington, and in certain cases, third parties, participated in the Ellington-sponsored CLO Securitizations (collectively, the "CLO Co-Participants"). Pursuant to each Ellington-sponsored CLO Securitization, a newly formed securitization trust (each a "CLO Issuer") issued various classes of notes, which were in turn sold to unrelated third parties and the applicable CLO Co-Participants. The CLO Issuers are each deemed to be a VIE. The Company evaluates its interests in the CLO Issuers under ASC 810, and while the Company retains credit risk in each of the securitization trusts through its beneficial ownership of a portion of the subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, the Company does not retain control of these assets or the power to direct the activities of the CLO Issuers that most significantly impact the CLO Issuers' economic performance. As a result, the Company determined that it is not the primary beneficiary of the CLO Issuers, and therefore the Company has not consolidated the CLO Issuers. The Company's maximum amount at risk is limited to the Company's investment in each of the CLO Issuers. As of September 30, 2020 and December 31, 2019, the fair value of the Company's investment in the notes issued by the CLO Issuers was $13.8 million and $39.7 million, respectively. See Note 13 for further details on the Company's participation in CLO transactions. Residential Mortgage Loan Securitizations Since November 2017, the Company, through certain wholly owned subsidiaries (each, a "Sponsor"), has sponsored several securitizations of non-QM loans. In each case, the applicable Sponsor transferred a pool of non-QM loans (each, a Collateral Pool") to a wholly owned entity (each, a "Depositor") and on the closing date such loans were deposited into newly created securitization trusts (collectively, the "Issuing Entities"). Pursuant to the securitizations, the Issuing Entities issued various classes of mortgage pass-through certificates (the "Certificates") which are backed by the cash flows from the underlying non-QM loans. Under the Dodd-Frank Act, sponsors of securitizations are generally required to retain at least 5% of the economic interest in the credit risk of the securitized assets (the "Risk Retention Rules"). In order to comply with the Risk Retention Rules, in each securitization, the applicable Sponsor purchased and intends to hold, at a minimum, the requisite amount of the most subordinated classes of Certificates and the excess cash flow certificates. The applicable Sponsor also purchased the Certificates entitled to excess servicing fees in each securitization, while the remaining classes of Certificates were purchased by unrelated parties. Notwithstanding that the Certificates carry final scheduled distribution dates of October 25, 2047 or later, the applicable Depositor may, at its sole option, purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) the applicable anniversary of the closing date (typically two or three years) of the respective securitization or (2) the date on which the aggregate unpaid principal balance of the applicable Collateral Pool has declined below 30% of the aggregate unpaid principal balance of the applicable Collateral Pool as of the date as of which such loans were originally transferred to the applicable Issuing Entity. The purchase price that the Depositor is required to pay in connection with an Optional Redemption is equal to the sum of the unpaid principal balance of each class of Certificates as of the redemption date and any accrued and unpaid interest thereon. In light of these Optional Redemption rights held by the applicable Depositor, the transfers of non-QM loans to each of the Issuing Entities do not qualify as sales under ASC 860-10. In the event that certain breaches of representations or warranties are discovered with respect to any underlying non-QM loans, the Company could be required to repurchase or replace such loans. Each Sponsor also serves as the servicing administrator of its respective securitization, for which it is entitled to receive a monthly fee equal to one-twelfth of the product of (a) 0.03% and (b) the unpaid principal balance of the underlying non-QM loans as of the first day of the related due period. Each Sponsor in its role as servicing administrator provides direction and consent for certain loss mitigation activities to the third-party servicer of the underlying non-QM loans. In certain circumstances, the servicing administrator will be required to reimburse the servicer for principal and interest advances and servicing advances made by the servicer. In light of the Company's retained interests in each of the securitizations, together with the Optional Redemption rights and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities, the Company is deemed to be the primary beneficiary of the Issuing Entities, which are VIEs, and has consolidated the Issuing Entities. Interest income from these loans and the expenses related to the servicing of these loans are included in Interest income and Investment related expenses—Servicing expense, respectively, on the Condensed Consolidated Statement of Operations. The Issuing Entities each meet the definition of a CFE as defined in Note 2, and as a result the assets of each of the Issuing Entities have been valued using the fair value of the liabilities of the respective Issuing Entity, as such liabilities have been assessed to be more observable than such assets. The debt of the Issuing Entities is included in Other secured borrowings, at fair value, on the Condensed Consolidated Balance Sheet and is shown net of the Certificates held by the Company. In November 2019, the Company exercised its Optional Redemption right with respect to Ellington Financial Mortgage Trust 2017-1. The following table details the Company's outstanding consolidated residential mortgage loan securitizations: Issuing Entity Closing Date Principal Balance of Loans Transferred to the Depositor Total Face Amount of Certificates Issued (In thousands) Ellington Financial Mortgage Trust 2018-1 11/18 $ 232,518 $ 232,518 (1) Ellington Financial Mortgage Trust 2019-1 6/19 226,913 226,913 (2) Ellington Financial Mortgage Trust 2019-2 11/19 267,255 267,255 (3) Ellington Financial Mortgage Trust 2020-1 6/20 259,273 259,273 (4) (1) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.7% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (2) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.1% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.2 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (3) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.4% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.7 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (4) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 8.0% of the fair value of all Certificates issued. Additionally, the Sponsor purchased another subordinated class of Certificates with an aggregate value equal to 3.5% of the fair value of all Certificates issued as of the settlement date. Finally, the Sponsor also purchased, for an aggregate purchase price of $1.9 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. The following table details the assets and liabilities of the consolidated securitization trusts included in the Company's Condensed Consolidated Balance Sheet as of September 30, 2020 and December 31, 2019: (In thousands) September 30, 2020 December 31, 2019 Assets: Loans, at fair value $ 760,420 $ 628,415 Real estate owned 658 658 Investment related receivables 5,793 10,409 Liabilities: Other secured borrowings, at fair value 695,516 594,396 |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2020 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings Secured Borrowings The Company's secured borrowings consist of repurchase agreements, Other secured borrowings, and Other secured borrowings, at fair value. As of September 30, 2020 and December 31, 2019, the Company's total secured borrowings were $2.3 billion and $3.2 billion, respectively. Repurchase Agreements The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 180 days, although the Company also has repurchase agreements that provide for longer or shorter terms. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and for most repurchase agreements, interest is generally paid at the termination of the repurchase agreement, at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. Some repurchase agreements provide for periodic payments of interest, such as monthly payments. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under repurchase agreements with 24 counterparties as of September 30, 2020 as compared to 28 counterparties as of December 31, 2019. As of September 30, 2020, remaining days to maturity on the Company's open repurchase agreements ranged from 1 day to 608 days. Interest rates on the Company's open repurchase agreements ranged from 0.22% to 5.24% as of September 30, 2020. As of December 31, 2019, remaining days to maturity on the Company's open repurchase agreements ranged from 2 days to 882 days. Interest rates on the Company's open repurchase agreements ranged from 0.15% to 5.20% as of December 31, 2019. The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS and credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), by remaining maturity as of September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 Weighted Average Weighted Average Remaining Maturity Outstanding Interest Rate Remaining Days to Maturity Outstanding Interest Rate Remaining Days to Maturity Agency RMBS: (In thousands) (In thousands) 30 Days or Less $ 241,423 0.31 % 17 $ 511,996 2.08 % 17 31-60 Days 418,573 0.27 % 44 744,387 1.93 % 47 61-90 Days 107,446 0.45 % 72 594,738 1.96 % 76 91-120 Days 5,675 1.35 % 99 10,270 2.24 % 93 151-180 Days 17,237 0.29 % 168 3,082 2.67 % 171 181-360 Days 93,432 0.30 % 287 — — % — Total Agency RMBS 883,786 0.31 % 69 1,864,473 1.98 % 48 Credit: 30 Days or Less 40,785 2.14 % 10 16,549 3.38 % 25 31-60 Days 98,068 2.85 % 45 104,491 3.14 % 48 61-90 Days 113,027 2.54 % 77 138,837 3.03 % 73 91-120 Days 154,379 2.79 % 106 — — % — 121-150 Days 6,015 3.29 % 134 7,460 3.89 % 123 151-180 Days 13,750 3.23 % 167 31,498 3.87 % 173 181-360 Days 81,933 4.83 % 228 186,661 3.80 % 250 > 360 Days 48,241 3.05 % 608 95,331 4.52 % 678 Total Credit Assets 556,198 3.04 % 145 580,827 3.61 % 229 Total $ 1,439,984 1.37 % 98 $ 2,445,300 2.37 % 91 Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their original maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. As of September 30, 2020 and December 31, 2019, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $1.783 billion and $2.763 billion, respectively. Collateral transferred under outstanding borrowings under repurchase agreements as of December 31, 2019 include investments in the amount of $64.7 million, that were sold prior to period end but for which such sale had not yet settled. In addition, as of September 30, 2020 and December 31, 2019, the Company posted net cash collateral of $27.7 million and $31.0 million, respectively, as well as posting additional securities with a fair value of $28 thousand and $0.2 million, respectively, to its counterparties. Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. As of both September 30, 2020 and December 31, 2019, there was no single counterparty for which the amount at risk relating to our repurchase agreements was greater than 10% of total equity. Other Secured Borrowings In February 2018, the Company entered into agreements to finance a portfolio of unsecured loans through a recourse secured borrowing facility. The facility has a term ending in February 2021. The facility accrues interest on a floating-rate basis. As of September 30, 2020 and December 31, 2019, the Company had outstanding borrowings under this facility in the amount of $10.5 million and $16.0 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet. The effective interest rate, inclusive of related deferred financing costs, was 2.28% and 3.85% as of September 30, 2020 and December 31, 2019. As of September 30, 2020 and December 31, 2019, the fair value of unsecured loans collateralizing this borrowing was $13.9 million and $22.3 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of September 30, 2020, the Company was in compliance with all of its covenants. In November 2019, the Company amended its non-recourse secured borrowing facility that is used to finance a portfolio of unsecured loans. The facility includes a reinvestment period ending in December 2020 (or earlier following an early amortization event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the reinvestment period, the facility will begin to amortize based on the collections from the underlying loans. The facility accrues interest on a floating rate basis. As of September 30, 2020 and December 2019, the Company had outstanding borrowings under this facility in the amount of $95.7 million and $102.5 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet. The effective interest rate on this facility, inclusive of related deferred financing costs, was 2.53% and 4.01%, as of September 30, 2020 and December 31, 2019, respectively. As of September 30, 2020 and December 31, 2019, the fair value of unsecured loans collateralizing this borrowing was $132.4 million and $144.1 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of September 30, 2020, the Company was in compliance with all of its covenants. In December 2019, the Company entered into an agreement to finance a portfolio of ABS backed by consumer loans through a recourse secured borrowing facility. The facility includes a revolving borrowing period ending in June 2021 (or earlier following a trigger event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the revolving borrowing period, the facility amortizes, with a final termination date in June 2023. The facility accrues interest on a floating rate basis. As of September 30, 2020 and December 31, 2019, the Company had outstanding borrowings under this facility in the amount of $30.2 million and $31.8 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet.The effective interest rate on this facility, inclusive of related deferred financing costs, was 5.20% and 5.23% as of September 30, 2020 and December 31, 2019, respectively. As of September 30, 2020 and December 31, 2019, the fair value of ABS backed by consumer loans collateralizing this borrowing was $46.9 million and $47.9 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of September 30, 2020, the Company was in compliance with all of its covenants. The Company has completed securitization transactions, as discussed in Note 10, whereby it financed portfolios of non-QM loans. As of September 30, 2020 and December 31, 2019, the fair value of the Company's outstanding liabilities associated with these securitization transactions was $695.5 million and $594.4 million, respectively, representing the fair value of the securitization trust certificates held by third parties as of such date, and is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the Certificates held by third parties was 2.91% and 3.19% as of September 30, 2020 and December 31, 2019, respectively. As of September 30, 2020 and December 31, 2019, the fair value of non-QM loans and the carrying value of REO held in the consolidated securitization trusts was $761.1 million and $629.1 million, respectively. In March 2020, the Company entered into a participation agreement with an unrelated third-party, the "Junior Participant," whereby the Company transferred to the Junior Participant an interest in a small balance commercial mortgage loan, the "Partial Loan," (together with the Company's interest, the "Whole Commercial Loan"). The Partial Loan is subordinate to the interest in the loan held by the Company. In accordance with ASC 860-10, the Partial Loan transferred to the Junior Participant does not meet the definition of a participating interest and, as a result, the Company does not recognize the transfer of the Partial Loan to the Junior Participant as a sale. The Company has recorded the Whole Commercial Loan in Loans, at fair value, on the Condensed Consolidated Balance Sheet. As of September 30, 2020, the fair value of the Whole Commercial Loan was $16.9 million. The Company's liability to the Junior Participant as of September 30, 2020 was $6.3 million and is included in Other secured borrowings on the Company's Condensed Consolidated Balance Sheet. Under the terms of the participation agreement, the Junior Participant is entitled to a portion of the cashflows of the underlying commercial mortgage loan. Unsecured Borrowings Senior Notes On August 18, 2017, the Company issued $86.0 million in aggregate principal amount of unsecured senior notes (the "Old Senior Notes"). The total net proceeds to the Company from the issuance of the Old Senior Notes was approximately $84.7 million, after deducting debt issuance costs. The Old Senior Notes had an interest rate of 5.25%, subject to adjustment based on changes in the ratings, if any, of the Old Senior Notes. On February 13, 2019, in connection with the REIT Election, the Company exchanged all $86.0 million in principal amount of the Old Senior Notes for new unsecured long-term debt jointly and severally co-issued by certain of its consolidated subsidiaries and fully guaranteed by the Company (the "Senior Notes"). At any time, the Company is permitted to add others of its consolidated subsidiaries as co-issuers of the Senior Notes. The Senior Notes bear interest at a rate of 5.50%, subject to adjustment based on changes, if any, in the ratings of the Senior Notes. Interest on the Senior Notes is payable semi-annually in arrears on March 1 and September 1 of each year. The Senior Notes mature on September 1, 2022. The Company may redeem the Senior Notes, at its option, in whole or in part, prior to March 1, 2022 at a price equal to 100% of the principal amount thereof, plus the applicable "make-whole" premium as of the applicable date of redemption. At any time on or after March 1, 2022, the Company may redeem the Senior Notes, in whole or in part, at a redemption price equal to 100% of the aggregate principal amount of the Senior Notes to be redeemed, plus accrued and unpaid interest. The Senior Notes are carried at amortized cost. There are a number of covenants, including several financial covenants, associated with the Senior Notes. As of September 30, 2020 and December 31, 2019, the Company was in compliance with all of its covenants. The Company amortizes debt issuance costs over the life of the associated debt; the amortized portion of debt issuance costs is included in Interest expense on the Condensed Consolidated Statement of Operations. The Senior Notes have an effective interest rate of 5.80%, inclusive of debt issuance costs. The Senior Notes are unsecured and are effectively subordinated to secured indebtedness of the Company, to the extent of the value of the collateral securing such indebtedness. Schedule of Principal Repayments The following table details the Company's principal repayment schedule, over the next 5 years, for outstanding borrowings as of September 30, 2020: Year Repurchase Agreements (1) Other Secured Borrowings (2) Senior Notes (1) Total (In thousands) Next Twelve Months $ 1,391,743 $ 523,802 $ — $ 1,915,545 Year 2 48,241 91,199 86,000 225,440 Year 3 — 261,991 — 261,991 Year 4 — — — — Year 5 — — — — Total $ 1,439,984 $ 876,992 $ 86,000 $ 2,402,976 (1) Reflects the Company's contractual principal repayment dates. (2) Includes $734.3 million of expected principal repayments related to the Company's consolidated residential mortgage loan securitizations, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2020 | |
Income Tax [Abstract] | |
Income Taxes | Income TaxesThe Company has elected to be taxed as a REIT under the Code. A REIT is generally not subject to U.S. federal, state, and local income tax on the portion of its income that is distributed to its owners if it distributes at least 90% of its REIT taxable income within the prescribed time frames, determined without regard to the deduction for dividends paid and excluding any net capital gains. The Company intends to operate in a manner which will allow it to continue to meet the requirements for qualification as a REIT. Accordingly, Ellington Financial Inc. does not believe that it will be subject to U.S. federal, state, and local income tax on the portion of its net taxable income that is distributed to its stockholders as long as certain asset, income, and share ownership tests are met. Certain foreign and domestic subsidiaries of the Company have elected to be treated as TRSs and therefore are taxed as corporations for U.S. federal, state, and local income tax purposes. To the extent that those entities incur U.S. federal, state, or local income taxes, or foreign income taxes, such taxes are recorded in the Company's condensed consolidated financial statements. In response to the negative economic impact of the COVID-19 pandemic, the Coronavirus Aid, Relief, and Economic Security Act, or the "CARES Act," was signed into law on March 27, 2020, and provided for significant stimulus spending and included numerous tax provisions. As of September 30, 2020, there was no material impact on the Company's tax provision as a result of the CARES Act; however, the Company continues to monitor and evaluate the impact of the CARES Act and other COVID-19-related legislation. The Company accounts for income taxes in accordance with ASC 740, Income Taxes |
Related Party Transactions
Related Party Transactions | 3 Months Ended |
Sep. 30, 2019 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions The Company is party to the Management Agreement (which may be amended from time to time), pursuant to which the Manager manages the assets, operations, and affairs of the Company, in consideration of which the Company pays the Manager management and incentive fees. The descriptions of the Base Management Fees and Incentive Fees are detailed below. Base Management Fees The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. Pursuant to the Management Agreement, if the Company invests at issuance in the equity of any collateralized debt obligation that is managed, structured, or originated by Ellington or one of its affiliates, or if the Company invests in any other investment fund or other investment for which Ellington or one of its affiliates receives management, origination, or structuring fees, then, unless agreed otherwise by a majority of the Company's independent directors, the base management and incentive fees payable by the Company to its Manager will be reduced by an amount equal to the applicable portion (as described in the Management Agreement) of any such management, origination, or structuring fees. For the three-month period ended September 30, 2020, the total base management fee incurred was $3.0 million, consisting of $3.2 million of total gross base management fee incurred, less $0.2 million of management fee rebates. For the three-month period ended September 30, 2019, the total base management fee incurred was $1.9 million, consisting of $2.4 million of total gross base management fee incurred, less $0.5 million of management fee rebates. For the nine-month period ended September 30, 2020, the total base management fee incurred was $8.3 million, consisting of $9.2 million of total gross base management fee incurred, less $0.9 million of management fee rebates. For the nine-month period ended September 30, 2019, the total base management fee incurred was $5.3 million consisting of $6.8 million of total gross base management fee incurred, less $1.5 million of management fee rebates. See "— Participation in CLO Transactions " below for details on management fee rebates. Incentive Fees The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of September 30, 2020, there was a Loss Carryforward of $46.3 million. There was no Loss Carryforward as of December 31, 2019. For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common stock and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares of common stock and OP Units issued in such issuance and the number of days that such issued shares of common stock and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting ( i.e. attributing any share of common stock and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to shares of common stock and OP Units at the beginning of such fiscal quarter by (II) the average number of shares of common stock and OP Units outstanding for each day during such fiscal quarter, (iii) the sum of (x) the average number of shares of common stock and long term incentive plan units of the Company outstanding for each day during such fiscal quarter, and (y) the average number of Convertible Non-controlling Interests outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common stock, and Convertible Non-controlling Interests (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of shares of common stock and cash, provided that at least 10% of any quarterly payment will be made in shares of common stock. The Company did not accrue an incentive fee for any of the three- or nine-month periods ended September 30, 2020 and 2019, since on a rolling four quarter basis, the Company's income did not exceed the prescribed hurdle amount. Termination Fees The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company or (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual quarterly base management fee amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual quarterly incentive fee amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. Expense Reimbursement Under the terms of the Management Agreement the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Directors to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the nine-month periods ended September 30, 2020 and 2019, the Company reimbursed the Manager $7.4 million and $8.2 million, respectively, for previously incurred operating expenses. As of September 30, 2020 and December 31, 2019, the outstanding payable to the Manager for operating expenses was $2.4 million and $2.0 million, respectively, which are included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. Transactions Involving Certain Loan Originators As of September 30, 2020 and December 31, 2019, the loan originators in which the Company holds equity investments represent related parties. Transactions that have been entered into with these related party mortgage originators are summarized below. The Company is a party to a mortgage loan purchase and sale flow agreement, with a mortgage originator in which the Company holds an equity investment, whereby the Company purchases residential mortgage loans that satisfy certain specified criteria. The Company has also provided a $5.0 million line of credit to the mortgage originator. Under the terms of this line of credit, the Company has agreed to make advances to the mortgage originator solely for the purpose of funding specifically identified residential mortgage loans designated for sale to the Company. To the extent the advances are drawn by the mortgage originator, it must pay interest, at a rate of 15% per annum, on the outstanding balance of each advance from the date the advance is made until such advance is repaid in full. The mortgage originator is required to repay advances in full no later than two business days following the date that the Company purchases the related residential mortgage loans from the mortgage originator. As of both September 30, 2020 and December 31, 2019, there were no advances outstanding. The Company has also entered into two agreements whereby it guarantees the performance of such mortgage originator under third-party master repurchase agreements. See Note 21, Commitments and Contingencies, for further information on the Company's guarantees of the third-party borrowing arrangements. Additionally, in August 2020, the Company entered into a commitment agreement whereby the Company committed to purchase $150 million of residential mortgage loans that meet specified criteria, or the "Commitment Agreement." As of September 30, 2020, the Company had purchased the entire $150 million of eligible residential mortgage loans under the terms of the Commitment Agreement. In connection with the Commitment Agreement, the Company also entered into an agreement whereby the Company would be entitled to receive warrants proportionally as it satisfied its purchase commitment under the Commitment Agreement to purchase a maximum of 9.329 million shares of non-voting common stock. As of September 30, 2020, the Company has received warrants for the maximum 9.329 million shares; such warrants have a fair value of $2.8 million as of September 30, 2020 and are included in Investments in unconsolidated entities on the Condensed Consolidated Balance Sheet. The Company, through a related party of Ellington, or the "Loan Purchaser," is a party to a consumer loan purchase and sale flow agreement with a consumer loan originator in which the Company holds an investment in preferred stock and warrants to purchase additional preferred stock, whereby the Loan Purchaser purchases consumer loans that satisfy certain specified criteria. The Company has investments in participation certificates related to consumer loans titled in the name of the Loan Purchaser. Through its participation certificates, the Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses. The total fair value of the Company's participation certificates was $46.9 million and $47.9 million as of September 30, 2020 and December 31, 2019, respectively. In May 2019 the Company entered into a note purchase agreement whereby it agreed to lend up to $5.0 million to a mortgage originator ("the Initial Note") in which the Company also holds an equity investment. The Initial Note carried an interest rate of 15% per annum on the outstanding balance. In July and December 2019, the Company amended the note purchase agreement whereby it agreed to lend an additional $5.0 million and $2.5 million, respectively, (the "Additional Notes") to the mortgage originator. The Additional Notes each carried an interest rate of 18% per annum. As of December 31, 2019, the aggregate outstanding balance on the Initial Note and the Additional Notes was $12.5 million. In January 2020, the Initial Note and the Additional Notes were repaid. The Initial Note and the Additional Notes are classified as Corporate loans and included in Loans, at fair value on the Condensed Consolidated Balance Sheet. Consumer, Residential, and Commercial Loan Transactions with Affiliates The Company purchases certain of its consumer loans through an affiliate, or the "Purchasing Entity." The Purchasing Entity has entered into purchase agreements, open-ended in duration, with third party consumer loan originators whereby it has agreed to purchase eligible consumer loans. The amount of loans purchased under these purchase agreements is dependent on, among other factors, the amount of loans originated in any given period by the selling originators. The Company and other affiliates of Ellington have entered into agreements with the Purchasing Entity whereby the Company and each of the affiliates of Ellington have agreed to purchase their allocated portion (subject to monthly determination based on available capital and other factors) of the eligible loans acquired by the Purchasing Entity under each purchase agreement. Immediately after the Purchasing Entity purchases beneficial interests in the loans, the Company and other affiliates of Ellington purchase such beneficial interests from the Purchasing Entity, at the same price paid by the Purchasing Entity. During the nine-month periods ended September 30, 2020 and 2019, the Company purchased loans under these agreements with an aggregate principal balance of $84.7 million and $72.4 million, respectively. As of September 30, 2020 and December 31, 2019, the estimated remaining contingent purchase obligations of the Company under these purchase agreements was approximately $77.1 million and $287.1 million, respectively, in principal balance. The Company's beneficial interests in the consumer loans purchased through the Purchasing Entity are evidenced by participation certificates issued by trusts that hold legal title to the loans. These trusts are owned by a related party of Ellington and were established to hold such loans. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by each trust. The total amount of consumer loans underlying the Company's participation certificates and held in the related party trusts was $151.7 million and $185.4 million as of September 30, 2020 and December 31, 2019, respectively. The Company has beneficial interests in residential mortgage loans and REO held in a trust owned by a related party of Ellington. Through these beneficial interests, the Company participates in the cash flows of the underlying loans held by such trust. The total amount of residential mortgage loans and REO underlying the Company's beneficial interests and held in the related party trust was $272.4 million and $304.8 million as of September 30, 2020 and December 31, 2019, respectively. The Company is a co-investor in certain small balance commercial mortgage loans with several other investors, including an unrelated third party and various affiliates of Ellington. These loans are beneficially owned by a consolidated subsidiary of the Company. As of September 30, 2020 and December 31, 2019, the aggregate fair value of the small balance commercial loans was $33.6 million and $29.5 million, respectively. As of September 30, 2020, the non-controlling interests held by the unrelated third party and the Ellington affiliates were $4.1 million and $8.9 million, respectively. As of December 31, 2019, the non-controlling interests held by the unrelated third party and the Ellington affiliates were $3.6 million and $7.0 million, respectively. As of December 31, 2019, the Company had a payable to an Ellington affiliate in the amount of $0.7 million, which is included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. The Company did not have any payables to or receivables from the Ellington affiliates as of September 30, 2020. The Company is also a co-investor in certain small balance commercial mortgage loans and REO with other investors, including various unrelated third parties and various affiliates of Ellington. Each co-investor in a particular loan has an interest in the limited liability company that owns such loan or REO. As of September 30, 2020 and December 31, 2019, the aggregate fair value of the Company's investments in the jointly owned limited liability companies was approximately $30.4 million and $17.3 million, respectively. Such investments are included in Investments in unconsolidated entities, on the Condensed Consolidated Balance Sheet. The consumer, residential mortgage, and certain commercial mortgage loans that are the subject of the foregoing loan transactions are held in trusts, each of which the Company has determined to be a VIE. The Company has evaluated each of these VIEs and determined that the Company has the power to direct the activities of each VIE that most significantly impact such VIE's economic performance and the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. As a result the Company has determined it is the primary beneficiary of each of these VIEs and has consolidated each VIE. Equity Investment in Unconsolidated Entity The Company was a co-investor, together with other affiliates of Ellington, in Jepson Holdings Limited, the parent of an entity (the "Right Holder Entity") that held a call right (the "Call Right") to a European mortgage loan securitization (the "Initial Securitization"). The Right Holder Entity issued notes (the "Right Holder Notes") to the Company and its affiliates, and to an unrelated third party. In March 2019, the Right Holder Entity assigned the Call Right to a newly formed entity, which exercised the Call Right and re-securitized the underlying European mortgage loan assets of the Initial Securitization through a new securitization trust (the "New Securitization"). In exchange for assigning the Call Right, the Right Holder Entity received a combination of (i) cash and (ii) certain notes issued by the New Securitization (the "New Securitization Notes"). The Right Holder Entity fully repaid the unrelated third party's Right Holder Note with a combination of cash and New Securitization Notes. The Right Holder Notes held by the Company and its affiliates were also fully repaid with cash and New Securitization Notes. Certain of the New Securitization Notes were distributed to the Company and its affiliates on a pro rata basis. The Right Holder Entity is expected to continue to hold certain of the New Securitization Notes in order to comply with European risk retention rules. As of September 30, 2020 and December 31, 2019, the Company's equity investment in Jepson Holdings Limited had a fair value of $1.7 million and $1.9 million, respectively. See Note 6 for additional details on this equity investment. Participation in Multi-Borrower Financing Facilities The Company is a co-participant with certain other entities managed by Ellington or its affiliates (the "Affiliated Entities") in various entities (each, a "Joint Entity"), which were formed in order to facilitate the financing of small balance commercial mortgage loans, residential mortgage loans, and REO (collectively, the "Mortgage Loan and REO Assets"), through repurchase agreements. Each Joint Entity has a master repurchase agreement with a particular financing counterparty. In connection with the financing of the Mortgage Loan and REO Assets under repurchase agreements, each of the Company and the Affiliated Entities transferred certain of their respective Mortgage Loan and REO Assets to one of the Joint Entities in exchange for its pro rata share of the financing proceeds that the respective Joint Entity received from the financing counterparty. While the Company's Mortgage Loan and REO Assets were transferred to the Joint Entity, the Company's Mortgage Loan and REO Assets and the related debt were not derecognized for financial reporting purposes, in accordance with ASC 860-10, because the Company continued to retain the risks and rewards of ownership of its Mortgage Loan and REO Assets. As of September 30, 2020 and December 31, 2019, the Joint Entities had aggregate outstanding issued debt under the repurchase agreements in the amount of $258.0 million and $350.6 million, respectively. The Company's segregated portion of this debt as of September 30, 2020 and December 31, 2019 was $135.9 million and $174.4 million, respectively, and is included under the caption Repurchase agreements on the Company's Condensed Consolidated Balance Sheet. To the extent that there is a default under the repurchase agreements, all of the assets of each respective Joint Entity, including those beneficially owned by any non-defaulting owners of such Joint Entity, could be used to satisfy the outstanding obligations under such repurchase agreement. As of September 30, 2020 and December 31, 2019, no party to any of the repurchase agreements was in default. Each of the Joint Entities has been determined to be a VIE. The Company has evaluated each of these VIEs and determined that it continued to retain the risks and rewards of ownership of certain of the Mortgage Loan and REO Assets, where such Mortgage Loan and REO Assets and the related debt are segregated for the Company and each of the Affiliated Entities. On account of the segregation of certain of each co-participant's assets and liabilities within each of the Joint Entities, as well as the retention by each co-participant of control over its segregated Mortgage Loan and REO Assets within the Joint Entities, the Company has determined that it is the primary beneficiary of, and has consolidated its segregated portion of assets and liabilities within, each of the Joint Entities. See Note 9 and Note 11 for additional information. Participation in CLO Transactions As discussed in Note 10, the Company participated in a number of CLO securitization transactions, all managed by the CLO Manager. The CLO Manager is entitled to receive management and incentive fees in accordance with the respective management agreements between the CLO Manager and the respective CLO Issuers. In accordance with the Management Agreement, the Manager rebates to the Company the portion of the management fees payable by each CLO Issuer to the CLO Manager that are allocable to the Company's participating interest in the unsecured subordinated notes issued by such CLO Issuer. For the three-month periods ended September 30, 2020 and 2019, the amount of such management fee rebates was $0.2 million and $0.5 million, respectively. For the nine-month periods ended September 30, 2020 and 2019, the amount of such management fee rebates was $0.9 million and $1.5 million, respectively. In addition, from time to time, the Company along with various other affiliates of Ellington, and in certain cases various third parties, advance funds in the form of loans ("Initial Funding Loans") to securitization vehicles to enable them to establish warehouse facilities for the purpose of acquiring the assets to be securitized. Pursuant to the terms of the warehouse facilities and the Initial Funding Loans, the applicable securitization trust is required, at the closing of each respective CLO securitization, first to repay the warehouse facility, then to repay the Initial Funding Loans, and then to distribute interest earned, net of any necessary reserves and/or interest expense, and the aggregate realized or unrealized gains, if any, on assets purchased into the warehouse facility. In the event that such CLO securitization fails to close, the assets held by the respective securitization vehicle would, subject to a cure period, be liquidated. As of September 30, 2020 and December 31, 2019, the Company's investment in such warehouse facilities was $5.4 million and $8.1 million, respectively, which are included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities. |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units | 9 Months Ended |
Sep. 30, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Long-Term Incentive Plan Units | Long-Term Incentive Plan UnitsOP LTIP Units subject to the Company's incentive plans are generally exercisable by the holder at any time after vesting. Each OP LTIP Unit is convertible into an OP Unit on a one-for-one basis. Subject to certain conditions, the OP Units are redeemable by the holder for an equivalent number of shares of common stock of the Company or for the cash value of such shares of common stock, at the Company's election. Costs associated with the OP LTIP Units issued under the Company's incentive plans are measured as of the grant date and expensed ratably over the vesting period. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the three-month periods ended September 30, 2020 and 2019 was $0.2 million and $0.1 million, respectively. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the nine-month periods ended September 30, 2020 and 2019 was $0.5 million and $0.3 million, respectively. On March 4, 2020, the Company's Board of Directors authorized the issuance of 14,811 OP LTIP Units to certain of Ellington's personnel dedicated to the Company pursuant to the Company's 2017 Equity Incentive Plan. On September 10, 2020, the Company's Board of Directors authorized the issuance of 22,840 OP LTIP Units to certain of its directors pursuant to the Company's 2017 Equity Incentive Plan. These OP LTIP Units will vest and become non-forfeitable on September 9, 2021. The below table details unvested OP LTIP Units as of September 30, 2020: Grant Recipient Number of OP LTIP Units Granted Grant Date Vesting Date (1) Directors: 22,840 September 10, 2020 September 9, 2021 Dedicated or partially dedicated personnel: 12,818 December 13, 2019 December 13, 2020 10,067 December 13, 2019 December 13, 2021 8,691 December 11, 2018 December 11, 2020 4,977 March 4, 2020 December 31, 2020 9,834 March 4, 2020 December 31, 2021 Total unvested OP LTIP Units at September 30, 2020 69,227 (1) Date at which such OP LTIP Units will vest and become non-forfeitable. The following tables summarize issuance and exercise activity of OP LTIP Units for the three- and nine-month periods ended September 30, 2020 and 2019: Three-Month Period Ended September 30, 2020 September 30, 2019 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (June 30, 2020 and 2019, respectively) 365,518 195,009 560,527 375,000 146,371 521,371 Granted — 22,840 22,840 — 14,552 14,552 Exercised — (3,638) (3,638) — (3,610) (3,610) OP LTIP Units Outstanding (September 30, 2020 and 2019, respectively) 365,518 214,211 579,729 375,000 157,313 532,313 OP LTIP Units Unvested and Outstanding (September 30, 2020 and 2019, respectively) — 69,227 69,227 — 37,821 37,821 OP LTIP Units Vested and Outstanding (September 30, 2020 and 2019, respectively) 365,518 144,984 510,502 375,000 119,492 494,492 Nine-Month Period Ended September 30, 2020 September 30, 2019 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (December 31, 2019 and January 1, 2019, respectively) 365,518 180,198 545,716 375,000 146,371 521,371 Granted — 37,651 37,651 — 14,552 14,552 Exercised — (3,638) (3,638) — (3,610) (3,610) OP LTIP Units Outstanding (September 30, 2020 and 2019, respectively) 365,518 214,211 579,729 375,000 157,313 532,313 OP LTIP Units Unvested and Outstanding (September 30, 2020 and 2019, respectively) — 69,227 69,227 — 37,821 37,821 OP LTIP Units Vested and Outstanding (September 30, 2020 and 2019, respectively) 365,518 144,984 510,502 375,000 119,492 494,492 There were an aggregate of 1,794,021 and 1,832,309 shares of common stock of the Company underlying awards, including OP LTIP Units, available for future issuance under the Company's 2017 Equity Incentive Plan as of September 30, 2020 and December 31, 2019, respectively. |
Non-controlling Interests
Non-controlling Interests | 9 Months Ended |
Sep. 30, 2020 | |
Noncontrolling Interest [Abstract] | |
Non-controlling Interests | Non-controlling Interests Operating Partnership Non-controlling interests include the Convertible Non-controlling Interests in the Operating Partnership owned by an affiliate of our Manager, our directors, and certain current and former Ellington employees and their related parties. On December 31, 2018, the Company redeemed 503,988 outstanding long term incentive plan units of the Company and exchanged them on a one-for-one basis for OP LTIP Units. Income allocated to Convertible Non-controlling Interests is based on the non-controlling interest owners' ownership percentage of the Operating Partnership during the period, calculated using a daily weighted average of all shares of common stock of the Company and Convertible Non-controlling Interests outstanding during the period. Holders of Convertible Non-controlling Interests are entitled to receive the same distributions that holders of shares of common stock of the Company receive. Convertible Non-controlling Interests are non-voting with respect to matters as to which holders of common stock of the Company are entitled to vote. On March 2, 2020, certain related parties of current Ellington employees converted 129,516 OP Units into shares of common stock. As September 30, 2020, the Convertible Non-controlling Interests consisted of the outstanding 579,729 OP LTIP Units and 48,409 OP Units, and represented an interest of approximately 1.2% in the Operating Partnership. As December 31, 2019, the Convertible Non-controlling Interests consisted of the outstanding 545,716 OP LTIP Units and 177,925 OP Units, and represented an interest of approximately 1.6% in the Operating Partnership. As of September 30, 2020 and December 31, 2019, non-controlling interests related to all outstanding Convertible Non-controlling Interests was $10.4 million and $13.4 million, respectively. Joint Venture Interests Non-controlling interests also include the interests of joint venture partners in various consolidated subsidiaries of the Company. These subsidiaries hold the Company's investments in certain commercial mortgage loans and REO. The joint venture partners participate in the income, expense, gains and losses of such subsidiaries as set forth in the related operating agreements of the subsidiaries. The joint venture partners make capital contributions to the subsidiaries as new approved investments are purchased by the subsidiaries, and are generally entitled to distributions when investments are sold or otherwise disposed of. As of September 30, 2020 and December 31, 2019, the joint venture partners' interests in subsidiaries of the Company were $26.6 million and $25.9 million, respectively. The joint venture partners' interests are not convertible into shares of common stock of the Company or OP Units, nor are the joint venture partners entitled to receive distributions that holders of shares of common stock of the Company receive. |
Equity
Equity | 3 Months Ended |
Sep. 30, 2020 | |
Stockholders' Equity Note [Abstract] | |
Common Stock Capitalization | 16. Equity Preferred Stock The Company has authorized 100,000,000 shares of preferred stock, $0.001 par value per share. As of both September 30, 2020 and December 31, 2019, there were 4,600,000 shares of 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series A Preferred Stock") outstanding. The Company's Series A Preferred Stock ranks senior to its common stock and Convertible Non-controlling Interests with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Additionally, the Company's Series A Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series A Preferred Stock is not redeemable by the Company prior to October 30, 2024, except under circumstances where it is necessary to allow the Company to maintain its qualification as a REIT for U.S. federal income tax purposes and except in certain instances upon the occurrence of a change of control. Holders of the Company's Series A Preferred Stock generally do not have any voting rights. Holders of the Series A Preferred Stock are entitled to receive cumulative cash dividends (i) from and including the original issue date to, but excluding, October 30, 2024, at a fixed rate equal to 6.750% per annum of the $25.00 per share liquidation preference and (ii) from and including October 30, 2024, at a floating rate equal to three-month LIBOR plus a spread of 5.196% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October, commencing with the first dividend payment on January 30, 2020, which the Board of Directors declared in December 2019. As of September 30, 2020 and December 31, 2019, the total amount of cumulative preferred dividends in arrears was $1.3 million and $1.5 million, respectively. Common Stock The Company has authorized 100,000,000 shares of common stock, $0.001 par value per share. The Board of Directors may authorize the issuance of additional shares, subject to the approval of the holders of at least a majority of the shares of common stock then outstanding present in person or represented by proxy at a meeting of the stockholders. As of September 30, 2020 and December 31, 2019, there were 43,781,684 and 38,647,943, respectively, shares of common stock outstanding. On January 24, 2020, the Company completed a follow-on offering of 5,290,000 shares of its common stock, of which 690,000 shares were issued pursuant to the exercise of the underwriters' option. The issuance and sale of the 5,290,000 shares of common stock generated net proceeds, after underwriters' discount and offering costs, of $95.3 million. The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three- and nine-month periods ended September 30, 2020 and 2019: Three-Month Period Ended Nine-Month Period Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 Shares of Common Stock Outstanding (6/30/2020, 6/30/2019, 12/31/2019 and 1/1/2019, respectively) 43,779,924 29,745,776 38,647,943 29,796,601 Share Activity: Shares of common stock issued — 4,025,000 5,290,000 4,025,000 Shares of common stock issued in connection with incentive fee payment — — 637 — Shares of common stock repurchased (1,878) — (290,050) (50,825) OP Units exercised 3,638 3,610 133,154 3,610 Shares of Common Stock Outstanding (9/30/2020, 9/30/2019, 9/30/2020, 9/30/2019, respectively) 43,781,684 33,774,386 43,781,684 33,774,386 If all Convertible Non-controlling Interests that have been previously issued were to become fully vested and exchanged for shares of common stock as of September 30, 2020 and December 31, 2019, the Company's issued and outstanding shares of common stock would increase to 44,409,822 and 39,371,584 shares, respectively. On June 13, 2018, the Board of Directors approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to 1.55 million shares of common stock. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share The components of the computation of basic and diluted EPS are as follows: Three-Month Nine-Month (In thousands except share amounts) September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 Net income (loss) attributable to common stockholders $ 46,203 $ 17,293 $ (45,917) $ 45,345 Add: Net income (loss) attributable to Convertible Non-controlling Interests (1) 647 387 (916) 1,079 Net income (loss) attributable to common stockholders and Convertible Non-controlling Interests 46,850 17,680 (46,833) 46,424 Dividends Paid: Common stockholders (11,821) (14,185) (42,514) (43,038) Convertible Non-controlling Interests (166) (309) (627) (1,021) Total dividends paid to common stockholders and Convertible Non-controlling Interests (11,987) (14,494) (43,141) (44,059) Undistributed (Distributed in excess of) earnings: Common stockholders 34,382 3,108 (88,431) 2,307 Convertible Non-controlling Interests 481 78 (1,543) 58 Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests $ 34,863 $ 3,186 $ (89,974) $ 2,365 Weighted average shares outstanding (basic and diluted): Weighted average shares of common stock outstanding 43,779,134 32,835,652 43,387,168 30,787,634 Weighted average Convertible Non-controlling Interest Units outstanding 613,319 735,789 635,836 734,186 Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding 44,392,453 33,571,441 44,023,004 31,521,820 Basic earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.27 $ 0.42 $ 0.97 $ 1.39 Undistributed (Distributed in excess of) 0.79 0.11 (2.03) 0.08 $ 1.06 $ 0.53 $ (1.06) $ 1.47 Diluted earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.27 $ 0.42 $ 0.97 $ 1.39 Undistributed (Distributed in excess of) 0.79 0.11 (2.03) 0.08 $ 1.06 $ 0.53 $ (1.06) $ 1.47 (1) For the three-month periods ended September 30, 2020 and 2019, excludes net income (loss) of $0.9 million and $1.0 million, respectively, attributable to joint venture partners, which have non-participating interests as described in Note 15. For the nine-month periods ended September 30, 2020 and 2019, excludes net income (loss) of $2.8 million and $2.4 million, respectively, attributable to joint venture partners, which have non-participating interests as described in Note 15. |
Restricted Cash
Restricted Cash | 9 Months Ended |
Sep. 30, 2020 | |
Restricted Cash and Investments [Abstract] | |
Restricted Cash | Restricted CashThe Company is required to maintain a specific cash balance in a segregated account pursuant to a flow consumer loan purchase and sale agreement. As of both September 30, 2020 and December 31, 2019, the Company's restricted cash balance related to the flow consumer loan purchase and sale agreement was $0.2 million. |
Offsetting of Assets and Liabil
Offsetting of Assets and Liabilities | 9 Months Ended |
Sep. 30, 2020 | |
Offsetting of Assets and Liabilities [Abstract] | |
Offsetting of Assets and Liabilities | Offsetting of Assets and Liabilities The Company generally records financial instruments at fair value as described in Note 2. Financial instruments are generally recorded on a gross basis on the Condensed Consolidated Balance Sheet. In connection with the vast majority of its derivative, reverse repurchase and repurchase agreements, and the related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions, and reverse repurchase and repurchase agreements. The following tables present information about certain assets and liabilities representing financial instruments as of September 30, 2020 and December 31, 2019. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's reverse repurchase and repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. September 30, 2020: Description Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 27,864 $ (16,646) $ — $ (6,469) $ 4,749 Reverse repurchase agreements 47,041 (47,041) — — — Liabilities Financial derivatives–liabilities (34,814) 16,646 — 18,088 (80) Repurchase agreements (1,439,984) 1,439,984 (27,744) 27,744 — (1) In the Company's Condensed Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of September 30, 2020 was $1.8 billion. As of September 30, 2020, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $3.1 million and $7.8 million, respectively. (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. December 31, 2019: Description Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 16,788 $ (12,755) $ — $ (807) $ 3,226 Reverse repurchase agreements 73,639 (73,639) — — — Liabilities Financial derivatives–liabilities (27,621) 12,755 — 12,233 (2,633) Repurchase agreements (2,445,300) 73,639 2,340,656 31,005 — (1) In the Company's Condensed Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2019 was $2.8 billion. As of December 31, 2019, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $4.3 million and $23.4 million, respectively. (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Counterparty Risk
Counterparty Risk | 9 Months Ended |
Sep. 30, 2020 | |
Risks and Uncertainties [Abstract] | |
Counterparty Risk | Counterparty Risk The Company is exposed to concentrations of counterparty risk. It seeks to mitigate such risk by diversifying its exposure among various counterparties, when appropriate. The following table summarizes the Company's exposure to counterparty risk as of September 30, 2020 and December 31, 2019. September 30, 2020: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 126,783 10 28.5 % Collateral on repurchase agreements held by dealers (2) 1,810,825 24 18.6 % Due from brokers 63,991 22 35.4 % Receivable for securities sold (3) 5,086 2 87.0 % (1) Each counterparty is a large creditworthy financial institution. (2) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. December 31, 2019: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 72,302 11 42.2 % Collateral on repurchase agreements held by dealers (2) 2,793,696 28 13.8 % Due from brokers 79,829 24 30.9 % Receivable for securities sold (3) 69,995 5 62.3 % (1) Each counterparty is a large creditworthy financial institution. (2) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies and Commitments | Commitments and Contingencies The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As of both September 30, 2020 and December 31, 2019, the Company has no liabilities recorded for these agreements. The Company's maximum risk of loss from credit events on its securities (excluding Agency securities, which are guaranteed by the issuing government agency or government-sponsored enterprise), loans, and investments in unconsolidated entities is limited to the amount paid for such investment. Commitments and Contingencies Related to Investments in Residential Mortgage Loans In connection with certain of the Company's investments in residential mortgage loans, the Company has unfunded commitments in the amount of $3.2 million and $5.2 million as of September 30, 2020 and December 31, 2019, respectively. Commitments and Contingencies Related to Investments in Mortgage Loan Originators In connection with certain of its investments in mortgage loan originators, the Company has outstanding commitments and contingencies as described below. As described in Note 13, the Company is party to a flow mortgage loan purchase and sale agreement with a mortgage loan originator. The Company has entered into two agreements whereby it guarantees the performance of this mortgage loan originator under master repurchase agreements. The Company's maximum guarantees are capped at $25.0 million. As of September 30, 2020 and December 31, 2019, the mortgage loan originator had $17.3 million and $0.4 million, respectively, of outstanding borrowings under the agreements guaranteed by the Company. The Company's obligations under these arrangements are deemed to be guarantees under ASC 460-10. The Company has elected the FVO for its guarantees, which are included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. As of both September 30, 2020 and December 31, 2019, the estimated fair value of such guarantees was insignificant. Commitments and Contingencies Related to Corporate Loans The Company has investments in certain corporate loans whereby the borrowers can request additional funds under the respective agreements. As of September 30, 2020 and December 31, 2019 the Company had unfunded commitments related to such investments in the amount of $1.5 million and $1.9 million, respectively. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On October 7, 2020, the Board of Directors approved a dividend in the amount of $0.09 per share of common stock payable on November 25, 2020 to stockholders of record as of October 30, 2020 and a dividend in the amount of $0.421875 per share of Series A Preferred Stock payable on October 30, 2020 to stockholders of record as of October 19, 2020. On November 2, 2020, the Board of Directors approved a dividend in the amount of $0.10 per share of common stock payable on December 28, 2020 to stockholders of record as of November 30, 2020. |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2020 | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Basis of Presentation | Basis of Presentation : The Company's unaudited interim condensed consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," and Regulation S-X. The condensed consolidated financial statements include the accounts of the Company, the Operating Partnership, its subsidiaries, and variable interest entities, or "VIEs," for which the Company is deemed to be the primary beneficiary. All intercompany balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material (particularly in light of the significant volatility, lack of pricing transparency, and market dislocations that have been caused by the COVID-19 pandemic, and associated responses to the pandemic). In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim condensed consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in the condensed consolidated financial statements and notes thereto should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2019 and Part II. Item 1A— Risk Factors, included in the Company's Quarterly Report on Form 10-Q, as amended, for the three-month period ended March 31, 2020. The Company adopted ASC 946, Financial Services—Investment Companies ("ASC 946") upon its commencement of operations in August 2007, and applied U.S. GAAP for investment companies. In connection with the Company's internal restructuring and the Company's intention to qualify as a REIT for the year ended December 31, 2019, the Company determined that, effective January 1, 2019, it no longer qualified for investment company accounting in accordance with ASC 946-10-25, and has prospectively discontinued its use. The Company elected the fair value option, or "FVO," for, and therefore the Company continued to measure at fair value, those of its assets and liabilities it had previously measured at fair value and for which such election is permitted, as provided for under ASC 825, Financial Instruments ("ASC 825"). Due to the prospective application of a change in accounting as required under ASC 946-10-25-2, the Company determined that the presentation of its condensed consolidated financial statements for periods beginning after December 31, 2018 are not comparable to the condensed consolidated financial statements previously prepared for prior periods for which the Company applied ASC 946. |
Reclassification and Presentation | Reclassification and Presentation Effective January 1, 2019, the Company prospectively discontinued its application of ASC 946. Upon its change in status, the following significant changes and elections were made: • Investments in securities are now accounted for in accordance with ASC 320, Investments—Debt and Equity Securities ("ASC 320"); • The Company elected the FVO as provided for under ASC 825-10-25-4 for all eligible financial instruments for which the Company had previously measured at fair value, including investments in securities, loans, financial derivatives, and certain of the Company's secured borrowings. As a result, all changes in the fair value of such financial instruments will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations; • Real estate owned, or "REO," is not eligible for the FVO election. As a result, REO is carried at the lower of cost or fair value. The Company's cost basis in any REO that was previously measured at fair value under ASC 946 was adjusted on January 1, 2019 to equal the fair value of such investment as of December 31, 2018; • The Company elected not to designate its financial derivatives as hedging instruments in accordance with ASC 815, Derivatives and Hedging ("ASC 815"). As a result, all changes in the fair value of financial derivatives will continue to be recorded in earnings on the Company's Condensed Consolidated Statement of Operations; • Forward settling to-be-announced mortgage-backed-securities, or "TBAs," are no longer classified as investments. TBAs will be classified as financial derivatives, with the difference between the forward contract price and the market value of the TBA position as of the reporting date included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations; and • The Company is required to account for certain of its equity investments under ASC 323-10, Investments—Equity Method and Joint Ventures ("ASC 323-10"). The Company has elected the FVO for such equity investments and changes in fair value will be reported in Earnings (losses) from investments in unconsolidated entities, on the Condensed Consolidated Statement of Operations. |
Valuation | Valuation : The Company applies ASC 820-10, Fair Value Measurement ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: • Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives; • Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, credit default swaps, or "CDS," on individual ABS, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, and private corporate debt and equity investments. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities, or "MBS," TBAs, CLOs, and corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given financial instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically classified as Level 2. Non-Agency RMBS, CMBS, Agency interest only and inverse interest only RMBS, CLOs, and corporate bonds are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments, as well as related non-listed equity investments, are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from third-party pricing services. Private equity investments are generally classified as Level 3. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential and commercial mortgage loans and consumer loans, management determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. Management has obtained third-party valuations on the majority of these investments and expects to continue to solicit third-party valuations in the future. In determining fair value for non-performing mortgage loans, management evaluates third-party valuations, if applicable, as well as management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. In determining fair value for performing mortgage loans and consumer loans, management evaluates third-party valuations, if applicable, as well as discounted cash flows of the loans based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans are classified as Level 3. The Company has securitized certain mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans." The Company's securitized non-QM loans are held as part of a collateralized financing entity, or "CFE." A CFE is a VIE that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810 allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the FVO for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that each consolidated securitization trust meets the definition of a CFE; see Note 10 " Securitization Transactions — Residential Mortgage Loan Securitizations " for further discussion on the Company's securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of each of its CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of each of the CFEs to measure the fair value of the financial assets of each of the CFEs. The fair value of the debt issued by each CFE is typically valued using discounted cash flows and other market data. The securitized non-QM loans, which are assets of the CFEs, are included in Loans, at fair value, on the Company's Condensed Consolidated Balance Sheet. The debt issued by the CFEs is included in Other secured borrowings, at fair value, on the Company's Condensed Consolidated Balance Sheet. Unrealized gains (losses) from changes in fair value of Other secured borrowings, at fair value, are included in Other, net, on the Company's Condensed Consolidated Statement of Operations. The securitized non-QM loans and the debt issued by the Company's CFEs are both classified as Level 3. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities or indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally classified as Level 2. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are classified as Level 3. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its financial derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each financial derivative agreement. Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and independent third party valuation estimates. These investments are classified as Level 3. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2, based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee (the "Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's financial instruments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. |
Accounting for Securities | Accounting for Securities : Purchases and sales of investments in securities are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. Investments in securities are recorded in accordance with ASC 320 or ASC 325-40, Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company generally classifies its securities as available-for-sale. The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in securities. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, as a component of Unrealized gains (losses) on securities and loans, net, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all investment activities will be recorded in a similar manner. Many of the Company's investments in securities, such as MBS and CLOs, are issued by entities that are deemed to be VIEs. For the majority of such investments, the Company has determined it is not the primary beneficiary of such VIEs and therefore has not consolidated such VIEs. The Company's maximum risk of loss in these unconsolidated VIEs is generally limited to the fair value of the Company's investment in the VIE. The Company evaluates its investments in interest only securities to determine whether they meet the requirements for classification as financial derivatives under ASC 815. For interest only securities, where the holder is entitled only to a portion of the interest payments made on the mortgages underlying certain MBS, and inverse interest only securities, which are interest only securities whose coupon has an inverse relationship to its benchmark rate, such as LIBOR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities. Periods after January 1, 2020— For periods subsequent to the Company's application of the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13"), as discussed below, the Company evaluates the cost basis of its investments in securities on at least a quarterly basis, under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. Periods prior to January 1, 2020— For periods prior to the Company's adoption of ASU 2016-13, the Company evaluated the cost basis of its investments in securities for other-than-temporary impairment, or "OTTI," on at least a quarterly basis. When the fair value of a security was less than its amortized cost basis as of the balance sheet date, the security's cost basis was considered impaired, and the impairment was designated as either temporary or other-than-temporary. When a security's cost basis was impaired, an OTTI was considered to have occurred if (i) the Company intended to sell the security, (ii) it was more likely than not that the Company would have been required to sell the security before recovery of its amortized cost basis, or (iii) the Company did not expect to recover the security's amortized cost basis, even if the Company did not intend to sell the security and it was not more likely than not that the Company would have been required to sell the security. |
Accounting for Loans | Accounting for Loans : The Company's loan portfolio primarily consists of residential mortgage, commercial mortgage, and consumer loans. The Company's loans are accounted for under ASC 310-10, Receivables , and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. When the Company has the intent to sell loans, such loans will be classified as held-for-sale. Mortgage loans held-for-sale are accounted for under ASC 948-310, Financial services—mortgage banking. The Company may aggregate its loans into pools based on common risk characteristics at purchase. The Company has chosen to elect the FVO pursuant to ASC 825 for its loan portfolios. Loans are recorded at fair value on the Condensed Consolidated Balance Sheet and changes in fair value are recorded in earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. The Company generates income from fees on certain loans, generally commercial mortgage loans, that it originates and holds for investment, including origination and exit fees. Such fee income is recorded when earned and included in Other, net on the Condensed Consolidated Statement of Operations. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. For residential and commercial mortgage loans, the Company generally accrues interest payments. Such loans are typically moved to non-accrual status if the loan becomes 90 days or more delinquent. The Company does not accrue interest payments on its consumer loans; interest payments are recorded upon receipt. Once consumer loans are more than 120 days past due, the Company will generally charge off such loans. The Company evaluates its charged-off loans and determines collectibility, if any, on such loans. The Company evaluates the collectibility of both interest and principal on each of its loan investments and whether the cost basis of the loan is impaired. A loan's cost basis is impaired when, based on current information and market developments, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the FVO on all of its loan investments. Periods after January 1, 2020 —For periods subsequent to the Company's application of the principles of ASU 2016-13, in its assessment of whether a credit loss exists, the Company compares the present value of the amount expected to be collected on the impaired loan with the amortized cost basis of such loan. If the present value of the amount expected to be collected on the impaired loan is less than the amortized cost basis of such loan, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a loan's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the loan's cost basis. This adjustment to the amortized cost basis of the loan is reflected in Realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. Periods prior to January 1, 2020 —For periods prior to the Company's application of the principles of ASU 2016-13, the Company recognized impairments through an adjustment to the amortized cost basis; the Company recognized a realized loss in the period such adjustment was made, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. |
Interest Income | Interest Income: The Company amortizes premiums and accretes discounts on its debt securities. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon rate. For debt securities that are deemed to be of high credit quality at the time of purchase (generally Agency RMBS, exclusive of interest only securities), premiums and discounts are amortized/accreted into interest income over the life of such securities using the effective interest method. For such securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (generally non-Agency RMBS, CMBS, ABS, CLOs, and interest only securities) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices, GDP growth rates, and unemployment rates). These assumptions are re-evaluated not less than quarterly. Changes in projected cash flows may result in prospective changes in the yield/interest income recognized on such securities based on the updated expected future cash flows. For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, based on current information and market developments, the Company re-assesses the collectibility of interest and principal, and generally designates a loan as in non-accrual status either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as in non-accrual status, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). Periods after January 1, 2020 —Certain of the Company's debt securities and loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. For periods subsequent to the Company's application of the principles of ASU 2016-13, if at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method. Periods prior to January 1, 2020 —Prior to the Company's application of the principles of ASU 2016-13, for each loan acquired that had evidence of credit deterioration since origination and the expectation that either principal or interest would not be paid in full, interest income was generally recognized using the effective interest method for so long as the cash flows could be reasonably estimated. Here, instead of amortizing the purchase discount (i.e., the excess of the unpaid principal balance over the purchase price) over the life of the loan, the Company effectively amortized the accretable yield (i.e., the excess of the Company's estimate of the total cash flows to be collected over the life of the loan over the purchase price). Not less than quarterly, the Company updated its estimate of the cash flows expected to be collected over the life of the loan, and applied revised yields prospectively. In estimating future cash flows on the Company's debt securities, there are a number of assumptions that are subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. |
Investments in Unconsolidated Entities | Investments in unconsolidated entities: The Company has made and may in the future make non-controlling equity investments in various entities, such as loan originators. Such investments are generally in the form of preferred and/or common equity, or membership interests. In certain cases, the Company can exercise significant influence over the entity (e.g. by having representation on the entity's board of directors) but the requirements for consolidation under ASC 810 are not met; in such cases the Company is required to account for such equity investments under ASC 323-10. The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in unconsolidated entities, which, in management's view, more appropriately reflects the results of operations for a particular reporting period, as all investment activities will be recorded in a similar manner. The period change in fair value of the Company's investments in unconsolidated entities is recorded on the Condensed Consolidated Statement of Operations in Earnings (losses) from investments in unconsolidated entities. |
REO | REO : When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company's initial cost basis in REO is equal to the fair value of the real estate associated with the foreclosed mortgage loan, less expected costs to sell. REO valuations are reflected at the lower of cost or fair value. The fair value of such REO is typically based on management's estimates which generally use information including general economic data, BPOs, recent sales, property appraisals, and bids, and takes into account the expected costs to sell the property. REO recorded at fair value on a non-recurring basis are classified as Level 3. |
Securities Sold Short | Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities and sovereign debt to mitigate the potential impact of changes in interest rates and/or foreign exchange rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to elect the FVO pursuant to ASC 825 for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Condensed Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Condensed Consolidated Statement of Operations in Realized gains (losses) on securities and loans, net. |
Financial Derivatives | Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with qualifying and maintaining qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, or the "Dodd-Frank Act." The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is included in Due to brokers, on the Condensed Consolidated Balance Sheet. Conversely, cash collateral posted by the Company is included in Due from brokers, on the Condensed Consolidated Balance Sheet. The types of derivatives primarily utilized by the Company are swaps, TBAs, futures, options, and forwards. Swaps : The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps and total return swaps is credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company also enters into interest rate swaps whereby the Company pays one floating rate and receives a different floating rate, or "basis swaps." The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond, loan, or an index or basket of bonds or loans). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index). The Company typically writes (sells) protection to take a "long" position with respect to the underlying reference assets, or purchases (buys) protection to take a "short" position with respect to the underlying reference assets or to hedge exposure to other investment holdings. The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Condensed Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. TBA Securities : The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company typically does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. TBAs are accounted for by the Company as financial derivatives. The difference between the forward contract price and the market value of the TBA position as of the reporting date is included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Futures Contracts : A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures and foreign currency futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Options : The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead, the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. Forward Currency Contracts : A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. |
Cash and Cash Equivalents | Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in interest bearing overnight accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. See Note 18 for further discussion of restricted cash balances. |
Transfers of Financial Assets | Transfers of Financial Assets : The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. The Company evaluates transferred assets pursuant to ASC 860-10, Transfers of Financial Assets , or "ASC 860-10," which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." |
Variable Interest Entities | Variable Interest Entities: VIEs are entities in which: (i) the equity investors do not have the characteristics of a controlling financial interest, or (ii) there is insufficient equity to permit the entity to finance its activities without additional subordinated financial support from other parties. Consolidation of a VIE is required by the entity that is deemed to be the primary beneficiary of the VIE. The Company evaluates all of its interests in VIEs for consolidation under ASC 810. The primary beneficiary is generally the party with both (i) the power to direct the activities of the VIE that most significantly impact its economic performance, and (ii) the obligation to absorb losses and the right to receive benefits from the VIE which could be potentially significant to the VIE. When the Company has an interest in an entity that has been determined to be a VIE, the Company assesses whether it is deemed to be the primary beneficiary of the VIE. The Company will only consolidate a VIE for which it has concluded it is the primary beneficiary. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance, the Company considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes (i) identifying the activities that most significantly impact the VIE's economic performance; and (ii) identifying which party, if any, has power over those activities. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests, including debt and/or equity investments, as well as other arrangements deemed to be variable interests in the VIE. These assessments to determine whether the Company is the primary beneficiary require significant judgment. In instances where the Company and its related parties have interests in a VIE, the Company considers whether there is a single party in the related party group that meets the criteria to be deemed the primary beneficiary. If one party within the related party group meets such criteria, that reporting entity would be deemed to be the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets the criteria to be deemed the primary beneficiary, but the related party group as a whole meets such criteria, the determination of the primary beneficiary within the related party group requires significant judgment. The Company performs analysis, which is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. The Company performs ongoing reassessments of (i) whether any entities previously evaluated have become VIEs, based on certain events, and therefore subject to assessment to determine whether consolidation is appropriate, and (ii) whether changes in the facts and circumstances regarding the Company's involvement with a VIE causes its consolidation conclusion regarding the VIE to change. See Note 9 and Note 13 for further information on the Company's consolidated VIEs. The Company's maximum amount at risk is generally limited to the Company's investment in the VIE. The Company is generally not contractually required to provide and has not provided any form of financial support to the VIEs. The Company holds beneficial interests in certain securitization trusts that are considered VIEs. The beneficial interests in these securitization trusts are represented by certificates issued by the trusts. The securitization trusts have been structured as pass-through entities that receive principal and interest payments on the underlying collateral and distribute those payments to the certificate holders, which include both third-party investors and the Company. The certificates held by the Company typically include some or all of the most subordinated tranches. The assets held by the trusts are restricted in that they can only be used to fulfill the obligations of the related trust. In certain cases, the design and structure of the securitization trust is such that the Company effectively retains control of the assets as well as the activities that most significantly impact the economic performance of the trust. In such cases, the Company is determined to be the primary beneficiary, and the Company consolidates the trust and all intercompany transactions are eliminated in consolidation. In cases where the Company does not effectively retain control of the assets of, or have the power to direct the activities that most significantly impact the economic performance of, the related trust, it does not consolidate the trust. See Note 10 for further discussion of the Company's securitization trusts. |
Offering Costs/Underwriters' Discount | Offering Costs/Underwriters' Discount : |
Debt Issuance Costs | Debt Issuance Costs: Debt issuance costs associated with debt for which the Company has elected the FVO are expensed at the issuance of the debt, and are included in Investment related expenses—Other on the Condensed Consolidated Statement of Operations. Costs associated with the issuance of debt for which the Company has not elected the FVO are deferred and amortized over the life of the debt, which approximates the effective interest rate method, and are included in Interest expense on the Condensed Consolidated Statement of Operations. Deferred debt issuance costs are presented on the Condensed Consolidated Balance Sheet as a direct deduction from the related debt liability, unless such deferred debt issuance costs are associated with borrowing facilities that are expected to have a future benefit, such as giving the Company the ability to access additional borrowings over the contractual term of the debt, in which case such deferred debt issuance costs are included in Other assets on the Condensed Consolidated Balance Sheet. Debt issuance costs include legal and accounting fees, purchasers' or underwriters' discount, as well as other fees associated with the cost of the issuance of the related debt. |
Expenses | Expenses: Expenses are recognized as incurred on the Condensed Consolidated Statement of Operations. |
Investment Related Expenses | Investment Related Expenses: Investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, servicing fees and corporate and escrow advances on mortgage and consumer loans, and various other expenses and fees related directly to the Company's financial instruments. The Company has elected the FVO for its investments, and as a result all investment related expenses are expensed as incurred and included in Investment related expenses on the Condensed Consolidated Statement of Operations. |
Investment Related Receivables [Policy Text Block] | Investment Related Receivables: Investment related receivables on the Company's Condensed Consolidated Balance Sheet includes receivables for securities sold and interest and principal receivable on securities and loans. |
LTIP Units | Long Term Incentive Plan Units : Long term incentive plan units of the Operating Partnership ("OP LTIP Units") have been issued to certain Ellington personnel dedicated or partially dedicated to the Company, certain of the Company's directors, as well as the Manager. Costs associated with OP LTIP Units issued to dedicated or partially dedicated personnel, or to the Company's directors, are measured as of the grant date based on the Company's closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation . The vesting periods for OP LTIP Units are typically one year from issuance for non-executive directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel. |
Non-controlling interest | Non-controlling interests : Non-controlling interests include interests in the Operating Partnership represented by units convertible into shares of the Company's common stock ("Convertible Non-controlling Interests"). Convertible Non-controlling Interests include both the OP LTIP Units and those common units ("OP Units") of the Operating Partnership not held by the Company (collectively, the "Convertible Non-controlling Interest Units"). Non-controlling interests also include the |
Dividends | Dividends: Dividends payable on shares of common stock and Convertible Non-controlling Interest Units are recorded on the declaration date. |
Shares Repurchased | Shares Repurchased: Shares of common stock that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares of common stock issued and outstanding. The cost of such repurchases is charged against Additional paid-in-capital on the Company's Condensed Consolidated Balance Sheet. |
Earnings Per Share ("EPS") | Earnings Per Share ("EPS"): Basic EPS is computed using the two class method by dividing net income (loss) after adjusting for the impact of Convertible Non-controlling Interests which are participating securities, by the weighted average number of shares of common stock outstanding calculated including Convertible Non-controlling Interests. Because the Company's Convertible Non-controlling Interests are participating securities, they are included in the calculation of both basic and diluted EPS. |
Foreign Currency | Foreign Currency: The functional currency of the Company is U.S. dollars. Assets and liabilities denominated in foreign currencies are remeasured into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Other, net, on the Condensed Consolidated Statement of Operations. The Company's reporting currency is U.S. Dollars. If the Company has investments in unconsolidated entities that have a functional currency other than U.S. Dollars, the fair value is translated to U.S. dollars using the current exchange rate at the valuation date. The cumulative translation adjustment, if any, associated with the Company's investments in unconsolidated entities is recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders' equity. |
Income Taxes | Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 through 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its stockholders within the prescribed timeframes. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including distributing at least 90% of its annual taxable income to stockholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property, and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company elected to treat certain domestic and foreign subsidiaries as TRSs, and may in the future elect to treat other current or future subsidiaries as 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. A domestic TRS may, but is not required to, declare dividends to the Company; such dividends will be included in the Company's taxable income/(loss) and may necessitate a distribution to the Company's stockholders. Conversely, if the Company retains earnings at the level of a domestic TRS, such earnings will increase the book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state, and local corporate income taxes. The Company has elected and may elect in the future to treat certain of its foreign corporate subsidiaries as TRSs and, accordingly, taxable income generated by these TRSs may not be subject to U.S. federal, state, and local corporate income taxation, but generally will be included in the Company's income on a current basis as Subpart F income, whether or not distributed. However, certain of the Company's foreign subsidiaries may be subject to income taxes in the relevant foreign jurisdictions. The Company's financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is more than 50% likely to be realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or its open tax years. In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and its open tax years. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying condensed consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements : In August 2018, the Financial Accounting Standards Board, or "FASB," issued ASU 2018-13, Fair Value Measurement—Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement ("ASU 2018-13"). This amends ASC 820 to remove or modify various current disclosure requirements related to fair value measurement. Additionally, ASU 2018-13 requires certain additional disclosures around fair value measurement. ASU 2018-13 is effective for annual periods beginning after December 15, 2019 and interim periods within those years, with early adoption permitted. Entities are permitted to early adopt any removed or modified disclosures and delay adoption of the additional disclosures until their effective date. The adoption of ASU 2018-13 did not have a material impact on the Company's condensed consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, which introduced a new model related to the accounting for credit losses on financial assets subject to credit losses and measured at amortized cost and certain off-balance sheet credit exposures. ASU 2016-13 is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. ASU 2016-13 amends the guidance which required an OTTI charge only when fair value is below the amortized cost of an asset. The length of time the fair value of an available-for-sale debt security has been below the amortized cost will no longer impact the determination of whether a credit loss exists; as a result, there is no longer an other-than-temporary impairment model. In addition, credit losses on available-for-sale debt securities will now be limited to the difference between the security's amortized cost basis and its fair value. The new debt security model will also require the use of an allowance to record estimated credit losses. While generally not applicable for financial assets for which the fair value option has been elected, the Company has applied the principles of ASU 2016-13 as described above. The adoption of ASU 2016-13 did not have a material impact on the Company's condensed consolidated financial statements. In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform—Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2020-04"), which provides optional guidance for a limited period meant to ease the potential burden in accounting for, or recognizing the effects of, reform to LIBOR and certain other reference rates. The standard is effective for all entities beginning on March 12, 2020 and may be elected over time. However, ASU 2020-04 is only applicable to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform, and that were entered into or evaluated prior to January 1, 2023. The Company is currently evaluating the impact that the adoption of ASU 2020-04 would have on its condensed consolidated financial statements. |
Financial Assets Sold under Agreement to Repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Repurchase and Resale Agreements | Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. |
Securities Purchased under Agreements to Resell [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Repurchase and Resale Agreements | Reverse Repurchase Agreements : The Company enters into reverse repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to reverse repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to reverse repurchase agreements are reflected as assets on the Condensed Consolidated Balance Sheet. Reverse repurchase agreements are carried at their contractual amounts, which approximates fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting . There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's condensed consolidated financial statements. |
Valuation (Tables)
Valuation (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block] | The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of September 30, 2020 and December 31, 2019: September 30, 2020: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 907,715 $ 12,140 $ 919,855 Non-Agency RMBS — 73,538 139,199 212,737 CMBS — 62,206 42,809 105,015 CLOs — 50,304 112,990 163,294 Asset-backed securities, backed by consumer loans — — 47,298 47,298 Corporate debt securities — — 2,207 2,207 Corporate equity securities — — 1,014 1,014 Loans, at fair value: Residential mortgage loans — — 1,030,709 1,030,709 Commercial mortgage loans — — 252,231 252,231 Consumer loans — — 152,609 152,609 Corporate loans — — 7,063 7,063 Investment in unconsolidated entities, at fair value — — 95,803 95,803 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities — — 351 351 Credit default swaps on asset-backed indices — 9,722 — 9,722 Credit default swaps on corporate bonds — 39 — 39 Credit default swaps on corporate bond indices — 2,419 — 2,419 Interest rate swaps — 13,790 — 13,790 TBAs — 1,150 — 1,150 Total return swaps — — 105 105 Warrants — 31 — 31 Futures 1 — — 1 Forwards — 256 — 256 Total assets $ 1 $ 1,121,170 $ 1,896,528 $ 3,017,699 Liabilities: Securities sold short, at fair value: Government debt $ — $ (51,032) $ — $ (51,032) Corporate debt securities — (461) — (461) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (142) — (142) Credit default swaps on corporate bonds — (580) — (580) Credit default swaps on corporate bond indices — (3,572) — (3,572) Interest rate swaps — (29,774) — (29,774) TBAs — (286) — (286) Futures (331) — — (331) Forwards — (41) — (41) Total return swaps — — (88) (88) Other secured borrowings, at fair value — — (695,516) (695,516) Total liabilities $ (331) $ (85,888) $ (695,604) $ (781,823) December 31, 2019: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 1,917,059 $ 19,904 $ 1,936,963 Non-Agency RMBS — 76,969 89,581 166,550 CMBS — 95,063 29,805 124,868 CLOs — 125,464 44,979 170,443 Asset-backed securities, backed by consumer loans — — 48,610 48,610 Corporate debt securities — — 1,113 1,113 Corporate equity securities — — 1,394 1,394 Loans, at fair value: Residential mortgage loans — — 932,203 932,203 Commercial mortgage loans — — 274,759 274,759 Consumer loans — — 186,954 186,954 Corporate loans — — 18,510 18,510 Investment in unconsolidated entities, at fair value — — 71,850 71,850 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities — — 993 993 Credit default swaps on asset-backed indices — 3,319 — 3,319 Credit default swaps on corporate bonds — 2 — 2 Credit default swaps on corporate bond indices — 5,599 — 5,599 Interest rate swaps — 5,468 — 5,468 TBAs — 596 — 596 Total return swaps — — 620 620 Futures 148 — — 148 Forwards — 43 — 43 Total assets $ 148 $ 2,229,582 $ 1,721,275 $ 3,951,005 Liabilities: Securities sold short, at fair value: Government debt $ — $ (72,938) $ — $ (72,938) Corporate debt securities — (471) — (471) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (250) — (250) Credit default swaps on corporate bonds — (1,693) — (1,693) Credit default swaps on corporate bond indices — (14,524) — (14,524) Interest rate swaps — (8,719) — (8,719) TBAs — (1,012) — (1,012) Futures (45) — — (45) Forwards — (169) — (169) Total return swaps — (773) (436) (1,209) Other secured borrowings, at fair value — — (594,396) (594,396) Total liabilities $ (45) $ (100,549) $ (594,832) $ (695,426) |
Schedule of Financial Instruments | The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of September 30, 2020 and December 31, 2019: As of September 30, 2020 December 31, 2019 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 126,783 $ 126,783 $ 72,302 $ 72,302 Restricted cash 175 175 175 175 Due from brokers 63,991 63,991 79,829 79,829 Reverse repurchase agreements 47,041 47,041 73,639 73,639 Liabilities: Repurchase agreements 1,439,984 1,439,984 2,445,300 2,445,300 Other secured borrowings 142,674 142,674 150,334 150,334 Senior notes, net 86,000 85,495 88,365 85,298 Due to brokers 7,147 7,147 2,197 2,197 Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in a segregated account for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short term nature. The Senior notes are considered Level 3 liabilities given the relative unobservability of the most significant inputs to valuation estimation as well as the lack of trading activity of these instruments. As of September 30, 2020 and December 31, 2019, the estimated fair value of the Company's Senior notes was based on a third-party valuation. |
Schedule of Significant Unobservable Inputs, Qualitative Information | The following tables identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2020 and December 31, 2019: September 30, 2020: Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Non-Agency RMBS $ 85,183 Market Quotes Non Binding Third-Party Valuation $ 9.43 $ 314.93 $ 87.41 CMBS 41,602 Market Quotes Non Binding Third-Party Valuation 4.56 95.32 59.06 CLOs 88,907 Market Quotes Non Binding Third-Party Valuation 2.00 93.50 78.04 Agency interest only RMBS 3,503 Market Quotes Non Binding Third-Party Valuation 0.80 22.13 12.60 Corporate loans 7,063 Market Quotes Non Binding Third-Party Valuation 100.00 100.00 100.00 ABS backed by consumer loans 107 Market Quotes Non Binding Third-Party Valuation 96.01 97.58 96.80 Non-Agency RMBS 54,016 Discounted Cash Flows Yield 0.8 % 60.0 % 8.5 % Projected Collateral Prepayments 13.5 % 77.6 % 59.2 % Projected Collateral Losses 0.0 % 70.3 % 8.7 % Projected Collateral Recoveries 0.0 % 46.5 % 10.3 % Projected Collateral Scheduled Amortization 7.7 % 70.4 % 21.8 % 100.0 % Non-Agency CMBS 1,207 Discounted Cash Flows Yield 23.1 % 25.7 % 23.7 % Projected Collateral Losses 0.7 % 0.9 % 0.8 % Projected Collateral Recoveries 1.9 % 3.8 % 3.4 % Projected Collateral Scheduled Amortization 95.4 % 97.4 % 95.8 % 100.0 % Corporate debt and equity 3,221 Discounted Cash Flows Yield 10.0 % 10.0 % 10.0 % CLOs 24,083 Discounted Cash Flows Yield 6.7 % 85.2 % 20.1 % Projected Collateral Prepayments 65.7 % 88.5 % 71.3 % Projected Collateral Losses 4.4 % 20.9 % 17.0 % Projected Collateral Recoveries 4.3 % 11.2 % 9.7 % Projected Collateral Scheduled Amortization 0.0 % 2.8 % 2.0 % 100.0 % ABS backed by consumer loans 47,191 Discounted Cash Flows Yield 14.0 % 23.6 % 14.1 % Projected Collateral Prepayments 0.0 % 9.8 % 7.3 % Projected Collateral Losses 1.0 % 34.7 % 16.3 % Projected Collateral Scheduled Amortization 56.7 % 99.0 % 76.4 % 100.0 % (continued) Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Consumer loans $ 152,609 Discounted Cash Flows Yield 9.0 % 12.0 % 10.0 % Projected Collateral Prepayments 0.0 % 37.1 % 12.9 % Projected Collateral Losses 1.1 % 86.6 % 10.7 % Projected Collateral Scheduled Amortization 13.4 % 98.2 % 76.4 % 100.0 % Performing commercial mortgage loans 228,560 Discounted Cash Flows Yield 6.8 % 10.4 % 8.0 % Non-performing commercial mortgage loans 23,671 Discounted Cash Flows Yield 9.5 % 16.2 % 12.5 % Months to Resolution 4.9 8.8 7.0 Performing and re-performing residential mortgage loans 245,027 Discounted Cash Flows Yield 0.6 % 54.3 % 6.0 % Securitized residential mortgage loans (1)(2) 760,420 Discounted Cash Flows Yield 1.8 % 7.3 % 4.2 % Non-performing residential mortgage loans 25,262 Discounted Cash Flows Yield 1.5 % 28.4 % 10.3 % Months to Resolution — 90.9 33.2 Total return swaps—asset 105 Discounted Cash Flows Yield 11.7 % 20.8 % 12.7 % Credit default swaps on asset-backed securities 351 Net Discounted Cash Flows Projected Collateral Prepayments 33.3 % 41.0 % 39.2 % Projected Collateral Losses 6.8 % 11.2 % 9.1 % Projected Collateral Recoveries 13.6 % 18.3 % 15.2 % Projected Collateral Scheduled Amortization 35.1 % 41.6 % 36.5 % 100.0 % Agency interest only RMBS 8,637 Option Adjusted Spread ("OAS") LIBOR OAS (3)(4) 160 3,992 954 Projected Collateral Prepayments 0.7 % 100.0 % 78.3 % Projected Collateral Scheduled Amortization 0.0 % 99.3 % 21.7 % 100.0 % Investment in unconsolidated entities 95,803 Enterprise Value Equity Price-to-Book (5) 1.0x 4.0x 1.3x Other secured borrowings, at fair value (1)(6) (695,516) Discounted Cash Flows Yield 1.8% 3.3% 2.4% Total return swaps—liability (88) Discounted Cash Flows Yield 20.8% 20.8% 20.8% (1) Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (2) Includes $37.1 million of non-performing securitized residential mortgage loans. (3) Shown in basis points. (4) For range minimum, range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $1.4 million. Including these securities the weighted average was 596 basis points. (5) Represents an estimation of where market participants might value an enterprise on a price-to-book basis. (6) For range minimum, range maximum, and the weighted average of yield, excludes Other secured borrowings, at fair value with a negative yield, with a total fair value of $(116.1) million. Including these borrowings the weighted average yield was 1.81%. December 31, 2019: Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Non-Agency RMBS $ 38,754 Market Quotes Non Binding Third-Party Valuation $ 6.68 $ 144.79 $ 86.21 CMBS 29,630 Market Quotes Non Binding Third-Party Valuation 5.08 80.72 64.73 CLOs 38,220 Market Quotes Non Binding Third-Party Valuation 40.00 96.00 73.98 Agency interest only RMBS 3,753 Market Quotes Non Binding Third-Party Valuation 1.36 16.61 5.11 Corporate loans 6,010 Market Quotes Non Binding Third-Party Valuation 100.00 100.00 100.00 ABS backed by consumer loans 139 Market Quotes Non Binding Third-Party Valuation 95.47 96.78 96.12 Non-Agency RMBS 50,827 Discounted Cash Flows Yield 3.3 % 60.9 % 10.0 % Projected Collateral Prepayments 0.8 % 72.0 % 49.3 % Projected Collateral Losses 0.0 % 22.7 % 6.6 % Projected Collateral Recoveries 0.0 % 32.4 % 6.9 % Projected Collateral Scheduled Amortization 16.9 % 92.9 % 37.2 % 100.0 % Non-Agency CMBS 175 Discounted Cash Flows Yield 10.0 % 10.0 % 10.0 % Projected Collateral Prepayments 100.0 % 100.0 % 100.0 % 100.0 % Corporate debt and equity 2,507 Discounted Cash Flows Yield 10.0 % 10.0 % 10.0 % CLOs 6,759 Discounted Cash Flows Yield 14.0 % 41.9 % 26.2 % Projected Collateral Prepayments 48.5 % 84.6 % 72.5 % Projected Collateral Losses 11.7 % 36.4 % 19.9 % Projected Collateral Recoveries 3.7 % 15.1 % 7.6 % 100.0 % ABS backed by consumer loans 48,471 Discounted Cash Flows Yield 12.0 % 20.2 % 12.1 % Projected Collateral Prepayments 0.0 % 11.2 % 9.7 % Projected Collateral Losses 0.6 % 18.0 % 15.4 % Projected Collateral Scheduled Amortization 71.3 % 99.4 % 74.9 % 100.0 % (continued) Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Consumer loans $ 186,954 Discounted Cash Flows Yield 7.0 % 10.0 % 8.1 % Projected Collateral Prepayments 0.0 % 44.2 % 16.0 % Projected Collateral Losses 3.0 % 84.5 % 8.6 % Projected Collateral Scheduled Amortization 15.5 % 95.8 % 75.4 % 100.0 % Corporate loans 12,500 Discounted Cash Flows Yield 15.0 % 18.0 % 16.8 % Performing commercial mortgage loans 248,214 Discounted Cash Flows Yield 7.7 % 16.6 % 8.8 % Non-performing commercial mortgage loans 26,545 Discounted Cash Flows Yield 9.8 % 14.7 % 12.4 % Months to Resolution 1.1 23.0 11.4 Performing and re-performing residential mortgage loans 289,672 Discounted Cash Flows Yield 1.6 % 19.5 % 6.2 % Securitized residential mortgage loans (1)(2) 628,415 Discounted Cash Flows Yield 3.2 % 4.3 % 3.6 % Non-performing residential mortgage loans 14,116 Discounted Cash Flows Yield 1.0 % 26.6 % 9.1 % Months to Resolution 1.1 165.4 54.6 Total return swaps—asset 620 Discounted Cash Flows Yield 8.5 % 27.7 % 11.5 % Credit default swaps on asset-backed securities 993 Net Discounted Cash Flows Projected Collateral Prepayments 35.4 % 42.0 % 37.3 % Projected Collateral Losses 4.2 % 12.4 % 10.2 % Projected Collateral Recoveries 10.0 % 18.2 % 15.3 % Projected Collateral Scheduled Amortization 36.2 % 41.5 % 37.2 % 100.0 % Agency interest only RMBS 16,151 Option Adjusted Spread ("OAS") LIBOR OAS (3) 93 3,527 701 Projected Collateral Prepayments 12.3 % 100.0 % 72.3 % Projected Collateral Scheduled Amortization 0.0 % 87.7 % 27.7 % 100.0 % Investment in unconsolidated entities 41,392 Enterprise Value Equity Price-to-Book (4) 1.0x 4.7x 1.7x Investment in unconsolidated entities 30,458 Discounted Cash Flows Yield (5) 3.7% 14.8% 9.9% Other secured borrowings, at fair value (1) (594,396) Discounted Cash Flows Yield 2.9% 4.0% 3.3% Total return swaps—liability (436) Discounted Cash Flows Yield 27.7% 27.7% 27.7% (1) Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (2) Includes $1.5 million of non-performing securitized residential mortgage loans. (3) Shown in basis points. (4) Represent an estimation of where market participants might value an enterprise on a price-to-book basis. (5) Represents the significant unobservable inputs used to fair value the financial instruments of the unconsolidated entity. The fair value of such financial instruments is the largest component of the valuation of such entity as a whole. |
Fair Value Measurement Using Significant Unobservable Inputs | The tables below includes a roll-forward of the Company's financial instruments for the three- and nine-month periods ended September 30, 2020 and 2019 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended September 30, 2020 (In thousands) Beginning Balance as of Accreted Net Realized Change in Net Purchases/Payments (1) Sales/Issuances (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Securities, at fair value: Agency RMBS $ 12,907 $ (1,482) $ 494 $ 280 $ 3,490 $ (2,243) $ 2,621 $ (3,927) $ 12,140 Non-Agency RMBS 128,607 884 (77) 2,610 21,138 (6,395) 10,895 (18,463) 139,199 CMBS 65,695 659 8 4,117 12,699 (8) 560 (40,921) 42,809 CLOs 136,466 1,962 (82) 1,920 2,241 (127) 6,483 (35,873) 112,990 Asset-backed securities backed by consumer loans 47,941 (1,435) (4) 1,165 7,455 (7,824) — — 47,298 Corporate debt securities 1,951 — 296 509 28 (577) — — 2,207 Corporate equity securities 1,084 — — (73) 3 — — — 1,014 Loans, at fair value: Residential mortgage loans 948,447 (2,009) (146) 15,672 139,609 (70,864) — — 1,030,709 Commercial mortgage loans 295,496 17 36 (6) 18,881 (62,193) — — 252,231 Consumer loans 166,681 (6,342) (112) (1,627) 28,554 (34,545) — — 152,609 Corporate loan 6,227 — — — 836 — — — 7,063 Investments in unconsolidated entities, at fair value 72,553 — 62 11,381 15,307 (3,500) — — 95,803 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 353 — 1 (2) 3 (4) — — 351 Total return swaps 442 — (129) (338) 209 (79) — — 105 Total assets, at fair value $ 1,884,850 $ (7,746) $ 347 $ 35,608 $ 250,453 $ (188,359) $ 20,559 $ (99,184) $ 1,896,528 Liabilities: Financial derivatives–assets, at fair value: Total return swaps $ (77) $ — $ 4 $ (11) $ (4) $ — $ — $ — $ (88) Other secured borrowings, at fair value (742,688) — — (5,178) 52,350 — — — (695,516) Total liabilities, at fair value $ (742,765) $ — $ 4 $ (5,189) $ 52,346 $ — $ — $ — $ (695,604) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2020. For Level 3 financial instruments held by the Company at September 30, 2020, change in net unrealized gain (loss) of $9.3 million, $14.2 million, $11.3 million, $(0.3) million, $(11) thousand, and $(5.2) million, for the three-month period ended September 30, 2020 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At September 30, 2020, the Company transferred $99.2 million of assets from Level 3 to Level 2 and $20.6 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Three-Month Period Ended September 30, 2019 (In thousands) Beginning Balance as of Accreted Net Realized Change in Net Purchases/ (1) Sales/ (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Securities, at fair value: Agency RMBS $ 11,034 $ (1,164) $ (621) $ 696 $ 13,254 $ — $ 737 $ (437) $ 23,499 Non-Agency RMBS 96,790 (121) 7,836 (6,457) 6,483 (21,457) 5,808 (7,400) 81,482 CMBS 6,278 25 374 (302) 6,815 (1,474) 652 — 12,368 CLOs 17,222 (184) 1,158 184 — (1,139) 15,287 (4,520) 28,008 Asset-backed securities backed by consumer loans 25,019 (611) (100) (320) 18,638 (3,310) — — 39,316 Corporate debt securities 4,081 — (583) 142 6,425 (6,883) — — 3,182 Corporate equity securities 1,791 — (768) (61) 1,316 — — — 2,278 Loans, at fair value: Residential mortgage loans 663,880 (2,241) (400) 3,559 191,512 (58,582) — — 797,728 Commercial mortgage loans 260,034 (52) (1) 507 32,426 (32,288) — — 260,626 Consumer loans 162,609 (6,474) (1,055) 28 33,101 (36,510) — — 151,699 Corporate loans 5,000 — — — 10,790 — — — 15,790 Investment in unconsolidated entities, at fair value 69,676 — (139) 2,935 9,643 (11,680) — — 70,435 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 1,090 — 16 (12) 10 (26) — — 1,078 Total return swaps 87 — (15) 148 — 15 — — 235 Total assets, at fair value $ 1,324,591 $ (10,822) $ 5,702 $ 1,047 $ 330,413 $ (173,334) $ 22,484 $ (12,357) $ 1,487,724 Liabilities: Financial derivatives–liabilities, at fair value: Total return swaps $ — $ — $ 48 $ (214) $ — $ (48) $ — $ — $ (214) Other secured borrowings, at fair value $ (475,816) $ — $ — $ (72) $ 37,259 $ — $ — $ — $ (438,629) Total liabilities, at fair value $ (475,816) $ — $ 48 $ (286) $ 37,259 $ (48) $ — $ — $ (438,843) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2019. For Level 3 financial instruments held by the Company at September 30, 2019, change in net unrealized gain (loss) of $(4.7) million, $4.1 million, $3.3 million, $0.1 million, $(0.2) million, and $(0.1) million, for the three-month period ended September 30, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At September 30, 2019, the Company transferred $12.4 million of assets from Level 3 to Level 2 and $22.5 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Nine-Month Period Ended September 30, 2020 (In thousands) Beginning Balance as of Accreted Net Realized Change in Net Purchases/Payments (1) Sales/Issuances (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Securities, at fair value: Agency RMBS $ 19,904 $ (6,072) $ 614 $ 2,803 $ 8,219 $ (3,295) $ 2,177 $ (12,210) $ 12,140 Non-Agency RMBS 89,581 1,113 303 (1,996) 61,933 (29,811) 22,974 (4,898) 139,199 CMBS 29,805 617 (867) (4,638) 51,432 (32,284) 7,828 (9,084) 42,809 CLOs 44,979 1,237 (7,586) (24,206) 47,730 — 53,462 (2,626) 112,990 Asset-backed securities backed by consumer loans 48,610 (3,584) (200) (1,501) 25,001 (21,028) — — 47,298 Corporate debt securities 1,113 — 504 991 3,450 (3,851) — — 2,207 Corporate equity securities 1,394 — 7 (741) 366 (12) — — 1,014 Loans, at fair value: Residential mortgage loans 932,203 (4,414) (722) 7,008 340,842 (244,208) — — 1,030,709 Commercial mortgage loans 274,759 113 135 (140) 107,608 (130,244) — — 252,231 Consumer loans 186,954 (21,712) (97) (6,965) 104,872 (110,443) — — 152,609 Corporate loan 18,510 — — — 1,053 (12,500) — — 7,063 Investments in unconsolidated entities, at fair value 71,850 — 62 10,528 29,522 (16,159) — — 95,803 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 993 — (955) 915 29 (631) — — 351 Total return swaps 620 — 113 (515) 209 (322) — — 105 Total assets, at fair value $ 1,721,275 $ (32,702) $ (8,689) $ (18,457) $ 782,266 $ (604,788) $ 86,441 $ (28,818) $ 1,896,528 Liabilities: Financial derivatives–liabilities, at fair value: Total return swaps $ (436) $ — $ (501) $ 349 $ 500 $ — $ — $ — $ (88) Other secured borrowings, at fair value (594,396) — — (6,636) 138,608 (233,092) — — (695,516) Total liabilities, at fair value $ (594,832) $ — $ (501) $ (6,287) $ 139,108 $ (233,092) $ — $ — $ (695,604) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2020. For Level 3 financial instruments held by the Company at September 30, 2020, change in net unrealized gain (loss) of $(56.3) million, $12 thousand, $10.2 million, $0.6 million, $(0.1) million, and $(6.6) million, for the nine-month period ended September 30, 2020 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At September 30, 2020, the Company transferred $28.8 million of assets from Level 3 to Level 2 and $86.4 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Nine-Month Period Ended September 30, 2019 (In thousands) Beginning Balance as of Accreted Net Realized Change in Net Purchases/ (1) Sales/ (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Assets: Securities, at fair value: Agency RMBS $ 7,293 $ (2,228) $ (1,228) $ 1,430 $ 14,854 $ (463) $ 4,708 $ (867) $ 23,499 Non-Agency RMBS 91,291 104 7,187 (4,482) 10,239 (27,514) 14,633 (9,976) 81,482 CMBS 803 (16) 76 (73) 7,937 (221) 3,862 — 12,368 CLOs 14,915 (670) (536) 1,889 816 (1,125) 15,287 (2,568) 28,008 Asset-backed securities backed by consumer loans 22,800 (1,580) (765) 537 28,189 (9,865) — — 39,316 Corporate debt securities 6,318 22 (928) 65 9,257 (11,552) — — 3,182 Corporate equity securities 1,534 — (910) 337 1,317 — — — 2,278 Loans, at fair value: Residential mortgage loans 496,829 (4,515) 1,554 7,717 452,958 (156,815) — — 797,728 Commercial mortgage loans 195,301 1,087 1,412 (1,844) 128,839 (64,169) — — 260,626 Consumer loans 183,961 (22,432) (4,565) 2,726 103,983 (111,974) — — 151,699 Corporate loan — — — — 15,790 — — — 15,790 Investment in unconsolidated entities, at fair value 72,298 276 1,545 5,125 40,097 (48,906) — — 70,435 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 1,472 — 419 (394) 18 (437) — — 1,078 Total return swaps — — 1 235 — (1) — — 235 Total assets, at fair value $ 1,094,815 $ (29,952) $ 3,262 $ 13,268 $ 814,294 $ (433,042) $ 38,490 $ (13,411) $ 1,487,724 Liabilities: Financial derivatives–liabilities, at fair value: Total return swaps $ — $ — $ 48 $ (214) $ — $ (48) $ — $ — $ (214) Other secured borrowings, at fair value (297,948) — — (32) 78,887 (219,536) — — (438,629) Total liabilities, at fair value $ (297,948) $ — $ 48 $ (246) $ 78,887 $ (219,584) $ — $ — $ (438,843) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2019. For Level 3 financial instruments held by the Company at September 30, 2019, change in net unrealized gain (loss) of $(0.4) million, $10.2 million, $2.4 million, $(0.2) million, $(0.2) million, and $(32) thousand, for the nine-month period ended September 30, 2019 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At September 30, 2019, the Company transferred $13.4 million of assets from Level 3 to Level 2 and $38.5 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. |
Investment in Securities (Table
Investment in Securities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment Holdings | The following tables detail the Company's investment in securities as of September 30, 2020 and December 31, 2019. September 30, 2020: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Life (Years) (2) Long: Agency RMBS: 15-year fixed-rate mortgages $ 69,491 $ 2,641 $ 72,132 $ 1,890 $ (27) $ 73,995 3.31 % 1.89 % 3.38 20-year fixed-rate mortgages 587 39 626 29 — 655 4.71 % 2.94 % 3.88 30-year fixed-rate mortgages 625,882 30,133 656,015 26,286 (371) 681,930 4.06 % 2.42 % 4.06 Adjustable rate mortgages 6,751 173 6,924 123 (1) 7,046 3.65 % 2.15 % 3.35 Reverse mortgages 94,741 5,466 100,207 4,317 — 104,524 4.02 % 2.36 % 5.10 Interest only securities n/a n/a 47,507 5,682 (1,484) 51,705 3.47 % 10.17 % 4.58 Non-Agency RMBS 336,997 (131,976) 205,021 12,488 (7,959) 209,550 3.16 % 6.35 % 4.68 CMBS 184,695 (62,938) 121,757 803 (24,307) 98,253 2.54 % 7.74 % 8.43 Non-Agency interest only securities n/a n/a 8,367 1,832 (250) 9,949 1.17 % 16.73 % 2.75 CLOs n/a n/a 211,236 1 (47,943) 163,294 3.25 % 8.48 % 3.84 ABS backed by consumer loans 71,617 (24,277) 47,340 1,052 (1,094) 47,298 11.82 % 17.39 % 1.08 Corporate debt 24,174 (23,187) 987 1,220 — 2,207 — % — % 2.85 Corporate equity n/a n/a 1,604 160 (750) 1,014 n/a n/a n/a Total Long 1,414,935 (203,926) 1,479,723 55,883 (84,186) 1,451,420 3.86 % 5.05 % 4.37 Short: Corporate debt (450) (6) (456) 5 (10) (461) 5.32 % 5.21 % 4.14 U.S. Treasury securities (14,000) (273) (14,273) — (37) (14,310) 0.63 % 0.41 % 6.21 European sovereign bonds (36,280) 1,622 (34,658) — (2,064) (36,722) 0.22 % 0.06 % 3.36 Total Short (50,730) 1,343 (49,387) 5 (2,111) (51,493) 0.39 % 0.21 % 4.16 Total $ 1,364,205 $ (202,583) $ 1,430,336 $ 55,888 $ (86,297) $ 1,399,927 3.98 % 4.89 % 4.38 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. December 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Life (Years) (2) Long: Agency RMBS: 15-year fixed-rate mortgages $ 314,636 $ 6,369 $ 321,005 $ 2,604 $ (203) $ 323,406 3.05 % 2.28 % 3.05 20-year fixed-rate mortgages 804 49 853 24 — 877 4.62 % 2.99 % 4.80 30-year fixed-rate mortgages 1,358,762 64,846 1,423,608 13,821 (2,830) 1,434,599 4.20 % 2.95 % 6.63 Adjustable rate mortgages 9,651 315 9,966 90 (54) 10,002 3.99 % 2.03 % 4.09 Reverse mortgages 122,670 8,133 130,803 2,023 (26) 132,800 4.43 % 2.78 % 6.67 Interest only securities n/a n/a 34,044 1,624 (389) 35,279 2.81 % 9.27 % 3.86 Non-Agency RMBS 274,353 (122,685) 151,668 12,549 (1,081) 163,136 3.41 % 7.25 % 5.31 CMBS 185,417 (67,961) 117,456 2,990 (480) 119,966 3.31 % 6.62 % 8.94 Non-Agency interest only securities n/a n/a 6,517 1,817 (18) 8,316 1.10 % 8.18 % 4.14 CLOs n/a n/a 169,238 4,219 (3,014) 170,443 5.05 % 9.62 % 4.75 ABS backed by consumer loans 67,080 (19,154) 47,926 1,596 (912) 48,610 12.17 % 14.00 % 1.22 Corporate debt 22,125 (21,241) 884 229 — 1,113 — % — % 0.33 Corporate equity n/a n/a 1,242 152 — 1,394 n/a n/a n/a Total Long 2,355,498 (151,329) 2,415,210 43,738 (9,007) 2,449,941 4.15 % 4.09 % 5.88 Short: Corporate debt (450) (6) (456) — (15) (471) 5.44 % 5.21 % 4.90 U.S. Treasury securities (63,140) 381 (62,759) 63 (298) (62,994) 1.76 % 1.87 % 6.11 European sovereign bonds (9,759) 133 (9,626) — (318) (9,944) 0.77 % 0.12 % 1.58 Total Short (73,349) 508 (72,841) 63 (631) (73,409) 1.65 % 1.66 % 5.49 Total $ 2,282,149 $ (150,821) $ 2,342,369 $ 43,801 $ (9,638) $ 2,376,532 4.23 % 4.01 % 5.90 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. |
Securities by Weighted Average Life | The following tables detail weighted average life of the Company's Agency RMBS as of September 30, 2020 and December 31, 2019. September 30, 2020: ($ in thousands) Agency RMBS Agency Interest Only Securities Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 150,492 $ 146,624 4.26 % $ 8,893 $ 8,267 3.90 % Greater than three years and less than seven years 706,422 678,227 3.95 % 39,604 36,038 3.63 % Greater than seven years and less than eleven years 11,236 11,053 3.01 % 1,048 1,049 0.28 % Greater than eleven years — — — % 2,160 2,153 0.78 % Total $ 868,150 $ 835,904 3.99 % $ 51,705 $ 47,507 3.47 % (1) Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. December 31, 2019: ($ in thousands) Agency RMBS Agency Interest Only Securities Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 188,593 $ 187,099 3.39 % $ 9,011 $ 8,611 3.35 % Greater than three years and less than seven years 961,839 953,031 4.25 % 25,334 24,512 2.66 % Greater than seven years and less than eleven years 713,862 708,805 3.89 % 934 921 1.90 % Greater than eleven years 37,390 37,300 3.51 % — — — % Total $ 1,901,684 $ 1,886,235 4.02 % $ 35,279 $ 34,044 2.81 % (1) Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of September 30, 2020 and December 31, 2019. September 30, 2020: ($ in thousands) Non-Agency RMBS and CMBS Non-Agency IOs CLOs and Other Securities (2) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Less than three years $ 80,873 $ 77,739 3.67 % $ 4,079 $ 2,685 0.55 % $ 61,222 $ 63,694 9.43 % Greater than three years and less than seven years 106,561 102,374 3.38 % 5,870 5,682 1.47 % 150,175 193,955 3.38 % Greater than seven years and less than eleven years 96,327 119,267 2.48 % — — — % 1,402 1,914 — % Greater than eleven years 24,042 27,398 1.04 % — — — % — — — % Total $ 307,803 $ 326,778 2.93 % $ 9,949 $ 8,367 1.17 % $ 212,799 $ 259,563 4.84 % (1) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Other Securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities. (3) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. December 31, 2019: ($ in thousands) Non-Agency RMBS and CMBS Non-Agency IOs CLOs and Other Securities (2) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Less than three years $ 50,120 $ 48,213 2.73 % $ 439 $ 401 1.37 % $ 54,446 $ 54,090 11.11 % Greater than three years and less than seven years 87,436 79,326 4.42 % 7,877 6,116 1.08 % 157,384 155,651 5.38 % Greater than seven years and less than eleven years 127,533 123,924 3.31 % — — — % 8,336 8,307 — % Greater than eleven years 18,013 17,661 0.81 % — — — % — — — % Total $ 283,102 $ 269,124 3.37 % $ 8,316 $ 6,517 1.10 % $ 220,166 $ 218,048 6.60 % (1) Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Other Securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities. (3) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. |
Investment Income | The following tables detail the components of interest income by security type for the three- and nine-month periods ended September 30, 2020 and 2019: Three-Month Period Ended (In thousands) September 30, 2020 September 30, 2019 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 14,117 $ (7,454) $ 6,663 $ 16,026 $ (6,290) $ 9,736 Non-Agency RMBS and CMBS 3,311 1,911 5,222 3,383 430 3,813 CLOs 2,256 2,179 4,435 3,480 (627) 2,853 Other securities (1) 2,970 (1,435) 1,535 1,670 (611) 1,059 Total $ 22,654 $ (4,799) $ 17,855 $ 24,559 $ (7,098) $ 17,461 Nine-Month Period Ended (In thousands) September 30, 2020 September 30, 2019 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 47,632 $ (25,516) $ 22,116 $ 42,681 $ (15,883) $ 26,798 Non-Agency RMBS and CMBS 10,995 4,001 14,996 10,514 1,666 12,180 CLOs 11,662 1,543 13,205 11,391 (1,138) 10,253 Other securities (1) 8,992 (3,584) 5,408 4,706 (1,528) 3,178 Total $ 79,281 $ (23,556) $ 55,725 $ 69,292 $ (16,883) $ 52,409 (1) Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities. |
Schedule of Realized Gain (Loss) | The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and nine-month periods ended September 30, 2020 and 2019. Three-Month Period Ended (In thousands) September 30, 2020 September 30, 2019 (1) Security Type Proceeds (2) Gross Realized Gains Gross Realized Losses (3) Net Realized Gain (Loss) Proceeds (2) Gross Realized Gains Gross Realized Losses (3) Net Realized Gain (Loss) Agency RMBS $ 10,675 $ 2,467 $ (564) $ 1,903 $ 331,572 $ 4,511 $ (34) $ 4,477 Non-Agency RMBS and CMBS 17,926 1,669 (171) 1,498 16,496 9,606 (341) 9,265 CLOs — — 256 256 2,060 1,287 27 1,314 Other securities (4) 11,861 373 (74) 299 138,000 63 (220) (157) Total $ 40,462 $ 4,509 $ (553) $ 3,956 $ 488,128 $ 15,467 $ (568) $ 14,899 (1) Conformed to current period presentation. (2) Includes proceeds on sales of securities not yet settled as of period end. (3) Excludes realized losses of $(2.5) million and $(10.1) million, for the three-month periods ended September 30, 2020 and 2019, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (4) Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. Nine-Month Period Ended (In thousands) September 30, 2020 September 30, 2019 (1) Security Type Proceeds (2) Gross Realized Gains Gross Realized Losses Net Realized Gain (Loss) Proceeds (2) Gross Realized Gains Gross Realized Losses (3) Net Realized Gain (Loss) Agency RMBS $ 1,438,469 $ 15,982 $ (3,369) $ 12,613 $ 719,082 $ 6,954 $ (1,950) $ 5,004 Non-Agency RMBS and CMBS 116,349 11,081 (3,880) 7,201 165,180 11,356 (3,835) 7,521 CLOs 41,714 1,122 (2,928) (1,806) 58,157 1,169 (816) 353 Other securities (4) 169,172 1,273 (329) 944 602,443 801 (1,206) (405) Total $ 1,765,704 $ 29,458 $ (10,506) $ 18,952 $ 1,544,862 $ 20,280 $ (7,807) $ 12,473 (1) Conformed to current period presentation. (2) Includes proceeds on sales of securities not yet settled as of period end. (3) Excludes realized losses of $(16.3) million and $(16.1) million, for the nine-month periods ended September 30, 2020 and 2019, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (4) Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | The following table presents the fair value and gross unrealized losses of our long securities, excluding those where there are expected credit losses as of the balance sheet date in relation to such securities' cost bases, by length of time that such securities have been in an unrealized loss position at September 30, 2020. September 30, 2020: (In thousands) Less than 12 Months Greater than 12 Months Total Security Type Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Agency RMBS $ 138,286 $ (673) $ 1,881 $ (112) $ 140,167 $ (785) Non-Agency RMBS and CMBS 18,887 (1,560) 1,665 (84) 20,552 (1,644) CLOs 10,204 (10,069) 54 — 10,258 (10,069) Other securities (1) 647 (431) — — 647 (431) Total $ 168,024 $ (12,733) $ 3,600 $ (196) $ 171,624 $ (12,929) (1) Other securities includes ABS backed by consumer loans, corporate debt and equity, and U.S. Treasury securities. The following table presents the fair value and gross unrealized losses of our long securities by length of time that such securities have been in an unrealized loss position at December 31, 2019. December 31, 2019: (In thousands) Less than 12 Months Greater than 12 Months Total Security Type Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Agency RMBS $ 328,968 $ (1,503) $ 125,095 $ (1,999) $ 454,063 $ (3,502) Non-Agency RMBS and CMBS 88,495 (880) 27,218 (699) 115,713 (1,579) CLOs 37,354 (1,911) 9,245 (1,103) 46,599 (3,014) Other securities (1) 16,562 (852) 1,380 (60) 17,942 (912) Total $ 471,379 $ (5,146) $ 162,938 $ (3,861) $ 634,317 $ (9,007) (1) Other securities includes ABS backed by consumer loans, corporate debt and equity, and U.S. Treasury securities. |
Investment in Loans (Tables)
Investment in Loans (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Receivables [Abstract] | |
Summary of Investments in Loans | The following table is a summary of the Company's investments in loans as of September 30, 2020 and December 31, 2019: As of (In thousands) September 30, 2020 December 31, 2019 Loan Type Unpaid Principal Balance Fair Unpaid Principal Balance Fair Residential mortgage loans $ 1,004,980 $ 1,030,709 $ 911,705 $ 932,203 Commercial mortgage loans 252,305 252,231 277,870 274,759 Consumer loans 150,062 152,609 179,743 186,954 Corporate loans 7,063 7,063 18,415 18,510 Total $ 1,414,410 $ 1,442,612 $ 1,387,733 $ 1,412,426 The tables below detail certain information regarding the Company's residential mortgage loans as of September 30, 2020 and December 31, 2019. September 30, 2020: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 996,429 $ 8,676 $ 1,005,105 $ 21,504 $ (4,355) $ 1,022,254 6.23 % 5.15 % 1.66 Residential mortgage loans, held-for-sale 8,551 (863) 7,688 793 (26) 8,455 4.73 % 6.04 % 5.50 Total $ 1,004,980 $ 7,813 $ 1,012,793 $ 22,297 $ (4,381) $ 1,030,709 6.22 % 5.16 % 1.70 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2) Includes $760.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $17.5 million and $(0.2) million of gross unrealized gains and gross unrealized losses, respectively; such unrealized gains (losses) are presented on a gross basis on the Company's Condensed Consolidated Statement of Operations. See Residential Mortgage Loan Securitizations in Note 10 for additional information. December 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 911,705 $ 9,354 $ 921,059 $ 13,082 $ (1,938) $ 932,203 6.44 % 5.79 % 1.90 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2) Includes $628.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts. The tables below detail certain information regarding the Company's commercial mortgage loans as of September 30, 2020 and December 31, 2019: September 30, 2020: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Commercial mortgage loans, held-for-investment $ 252,305 $ (122) $ 252,183 $ 535 $ (487) $ 252,231 8.25 % 8.14 % 0.77 (1) Excludes commercial mortgage loans, in non-accrual status, with a fair value of $23.8 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Commercial mortgage loans, held-for-investment $ 277,870 $ (3,302) $ 274,568 $ 253 $ (62) $ 274,759 7.65 % 8.58 % 1.07 (1) Excludes commercial mortgage loans, held at par in non-accrual status, with a fair value of $10.7 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The tables below detail certain information regarding the Company's consumer loans as of September 30, 2020 and December 31, 2019: September 30, 2020: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value (1) Life (Years) (2) Delinquency (Days) Consumer loans, held-for-investment $ 150,062 $ 7,347 $ 157,409 $ 1,430 $ (6,230) $ 152,609 0.88 4 (1) Includes $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2019: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value (1) Life (Years) (2) Delinquency (Days) Consumer loans, held-for-investment $ 179,743 $ 5,027 $ 184,770 $ 2,561 $ (377) $ 186,954 0.82 4 (1) Includes $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The tables below detail certain information regarding the Company's corporate loans as of September 30, 2020 and December 31, 2019: September 30, 2020: Weighted Average ($ in thousands) Unpaid Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 7,063 $ 7,063 19.43 % 1.98 (1) See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2019: Weighted Average ($ in thousands) Unpaid Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1)(2) $ 18,415 $ 18,510 17.62 % 0.87 (1) See Note 13 for further details on the Company's transactions involving a loan originator in which the Company also holds an equity investment. (2) See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans. |
Financing Receivable, Past Due [Table Text Block] | The following table provides details, by accrual status, for loans that are 90 days or more past due as of September 30, 2020 and December 31, 2019: As of September 30, 2020 December 31, 2019 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value 90 days or more past due—non-accrual status Residential mortgage loans $ 67,121 $ 64,414 $ 22,092 $ 19,401 Commercial mortgage loans 23,750 23,671 28,936 26,545 Consumer loans 1,284 1,131 5,633 5,225 |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2020 and December 31, 2019: Property Location by U.S. State September 30, 2020 December 31, 2019 California 44.0 % 46.6 % Florida 13.8 % 11.9 % Texas 10.4 % 11.9 % Colorado 2.8 % 3.2 % Massachusetts 2.6 % 2.9 % Oregon 2.4 % 2.2 % Arizona 1.9 % 2.4 % Utah 1.9 % 1.9 % Illinois 1.8 % 1.7 % New Jersey 1.8 % 1.1 % Nevada 1.7 % 1.6 % Washington 1.6 % 1.6 % New York 1.3 % 1.3 % North Carolina 1.2 % — % Georgia 1.1 % — % Maryland 1.0 % 1.1 % Connecticut 1.0 % — % Other 7.7 % 8.6 % 100.0 % 100.0 % The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2020 and December 31, 2019: Property Location by U.S. State September 30, 2020 December 31, 2019 Florida 17.6 % 31.7 % New York 16.5 % 17.7 % Pennsylvania 11.5 % — % Connecticut 9.3 % 8.2 % Missouri 6.6 % 4.6 % Ohio 6.1 % — % California 5.7 % — % Massachusetts 5.2 % 4.7 % New Jersey 4.9 % 13.3 % Arizona 3.7 % 3.8 % Virginia 3.6 % 6.8 % Indiana 2.4 % 2.1 % North Carolina 2.0 % 1.8 % Nevada 1.6 % 1.5 % Tennessee 1.6 % 1.5 % Illinois 1.3 % 1.2 % Other 0.4 % 1.1 % 100.0 % 100.0 % September 30, 2020: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 126,783 10 28.5 % Collateral on repurchase agreements held by dealers (2) 1,810,825 24 18.6 % Due from brokers 63,991 22 35.4 % Receivable for securities sold (3) 5,086 2 87.0 % (1) Each counterparty is a large creditworthy financial institution. (2) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. December 31, 2019: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 72,302 11 42.2 % Collateral on repurchase agreements held by dealers (2) 2,793,696 28 13.8 % Due from brokers 79,829 24 30.9 % Receivable for securities sold (3) 69,995 5 62.3 % (1) Each counterparty is a large creditworthy financial institution. (2) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. |
Financing Receivable Credit Quality Indicators [Table Text Block] | The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of September 30, 2020 and December 31, 2019. As of September 30, 2020 December 31, 2019 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Re-performing $ 23,002 $ 21,572 $ 27,663 $ 25,323 Non-performing 64,710 62,343 17,757 15,580 |
Consumer Loans, Delinquency Status [Table Text Block] | The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of September 30, 2020 and December 31, 2019: Days Past Due September 30, 2020 December 31, 2019 Current 96.2 % 95.3 % 30-59 Days 1.6 % 2.1 % 60-89 Days 1.1 % 1.4 % 90-119 Days 0.8 % 1.2 % >120 Days 0.3 % — % 100.0 % 100.0 % |
Investments in Unconsolidated_2
Investments in Unconsolidated Entities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule of Investments in Unconsolidated Entities | The following table provides a summary of the results of operations of this entity for the three- and nine-month periods ended September 30, 2020 and 2019. Three-Month Period Ended Nine-Month Period Ended (In thousands) September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 Revenue $ 4,827 $ 6,957 $ 10,030 $ 14,486 Net income (loss) $ 15,962 $ 4,739 $ 28,901 $ 3,074 |
Real Estate Owned (Tables)
Real Estate Owned (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Real Estate Owned, Disclosure of Detailed Components [Abstract] | |
Schedule of Real Estate Owned | The following tables detail activity in the Company's carrying value of REO for the three- and nine-month periods ended September 30, 2020 and 2019: Three-Month Period Ended September 30, 2020 September 30, 2019 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (June 30, 2020 and June 30, 2019, respectively) 13 $ 24,044 20 $ 47,621 Transfers from mortgage loans 4 676 1 601 Capital expenditures and other adjustments to cost 27 — Adjustments to record at the lower of cost or fair value 147 6 Disposals (1) (100) (7) (3,805) Ending Balance (September 30, 2020 and September 30, 2019, respectively) 16 $ 24,794 14 $ 44,423 Nine-Month Period Ended September 30, 2020 September 30, 2019 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (December 31, 2019 and January 1, 2019, respectively) 15 $ 30,584 20 $ 30,778 Transfers from mortgage loans 9 2,198 5 18,314 Capital expenditures and other adjustments to cost 153 240 Adjustments to record at the lower of cost or fair value (813) (257) Disposals (8) (7,328) (11) (4,652) Ending Balance (September 30, 2020 and September 30, 2019, respectively) 16 $ 24,794 14 $ 44,423 |
Financial Derivatives (Tables)
Financial Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments | The following table details the fair value of the Company's holdings of financial derivatives as of September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 394 $ 90 TBA securities sale contracts 756 506 Fixed payer interest rate swaps 5 3,914 Fixed receiver interest rate swaps 13,785 1,554 Credit default swaps on asset-backed securities 351 993 Credit default swaps on asset-backed indices 9,722 3,319 Credit default swaps on corporate bonds 39 2 Credit default swaps on corporate bond indices 2,419 5,599 Total return swaps 105 620 Futures 1 148 Forwards 256 43 Warrants 31 — Total financial derivatives–assets, at fair value 27,864 16,788 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts $ (156) $ — TBA securities sale contracts (130) (1,012) Fixed payer interest rate swaps (29,712) (8,513) Fixed receiver interest rate swaps (62) (206) Credit default swaps on asset-backed indices (142) (250) Credit default swaps on corporate bonds (580) (1,693) Credit default swaps on corporate bond indices (3,572) (14,524) Total return swaps (88) (1,209) Futures (331) (45) Forwards (41) (169) Total financial derivatives–liabilities, at fair value (34,814) (27,621) Total $ (6,950) $ (10,833) |
Schedule of Interest Rate Derivatives [Table Text Block] | The following tables provide information about the Company's fixed payer interest rate swaps as of September 30, 2020 and December 31, 2019: September 30, 2020: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2021 $ 17,500 $ (223) 2.75 % 0.23 % 0.47 2022 129,975 (1,952) 1.21 0.26 1.40 2023 146,012 (5,052) 1.50 0.24 2.67 2025 31,500 (902) 0.95 0.25 4.61 2026 28,104 (1,463) 1.25 0.22 5.74 2027 34,000 (89) 0.49 0.22 6.73 2028 32,942 (4,721) 2.40 0.23 7.59 2029 92,594 (9,789) 1.78 0.25 9.04 2030 68,463 (2,781) 1.10 0.25 9.44 2036 1,100 (84) 1.45 0.22 15.39 2049 5,796 (2,651) 2.89 0.30 28.28 Total $ 587,986 $ (29,707) 1.43 % 0.25 % 5.15 December 31, 2019: Weighted Average Maturity Notional Amount (1) Fair Value (1) Pay Rate (2)(3) Receive Rate (2) Remaining Years to Maturity (4) (In thousands) 2020 $ 68,607 $ (234) 1.74 % 1.93 % 0.24 2021 268,929 (419) 1.73 1.95 1.64 2022 31,350 9 1.65 1.93 2.14 2023 101,012 (1,265) 2.06 1.91 3.29 2024 13,000 99 1.56 1.89 4.90 2025 12,800 (24) n/a n/a 5.22 2026 59,902 1,946 1.24 1.94 6.50 2028 32,942 (1,634) 2.40 1.93 8.34 2029 136,838 (2,018) 2.02 1.96 9.61 2030 685 (32) 2.38 1.90 10.90 2036 1,100 87 1.45 1.94 16.14 2049 5,796 (1,114) 2.89 2.09 29.03 Total $ 732,961 $ (4,599) 1.83 % 1.94 % 4.31 (1) Includes forward-starting interest rate swaps with a notional amount of $20.9 million and fair value of $(41) thousand. (2) Excludes forward-starting interest rate swaps. (3) Including forward-starting interest rate swaps the total weighted average pay rate was 1.83%. (4) Includes forward-starting interest rate swaps, all of which start within six months of period end. The following tables provide information about the Company's fixed receiver interest rate swaps as of September 30, 2020 and December 31, 2019: September 30, 2020: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2021 $ 12,950 $ 201 0.23 % 1.75 % 0.96 2022 87,683 1,514 0.26 1.33 1.45 2023 48,657 2,234 0.23 2.00 2.51 2024 86,342 5,262 0.26 1.65 3.99 2025 39,685 226 0.24 0.44 4.66 2027 25,108 343 0.30 0.63 6.50 2029 9,800 1,030 0.24 1.78 9.02 2030 128,335 2,913 0.25 0.90 9.47 Total $ 438,560 $ 13,723 0.25 % 1.25 % 5.15 December 31, 2019: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2021 $ 181,950 $ (49) 1.89 % 1.67 % 1.84 2022 53,974 441 1.91 1.85 2.17 2023 48,657 709 1.92 2.00 3.26 2024 11,342 306 2.09 2.33 4.23 2029 9,800 (59) 1.91 1.78 9.77 Total $ 305,723 $ 1,348 1.91 % 1.78 % 2.47 |
Schedule of Credit Default Swaps [Table Text Block] | The following table provides information about the Company's credit default swaps as of September 30, 2020 and December 31, 2019: As of September 30, 2020 December 31, 2019 Type (1) Notional Fair Value Weighted Average Remaining Term (Years) Notional Fair Value Weighted Average Remaining Term (Years) ($ in thousands) Asset: Long: Credit default swaps on asset-backed indices $ 416 $ 6 17.25 $ 695 $ 10 23.80 Credit default swaps on corporate bonds 1,600 39 5.22 430 2 0.47 Credit default swaps on corporate bond indices 69,381 1,913 2.71 130,707 5,547 2.42 Short: Credit default swaps on asset-backed securities (955) 351 14.95 (2,640) 993 15.63 Credit default swaps on asset-backed indices (30,668) 9,716 37.71 (63,515) 3,309 38.40 Credit default swaps on corporate bond indices (10,036) 506 1.64 (1,997) 52 3.97 Liability: Long: Credit default swaps on asset-backed indices 480 (142) 32.61 344 (145) 29.35 Short: Credit default swaps on asset-backed indices (1) — 29.25 (4,501) (105) 40.31 Credit default swaps on corporate bonds (12,200) (580) 3.71 (10,800) (1,693) 3.92 Credit default swaps on corporate bond indices (126,983) (3,572) 2.07 (250,088) (14,524) 2.51 $ (108,966) $ 8,237 11.71 $ (201,365) $ (6,554) 14.88 (1) Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection. |
Schedule of Futures Contracts [Table Text Block] | The following table provides information about the Company's long and short positions in futures as of September 30, 2020 and December 31, 2019: As of September 30, 2020 December 31, 2019 Description Notional Amount Fair Value Remaining Months to Expiration Notional Amount Fair Value Remaining Months to Expiration (In thousands) (In thousands) Assets: Short Contracts: U.S. Treasury futures $ (300) $ 1 2.73 $ — $ — — Liabilities: Long Contracts: U.S. Treasury futures $ 1,900 $ (31) 2.73 — — — Short Contracts: U.S. Treasury futures (165,600) (300) 3.00 (16,000) 148 2.77 Eurodollar futures — — — (14,000) (45) 4.05 Total, net $ (164,000) $ (330) 3.00 $ (30,000) $ 103 3.37 |
Schedule of Derivative Warrant Contracts [Table Text Block] | Warrants The following table provides information about the Company's warrants contracts to purchase shares as of September 30, 2020 and December 31, 2019: September 30, 2020 As of December, 31, 2019 Description Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration (In thousands) (In thousands) Warrants 1,546 $ 31 2.08 1,515 $ — 2.82 |
Schedule of TBA securities [Table Text Block] | As of September 30, 2020 and December 31, 2019, the Company had outstanding TBA purchase and sale contracts as follows: September 30, 2020 December 31, 2019 TBA Securities Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) (In thousands) Purchase contracts: Assets $ 100,890 $ 103,882 $ 104,276 $ 394 $ 40,100 $ 40,585 $ 40,675 $ 90 Liabilities 68,000 71,370 71,214 (156) — — — — 168,890 175,252 175,490 238 40,100 40,585 40,675 90 Sale contracts: Assets (401,722) (428,049) (427,293) 756 (319,981) (332,080) (331,574) 506 Liabilities (86,845) (91,369) (91,499) (130) (773,749) (806,568) (807,580) (1,012) (488,567) (519,418) (518,792) 626 (1,093,730) (1,138,648) (1,139,154) (506) Total TBA securities, net $ (319,677) $ (344,166) $ (343,302) $ 864 $ (1,053,630) $ (1,098,063) $ (1,098,479) $ (416) (1) Notional amount represents the principal balance of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet. |
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three- and nine-month periods ended September 30, 2020 and 2019 are summarized in the tables below: Three-Month Period Ended September 30, 2020: Derivative Type Primary Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps (1) Net Realized Gains (Losses) on Financial Derivatives (1) Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2) Change in Net Unrealized Gains (Losses) on Financial Derivatives (2) (In thousands) Interest rate swaps Interest Rate $ (1,150) $ (29) $ (1,179) $ 516 $ 1,104 $ 1,620 Credit default swaps on asset-backed securities Credit 1 1 (1) (1) Credit default swaps on asset-backed indices Credit (239) (239) 503 503 Credit default swaps on corporate bond indices Credit (1,067) (1,067) (1,059) (1,059) Credit default swaps on corporate bonds Credit (93) (93) (334) (334) Total return swaps Credit (125) (125) (348) (348) TBAs Interest Rate 2,367 2,367 (744) (744) Futures Interest Rate (402) (402) 52 52 Forwards Currency (898) (898) 33 33 Total $ (1,150) $ (485) $ (1,635) $ 516 $ (794) $ (278) (1) Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $(15) thousand for the three-month period ended September 30, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2) Includes foreign currency remeasurement on financial derivatives in the amount of $20 thousand for the three-month period ended September 30, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net. Three-Month Period Ended September 30, 2019 Derivative Type Primary Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps (1) Net Realized Gains (Losses) on Financial Derivatives (1) Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2) Change in Net Unrealized Gains (Losses) on Financial Derivatives (2) (In thousands) Interest rate swaps Interest Rate $ 82 $ 34 $ 116 $ 171 $ (2,598) $ (2,427) Credit default swaps on asset-backed securities Credit 16 16 (12) (12) Credit default swaps on asset-backed indices Credit (261) (261) (81) (81) Credit default swaps on corporate bond indices Credit (1,113) (1,113) 909 909 Credit default swaps on corporate bonds Credit (259) (259) 268 268 Total return swaps Equity Market/Credit 251 251 (716) (716) TBAs Interest Rate (5,067) (5,067) 1,542 1,542 Futures Interest Rate/Currency (3,551) (3,551) 1,627 1,627 Forwards Currency 525 525 379 379 Total $ 82 $ (9,425) $ (9,343) $ 171 $ 1,318 $ 1,489 (1) Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $17 thousand for the three-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2) Includes foreign currency remeasurement on financial derivatives in the amount of $16 thousand for the three-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. Nine-Month Period Ended September 30, 2020: Derivative Type Primary Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps (1) Net Realized Gains (Losses) on Financial Derivatives (1) Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2) Change in Net Unrealized Gains (Losses) on Financial Derivatives (2) (In thousands) Interest rate swaps Interest Rate $ (1,900) $ (8,761) $ (10,661) $ 541 $ (16,373) $ (15,832) Credit default swaps on asset-backed securities Credit (955) (955) 915 915 Credit default swaps on asset-backed indices Credit 3,660 3,660 7,642 7,642 Credit default swaps on corporate bond indices Credit (550) (550) 3,080 3,080 Credit default swaps on corporate bonds Credit 356 356 711 711 Total return swaps Credit (2,180) (2,180) 607 607 TBAs Interest Rate (6,778) (6,778) 1,280 1,280 Futures Interest Rate (7,866) (7,866) (434) (434) Forwards Currency (616) (616) 343 343 Warrants Equity Market/Credit — — (382) (382) Options Credit (100) (100) — — Total $ (1,900) $ (23,790) $ (25,690) $ 541 $ (2,611) $ (2,070) (1) Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $12 thousand for the nine-month period ended September 30, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2) Includes foreign currency remeasurement on financial derivatives in the amount of $39 thousand for the nine-month period ended September 30, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net. Nine-Month Period Ended September 30, 2019: Derivative Type Primary Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps (1) Net Realized Gains (Losses) on Financial Derivatives (1) Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2) Change in Net Unrealized Gains (Losses) on Financial Derivatives (2) (In thousands) Interest rate swaps Interest Rate $ 852 $ (1,117) $ (265) $ (60) $ (11,915) $ (11,975) Credit default swaps on asset-backed securities Credit 419 419 (394) (394) Credit default swaps on asset-backed indices Credit (1,245) (1,245) (832) (832) Credit default swaps on corporate bond indices Credit (4,387) (4,387) (1,026) (1,026) Credit default swaps on corporate bonds Credit (764) (764) 1,110 1,110 Total return swaps Equity Market/Credit (1,046) (1,046) (681) (681) TBAs Interest Rate (17,183) (17,183) 3,680 3,680 Futures Interest Rate/Currency (8,365) (8,365) 761 761 Forwards Currency 1,068 1,068 228 228 Options Interest Rate (35) (35) 1 1 Total $ 852 $ (32,655) $ (31,803) $ (60) $ (9,068) $ (9,128) (1) Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $47 thousand for the nine-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2) Includes foreign currency remeasurement on financial derivatives in the amount of $8 thousand for the nine-month period ended September 30, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net. |
Derivative activity, volume | The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the nine-month period ended September 30, 2020 and year ended December 31, 2019: Derivative Type Nine-Month Year Ended (In thousands) Interest rate swaps $ 1,078,808 $ 731,941 TBAs 732,048 973,331 Credit default swaps 290,822 399,316 Total return swaps 7,819 39,434 Futures 143,440 167,708 Options 1,950 19,825 Forwards 36,935 30,930 Warrants 1,543 2,222 |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at September 30, 2020 and December 31, 2019 are summarized below: Credit Derivatives September 30, 2020 December 31, 2019 (In thousands) Fair Value of Written Credit Derivatives, Net $ 1,816 $ 5,414 Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) — (3,248) Notional Value of Written Credit Derivatives (2) 71,877 132,176 Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) — (81,637) (1) Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. (2) The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. |
Consolidated VIEs (Tables)
Consolidated VIEs (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated VIEs | The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Condensed Consolidated Balance Sheet as of September 30, 2020 and December 31, 2019. (In thousands) September 30, 2020 (1) December 31, 2019 (1) Assets Cash and cash equivalents $ 1,152 $ 6,016 Restricted cash 175 175 Securities, at fair value 46,857 47,923 Loans, at fair value 1,423,035 1,393,916 Investments in unconsolidated entities, at fair value 6,289 5,641 Real estate owned 24,794 30,584 Investment related receivables 43,542 28,668 Other assets 2,250 6,191 Total Assets $ 1,548,094 $ 1,519,114 Liabilities Repurchase agreements $ 260,310 $ 302,791 Investment related payables — 3,275 Other secured borrowings 142,674 150,334 Other secured borrowings, at fair value 695,516 594,396 Interest payable 402 1,247 Accrued expenses and other liabilities 1,301 2,279 Total Liabilities 1,100,203 1,054,322 Total Stockholders' Equity 422,217 440,394 Non-controlling interests 25,674 24,400 Total Equity 447,891 464,794 Total Liabilities and Equity $ 1,548,094 $ 1,519,116 (1) See Note 10 and Note 13 for additional information on the Company's consolidated VIEs. |
Securitization Transactions (Ta
Securitization Transactions (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Securitization Transactions [Abstract] | |
Schedule of Residential Loan Securitizations | The following table details the Company's outstanding consolidated residential mortgage loan securitizations: Issuing Entity Closing Date Principal Balance of Loans Transferred to the Depositor Total Face Amount of Certificates Issued (In thousands) Ellington Financial Mortgage Trust 2018-1 11/18 $ 232,518 $ 232,518 (1) Ellington Financial Mortgage Trust 2019-1 6/19 226,913 226,913 (2) Ellington Financial Mortgage Trust 2019-2 11/19 267,255 267,255 (3) Ellington Financial Mortgage Trust 2020-1 6/20 259,273 259,273 (4) (1) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.7% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (2) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.1% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.2 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (3) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.4% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.7 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (4) In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 8.0% of the fair value of all Certificates issued. Additionally, the Sponsor purchased another subordinated class of Certificates with an aggregate value equal to 3.5% of the fair value of all Certificates issued as of the settlement date. Finally, the Sponsor also purchased, for an aggregate purchase price of $1.9 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. |
Schedule of Assets and Liabilities of Consolidated Securitization Trusts | The following table details the assets and liabilities of the consolidated securitization trusts included in the Company's Condensed Consolidated Balance Sheet as of September 30, 2020 and December 31, 2019: (In thousands) September 30, 2020 December 31, 2019 Assets: Loans, at fair value $ 760,420 $ 628,415 Real estate owned 658 658 Investment related receivables 5,793 10,409 Liabilities: Other secured borrowings, at fair value 695,516 594,396 |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements [Table Text Block] | The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS and credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), by remaining maturity as of September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 Weighted Average Weighted Average Remaining Maturity Outstanding Interest Rate Remaining Days to Maturity Outstanding Interest Rate Remaining Days to Maturity Agency RMBS: (In thousands) (In thousands) 30 Days or Less $ 241,423 0.31 % 17 $ 511,996 2.08 % 17 31-60 Days 418,573 0.27 % 44 744,387 1.93 % 47 61-90 Days 107,446 0.45 % 72 594,738 1.96 % 76 91-120 Days 5,675 1.35 % 99 10,270 2.24 % 93 151-180 Days 17,237 0.29 % 168 3,082 2.67 % 171 181-360 Days 93,432 0.30 % 287 — — % — Total Agency RMBS 883,786 0.31 % 69 1,864,473 1.98 % 48 Credit: 30 Days or Less 40,785 2.14 % 10 16,549 3.38 % 25 31-60 Days 98,068 2.85 % 45 104,491 3.14 % 48 61-90 Days 113,027 2.54 % 77 138,837 3.03 % 73 91-120 Days 154,379 2.79 % 106 — — % — 121-150 Days 6,015 3.29 % 134 7,460 3.89 % 123 151-180 Days 13,750 3.23 % 167 31,498 3.87 % 173 181-360 Days 81,933 4.83 % 228 186,661 3.80 % 250 > 360 Days 48,241 3.05 % 608 95,331 4.52 % 678 Total Credit Assets 556,198 3.04 % 145 580,827 3.61 % 229 Total $ 1,439,984 1.37 % 98 $ 2,445,300 2.37 % 91 |
Schedule of Maturities of Long-term Debt [Table Text Block] | Schedule of Principal Repayments The following table details the Company's principal repayment schedule, over the next 5 years, for outstanding borrowings as of September 30, 2020: Year Repurchase Agreements (1) Other Secured Borrowings (2) Senior Notes (1) Total (In thousands) Next Twelve Months $ 1,391,743 $ 523,802 $ — $ 1,915,545 Year 2 48,241 91,199 86,000 225,440 Year 3 — 261,991 — 261,991 Year 4 — — — — Year 5 — — — — Total $ 1,439,984 $ 876,992 $ 86,000 $ 2,402,976 (1) Reflects the Company's contractual principal repayment dates. (2) Includes $734.3 million of expected principal repayments related to the Company's consolidated residential mortgage loan securitizations, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities. |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Unvested LTIP Units | The below table details unvested OP LTIP Units as of September 30, 2020: Grant Recipient Number of OP LTIP Units Granted Grant Date Vesting Date (1) Directors: 22,840 September 10, 2020 September 9, 2021 Dedicated or partially dedicated personnel: 12,818 December 13, 2019 December 13, 2020 10,067 December 13, 2019 December 13, 2021 8,691 December 11, 2018 December 11, 2020 4,977 March 4, 2020 December 31, 2020 9,834 March 4, 2020 December 31, 2021 Total unvested OP LTIP Units at September 30, 2020 69,227 (1) Date at which such OP LTIP Units will vest and become non-forfeitable. |
Roll-Forward of Company's LTIP Units Outstanding | The following tables summarize issuance and exercise activity of OP LTIP Units for the three- and nine-month periods ended September 30, 2020 and 2019: Three-Month Period Ended September 30, 2020 September 30, 2019 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (June 30, 2020 and 2019, respectively) 365,518 195,009 560,527 375,000 146,371 521,371 Granted — 22,840 22,840 — 14,552 14,552 Exercised — (3,638) (3,638) — (3,610) (3,610) OP LTIP Units Outstanding (September 30, 2020 and 2019, respectively) 365,518 214,211 579,729 375,000 157,313 532,313 OP LTIP Units Unvested and Outstanding (September 30, 2020 and 2019, respectively) — 69,227 69,227 — 37,821 37,821 OP LTIP Units Vested and Outstanding (September 30, 2020 and 2019, respectively) 365,518 144,984 510,502 375,000 119,492 494,492 Nine-Month Period Ended September 30, 2020 September 30, 2019 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (December 31, 2019 and January 1, 2019, respectively) 365,518 180,198 545,716 375,000 146,371 521,371 Granted — 37,651 37,651 — 14,552 14,552 Exercised — (3,638) (3,638) — (3,610) (3,610) OP LTIP Units Outstanding (September 30, 2020 and 2019, respectively) 365,518 214,211 579,729 375,000 157,313 532,313 OP LTIP Units Unvested and Outstanding (September 30, 2020 and 2019, respectively) — 69,227 69,227 — 37,821 37,821 OP LTIP Units Vested and Outstanding (September 30, 2020 and 2019, respectively) 365,518 144,984 510,502 375,000 119,492 494,492 |
Equity (Tables)
Equity (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Stockholders' Equity Note [Abstract] | |
Summary of Common Shares Outstanding | The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three- and nine-month periods ended September 30, 2020 and 2019: Three-Month Period Ended Nine-Month Period Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 Shares of Common Stock Outstanding (6/30/2020, 6/30/2019, 12/31/2019 and 1/1/2019, respectively) 43,779,924 29,745,776 38,647,943 29,796,601 Share Activity: Shares of common stock issued — 4,025,000 5,290,000 4,025,000 Shares of common stock issued in connection with incentive fee payment — — 637 — Shares of common stock repurchased (1,878) — (290,050) (50,825) OP Units exercised 3,638 3,610 133,154 3,610 Shares of Common Stock Outstanding (9/30/2020, 9/30/2019, 9/30/2020, 9/30/2019, respectively) 43,781,684 33,774,386 43,781,684 33,774,386 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share [Abstract] | |
Computation Of Basic And Diluted EPS | The components of the computation of basic and diluted EPS are as follows: Three-Month Nine-Month (In thousands except share amounts) September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 Net income (loss) attributable to common stockholders $ 46,203 $ 17,293 $ (45,917) $ 45,345 Add: Net income (loss) attributable to Convertible Non-controlling Interests (1) 647 387 (916) 1,079 Net income (loss) attributable to common stockholders and Convertible Non-controlling Interests 46,850 17,680 (46,833) 46,424 Dividends Paid: Common stockholders (11,821) (14,185) (42,514) (43,038) Convertible Non-controlling Interests (166) (309) (627) (1,021) Total dividends paid to common stockholders and Convertible Non-controlling Interests (11,987) (14,494) (43,141) (44,059) Undistributed (Distributed in excess of) earnings: Common stockholders 34,382 3,108 (88,431) 2,307 Convertible Non-controlling Interests 481 78 (1,543) 58 Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests $ 34,863 $ 3,186 $ (89,974) $ 2,365 Weighted average shares outstanding (basic and diluted): Weighted average shares of common stock outstanding 43,779,134 32,835,652 43,387,168 30,787,634 Weighted average Convertible Non-controlling Interest Units outstanding 613,319 735,789 635,836 734,186 Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding 44,392,453 33,571,441 44,023,004 31,521,820 Basic earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.27 $ 0.42 $ 0.97 $ 1.39 Undistributed (Distributed in excess of) 0.79 0.11 (2.03) 0.08 $ 1.06 $ 0.53 $ (1.06) $ 1.47 Diluted earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.27 $ 0.42 $ 0.97 $ 1.39 Undistributed (Distributed in excess of) 0.79 0.11 (2.03) 0.08 $ 1.06 $ 0.53 $ (1.06) $ 1.47 (1) For the three-month periods ended September 30, 2020 and 2019, excludes net income (loss) of $0.9 million and $1.0 million, respectively, attributable to joint venture partners, which have non-participating interests as described in Note 15. For the nine-month periods ended September 30, 2020 and 2019, excludes net income (loss) of $2.8 million and $2.4 million, respectively, attributable to joint venture partners, which have non-participating interests as described in Note 15. |
Offsetting of Assets and Liab_2
Offsetting of Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Offsetting of Assets and Liabilities [Abstract] | |
Schedule of Offsetting of Assets and Liabilities | The following tables present information about certain assets and liabilities representing financial instruments as of September 30, 2020 and December 31, 2019. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's reverse repurchase and repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. September 30, 2020: Description Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 27,864 $ (16,646) $ — $ (6,469) $ 4,749 Reverse repurchase agreements 47,041 (47,041) — — — Liabilities Financial derivatives–liabilities (34,814) 16,646 — 18,088 (80) Repurchase agreements (1,439,984) 1,439,984 (27,744) 27,744 — (1) In the Company's Condensed Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of September 30, 2020 was $1.8 billion. As of September 30, 2020, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $3.1 million and $7.8 million, respectively. (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. December 31, 2019: Description Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 16,788 $ (12,755) $ — $ (807) $ 3,226 Reverse repurchase agreements 73,639 (73,639) — — — Liabilities Financial derivatives–liabilities (27,621) 12,755 — 12,233 (2,633) Repurchase agreements (2,445,300) 73,639 2,340,656 31,005 — (1) In the Company's Condensed Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2019 was $2.8 billion. As of December 31, 2019, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $4.3 million and $23.4 million, respectively. (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Counterparty Risk (Tables)
Counterparty Risk (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Risks and Uncertainties [Abstract] | |
Schedules of Exposure to Counterparty Risk | The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2020 and December 31, 2019: Property Location by U.S. State September 30, 2020 December 31, 2019 California 44.0 % 46.6 % Florida 13.8 % 11.9 % Texas 10.4 % 11.9 % Colorado 2.8 % 3.2 % Massachusetts 2.6 % 2.9 % Oregon 2.4 % 2.2 % Arizona 1.9 % 2.4 % Utah 1.9 % 1.9 % Illinois 1.8 % 1.7 % New Jersey 1.8 % 1.1 % Nevada 1.7 % 1.6 % Washington 1.6 % 1.6 % New York 1.3 % 1.3 % North Carolina 1.2 % — % Georgia 1.1 % — % Maryland 1.0 % 1.1 % Connecticut 1.0 % — % Other 7.7 % 8.6 % 100.0 % 100.0 % The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2020 and December 31, 2019: Property Location by U.S. State September 30, 2020 December 31, 2019 Florida 17.6 % 31.7 % New York 16.5 % 17.7 % Pennsylvania 11.5 % — % Connecticut 9.3 % 8.2 % Missouri 6.6 % 4.6 % Ohio 6.1 % — % California 5.7 % — % Massachusetts 5.2 % 4.7 % New Jersey 4.9 % 13.3 % Arizona 3.7 % 3.8 % Virginia 3.6 % 6.8 % Indiana 2.4 % 2.1 % North Carolina 2.0 % 1.8 % Nevada 1.6 % 1.5 % Tennessee 1.6 % 1.5 % Illinois 1.3 % 1.2 % Other 0.4 % 1.1 % 100.0 % 100.0 % September 30, 2020: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 126,783 10 28.5 % Collateral on repurchase agreements held by dealers (2) 1,810,825 24 18.6 % Due from brokers 63,991 22 35.4 % Receivable for securities sold (3) 5,086 2 87.0 % (1) Each counterparty is a large creditworthy financial institution. (2) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. December 31, 2019: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 72,302 11 42.2 % Collateral on repurchase agreements held by dealers (2) 2,793,696 28 13.8 % Due from brokers 79,829 24 30.9 % Receivable for securities sold (3) 69,995 5 62.3 % (1) Each counterparty is a large creditworthy financial institution. (2) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. |
Organization and Investment O_2
Organization and Investment Objective (Details) - $ / shares | Sep. 30, 2020 | Dec. 31, 2019 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Common shares | $ 0.001 | $ 0.001 |
Ellington Financial Operating Partnership LLC [Member] | Total Stockholders' Equity | ||
Organization, Consolidation and Presentation of Financial Statements [Line Items] | ||
Ownership Percentage | 98.80% |
Significant Accounting Polici_3
Significant Accounting Policies (Details) | 9 Months Ended |
Sep. 30, 2020 | |
Significant Accounting Policies [Line Items] | |
Number of days to determine non-performance of loan | 90 days |
Long-Term Incentive Plan Units [Member] | Director [Member] | |
Significant Accounting Policies [Line Items] | |
Vesting period | 1 year |
Minimum | Long-Term Incentive Plan Units [Member] | Dedicated or partially dedicated personnel [Member] | |
Significant Accounting Policies [Line Items] | |
Vesting period | 1 year |
Maximum | Long-Term Incentive Plan Units [Member] | Dedicated or partially dedicated personnel [Member] | |
Significant Accounting Policies [Line Items] | |
Vesting period | 2 years |
Valuation (Schedule of Financia
Valuation (Schedule of Financial Instruments) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | [1] | $ 1,451,420 | $ 2,449,941 |
Investment in unconsolidated entities, at fair value | [1] | 95,803 | 71,850 |
Financial derivatives–assets, at fair value- | 27,864 | 16,788 | |
Repurchase agreements, at fair value | 47,041 | 73,639 | |
Investments sold short, at fair value- | (51,493) | (73,409) | |
Financial derivatives–liabilities, at fair value- | (34,814) | (27,621) | |
Other secured borrowings, at fair value | [1] | (695,516) | (594,396) |
Fair Value, Measurements, Recurring | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investment in unconsolidated entities, at fair value | 95,803 | 71,850 | |
Total assets | 3,017,699 | 3,951,005 | |
Other secured borrowings, at fair value | (695,516) | (594,396) | |
Total liabilities | (781,823) | (695,426) | |
Fair Value, Measurements, Recurring | Investments Sold Short | Corporate debt securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investments sold short, at fair value- | (461) | (471) | |
Fair Value, Measurements, Recurring | Investments Sold Short | Government debt | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investments sold short, at fair value- | (51,032) | (72,938) | |
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (3,572) | (14,524) | |
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (580) | (1,693) | |
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (142) | (250) | |
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Interest rate swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (29,774) | (8,719) | |
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | TBA securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (286) | (1,012) | |
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Futures | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (331) | (45) | |
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Forwards | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (41) | (169) | |
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Total return swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (88) | (1,209) | |
Fair Value, Measurements, Recurring | Securities | Agency RMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 919,855 | 1,936,963 | |
Fair Value, Measurements, Recurring | Securities | Non-Agency RMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 212,737 | 166,550 | |
Fair Value, Measurements, Recurring | Securities | CMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 105,015 | 124,868 | |
Fair Value, Measurements, Recurring | Securities | CLOs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 163,294 | 170,443 | |
Fair Value, Measurements, Recurring | Securities | Asset-backed securities, backed by consumer loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 47,298 | 48,610 | |
Fair Value, Measurements, Recurring | Securities | Corporate debt securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 2,207 | 1,113 | |
Fair Value, Measurements, Recurring | Securities | Corporate equity securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 1,014 | 1,394 | |
Fair Value, Measurements, Recurring | Loans | Residential mortgage loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 1,030,709 | 932,203 | |
Fair Value, Measurements, Recurring | Loans | Commercial mortgage loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 252,231 | 274,759 | |
Fair Value, Measurements, Recurring | Loans | Consumer loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 152,609 | 186,954 | |
Fair Value, Measurements, Recurring | Loans | Corporate loan [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 7,063 | 18,510 | |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 351 | 993 | |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 2,419 | 5,599 | |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on corporate bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 2 | ||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 9,722 | 3,319 | |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Interest rate swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 13,790 | 5,468 | |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | TBA securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 1,150 | 596 | |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Futures | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 1 | 148 | |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Forwards | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 256 | 43 | |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Total return swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 105 | 620 | |
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Warrants | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 31 | ||
Fair Value, Measurements, Recurring | Level 1 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investment in unconsolidated entities, at fair value | 0 | 0 | |
Total assets | 1 | 148 | |
Other secured borrowings, at fair value | 0 | 0 | |
Total liabilities | (331) | (45) | |
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Corporate debt securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investments sold short, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Government debt | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investments sold short, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Interest rate swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | TBA securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Futures | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (331) | (45) | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Forwards | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Total return swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Securities | Agency RMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Securities | Non-Agency RMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Securities | CMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Securities | CLOs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Securities | Asset-backed securities, backed by consumer loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Securities | Corporate debt securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Securities | Corporate equity securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Loans | Residential mortgage loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Loans | Commercial mortgage loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Loans | Consumer loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Loans | Corporate loan [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on corporate bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Interest rate swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | TBA securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Futures | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 1 | 148 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Forwards | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Total return swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Warrants | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investment in unconsolidated entities, at fair value | 0 | 0 | |
Total assets | 1,121,170 | 2,229,582 | |
Other secured borrowings, at fair value | 0 | 0 | |
Total liabilities | (85,888) | (100,549) | |
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Corporate debt securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investments sold short, at fair value- | (461) | (471) | |
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Government debt | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investments sold short, at fair value- | (51,032) | (72,938) | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (3,572) | (14,524) | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (580) | (1,693) | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (142) | (250) | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Interest rate swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (29,774) | (8,719) | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | TBA securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (286) | (1,012) | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Futures | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Forwards | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (41) | (169) | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Total return swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | (773) | |
Fair Value, Measurements, Recurring | Level 2 | Securities | Agency RMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 907,715 | 1,917,059 | |
Fair Value, Measurements, Recurring | Level 2 | Securities | Non-Agency RMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 73,538 | 76,969 | |
Fair Value, Measurements, Recurring | Level 2 | Securities | CMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 62,206 | 95,063 | |
Fair Value, Measurements, Recurring | Level 2 | Securities | CLOs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 50,304 | 125,464 | |
Fair Value, Measurements, Recurring | Level 2 | Securities | Asset-backed securities, backed by consumer loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Securities | Corporate debt securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Securities | Corporate equity securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Loans | Residential mortgage loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Loans | Commercial mortgage loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Loans | Consumer loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Loans | Corporate loan [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 2,419 | 5,599 | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on corporate bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 2 | ||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 9,722 | 3,319 | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Interest rate swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 13,790 | 5,468 | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | TBA securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 1,150 | 596 | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Futures | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Forwards | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 256 | 43 | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Total return swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Warrants | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 31 | ||
Fair Value, Measurements, Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investment in unconsolidated entities, at fair value | 95,803 | 71,850 | |
Total assets | 1,896,528 | 1,721,275 | |
Other secured borrowings, at fair value | (695,516) | (594,396) | |
Total liabilities | (695,604) | (594,832) | |
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Corporate debt securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investments sold short, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Government debt | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investments sold short, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Interest rate swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | TBA securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Futures | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Forwards | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Total return swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–liabilities, at fair value- | (88) | (436) | |
Fair Value, Measurements, Recurring | Level 3 | Securities | Agency RMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 12,140 | 19,904 | |
Fair Value, Measurements, Recurring | Level 3 | Securities | Non-Agency RMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 139,199 | 89,581 | |
Fair Value, Measurements, Recurring | Level 3 | Securities | CMBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 42,809 | 29,805 | |
Fair Value, Measurements, Recurring | Level 3 | Securities | CLOs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 112,990 | 44,979 | |
Fair Value, Measurements, Recurring | Level 3 | Securities | Asset-backed securities, backed by consumer loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 47,298 | 48,610 | |
Fair Value, Measurements, Recurring | Level 3 | Securities | Corporate debt securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 2,207 | 1,113 | |
Fair Value, Measurements, Recurring | Level 3 | Securities | Corporate equity securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Securities, at fair value(1) | 1,014 | 1,394 | |
Fair Value, Measurements, Recurring | Level 3 | Loans | Residential mortgage loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 1,030,709 | 932,203 | |
Fair Value, Measurements, Recurring | Level 3 | Loans | Commercial mortgage loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 252,231 | 274,759 | |
Fair Value, Measurements, Recurring | Level 3 | Loans | Consumer loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 152,609 | 186,954 | |
Fair Value, Measurements, Recurring | Level 3 | Loans | Corporate loan [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans, at fair value | 7,063 | 18,510 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 351 | 993 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on corporate bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Interest rate swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | TBA securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Futures | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Forwards | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Total return swaps | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | 105 | $ 620 | |
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Warrants | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives–assets, at fair value- | $ 0 | ||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Valuation (Schedule of Signific
Valuation (Schedule of Significant Unobservable Inputs, Qualitative Information) (Details) - Level 3 $ in Thousands | 3 Months Ended | 9 Months Ended | |
Mar. 31, 2020 | Sep. 30, 2020USD ($)$ / shares | Dec. 31, 2019USD ($)$ / shares | |
Total return swaps | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.117 | 0.085 | |
Derivative Liability, Measurement Input | 0.208 | 0.277 | |
Total return swaps | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.208 | 0.277 | |
Derivative Liability, Measurement Input | 0.208 | 0.277 | |
Total return swaps | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.127 | 0.115 | |
Derivative Liability, Measurement Input | 0.208 | 0.277 | |
Valuation, Market Approach | Non-Agency RMBS | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 85,183 | $ 38,754 | |
Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 9.43 | 6.68 | |
Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 314.93 | 144.79 | |
Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 87.41 | 86.21 | |
Valuation, Market Approach | CMBS | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 41,602 | $ 29,630 | |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 4.56 | 5.08 | |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 95.32 | 80.72 | |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 59.06 | 64.73 | |
Valuation, Market Approach | Agency RMBS | Interest only securities | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 3,503 | $ 3,753 | |
Valuation, Market Approach | Agency RMBS | Interest only securities | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 0.80 | 1.36 | |
Valuation, Market Approach | Agency RMBS | Interest only securities | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 22.13 | 16.61 | |
Valuation, Market Approach | Agency RMBS | Interest only securities | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 12.60 | 5.11 | |
Valuation, Market Approach | CLOs | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 88,907 | $ 38,220 | |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 2 | 40 | |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 93.50 | 96 | |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 78.04 | 73.98 | |
Valuation, Market Approach | Asset-backed securities, backed by consumer loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 107 | $ 139 | |
Valuation, Market Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 96.01 | 95.47 | |
Valuation, Market Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 97.58 | 96.78 | |
Valuation, Market Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 96.80 | 96.12 | |
Valuation, Market Approach | Corporate loan [Member] | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 7,063 | $ 6,010 | |
Valuation, Market Approach | Corporate loan [Member] | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 100 | 100 | |
Valuation, Market Approach | Corporate loan [Member] | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 100 | 100 | |
Valuation, Market Approach | Corporate loan [Member] | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 100 | 100 | |
Valuation, Income Approach | Non-Agency RMBS | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 54,016 | $ 50,827 | |
Valuation, Income Approach | Non-Agency RMBS | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Total outstanding collateral | 100.00% | 100.00% | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.008 | 0.033 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.600 | 0.609 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.085 | 0.100 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.135 | 0.008 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.776 | 0.720 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.592 | 0.493 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Default Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0 | 0 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Default Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.703 | 0.227 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Default Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.087 | 0.066 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0 | 0 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.465 | 0.324 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.103 | 0.069 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.077 | 0.169 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.704 | 0.929 | |
Valuation, Income Approach | Non-Agency RMBS | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.218 | 0.372 | |
Valuation, Income Approach | CMBS | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 1,207 | $ 175 | |
Valuation, Income Approach | CMBS | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Total outstanding collateral | 100.00% | 100.00% | |
Valuation, Income Approach | CMBS | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.231 | 0.100 | |
Valuation, Income Approach | CMBS | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.257 | 0.100 | |
Valuation, Income Approach | CMBS | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.237 | 0.100 | |
Valuation, Income Approach | CMBS | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 1 | ||
Valuation, Income Approach | CMBS | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 1 | ||
Valuation, Income Approach | CMBS | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 1 | ||
Valuation, Income Approach | CMBS | Measurement Input, Default Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.007 | ||
Valuation, Income Approach | CMBS | Measurement Input, Default Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.009 | ||
Valuation, Income Approach | CMBS | Measurement Input, Default Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.008 | ||
Valuation, Income Approach | CMBS | Measurement Input, Projected Collateral Recoveries | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.019 | ||
Valuation, Income Approach | CMBS | Measurement Input, Projected Collateral Recoveries | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.038 | ||
Valuation, Income Approach | CMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.034 | ||
Valuation, Income Approach | CMBS | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.954 | ||
Valuation, Income Approach | CMBS | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.974 | ||
Valuation, Income Approach | CMBS | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.958 | ||
Valuation, Income Approach | Agency RMBS | Interest only securities | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 8,637 | $ 16,151 | |
Fair Value of Agency IOs, negative OAS measurement input | $ 1,400 | ||
Valuation, Income Approach | Agency RMBS | Interest only securities | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Total outstanding collateral | 100.00% | 100.00% | |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, LIBOR OAS | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.0160 | 0.0093 | |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, LIBOR OAS | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.3992 | 0.3527 | |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, LIBOR OAS | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.0954 | 0.0701 | |
Valuation, Income Approach | Agency RMBS | Interest only securities | Net LIBOR OAS [Member] | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.0596 | ||
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.007 | 0.123 | |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 1 | 1 | |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.783 | 0.723 | |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0 | 0 | |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.993 | 0.877 | |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.217 | 0.277 | |
Valuation, Income Approach | Corporate debt and equity | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 3,221 | $ 2,507 | |
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.100 | 0.100 | |
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.100 | 0.100 | |
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.100 | 0.100 | |
Valuation, Income Approach | Investment in unconsolidated entities | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 30,458 | ||
Valuation, Income Approach | Investment in unconsolidated entities | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Equity method investment, measurement input | 0.037 | ||
Valuation, Income Approach | Investment in unconsolidated entities | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Equity method investment, measurement input | 0.148 | ||
Valuation, Income Approach | Investment in unconsolidated entities | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Equity method investment, measurement input | 0.099 | ||
Valuation, Income Approach | CLOs | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 24,083 | $ 6,759 | |
Valuation, Income Approach | CLOs | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Total outstanding collateral | 100.00% | 100.00% | |
Valuation, Income Approach | CLOs | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.067 | 0.140 | |
Valuation, Income Approach | CLOs | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.852 | 0.419 | |
Valuation, Income Approach | CLOs | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.201 | 0.262 | |
Valuation, Income Approach | CLOs | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.657 | 0.485 | |
Valuation, Income Approach | CLOs | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.885 | 0.846 | |
Valuation, Income Approach | CLOs | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.713 | 0.725 | |
Valuation, Income Approach | CLOs | Measurement Input, Default Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.044 | 0.117 | |
Valuation, Income Approach | CLOs | Measurement Input, Default Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.209 | 0.364 | |
Valuation, Income Approach | CLOs | Measurement Input, Default Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.170 | 0.199 | |
Valuation, Income Approach | CLOs | Measurement Input, Projected Collateral Recoveries | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.043 | 0.037 | |
Valuation, Income Approach | CLOs | Measurement Input, Projected Collateral Recoveries | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.112 | 0.151 | |
Valuation, Income Approach | CLOs | Measurement Input, Projected Collateral Recoveries | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.097 | 0.076 | |
Valuation, Income Approach | CLOs | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0 | ||
Valuation, Income Approach | CLOs | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.028 | ||
Valuation, Income Approach | CLOs | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.020 | ||
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 47,191 | $ 48,471 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Total outstanding collateral | 100.00% | 100.00% | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.140 | 0.120 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.236 | 0.202 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.141 | 0.121 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0 | 0 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.098 | 0.112 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.073 | 0.097 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.010 | 0.006 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.347 | 0.180 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.163 | 0.154 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.567 | 0.713 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.990 | 0.994 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.764 | 0.749 | |
Valuation, Income Approach | Consumer loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 152,609 | $ 186,954 | |
Valuation, Income Approach | Consumer loans | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Total outstanding collateral | 100.00% | 100.00% | |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.090 | 0.070 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.120 | 0.100 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.100 | 0.081 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0 | 0 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.371 | 0.442 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.129 | 0.160 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.011 | 0.030 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.866 | 0.845 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.107 | 0.086 | |
Valuation, Income Approach | Consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.134 | 0.155 | |
Valuation, Income Approach | Consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.982 | 0.958 | |
Valuation, Income Approach | Consumer loans | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.764 | 0.754 | |
Valuation, Income Approach | Corporate loan [Member] | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 12,500 | ||
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.150 | ||
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.180 | ||
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.168 | ||
Valuation, Income Approach | Credit default swaps on asset-backed securities | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 351 | $ 993 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Total outstanding collateral | 100.00% | 100.00% | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.333 | 0.354 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.410 | 0.420 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.392 | 0.373 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.068 | 0.042 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.112 | 0.124 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.091 | 0.102 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.136 | 0.100 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.183 | 0.182 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.152 | 0.153 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement input, Projected Collateral Scheduled Amortization | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.351 | 0.362 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement input, Projected Collateral Scheduled Amortization | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.416 | 0.415 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement input, Projected Collateral Scheduled Amortization | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Derivative asset, measurement input | 0.365 | 0.372 | |
Valuation, Income Approach | Total return swaps | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 105 | $ 620 | |
Fair value | (88) | (436) | |
Valuation, Income Approach | Other secured borrowings, at fair value | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | (695,516) | $ (594,396) | |
Fair Value of borrowings, negative yield measurement input | $ (116,100) | ||
Valuation, Income Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.018 | 0.029 | |
Valuation, Income Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.033 | 0.040 | |
Valuation, Income Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.024 | 0.033 | |
Valuation, Income Approach | Other secured borrowings, at fair value | us-gaap_MeasurementInputDiscountRateIncludingNegativeRateMember [Member] | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.0181 | ||
Enterprise Value | Investment in unconsolidated entities | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 95,803 | $ 41,392 | |
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Equity method investment, measurement input | 1 | 1 | |
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Equity method investment, measurement input | 4 | 4.7 | |
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Equity method investment, measurement input | 1.3 | 1.7 | |
Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.006 | 0.016 | |
Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.543 | 0.195 | |
Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.060 | 0.062 | |
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 228,560 | $ 248,214 | |
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.068 | 0.077 | |
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.104 | 0.166 | |
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.080 | 0.088 | |
Performing and/or Re-performing | Valuation, Income Approach | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 245,027 | $ 289,672 | |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 760,420 | $ 628,415 | |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.018 | 0.032 | |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.073 | 0.043 | |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.042 | 0.036 | |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 37,100 | $ 1,500 | |
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.015 | 0.010 | |
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.284 | 0.266 | |
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.103 | 0.091 | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 23,671 | $ 26,545 | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Investment, measurement input, recovery time | 1 month 3 days | 4 months 27 days | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Investment, measurement input, recovery time | 23 months | 8 months 24 days | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Investment, measurement input, recovery time | 11 months 12 days | 7 months | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.095 | 0.098 | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.162 | 0.147 | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.125 | 0.124 | |
Non-performing | Valuation, Income Approach | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 25,262 | $ 14,116 | |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Investment, measurement input, recovery time | 1 month 3 days | 0 months | |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Investment, measurement input, recovery time | 165 months 12 days | 90 months 27 days | |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Investment, measurement input, recovery time | 54 months 18 days | 33 months 6 days |
Valuation (Significant Unobserv
Valuation (Significant Unobservable Inputs Rollforward) (Details) - Level 3 - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | $ 1,884,850 | $ 1,324,591 | $ 1,721,275 | $ 1,094,815 |
Assets, Accreted Discounts/Amortized Premiums | (7,746) | (10,822) | (32,702) | (29,952) |
Assets, Realized Gain (Loss) | 347 | 5,702 | (8,689) | 3,262 |
Assets, Change In Net Unrealized Gain/(Loss) | 35,608 | 1,047 | (18,457) | 13,268 |
Assets, Purchases | 250,453 | 330,413 | 782,266 | 814,294 |
Assets, Sales | 188,359 | 173,334 | (604,788) | (433,042) |
Assets, Transfers into Level 3 | 20,559 | 22,484 | 86,441 | 38,490 |
Assets, Transfers out of Level 3 | 99,184 | 12,357 | (28,818) | (13,411) |
Assets, Ending Balance | 1,896,528 | 1,487,724 | 1,896,528 | 1,487,724 |
Liabilities, Begining Balance | 742,765 | (475,816) | (594,832) | (297,948) |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Liabilities, Realized Gain/(Loss) | 4 | 48 | (501) | 48 |
Liabilities, Change In Net Unrealized Gain/(Loss) | (5,189) | (286) | (6,287) | (246) |
Liabilities Purchases/Payments | 52,346 | 37,259 | 139,108 | 78,887 |
Liabilities, Sales/Issuance | 0 | (48) | (233,092) | (219,584) |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | (695,604) | (438,843) | (695,604) | (438,843) |
Other secured borrowings, at fair value | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Liabilities, Begining Balance | 742,688 | (475,816) | (594,396) | (297,948) |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Liabilities, Realized Gain/(Loss) | 0 | 0 | 0 | 0 |
Liabilities, Change In Net Unrealized Gain/(Loss) | (5,178) | (72) | (6,636) | (32) |
Liabilities, Payments | 52,350 | 37,259 | 138,608 | 78,887 |
Liabilities, Issuances | 0 | 0 | (233,092) | (219,536) |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | (695,516) | (438,629) | (695,516) | (438,629) |
Change in unrealized gains (losses), liabilities | (5,200) | (100) | (6,600) | (32) |
Financial Derivatives - Liabilities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Change in unrealized gains (losses), liabilities | (11) | (200) | (100) | (200) |
Securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Change in unrealized gain (loss), assets | 9,300 | (4,700) | (56,300) | (400) |
Securities | Agency RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 12,907 | 11,034 | 19,904 | 7,293 |
Assets, Accreted Discounts/Amortized Premiums | (1,482) | (1,164) | (6,072) | (2,228) |
Assets, Realized Gain (Loss) | 494 | (621) | 614 | (1,228) |
Assets, Change In Net Unrealized Gain/(Loss) | 280 | 696 | 2,803 | 1,430 |
Assets, Purchases | 3,490 | 13,254 | 8,219 | 14,854 |
Assets, Sales | 2,243 | 0 | (3,295) | (463) |
Assets, Transfers into Level 3 | 2,621 | 737 | 2,177 | 4,708 |
Assets, Transfers out of Level 3 | 3,927 | 437 | (12,210) | (867) |
Assets, Ending Balance | 12,140 | 23,499 | 12,140 | 23,499 |
Securities | Non-Agency RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 128,607 | 96,790 | 89,581 | 91,291 |
Assets, Accreted Discounts/Amortized Premiums | 884 | (121) | 1,113 | 104 |
Assets, Realized Gain (Loss) | (77) | 7,836 | 303 | 7,187 |
Assets, Change In Net Unrealized Gain/(Loss) | 2,610 | (6,457) | (1,996) | (4,482) |
Assets, Purchases | 21,138 | 6,483 | 61,933 | 10,239 |
Assets, Sales | 6,395 | 21,457 | (29,811) | (27,514) |
Assets, Transfers into Level 3 | 10,895 | 5,808 | 22,974 | 14,633 |
Assets, Transfers out of Level 3 | 18,463 | 7,400 | (4,898) | (9,976) |
Assets, Ending Balance | 139,199 | 81,482 | 139,199 | 81,482 |
Securities | CMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 65,695 | 6,278 | 29,805 | 803 |
Assets, Accreted Discounts/Amortized Premiums | 659 | 25 | 617 | (16) |
Assets, Realized Gain (Loss) | 8 | 374 | (867) | 76 |
Assets, Change In Net Unrealized Gain/(Loss) | 4,117 | (302) | (4,638) | (73) |
Assets, Purchases | 12,699 | 6,815 | 51,432 | 7,937 |
Assets, Sales | 8 | 1,474 | (32,284) | (221) |
Assets, Transfers into Level 3 | 560 | 652 | 7,828 | 3,862 |
Assets, Transfers out of Level 3 | 40,921 | 0 | 9,084 | 0 |
Assets, Ending Balance | 42,809 | 12,368 | 42,809 | 12,368 |
Securities | CLOs | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 136,466 | 17,222 | 44,979 | 14,915 |
Assets, Accreted Discounts/Amortized Premiums | 1,962 | (184) | 1,237 | (670) |
Assets, Realized Gain (Loss) | (82) | 1,158 | (7,586) | (536) |
Assets, Change In Net Unrealized Gain/(Loss) | 1,920 | 184 | (24,206) | 1,889 |
Assets, Purchases | 2,241 | 0 | 47,730 | 816 |
Assets, Sales | 127 | 1,139 | 0 | (1,125) |
Assets, Transfers into Level 3 | 6,483 | 15,287 | 53,462 | 15,287 |
Assets, Transfers out of Level 3 | 35,873 | 4,520 | (2,626) | (2,568) |
Assets, Ending Balance | 112,990 | 28,008 | 112,990 | 28,008 |
Securities | Asset-backed securities, backed by consumer loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 47,941 | 25,019 | 48,610 | 22,800 |
Assets, Accreted Discounts/Amortized Premiums | (1,435) | (611) | (3,584) | (1,580) |
Assets, Realized Gain (Loss) | (4) | (100) | (200) | (765) |
Assets, Change In Net Unrealized Gain/(Loss) | 1,165 | (320) | (1,501) | 537 |
Assets, Purchases | 7,455 | 18,638 | 25,001 | 28,189 |
Assets, Sales | 7,824 | 3,310 | (21,028) | (9,865) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 47,298 | 39,316 | 47,298 | 39,316 |
Securities | Corporate debt securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 1,951 | 4,081 | 1,113 | 6,318 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 22 |
Assets, Realized Gain (Loss) | 296 | (583) | 504 | (928) |
Assets, Change In Net Unrealized Gain/(Loss) | 509 | 142 | 991 | 65 |
Assets, Purchases | 28 | 6,425 | 3,450 | 9,257 |
Assets, Sales | 577 | 6,883 | (3,851) | (11,552) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 2,207 | 3,182 | 2,207 | 3,182 |
Securities | Corporate equity securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 1,084 | 1,791 | 1,394 | 1,534 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | 0 | (768) | 7 | (910) |
Assets, Change In Net Unrealized Gain/(Loss) | (73) | (61) | (741) | 337 |
Assets, Purchases | 3 | 1,316 | 366 | 1,317 |
Assets, Sales | 0 | 0 | (12) | 0 |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 1,014 | 2,278 | 1,014 | 2,278 |
Loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Change in unrealized gain (loss), assets | 14,200 | 4,100 | 12 | 10,200 |
Loans | Residential mortgage loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 948,447 | 663,880 | 932,203 | 496,829 |
Assets, Accreted Discounts/Amortized Premiums | (2,009) | (2,241) | (4,414) | (4,515) |
Assets, Realized Gain (Loss) | (146) | (400) | (722) | 1,554 |
Assets, Change In Net Unrealized Gain/(Loss) | 15,672 | 3,559 | 7,008 | 7,717 |
Assets, Purchases | 139,609 | 191,512 | 340,842 | 452,958 |
Assets, Sales | 70,864 | 58,582 | (244,208) | (156,815) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 1,030,709 | 797,728 | 1,030,709 | 797,728 |
Loans | Commercial mortgage loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 295,496 | 260,034 | 274,759 | 195,301 |
Assets, Accreted Discounts/Amortized Premiums | 17 | (52) | 113 | 1,087 |
Assets, Realized Gain (Loss) | 36 | (1) | 135 | 1,412 |
Assets, Change In Net Unrealized Gain/(Loss) | (6) | 507 | (140) | (1,844) |
Assets, Purchases | 18,881 | 32,426 | 107,608 | 128,839 |
Assets, Sales | 62,193 | 32,288 | (130,244) | (64,169) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 252,231 | 260,626 | 252,231 | 260,626 |
Loans | Consumer loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 166,681 | 162,609 | 186,954 | 183,961 |
Assets, Accreted Discounts/Amortized Premiums | (6,342) | (6,474) | (21,712) | (22,432) |
Assets, Realized Gain (Loss) | (112) | (1,055) | (97) | (4,565) |
Assets, Change In Net Unrealized Gain/(Loss) | (1,627) | 28 | (6,965) | 2,726 |
Assets, Purchases | 28,554 | 33,101 | 104,872 | 103,983 |
Assets, Sales | 34,545 | 36,510 | (110,443) | (111,974) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 152,609 | 151,699 | 152,609 | 151,699 |
Loans | Corporate loan [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 6,227 | 5,000 | 18,510 | 0 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | 0 | 0 | 0 | 0 |
Assets, Change In Net Unrealized Gain/(Loss) | 0 | 0 | 0 | 0 |
Assets, Purchases | 836 | 10,790 | 1,053 | 15,790 |
Assets, Sales | 0 | 0 | (12,500) | 0 |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 7,063 | 15,790 | 7,063 | 15,790 |
Investment in unconsolidated entities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 72,553 | 69,676 | 71,850 | 72,298 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 276 |
Assets, Realized Gain (Loss) | 62 | (139) | 62 | 1,545 |
Assets, Change In Net Unrealized Gain/(Loss) | 11,381 | 2,935 | 10,528 | 5,125 |
Assets, Purchases | 15,307 | 9,643 | 29,522 | 40,097 |
Assets, Sales | 3,500 | 11,680 | (16,159) | (48,906) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 95,803 | 70,435 | 95,803 | 70,435 |
Change in unrealized gain (loss), assets | 11,300 | 3,300 | 10,200 | 2,400 |
Financial Derivatives - Assets | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Change in unrealized gain (loss), assets | (300) | 100 | 600 | (200) |
Financial Derivatives - Assets | Total return swaps | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 442 | 87 | 620 | 0 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | (129) | (15) | 113 | 1 |
Assets, Change In Net Unrealized Gain/(Loss) | (338) | 148 | (515) | 235 |
Assets, Purchases | 209 | 0 | 209 | 0 |
Assets, Sales | 79 | (15) | (322) | (1) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 105 | 235 | 105 | 235 |
Financial Derivatives - Assets | Credit default swaps on asset-backed securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 353 | 1,090 | 993 | 1,472 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | 1 | 16 | (955) | 419 |
Assets, Change In Net Unrealized Gain/(Loss) | (2) | (12) | 915 | (394) |
Assets, Purchases | 3 | 10 | 29 | 18 |
Assets, Sales | 4 | 26 | (631) | (437) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 351 | 1,078 | 351 | 1,078 |
Financial Derivatives - Liabilities | Total return swaps | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Liabilities, Begining Balance | 77 | 0 | (436) | 0 |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Liabilities, Realized Gain/(Loss) | 4 | 48 | (501) | 48 |
Liabilities, Change In Net Unrealized Gain/(Loss) | (11) | (214) | 349 | (214) |
Liabilities, Payments | (4) | 0 | 500 | 0 |
Liabilities, Issuances | 0 | (48) | 0 | (48) |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | $ (88) | $ (214) | $ (88) | $ (214) |
Valuation (Narrative) (Details)
Valuation (Narrative) (Details) - Level 3 - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | $ 9,300 | $ (4,700) | $ (56,300) | $ (400) |
Loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | 14,200 | 4,100 | 12 | 10,200 |
Investment in unconsolidated entities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | 11,300 | 3,300 | 10,200 | 2,400 |
Financial Derivatives - Assets | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | (300) | 100 | 600 | (200) |
Other secured borrowings, at fair value | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | (5,200) | (100) | (6,600) | (32) |
Financial Derivatives - Liabilities | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Change in unrealized gains (losses) | $ (11) | $ (200) | $ (100) | $ (200) |
Valuation (Fair Value of Other
Valuation (Fair Value of Other Financial Instruments) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Assets: | |||
Cash and cash equivalents | [1] | $ 126,783 | $ 72,302 |
Due from brokers | [1] | 63,991 | 79,829 |
Repurchase agreements, at fair value | 47,041 | 73,639 | |
Liabilities: | |||
Repurchase agreements | [1] | 1,439,984 | 2,445,300 |
Other secured borrowings | [1] | 142,674 | 150,334 |
Senior notes, net | 85,495 | 85,298 | |
Due to brokers | 7,147 | 2,197 | |
Fair Value | |||
Assets: | |||
Cash and cash equivalents | 126,783 | 72,302 | |
Restricted cash | 175 | 175 | |
Due from brokers | 63,991 | 79,829 | |
Repurchase agreements, at fair value | 47,041 | 73,639 | |
Liabilities: | |||
Repurchase agreements | 1,439,984 | 2,445,300 | |
Other secured borrowings | 142,674 | 150,334 | |
Senior notes, net | 86,000 | 88,365 | |
Due to brokers | 7,147 | 2,197 | |
Carrying Value | |||
Assets: | |||
Cash and cash equivalents | 126,783 | 72,302 | |
Restricted cash | 175 | 175 | |
Due from brokers | 63,991 | 79,829 | |
Repurchase agreements, at fair value | 47,041 | 73,639 | |
Liabilities: | |||
Repurchase agreements | 1,439,984 | 2,445,300 | |
Other secured borrowings | 142,674 | 150,334 | |
Senior notes, net | 85,495 | 85,298 | |
Due to brokers | $ 7,147 | $ 2,197 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Securities (Summa
Investment in Securities (Summary of Investment in Securities) (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | ||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 1,364,205 | $ 2,282,149 | |
Unamortized Premium (Discount) | (202,583) | (150,821) | |
Amortized Cost | 1,430,336 | 2,342,369 | |
Gross Unrealized Gains | 55,888 | 43,801 | |
Gross Unrealized Losses | (86,297) | (9,638) | |
Investment Owned At Fair Value, Net | 1,399,927 | 2,376,532 | |
Securities, at fair value(1) | [1] | 1,451,420 | 2,449,941 |
Securities sold short, at fair value | $ (51,493) | $ (73,409) | |
Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.98% | 4.23% | |
Weighted Average Yield | 4.89% | 4.01% | |
Weighted average life | 4 years 4 months 17 days | 5 years 10 months 24 days | |
Long | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 1,414,935 | $ 2,355,498 | |
Unamortized Premium (Discount) | (203,926) | (151,329) | |
Amortized Cost | 1,479,723 | 2,415,210 | |
Gross Unrealized Gains | 55,883 | 43,738 | |
Gross Unrealized Losses | (84,186) | (9,007) | |
Securities, at fair value(1) | $ 1,451,420 | $ 2,449,941 | |
Long | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.86% | 4.15% | |
Weighted Average Yield | 5.05% | 4.09% | |
Weighted average life | 4 years 4 months 13 days | 5 years 10 months 17 days | |
Long | 15-year fixed-rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 69,491 | $ 314,636 | |
Unamortized Premium (Discount) | 2,641 | 6,369 | |
Amortized Cost | 72,132 | 321,005 | |
Gross Unrealized Gains | 1,890 | 2,604 | |
Gross Unrealized Losses | (27) | (203) | |
Securities, at fair value(1) | $ 73,995 | $ 323,406 | |
Long | 15-year fixed-rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.31% | 3.05% | |
Weighted Average Yield | 1.89% | 2.28% | |
Weighted average life | 3 years 4 months 17 days | 3 years 18 days | |
Long | 20-year fixed-rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 587 | $ 804 | |
Unamortized Premium (Discount) | 39 | 49 | |
Amortized Cost | 626 | 853 | |
Gross Unrealized Gains | 29 | 24 | |
Gross Unrealized Losses | 0 | 0 | |
Securities, at fair value(1) | $ 655 | $ 877 | |
Long | 20-year fixed-rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.71% | 4.62% | |
Weighted Average Yield | 2.94% | 2.99% | |
Weighted average life | 3 years 10 months 17 days | 4 years 9 months 18 days | |
Long | 30-year fixed-rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 625,882 | $ 1,358,762 | |
Unamortized Premium (Discount) | 30,133 | 64,846 | |
Amortized Cost | 656,015 | 1,423,608 | |
Gross Unrealized Gains | 26,286 | 13,821 | |
Gross Unrealized Losses | (371) | (2,830) | |
Securities, at fair value(1) | $ 681,930 | $ 1,434,599 | |
Long | 30-year fixed-rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.06% | 4.20% | |
Weighted Average Yield | 2.42% | 2.95% | |
Weighted average life | 4 years 21 days | 6 years 7 months 17 days | |
Long | Adjustable rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 6,751 | $ 9,651 | |
Unamortized Premium (Discount) | 173 | 315 | |
Amortized Cost | 6,924 | 9,966 | |
Gross Unrealized Gains | 123 | 90 | |
Gross Unrealized Losses | (1) | (54) | |
Securities, at fair value(1) | $ 7,046 | $ 10,002 | |
Long | Adjustable rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.65% | 3.99% | |
Weighted Average Yield | 2.15% | 2.03% | |
Weighted average life | 3 years 4 months 6 days | 4 years 1 month 2 days | |
Long | Reverse mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 94,741 | $ 122,670 | |
Unamortized Premium (Discount) | 5,466 | 8,133 | |
Amortized Cost | 100,207 | 130,803 | |
Gross Unrealized Gains | 4,317 | 2,023 | |
Gross Unrealized Losses | 0 | (26) | |
Securities, at fair value(1) | $ 104,524 | $ 132,800 | |
Long | Reverse mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.02% | 4.43% | |
Weighted Average Yield | 2.36% | 2.78% | |
Weighted average life | 5 years 1 month 6 days | 6 years 8 months 1 day | |
Long | Interest only securities | |||
Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 47,507 | $ 34,044 | |
Gross Unrealized Gains | 5,682 | 1,624 | |
Gross Unrealized Losses | (1,484) | (389) | |
Securities, at fair value(1) | $ 51,705 | $ 35,279 | |
Long | Interest only securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.47% | 2.81% | |
Weighted Average Yield | 10.17% | 9.27% | |
Weighted average life | 4 years 6 months 29 days | 3 years 10 months 9 days | |
Long | Non-Agency RMBS | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 336,997 | $ 274,353 | |
Unamortized Premium (Discount) | (131,976) | (122,685) | |
Amortized Cost | 205,021 | 151,668 | |
Gross Unrealized Gains | 12,488 | 12,549 | |
Gross Unrealized Losses | (7,959) | (1,081) | |
Securities, at fair value(1) | $ 209,550 | $ 163,136 | |
Long | Non-Agency RMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.16% | 3.41% | |
Weighted Average Yield | 6.35% | 7.25% | |
Weighted average life | 4 years 8 months 4 days | 5 years 3 months 21 days | |
Long | CMBS | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 184,695 | $ 185,417 | |
Unamortized Premium (Discount) | (62,938) | (67,961) | |
Amortized Cost | 121,757 | 117,456 | |
Gross Unrealized Gains | 803 | 2,990 | |
Gross Unrealized Losses | (24,307) | (480) | |
Securities, at fair value(1) | $ 98,253 | $ 119,966 | |
Long | CMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.54% | 3.31% | |
Weighted Average Yield | 7.74% | 6.62% | |
Weighted average life | 8 years 5 months 4 days | 8 years 11 months 8 days | |
Long | Non-Agency IOs | |||
Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 8,367 | $ 6,517 | |
Gross Unrealized Gains | 1,832 | 1,817 | |
Gross Unrealized Losses | (250) | (18) | |
Securities, at fair value(1) | $ 9,949 | $ 8,316 | |
Long | Non-Agency IOs | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.17% | 1.10% | |
Weighted Average Yield | 16.73% | 8.18% | |
Weighted average life | 2 years 9 months | 4 years 1 month 20 days | |
Long | CLOs | |||
Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 211,236 | $ 169,238 | |
Gross Unrealized Gains | 1 | 4,219 | |
Gross Unrealized Losses | (47,943) | (3,014) | |
Securities, at fair value(1) | $ 163,294 | $ 170,443 | |
Long | CLOs | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.25% | 5.05% | |
Weighted Average Yield | 8.48% | 9.62% | |
Weighted average life | 3 years 10 months 2 days | 4 years 9 months | |
Long | Asset-backed securities, backed by consumer loans | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 71,617 | $ 67,080 | |
Unamortized Premium (Discount) | (24,277) | (19,154) | |
Amortized Cost | 47,340 | 47,926 | |
Gross Unrealized Gains | 1,052 | 1,596 | |
Gross Unrealized Losses | (1,094) | (912) | |
Securities, at fair value(1) | $ 47,298 | $ 48,610 | |
Long | Asset-backed securities, backed by consumer loans | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 11.82% | 12.17% | |
Weighted Average Yield | 17.39% | 14.00% | |
Weighted average life | 1 year 29 days | 1 year 2 months 19 days | |
Long | Corporate debt securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 24,174 | $ 22,125 | |
Unamortized Premium (Discount) | (23,187) | (21,241) | |
Amortized Cost | 987 | 884 | |
Gross Unrealized Gains | 1,220 | 229 | |
Gross Unrealized Losses | 0 | 0 | |
Securities, at fair value(1) | $ 2,207 | $ 1,113 | |
Long | Corporate debt securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.00% | 0.00% | |
Weighted Average Yield | 0.00% | 0.00% | |
Weighted average life | 2 years 10 months 6 days | 3 months 29 days | |
Long | Corporate equity securities | |||
Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 1,604 | $ 1,242 | |
Securities, at fair value(1) | 1,014 | 1,394 | |
Corporate equity, gross unrealized gains | 160 | 152 | |
Corporate equity, gross unrealized losses | (750) | 0 | |
Short | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | (50,730) | (73,349) | |
Unamortized Premium (Discount) | 1,343 | 508 | |
Investment Sold, Not yet Purchased, Sale Proceeds | (49,387) | (72,841) | |
Gross Unrealized Gains | 5 | 63 | |
Gross Unrealized Losses | (2,111) | (631) | |
Securities sold short, at fair value | $ (51,493) | $ (73,409) | |
Short | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.39% | 1.65% | |
Weighted Average Yield | 0.21% | 1.66% | |
Weighted average life | 4 years 1 month 28 days | 5 years 5 months 26 days | |
Short | Corporate debt securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ (450) | $ (450) | |
Unamortized Premium (Discount) | (6) | (6) | |
Investment Sold, Not yet Purchased, Sale Proceeds | (456) | (456) | |
Gross Unrealized Gains | 5 | 0 | |
Gross Unrealized Losses | (10) | (15) | |
Securities sold short, at fair value | $ (461) | $ (471) | |
Short | Corporate debt securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 5.32% | 5.44% | |
Weighted Average Yield | 5.21% | 5.21% | |
Weighted average life | 4 years 1 month 20 days | 4 years 10 months 24 days | |
Short | U.S. Treasury securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ (14,000) | $ (63,140) | |
Unamortized Premium (Discount) | (273) | 381 | |
Investment Sold, Not yet Purchased, Sale Proceeds | (14,273) | (62,759) | |
Gross Unrealized Gains | 0 | 63 | |
Gross Unrealized Losses | (37) | (298) | |
Securities sold short, at fair value | $ (14,310) | $ (62,994) | |
Short | U.S. Treasury securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.63% | 1.76% | |
Weighted Average Yield | 0.41% | 1.87% | |
Weighted average life | 6 years 2 months 15 days | 6 years 1 month 9 days | |
Short | European sovereign bonds | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ (36,280) | $ (9,759) | |
Unamortized Premium (Discount) | 1,622 | 133 | |
Investment Sold, Not yet Purchased, Sale Proceeds | (34,658) | (9,626) | |
Gross Unrealized Gains | 0 | 0 | |
Gross Unrealized Losses | (2,064) | (318) | |
Securities sold short, at fair value | $ (36,722) | $ (9,944) | |
Short | European sovereign bonds | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.22% | 0.77% | |
Weighted Average Yield | 0.06% | 0.12% | |
Weighted average life | 3 years 4 months 9 days | 1 year 6 months 29 days | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Securities (Matur
Investment in Securities (Maturities of Securities) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | [1] | $ 1,451,420 | $ 2,449,941 |
Amortized Cost | $ 1,430,336 | $ 2,342,369 | |
Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.98% | 4.23% | |
Long | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 1,451,420 | $ 2,449,941 | |
Amortized Cost | $ 1,479,723 | $ 2,415,210 | |
Long | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.86% | 4.15% | |
Long | Agency RMBS | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 868,150 | $ 1,901,684 | |
Amortized Cost | $ 835,904 | $ 1,886,235 | |
Long | Agency RMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.99% | 4.02% | |
Long | Agency RMBS | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 150,492 | $ 188,593 | |
Amortized Cost | $ 146,624 | $ 187,099 | |
Long | Agency RMBS | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.26% | 3.39% | |
Long | Agency RMBS | Greater than three years less than seven years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 706,422 | $ 961,839 | |
Amortized Cost | $ 678,227 | $ 953,031 | |
Long | Agency RMBS | Greater than three years less than seven years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.95% | 4.25% | |
Long | Agency RMBS | Greater than seven years less than eleven [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 11,236 | $ 713,862 | |
Amortized Cost | $ 11,053 | $ 708,805 | |
Long | Agency RMBS | Greater than seven years less than eleven [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.01% | 3.89% | |
Long | Agency RMBS | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 0 | $ 37,390 | |
Amortized Cost | $ 0 | $ 37,300 | |
Long | Agency RMBS | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.00% | 3.51% | |
Long | Agency RMBS | Interest only securities | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 51,705 | $ 35,279 | |
Amortized Cost | $ 47,507 | $ 34,044 | |
Long | Agency RMBS | Interest only securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.47% | 2.81% | |
Long | Agency RMBS | Interest only securities | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 8,893 | $ 9,011 | |
Amortized Cost | $ 8,267 | $ 8,611 | |
Long | Agency RMBS | Interest only securities | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.90% | 3.35% | |
Long | Agency RMBS | Interest only securities | Greater than three years less than seven years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 39,604 | $ 25,334 | |
Amortized Cost | $ 36,038 | $ 24,512 | |
Long | Agency RMBS | Interest only securities | Greater than three years less than seven years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.63% | 2.66% | |
Long | Agency RMBS | Interest only securities | Greater than seven years less than eleven [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 1,048 | $ 934 | |
Amortized Cost | $ 1,049 | $ 921 | |
Long | Agency RMBS | Interest only securities | Greater than seven years less than eleven [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.28% | 1.90% | |
Long | Agency RMBS | Interest only securities | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 2,160 | $ 0 | |
Amortized Cost | $ 2,153 | $ 0 | |
Long | Agency RMBS | Interest only securities | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.78% | 0.00% | |
Long | Non-Agency RMBS and CMBS | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 307,803 | $ 283,102 | |
Amortized Cost | $ 326,778 | $ 269,124 | |
Long | Non-Agency RMBS and CMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.93% | 3.37% | |
Long | Non-Agency RMBS and CMBS | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 80,873 | $ 50,120 | |
Amortized Cost | $ 77,739 | $ 48,213 | |
Long | Non-Agency RMBS and CMBS | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.67% | 2.73% | |
Long | Non-Agency RMBS and CMBS | Greater than three years less than seven years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 106,561 | $ 87,436 | |
Amortized Cost | $ 102,374 | $ 79,326 | |
Long | Non-Agency RMBS and CMBS | Greater than three years less than seven years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.38% | 4.42% | |
Long | Non-Agency RMBS and CMBS | Greater than seven years less than eleven [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 96,327 | $ 127,533 | |
Amortized Cost | $ 119,267 | $ 123,924 | |
Long | Non-Agency RMBS and CMBS | Greater than seven years less than eleven [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.48% | 3.31% | |
Long | Non-Agency RMBS and CMBS | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 24,042 | $ 18,013 | |
Amortized Cost | $ 27,398 | $ 17,661 | |
Long | Non-Agency RMBS and CMBS | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.04% | 0.81% | |
Long | Non-Agency RMBS | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 209,550 | $ 163,136 | |
Amortized Cost | $ 205,021 | $ 151,668 | |
Long | Non-Agency RMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.16% | 3.41% | |
Long | Non-Agency RMBS | Interest only securities | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 9,949 | $ 8,316 | |
Amortized Cost | $ 8,367 | $ 6,517 | |
Long | Non-Agency RMBS | Interest only securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.17% | 1.10% | |
Long | Non-Agency RMBS | Interest only securities | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 4,079 | $ 439 | |
Amortized Cost | $ 2,685 | $ 401 | |
Long | Non-Agency RMBS | Interest only securities | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.55% | 1.37% | |
Long | Non-Agency RMBS | Interest only securities | Greater than three years less than seven years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 5,870 | $ 7,877 | |
Amortized Cost | $ 5,682 | $ 6,116 | |
Long | Non-Agency RMBS | Interest only securities | Greater than three years less than seven years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.47% | 1.08% | |
Long | Non-Agency RMBS | Interest only securities | Greater than seven years less than eleven [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 0 | $ 0 | |
Amortized Cost | $ 0 | $ 0 | |
Long | Non-Agency RMBS | Interest only securities | Greater than seven years less than eleven [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.00% | 0.00% | |
Long | Non-Agency RMBS | Interest only securities | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 0 | $ 0 | |
Amortized Cost | $ 0 | $ 0 | |
Long | Non-Agency RMBS | Interest only securities | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.00% | 0.00% | |
Long | CLOs And Other Securities [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 212,799 | $ 220,166 | |
Amortized Cost | $ 259,563 | $ 218,048 | |
Long | CLOs And Other Securities [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.84% | 6.60% | |
Long | CLOs And Other Securities [Member] | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 61,222 | $ 54,446 | |
Amortized Cost | $ 63,694 | $ 54,090 | |
Long | CLOs And Other Securities [Member] | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 9.43% | 11.11% | |
Long | CLOs And Other Securities [Member] | Greater than three years less than seven years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 150,175 | $ 157,384 | |
Amortized Cost | $ 193,955 | $ 155,651 | |
Long | CLOs And Other Securities [Member] | Greater than three years less than seven years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.38% | 5.38% | |
Long | CLOs And Other Securities [Member] | Greater than seven years less than eleven [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 1,402 | $ 8,336 | |
Amortized Cost | $ 1,914 | $ 8,307 | |
Long | CLOs And Other Securities [Member] | Greater than seven years less than eleven [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.00% | 0.00% | |
Long | CLOs And Other Securities [Member] | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1) | $ 0 | $ 0 | |
Amortized Cost | $ 0 | $ 0 | |
Long | CLOs And Other Securities [Member] | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.00% | 0.00% | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Securities (Sum_2
Investment in Securities (Summary of Investment Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Securities, Available-for-sale [Line Items] | ||||
Interest Income | $ 43,075 | $ 39,985 | $ 134,463 | $ 114,548 |
Agency RMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 14,117 | 16,026 | 47,632 | 42,681 |
Net Amortization | (7,454) | (6,290) | (25,516) | (15,883) |
Interest Income | 6,663 | 9,736 | 22,116 | 26,798 |
Non-Agency RMBS and CMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 3,311 | 3,383 | 10,995 | 10,514 |
Net Amortization | 1,911 | 430 | 4,001 | 1,666 |
Interest Income | 5,222 | 3,813 | 14,996 | 12,180 |
CLOs | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 2,256 | 3,480 | 11,662 | 11,391 |
Net Amortization | 2,179 | (627) | 1,543 | (1,138) |
Interest Income | 4,435 | 2,853 | 13,205 | 10,253 |
Other Securities | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 2,970 | 1,670 | 8,992 | 4,706 |
Net Amortization | (1,435) | (611) | (3,584) | (1,528) |
Interest Income | 1,535 | 1,059 | 5,408 | 3,178 |
Securities Investment [Member] | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 22,654 | 24,559 | 79,281 | 69,292 |
Net Amortization | (4,799) | (7,098) | (23,556) | (16,883) |
Interest Income | $ 17,855 | $ 17,461 | $ 55,725 | $ 52,409 |
Investment in Securities (Proce
Investment in Securities (Proceeds, Realized Gains (Losses) on Sales) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Securities, Available-for-sale [Line Items] | ||||
Available-for-sale securities Realizes Losses - Write offs | $ (2,500) | $ (16,300) | ||
Proceeds | 40,462 | $ 488,128 | 1,765,704 | $ 1,544,862 |
Available-for-sale Securities, Gross Realized Gains | 4,509 | 15,467 | 29,458 | 20,280 |
Available-for-sale Securities, Gross Realized Losses | (553) | (568) | (10,506) | (7,807) |
Available-for-sale Securities, Gross Realized Gain (Loss) | 3,956 | 14,899 | 18,952 | 12,473 |
OTTI charge on securities | 10,100 | 16,100 | ||
Agency RMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds | 10,675 | 331,572 | 1,438,469 | 719,082 |
Available-for-sale Securities, Gross Realized Gains | 2,467 | 4,511 | 15,982 | 6,954 |
Available-for-sale Securities, Gross Realized Losses | (564) | (34) | (3,369) | (1,950) |
Available-for-sale Securities, Gross Realized Gain (Loss) | 1,903 | 4,477 | 12,613 | 5,004 |
Non-Agency RMBS and CMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds | 17,926 | 16,496 | 116,349 | 165,180 |
Available-for-sale Securities, Gross Realized Gains | 1,669 | 9,606 | 11,081 | 11,356 |
Available-for-sale Securities, Gross Realized Losses | (171) | (341) | (3,880) | (3,835) |
Available-for-sale Securities, Gross Realized Gain (Loss) | 1,498 | 9,265 | 7,201 | 7,521 |
CLOs | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds | 0 | 2,060 | 41,714 | 58,157 |
Available-for-sale Securities, Gross Realized Gains | 0 | 1,287 | 1,122 | 1,169 |
Available-for-sale Securities, Gross Realized Losses | 256 | 27 | (2,928) | (816) |
Available-for-sale Securities, Gross Realized Gain (Loss) | 256 | 1,314 | (1,806) | 353 |
Other Securities | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds | 11,861 | 138,000 | 169,172 | 602,443 |
Available-for-sale Securities, Gross Realized Gains | 373 | 63 | 1,273 | 801 |
Available-for-sale Securities, Gross Realized Losses | (74) | (220) | (329) | (1,206) |
Available-for-sale Securities, Gross Realized Gain (Loss) | $ 299 | $ (157) | $ 944 | $ (405) |
Investment in Securities (Unrea
Investment in Securities (Unrealized Loss Positions Securities) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | $ 168,024 | $ 471,379 |
Unrealized Losses, Less than 12 Months | (12,733) | (5,146) |
Fair Value, Greater than 12 Months | 3,600 | 162,938 |
Unrealized Losses, Greater than 12 Months | (196) | (3,861) |
Fair Value, Total | 171,624 | 634,317 |
Unrealized Loss, Total | (12,929) | (9,007) |
Agency RMBS | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 138,286 | 328,968 |
Unrealized Losses, Less than 12 Months | (673) | (1,503) |
Fair Value, Greater than 12 Months | 1,881 | 125,095 |
Unrealized Losses, Greater than 12 Months | (112) | (1,999) |
Fair Value, Total | 140,167 | 454,063 |
Unrealized Loss, Total | (785) | (3,502) |
Non-Agency RMBS | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 18,887 | 88,495 |
Unrealized Losses, Less than 12 Months | (1,560) | (880) |
Fair Value, Greater than 12 Months | 1,665 | 27,218 |
Unrealized Losses, Greater than 12 Months | (84) | (699) |
Fair Value, Total | 20,552 | 115,713 |
Unrealized Loss, Total | (1,644) | (1,579) |
CLOs | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 10,204 | 37,354 |
Unrealized Losses, Less than 12 Months | (10,069) | (1,911) |
Fair Value, Greater than 12 Months | 54 | 9,245 |
Unrealized Losses, Greater than 12 Months | 0 | (1,103) |
Fair Value, Total | 10,258 | 46,599 |
Unrealized Loss, Total | (10,069) | (3,014) |
Other Securities | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 647 | 16,562 |
Unrealized Losses, Less than 12 Months | (431) | (852) |
Fair Value, Greater than 12 Months | 0 | 1,380 |
Unrealized Losses, Greater than 12 Months | 0 | (60) |
Fair Value, Total | 647 | 17,942 |
Unrealized Loss, Total | $ (431) | $ (912) |
Investment in Securities (Narra
Investment in Securities (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Securities, Available-for-sale [Line Items] | |||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | $ 86,297 | $ 86,297 | $ 9,638 | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss | 28,400 | 28,400 | |||
Debt Securities, Available-for-sale, Purchased with Credit Deterioration, Allowance for Credit Loss at Acquisition Date | 4,000 | ||||
Available-for-sale securities Realizes Losses - Write offs | (2,500) | (16,300) | |||
Catch-up premium amortization adjustment | 300 | $ (1,500) | (4,400) | $ (2,900) | |
OTTI charge on securities | $ 10,100 | $ 16,100 | |||
Long | |||||
Securities, Available-for-sale [Line Items] | |||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | $ 84,186 | $ 84,186 | $ 9,007 |
Investment in Loans (Schedule o
Investment in Loans (Schedule of Investments in Loans) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | $ 1,414,410 | $ 1,387,733 | |
Fair Value | [1] | 1,442,612 | 1,412,426 |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 1,004,980 | 911,705 | |
Fair Value | 1,030,709 | 932,203 | |
Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 252,305 | 277,870 | |
Fair Value | 252,231 | 274,759 | |
Consumer loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 150,062 | 179,743 | |
Fair Value | 152,609 | 186,954 | |
Corporate loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 7,063 | 18,415 | |
Fair Value | $ 7,063 | $ 18,510 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Loans (Schedule_2
Investment in Loans (Schedule of 90 Days or More Past Due) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 1,414,410 | $ 1,387,733 | |
Loans, at fair value | [1] | 1,442,612 | 1,412,426 |
Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 252,305 | 277,870 | |
Loans, at fair value | 252,231 | 274,759 | |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 1,004,980 | 911,705 | |
Loans, at fair value | 1,030,709 | 932,203 | |
Consumer loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 150,062 | 179,743 | |
Loans, at fair value | 152,609 | 186,954 | |
Non-accrual status [Member] | Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Loans, at fair value | 23,800 | 10,700 | |
Non-accrual status [Member] | Commercial mortgage loans | 90 Days or More Past Due [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 23,750 | 28,936 | |
Loans, at fair value | 23,671 | 26,545 | |
Non-accrual status [Member] | Residential mortgage loans | 90 Days or More Past Due [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 67,121 | 22,092 | |
Loans, at fair value | 64,414 | 19,401 | |
Non-accrual status [Member] | Consumer loans | 90 Days or More Past Due [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 1,284 | 5,633 | |
Loans, at fair value | $ 1,131 | $ 5,225 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Loans (Schedule_3
Investment in Loans (Schedule of Residential Mortgage Loans) (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 1,414,410 | $ 1,387,733 | |
Unamortized Premium (Discount) | (202,583) | (150,821) | |
Fair Value | [1] | $ 1,442,612 | $ 1,412,426 |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 3.98% | 4.23% | |
Weighted Average Yield | 4.89% | 4.01% | |
Weighted average life | 4 years 4 months 17 days | 5 years 10 months 24 days | |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 1,004,980 | $ 911,705 | |
Fair Value | 1,030,709 | 932,203 | |
Consolidated securitization trusts [Member] | Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Gains | 17,500 | ||
Losses | 200 | ||
Loans held-for-investment [Member] | Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 996,429 | 911,705 | |
Unamortized Premium (Discount) | 8,676 | 9,354 | |
Amortized Cost | 1,005,105 | 921,059 | |
Gains | 21,504 | 13,082 | |
Losses | (4,355) | (1,938) | |
Fair Value | $ 1,022,254 | $ 932,203 | |
Loans held-for-investment [Member] | Residential mortgage loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 6.23% | 6.44% | |
Weighted Average Yield | 5.15% | 5.79% | |
Weighted average life | 1 year 7 months 28 days | 1 year 10 months 24 days | |
Non-QM loan securitization | Residential mortgage loans | Consolidated Entities [Member] | Securitized loans [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Fair Value | $ 760,420 | $ 628,415 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Loans (Schedule_4
Investment in Loans (Schedule of Residential Mortgage Loans: Geographic Distribution) (Details) - Financing Receivables, Unpaid Principal Balance [Member] - Residential mortgage loans - Geographic Concentration Risk [Member] | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 100.00% | 100.00% |
CALIFORNIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 44.00% | 46.60% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 13.80% | 11.90% |
Texas [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 10.40% | 11.90% |
Colorado [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.80% | 3.20% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.60% | 2.90% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.60% | 1.60% |
NEVADA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.70% | 1.60% |
OREGON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.40% | 2.20% |
ARIZONA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.90% | 2.40% |
UTAH | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.90% | 1.90% |
Maryland [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.30% | 1.30% |
CONNECTICUT | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.00% | 0.00% |
MARYLAND | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.00% | 1.10% |
NORTH CAROLINA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.20% | 0.00% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.80% | 1.10% |
ILLINOIS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.80% | 1.70% |
Other [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 7.70% | 8.60% |
GEORGIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.10% | 0.00% |
Investment in Loans Investment
Investment in Loans Investment in Loans (Schedule of Residential Mortgage Loans: Performance) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 1,414,410 | $ 1,387,733 | |
Loans, at fair value | [1] | 1,442,612 | 1,412,426 |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 1,004,980 | 911,705 | |
Loans, at fair value | 1,030,709 | 932,203 | |
Residential mortgage loans | Performing Financial Instruments [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 23,002 | 27,663 | |
Loans, at fair value | 21,572 | 25,323 | |
Residential mortgage loans | Non-performing | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 64,710 | 17,757 | |
Loans, at fair value | $ 62,343 | $ 15,580 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Loans (Narrative)
Investment in Loans (Narrative) (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2020USD ($)loan | Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($)loan | Sep. 30, 2019USD ($) | Dec. 31, 2019USD ($)loan | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 1,414,410 | $ 1,414,410 | $ 1,387,733 | |||
Loans, at fair value | [1] | 1,442,612 | 1,442,612 | 1,412,426 | ||
Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Impairment Losses, Recognized in Earnings | $ 300 | $ 700 | ||||
Mortgage Loans in Process of Foreclosure, Amount | 11,100 | 11,100 | 10,900 | |||
Unpaid Principal Balance | 1,004,980 | 1,004,980 | 911,705 | |||
Loans, at fair value | 1,030,709 | 1,030,709 | 932,203 | |||
Residential mortgage loans | Non-performing | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 64,710 | 64,710 | 17,757 | |||
Loans, at fair value | 62,343 | 62,343 | 15,580 | |||
Commercial mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Losses | (487) | (487) | (62) | |||
Financing Receivable, Allowance for Credit Loss | 400 | 400 | ||||
Mortgage Loans in Process of Foreclosure, Amount | $ 16,000 | |||||
Number of mortgage loans in process of foreclosure | 2 | |||||
Unpaid Principal Balance | 252,305 | 252,305 | $ 277,870 | |||
Loans, at fair value | $ 252,231 | $ 252,231 | $ 274,759 | |||
Commercial mortgage loans | Non-performing | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Number of loans | loan | 2 | 2 | 3 | |||
Unpaid Principal Balance | $ 23,800 | $ 23,800 | $ 28,900 | |||
Loans, at fair value | 23,700 | 23,700 | 26,500 | |||
Consumer loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Losses | (6,230) | (6,230) | (377) | |||
Financing Receivable, Allowance for Credit Loss | 4,700 | |||||
Delinquent loans, charged off | 3,900 | 4,900 | 13,900 | 13,900 | ||
Fair value of charged-off loans | 600 | 600 | 600 | |||
Impairment Losses, Recognized in Earnings | $ 1,100 | $ 4,600 | ||||
Unpaid Principal Balance | 150,062 | 150,062 | 179,743 | |||
Loans, at fair value | 152,609 | 152,609 | 186,954 | |||
Corporate loan [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 7,063 | 7,063 | 18,415 | |||
Loans, at fair value | 7,063 | 7,063 | 18,510 | |||
Loans held-for-investment [Member] | Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Losses | (4,355) | (4,355) | (1,938) | |||
Financing Receivable, Allowance for Credit Loss | 2,600 | 2,600 | ||||
Financing Receivable, Purchased with Credit Deterioration, Allowance for Credit Loss at Acquisition Date | 400 | |||||
Realized Losses, Write offs on loans | 51 | (500) | ||||
Unpaid Principal Balance | 996,429 | 996,429 | 911,705 | |||
Loans, at fair value | 1,022,254 | 1,022,254 | $ 932,203 | |||
Loans held-for-investment [Member] | Consumer loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Realized Losses, Write offs on loans | $ 100 | $ 100 | ||||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Loans (Schedule_5
Investment in Loans (Schedule of Commercial Mortgage Loans) (Details) (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 1,414,410 | $ 1,387,733 | |
Unamortized Premium (Discount) | (202,583) | (150,821) | |
Loans, at fair value | [1] | $ 1,442,612 | $ 1,412,426 |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 3.98% | 4.23% | |
Weighted Average Yield | 4.89% | 4.01% | |
Weighted average life | 4 years 4 months 17 days | 5 years 10 months 24 days | |
Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 252,305 | $ 277,870 | |
Unamortized Premium (Discount) | (122) | (3,302) | |
Amortized Cost | 252,183 | 274,568 | |
Gains | 535 | 253 | |
Losses | (487) | (62) | |
Loans, at fair value | $ 252,231 | $ 274,759 | |
Number of mortgage loans in process of foreclosure | 2 | ||
Mortgage Loans in Process of Foreclosure, Amount | $ 16,000 | ||
Commercial mortgage loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 8.25% | 7.65% | |
Weighted Average Yield | 8.14% | 8.58% | |
Weighted average life | 9 months 7 days | 1 year 25 days | |
Non-accrual status [Member] | Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Loans, at fair value | $ 23,800 | $ 10,700 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Loans (Schedule_6
Investment in Loans (Schedule of Commercial Loans: Geographic Distribution) (Details) - Financing Receivables, Unpaid Principal Balance [Member] - Geographic Concentration Risk [Member] - Commercial mortgage loans | 3 Months Ended | 9 Months Ended |
Mar. 31, 2020 | Sep. 30, 2020 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 100.00% | 100.00% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 31.70% | 17.60% |
NEW YORK | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 17.70% | 16.50% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 0.00% | 11.50% |
Virginia [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 6.80% | 3.60% |
CONNECTICUT | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 8.20% | 9.30% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 13.30% | 4.90% |
NORTH CAROLINA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.60% | 6.60% |
CALIFORNIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 0.00% | 5.70% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.70% | 5.20% |
ARIZONA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 3.80% | 3.70% |
Indiana [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.10% | 2.40% |
PENNSYLVANIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.80% | 2.00% |
NEVADA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.50% | 1.60% |
Tennessee [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.50% | 1.60% |
ILLINOIS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.20% | 1.30% |
Other [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.10% | 0.40% |
OHIO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 0.00% | 6.10% |
Investment in Loans (Schedule_7
Investment in Loans (Schedule of Consumer Loans) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | $ 1,414,410 | $ 1,387,733 | ||
Unamortized Premium (Discount) | (202,583) | (150,821) | ||
Loans, at fair value | [1] | $ 1,442,612 | $ 1,412,426 | |
Weighted Average | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted average life | 4 years 4 months 17 days | 5 years 10 months 24 days | ||
Consumer loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Fair value of charged-off loans | $ 600 | $ 600 | ||
Unpaid Principal Balance | 150,062 | 179,743 | ||
Unamortized Premium (Discount) | 7,347 | 5,027 | ||
Amortized Cost | 157,409 | 184,770 | ||
Gains | 1,430 | 2,561 | ||
Losses | (6,230) | (377) | ||
Loans, at fair value | $ 152,609 | $ 186,954 | ||
Consumer loans | Weighted Average | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted average life | 9 months 25 days | 10 months 17 days | ||
Delinquency (Days) | 4 days | 4 days | ||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investment in Loans (Schedule_8
Investment in Loans (Schedule of Consumer Loans: Delinquency Status) (Details) - Consumer loans | Sep. 30, 2020 | Dec. 31, 2019 |
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 100.00% | 100.00% |
Financial Asset, 1 to 29 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 96.20% | 95.30% |
30 to 59 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 1.60% | 2.10% |
60 to 89 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 1.10% | 1.40% |
90-119 Days or More Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 0.80% | 1.20% |
Financing Receivables, Equal to Greater than 120 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 0.30% | 0.00% |
Investment in Loans Investmen_2
Investment in Loans Investment in Loans (Schedule of Corporate Loans) (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 1,414,410 | $ 1,387,733 | |
Loans, at fair value | [1] | 1,442,612 | 1,412,426 |
Corporate loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 7,063 | 18,415 | |
Loans, at fair value | $ 7,063 | $ 18,510 | |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 3.98% | 4.23% | |
Weighted average life | 4 years 4 months 17 days | 5 years 10 months 24 days | |
Weighted Average | Corporate loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 19.43% | 17.62% | |
Weighted average life | 1 year 11 months 23 days | 10 months 13 days | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investments in Unconsolidated_3
Investments in Unconsolidated Entities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | ||
Schedule of Equity Method Investments [Line Items] | ||||||
Investment in unconsolidated entities, at fair value | [1] | $ 95,803 | $ 95,803 | $ 71,850 | ||
Earnings (losses) from investments in unconsolidated entities | 11,443 | $ 2,796 | 10,590 | $ 6,947 | ||
Mortgage loan originator [Member] | ||||||
Schedule of Equity Method Investments [Line Items] | ||||||
Earnings (losses) from investments in unconsolidated entities | 8,900 | $ 2,100 | 13,200 | $ 600 | ||
Variable Interest Entity, Not Primary Beneficiary | ||||||
Schedule of Equity Method Investments [Line Items] | ||||||
Investment in unconsolidated entities, at fair value | $ 37,100 | $ 37,100 | $ 28,500 | |||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investments in Unconsolidated_4
Investments in Unconsolidated Entities Schedule of Ownership of Investments in Unconsolidated Entities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Mortgage loan originator [Member] | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Equity Method Investment, Summarized Financial Information, Revenue | $ 4,827 | $ 6,957 | $ 10,030 | $ 14,486 | |
Equity Method Investment, Summarized Financial Information, Net Income (Loss) | $ 15,962 | $ 4,739 | $ 28,901 | $ 3,074 | |
Longbridge Financial LLC [Member] | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Equity Method Investment, Ownership Percentage | 49.70% | 49.70% | 49.70% | ||
LendSure Mortgage Corp [Member] | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Equity Method Investment, Ownership Percentage | 49.90% | 49.90% | 49.90% | ||
LendSure Mortgage Corp [Member] | Nonvoting Common Stock [Member] | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Equity Method Investment, Ownership Percentage | 15.00% | 15.00% | |||
Jepson Holdings Limited | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Equity Method Investment, Ownership Percentage | 30.10% | 30.10% | 30.10% | ||
Elizon AFG 2018-1 LLC [Member] | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Equity Method Investment, Ownership Percentage | 22.10% | 22.10% | 13.40% | ||
Effective Ownership Percentage | 61.70% | 61.70% | 70.40% | ||
Elizon DB 2015-1 LLC [Member] | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Equity Method Investment, Ownership Percentage | 8.50% | 8.50% | 3.50% | ||
Effective Ownership Percentage | 53.10% | 53.10% | 48.70% | ||
Minimum | Other Equity Method Investments [Member] | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Equity Method Investment, Ownership Percentage | 7.40% | 7.40% | 7.70% | ||
Maximum | Other Equity Method Investments [Member] | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Equity Method Investment, Ownership Percentage | 51.00% | 51.00% | 51.00% |
Real Estate Owned (Details)
Real Estate Owned (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020USD ($)property | Sep. 30, 2019USD ($)property | Sep. 30, 2020USD ($)property | Sep. 30, 2019USD ($)property | Dec. 31, 2019USD ($) | |
Real Estate Owned, Disclosure of Detailed Components [Abstract] | |||||
Real Estate Acquired Through Foreclosure, Disposals, Number Of Properties | property | 1 | 7 | 8 | 11 | |
Realized Gain (Loss) on Sale of Properties | $ (18) | $ 1,200 | $ 100 | $ 1,200 | |
REO, fair value | $ 18,400 | $ 18,400 | $ 19,400 |
Real Estate Owned Schedule of R
Real Estate Owned Schedule of Real Estate Owned Activity (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020USD ($)property | Sep. 30, 2019USD ($)property | Sep. 30, 2020USD ($)property | Sep. 30, 2019USD ($)property | |
Number of Properties | ||||
Beginning Balance | property | 13 | 20 | 15 | 20 |
Transfers from mortgage loans | property | 4 | 1 | 9 | 5 |
Disposals | property | (1) | (7) | (8) | (11) |
Ending Balance | property | 16 | 14 | 16 | 14 |
Carrying Value | ||||
Beginning Balance | $ 24,044 | $ 47,621 | $ 30,584 | $ 30,778 |
Transfers from mortgage loans | 676 | 601 | 2,198 | 18,314 |
Capital expenditures and other adjustments to cost | 27 | 0 | 153 | 240 |
Adjustments to record at the lower of cost or fair value | 147 | 6 | (813) | (257) |
Disposals | (100) | (3,805) | (7,328) | (4,652) |
Ending Balance | $ 24,794 | $ 44,423 | $ 24,794 | $ 44,423 |
To Be Announced RMBS (Details)
To Be Announced RMBS (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
To Be Announced Securities [Line Items] | |||
Unpaid Principal Balance | $ 1,414,410 | $ 1,387,733 | |
Investments sold short, at fair value- | (51,493) | (73,409) | |
Payable for securities purchased relating to unsettled TBA purchases | [1] | 0 | (66,133) |
Net short TBA securities, at fair value | $ (1,399,927) | $ (2,376,532) | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Financial Derivatives (Schedule
Financial Derivatives (Schedule of Financial Derivatives) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 27,864 | $ 16,788 |
Financial derivatives–liabilities, at fair value- | (34,814) | (27,621) |
Total | (6,950) | (10,833) |
TBA Securities, Purchase Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 394 | 90 |
Financial derivatives–liabilities, at fair value- | (156) | 0 |
TBA Securities, Sale Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 756 | 506 |
Financial derivatives–liabilities, at fair value- | (130) | (1,012) |
Interest rate swaps | Short | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 5 | 3,914 |
Financial derivatives–liabilities, at fair value- | (29,712) | (8,513) |
Interest rate swaps | Long | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 13,785 | 1,554 |
Financial derivatives–liabilities, at fair value- | (62) | (206) |
Credit default swaps on asset-backed securities | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 351 | 993 |
Credit default swaps on asset-backed indices | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 9,722 | 3,319 |
Financial derivatives–liabilities, at fair value- | (142) | (250) |
Credit default swaps on corporate bonds | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 39 | 2 |
Financial derivatives–liabilities, at fair value- | (580) | (1,693) |
Credit default swaps on corporate bond indices | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 2,419 | 5,599 |
Financial derivatives–liabilities, at fair value- | (3,572) | (14,524) |
Total return swaps | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 105 | 620 |
Financial derivatives–liabilities, at fair value- | (88) | (1,209) |
Futures | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 1 | 148 |
Financial derivatives–liabilities, at fair value- | (331) | (45) |
Futures | Short | ||
Derivatives, Fair Value [Line Items] | ||
Total | (330) | 103 |
Forwards | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 256 | 43 |
Financial derivatives–liabilities, at fair value- | (41) | (169) |
Warrants | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 31 | $ 0 |
Financial Derivatives (Interest
Financial Derivatives (Interest Rate Swaps) (Details) - Interest rate swaps - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Long | ||
Derivative [Line Items] | ||
Notional Amount | $ 438,560 | $ 305,723 |
Fair Value | 13,723 | 1,348 |
Long | 2021 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 12,950 | 181,950 |
Fair Value | 201 | (49) |
Long | 2022 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 87,683 | 53,974 |
Fair Value | 1,514 | 441 |
Long | 2023 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 48,657 | 48,657 |
Fair Value | 2,234 | 709 |
Long | 2024 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 86,342 | 11,342 |
Fair Value | 5,262 | 306 |
Long | 2025 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 39,685 | |
Fair Value | 226 | |
Long | 2027 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 25,108 | |
Fair Value | 343 | |
Long | 2029 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 9,800 | 9,800 |
Fair Value | 1,030 | $ (59) |
Long | 2030 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 128,335 | |
Fair Value | $ 2,913 | |
Long | Weighted Average | ||
Derivative [Line Items] | ||
Pay Rate | 1.25% | 1.78% |
Receive Rate | 0.25% | 1.91% |
Remaining Years to Maturity | 5 years 1 month 24 days | 2 years 5 months 19 days |
Long | Weighted Average | 2021 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.75% | 1.67% |
Receive Rate | 0.23% | 1.89% |
Remaining Years to Maturity | 11 months 15 days | 1 year 10 months 2 days |
Long | Weighted Average | 2022 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.33% | 1.85% |
Receive Rate | 0.26% | 1.91% |
Remaining Years to Maturity | 1 year 5 months 12 days | 2 years 2 months 1 day |
Long | Weighted Average | 2023 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.00% | 2.00% |
Receive Rate | 0.23% | 1.92% |
Remaining Years to Maturity | 2 years 6 months 3 days | 3 years 3 months 3 days |
Long | Weighted Average | 2024 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.65% | 2.33% |
Receive Rate | 0.26% | 2.09% |
Remaining Years to Maturity | 3 years 11 months 26 days | 4 years 2 months 23 days |
Long | Weighted Average | 2025 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 0.44% | |
Receive Rate | 0.24% | |
Remaining Years to Maturity | 4 years 7 months 28 days | |
Long | Weighted Average | 2027 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 0.63% | |
Receive Rate | 0.30% | |
Remaining Years to Maturity | 6 years 6 months | |
Long | Weighted Average | 2029 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.78% | 1.78% |
Receive Rate | 0.24% | 1.91% |
Remaining Years to Maturity | 9 years 7 days | 9 years 9 months 7 days |
Long | Weighted Average | 2030 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 0.90% | |
Receive Rate | 0.25% | |
Remaining Years to Maturity | 9 years 5 months 19 days | |
Short | ||
Derivative [Line Items] | ||
Notional Amount | $ 587,986 | $ 732,961 |
Fair Value | (29,707) | (4,599) |
Short | 2020 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 17,500 | 68,607 |
Fair Value | (223) | (234) |
Short | 2021 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 129,975 | 268,929 |
Fair Value | (1,952) | (419) |
Short | 2022 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 146,012 | 31,350 |
Fair Value | (5,052) | 9 |
Short | 2023 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 31,500 | 101,012 |
Fair Value | (902) | (1,265) |
Short | 2024 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 13,000 | |
Fair Value | 99 | |
Short | 2025 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 28,104 | 12,800 |
Fair Value | (1,463) | (24) |
Short | 2026 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 34,000 | 59,902 |
Fair Value | (89) | 1,946 |
Short | 2028 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 32,942 | 32,942 |
Fair Value | (4,721) | (1,634) |
Short | 2029 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 92,594 | 136,838 |
Fair Value | (9,789) | (2,018) |
Short | 2030 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 68,463 | 685 |
Fair Value | (2,781) | (32) |
Short | 2036 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 1,100 | 1,100 |
Fair Value | (84) | 87 |
Short | 2049 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 5,796 | 5,796 |
Fair Value | $ (2,651) | $ (1,114) |
Short | Weighted Average | ||
Derivative [Line Items] | ||
Pay Rate | 1.43% | 1.83% |
Receive Rate | 0.25% | 1.94% |
Remaining Years to Maturity | 5 years 1 month 24 days | 4 years 3 months 21 days |
Short | Weighted Average | 2020 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.75% | 1.74% |
Receive Rate | 0.23% | 1.93% |
Remaining Years to Maturity | 5 months 19 days | 2 months 26 days |
Short | Weighted Average | 2021 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.21% | 1.73% |
Receive Rate | 0.26% | 1.95% |
Remaining Years to Maturity | 1 year 4 months 24 days | 1 year 7 months 20 days |
Short | Weighted Average | 2022 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.50% | 1.65% |
Receive Rate | 0.24% | 1.93% |
Remaining Years to Maturity | 2 years 8 months 1 day | 2 years 1 month 20 days |
Short | Weighted Average | 2023 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 0.95% | 2.06% |
Receive Rate | 0.25% | 1.91% |
Remaining Years to Maturity | 4 years 7 months 9 days | 3 years 3 months 14 days |
Short | Weighted Average | 2024 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.56% | |
Receive Rate | 1.89% | |
Remaining Years to Maturity | 4 years 10 months 24 days | |
Short | Weighted Average | 2025 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.25% | |
Receive Rate | 0.22% | |
Remaining Years to Maturity | 5 years 8 months 26 days | 5 years 2 months 19 days |
Short | Weighted Average | 2026 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 0.49% | 1.24% |
Receive Rate | 0.22% | 1.94% |
Remaining Years to Maturity | 6 years 8 months 23 days | 6 years 6 months |
Short | Weighted Average | 2028 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.40% | 2.40% |
Receive Rate | 0.23% | 1.93% |
Remaining Years to Maturity | 7 years 7 months 2 days | 8 years 4 months 2 days |
Short | Weighted Average | 2029 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.78% | 2.02% |
Receive Rate | 0.25% | 1.96% |
Remaining Years to Maturity | 9 years 14 days | 9 years 7 months 9 days |
Short | Weighted Average | 2030 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.10% | 2.38% |
Receive Rate | 0.25% | 1.90% |
Remaining Years to Maturity | 9 years 5 months 8 days | 10 years 10 months 24 days |
Short | Weighted Average | 2036 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.45% | 1.45% |
Receive Rate | 0.22% | 1.94% |
Remaining Years to Maturity | 15 years 4 months 20 days | 16 years 1 month 20 days |
Short | Weighted Average | 2049 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.89% | 2.89% |
Receive Rate | 0.30% | 2.09% |
Remaining Years to Maturity | 28 years 3 months 10 days | 29 years 10 days |
Forward-starting interest rate swap [Member] | Short | ||
Derivative [Line Items] | ||
Notional Amount | $ 20,900 | |
Fair Value | $ (41) | |
Derivative fixed interest rate including forward-starting swaps | 1.83% |
Financial Derivatives (Credit D
Financial Derivatives (Credit Default Swaps) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value- | $ 27,864 | $ 16,788 | |
Financial derivatives–liabilities, at fair value- | (34,814) | (27,621) | |
Fair Value | 6,950 | 10,833 | |
Credit default swaps on asset-backed indices | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value- | 9,722 | 3,319 | |
Financial derivatives–liabilities, at fair value- | (142) | (250) | |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | |||
Derivative [Line Items] | |||
Notional Amount | (416) | (695) | |
Financial derivatives–assets, at fair value- | 6 | 10 | |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | |||
Derivative [Line Items] | |||
Notional Amount | (30,668) | (63,515) | |
Financial derivatives–assets, at fair value- | 9,716 | 3,309 | |
Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long | |||
Derivative [Line Items] | |||
Notional Amount | (480) | (344) | |
Financial derivatives–liabilities, at fair value- | (142) | (145) | |
Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Short | |||
Derivative [Line Items] | |||
Notional Amount | (1) | (4,501) | |
Financial derivatives–liabilities, at fair value- | 0 | (105) | |
Credit default swaps on asset-backed securities | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value- | 351 | 993 | |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | |||
Derivative [Line Items] | |||
Notional Amount | (955) | (2,640) | |
Financial derivatives–assets, at fair value- | 351 | 993 | |
Credit default swaps on corporate bonds | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value- | 39 | 2 | |
Financial derivatives–liabilities, at fair value- | (580) | (1,693) | |
Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | |||
Derivative [Line Items] | |||
Notional Amount | (1,600) | (430) | |
Financial derivatives–assets, at fair value- | 39 | 2 | |
Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | |||
Derivative [Line Items] | |||
Notional Amount | (12,200) | (10,800) | |
Financial derivatives–liabilities, at fair value- | (580) | (1,693) | |
Credit default swaps on corporate bond indices | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value- | 2,419 | 5,599 | |
Financial derivatives–liabilities, at fair value- | (3,572) | (14,524) | |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | |||
Derivative [Line Items] | |||
Notional Amount | (69,381) | (130,707) | |
Financial derivatives–assets, at fair value- | 1,913 | 5,547 | |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Short | |||
Derivative [Line Items] | |||
Notional Amount | (10,036) | (1,997) | |
Financial derivatives–assets, at fair value- | 506 | 52 | |
Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Short | |||
Derivative [Line Items] | |||
Notional Amount | (126,983) | (250,088) | |
Financial derivatives–liabilities, at fair value- | (3,572) | (14,524) | |
Credit default swaps | |||
Derivative [Line Items] | |||
Notional Amount | (108,966) | (201,365) | |
Fair Value | $ (8,237) | $ 6,554 | |
Weighted Average | Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 17 years 3 months | 23 years 9 months 18 days | |
Weighted Average | Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 37 years 8 months 15 days | 38 years 4 months 24 days | |
Weighted Average | Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 32 years 7 months 9 days | 29 years 4 months 6 days | |
Weighted Average | Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Short | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 29 years 3 months | 40 years 3 months 21 days | |
Weighted Average | Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 14 years 11 months 12 days | 15 years 7 months 17 days | |
Weighted Average | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 0 days | 5 months 19 days | |
Weighted Average | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 0 days | ||
Weighted Average | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 3 years 8 months 15 days | 3 years 11 months 1 day | |
Weighted Average | Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 2 years 8 months 15 days | 2 years 5 months 1 day | |
Weighted Average | Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Short | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 1 year 7 months 20 days | 3 years 11 months 19 days | |
Weighted Average | Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Long | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 0 days | ||
Weighted Average | Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Short | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 2 years 25 days | 2 years 6 months 3 days | |
Weighted Average | Credit default swaps | |||
Derivative [Line Items] | |||
Remaining Years to Maturity | 11 years 8 months 15 days | 14 years 10 months 17 days |
Financial Derivatives (Futures)
Financial Derivatives (Futures) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Mar. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Fair Value | $ (6,950) | $ (10,833) | |
Short | Futures | |||
Derivative [Line Items] | |||
Notional Amount | (164,000) | (30,000) | |
Fair Value | $ (330) | 103 | |
Remaining Years to Maturity | 3 months 10 days | 3 months | |
Financial Derivatives - Liabilities | Short | U.S. Treasury futures | |||
Derivative [Line Items] | |||
Notional Amount | $ (165,600) | (16,000) | |
Fair Value | $ (300) | 148 | |
Remaining Years to Maturity | 2 months 23 days | 3 months | |
Financial Derivatives - Liabilities | Short | Eurodollar futures | |||
Derivative [Line Items] | |||
Notional Amount | $ 0 | (14,000) | |
Fair Value | $ 0 | (45) | |
Remaining Years to Maturity | 4 months 2 days | 0 years | |
Financial Derivatives - Liabilities | Long | U.S. Treasury futures | |||
Derivative [Line Items] | |||
Notional Amount | $ 1,900 | 0 | |
Fair Value | $ (31) | 0 | |
Remaining Years to Maturity | 0 years | 2 months 23 days | |
Financial Derivatives - Assets | Short | U.S. Treasury futures | |||
Derivative [Line Items] | |||
Notional Amount | $ (300) | 0 | |
Fair Value | $ 1 | $ 0 | |
Remaining Years to Maturity | 0 years | 2 months 23 days |
Financial Derivatives (TBAs) (D
Financial Derivatives (TBAs) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 27,864 | $ 16,788 |
Derivative Liability | 34,814 | 27,621 |
Derivative Assets (Liabilities), at Fair Value, Net | (6,950) | (10,833) |
TBA securities | ||
Derivative [Line Items] | ||
Notional Amount | (319,677) | (1,053,630) |
Derivative, Cost Basis | (344,166) | (1,098,063) |
Market Value Underlying | (343,302) | (1,098,479) |
Derivative Assets (Liabilities), at Fair Value, Net | 864 | (416) |
TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | (168,890) | (40,100) |
Derivative, Cost Basis | 175,252 | 40,585 |
Market Value Underlying | 175,490 | 40,675 |
Derivative Assets (Liabilities), at Fair Value, Net | 238 | 90 |
TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | (488,567) | (1,093,730) |
Derivative, Cost Basis | (519,418) | (1,138,648) |
Market Value Underlying | (518,792) | (1,139,154) |
Derivative Assets (Liabilities), at Fair Value, Net | 626 | (506) |
Financial Derivatives - Assets | TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | (100,890) | (40,100) |
Derivative, Cost Basis | 103,882 | 40,585 |
Market Value Underlying | 104,276 | 40,675 |
Financial derivatives–assets, at fair value- | 394 | 90 |
Financial Derivatives - Assets | TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | (401,722) | (319,981) |
Derivative, Cost Basis | (428,049) | (332,080) |
Market Value Underlying | (427,293) | (331,574) |
Financial derivatives–assets, at fair value- | 756 | 506 |
Financial Derivatives - Liabilities | TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | 68,000 | 0 |
Derivative, Cost Basis | 71,370 | 0 |
Market Value Underlying | 71,214 | 0 |
Derivative Liability | (156) | 0 |
Financial Derivatives - Liabilities | TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | (86,845) | (773,749) |
Derivative, Cost Basis | (91,369) | (806,568) |
Market Value Underlying | (91,499) | (807,580) |
Derivative Liability | $ (130) | $ (1,012) |
Financial Derivatives (Schedu_2
Financial Derivatives (Schedule of Gains and Losses on Derivative Contracts) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Derivative [Line Items] | ||||
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | $ (1,150) | $ 82 | $ (1,900) | $ 852 |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (485) | (9,425) | (23,790) | (32,655) |
Realized gains (losses) on financial derivatives, net | (1,635) | (9,343) | (25,690) | (31,803) |
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | 516 | 171 | 541 | (60) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (794) | 1,318 | (2,611) | (9,068) |
Unrealized gains (losses) on financial derivatives, net | (278) | 1,489 | (2,070) | (9,128) |
Derivative [Member] | ||||
Derivative [Line Items] | ||||
Foreign currency transactions | (15) | 17 | 12 | 47 |
Foreign currency translation | 20 | 16 | 39 | 8 |
Interest rate swaps | Interest Rate Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | (1,150) | 82 | (1,900) | 852 |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (29) | 34 | (8,761) | (1,117) |
Realized gains (losses) on financial derivatives, net | (1,179) | 116 | (10,661) | (265) |
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | 516 | 171 | 541 | (60) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 1,104 | (2,598) | (16,373) | (11,915) |
Unrealized gains (losses) on financial derivatives, net | 1,620 | (2,427) | (15,832) | (11,975) |
Credit default swaps on asset-backed securities | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 1 | 16 | (955) | 419 |
Realized gains (losses) on financial derivatives, net | 1 | 16 | (955) | 419 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (1) | (12) | 915 | (394) |
Unrealized gains (losses) on financial derivatives, net | (1) | (12) | 915 | (394) |
Credit default swaps on corporate bond indices | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (239) | (261) | 3,660 | (1,245) |
Realized gains (losses) on financial derivatives, net | (239) | (261) | 3,660 | (1,245) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 503 | (81) | 7,642 | (832) |
Unrealized gains (losses) on financial derivatives, net | 503 | (81) | 7,642 | (832) |
Credit default swaps on corporate bond indices | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (1,067) | (1,113) | (550) | (4,387) |
Realized gains (losses) on financial derivatives, net | (1,067) | (1,113) | (550) | (4,387) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (1,059) | 909 | 3,080 | (1,026) |
Unrealized gains (losses) on financial derivatives, net | (1,059) | 909 | 3,080 | (1,026) |
Credit default swaps on corporate bonds | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (93) | (259) | 356 | (764) |
Realized gains (losses) on financial derivatives, net | (93) | (259) | 356 | (764) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (334) | 268 | 711 | 1,110 |
Unrealized gains (losses) on financial derivatives, net | (334) | 268 | 711 | 1,110 |
Total return swaps | Equity Market/Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (125) | 251 | (2,180) | (1,046) |
Realized gains (losses) on financial derivatives, net | (125) | 251 | (2,180) | (1,046) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (348) | (716) | 607 | (681) |
Unrealized gains (losses) on financial derivatives, net | (348) | (716) | 607 | (681) |
TBA securities | Interest Rate Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 2,367 | (5,067) | (6,778) | (17,183) |
Realized gains (losses) on financial derivatives, net | 2,367 | (5,067) | (6,778) | (17,183) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (744) | 1,542 | 1,280 | 3,680 |
Unrealized gains (losses) on financial derivatives, net | (744) | 1,542 | 1,280 | 3,680 |
Futures | Interest Rate/Currency Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (402) | (3,551) | (7,866) | (8,365) |
Realized gains (losses) on financial derivatives, net | (402) | (3,551) | (7,866) | (8,365) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 52 | 1,627 | (434) | 761 |
Unrealized gains (losses) on financial derivatives, net | 52 | 1,627 | (434) | 761 |
Forwards | Currency risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (898) | 525 | (616) | 1,068 |
Realized gains (losses) on financial derivatives, net | (898) | 525 | (616) | 1,068 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 33 | 379 | 343 | 228 |
Unrealized gains (losses) on financial derivatives, net | $ 33 | $ 379 | 343 | 228 |
Warrants | Equity Market/Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 0 | |||
Realized gains (losses) on financial derivatives, net | 0 | |||
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (382) | |||
Unrealized gains (losses) on financial derivatives, net | (382) | |||
Options | Interest Rate Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (35) | |||
Realized gains (losses) on financial derivatives, net | (35) | |||
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 1 | |||
Unrealized gains (losses) on financial derivatives, net | $ 1 | |||
Options | Credit [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (100) | |||
Realized gains (losses) on financial derivatives, net | (100) | |||
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 0 | |||
Unrealized gains (losses) on financial derivatives, net | $ 0 |
Financial Derivatives (Schedu_3
Financial Derivatives (Schedule of Derivative Activity) (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Interest rate swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | $ 1,078,808 | $ 731,941 |
TBA securities | ||
Derivative [Line Items] | ||
Average Monthly Notional | 732,048 | 973,331 |
Credit default swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | 290,822 | 399,316 |
Total return swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | 7,819 | 39,434 |
Futures | ||
Derivative [Line Items] | ||
Average Monthly Notional | 143,440 | 167,708 |
Options | ||
Derivative [Line Items] | ||
Average Monthly Notional | 1,950 | 19,825 |
Forwards | ||
Derivative [Line Items] | ||
Average Monthly Notional | 36,935 | 30,930 |
Warrants | ||
Derivative [Line Items] | ||
Average Monthly Notional | $ 1,543 | $ 2,222 |
Financial Derivatives (Schedu_4
Financial Derivatives (Schedule of Credit Derivatives) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Credit Default Swap, Selling Protection [Member] | ||
Credit Derivatives [Line Items] | ||
Fair Value | $ 1,816 | $ 5,414 |
Notional value | 71,877 | 132,176 |
Credit Default Swap, Buying Protection [Member] | ||
Credit Derivatives [Line Items] | ||
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives | 0 | (3,248) |
Notional value of purchased credit derivatives offsetting written credit derivatives | $ 0 | $ (81,637) |
Financial Derivatives (Narrativ
Financial Derivatives (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |
Mar. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Written credit derivative spread threshold | 20.00% | 20.00% | |
Upfront points on written credit derivative in excess of threshold | 57 | ||
Credit Default Swap, Selling Protection [Member] | |||
Derivative [Line Items] | |||
Credit risk derivative in excess of threshold, at fair value, net | $ (0.1) | $ (0.1) | |
Total net up-front payments received | $ (3.3) | $ (2.1) | |
Minimum | |||
Derivative [Line Items] | |||
Spread on written credit derivatives | 10.01% | 1.09% | |
Upfront points on written credit derivative in excess of threshold | 57 | ||
Maximum | |||
Derivative [Line Items] | |||
Spread on written credit derivatives | 100.11% | 44.00% | |
Upfront points on written credit derivative in excess of threshold | 85.2 |
Financial Derivatives Schedule
Financial Derivatives Schedule of Options Contracts (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 27,864 | $ 16,788 |
Put Option [Member] | ||
Derivative [Line Items] | ||
Remaining Years to Maturity | 15 days |
Financial Derivatives Schedul_2
Financial Derivatives Schedule of Warrant Contracts (Details) - USD ($) shares in Thousands, $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 27,864 | $ 16,788 |
Warrants | ||
Derivative [Line Items] | ||
Number of Shares Underlying Warrant Contracts | 1,546 | 1,515 |
Financial derivatives–assets, at fair value- | $ 31 | $ 0 |
Remaining Years to Maturity | 2 years 29 days | 2 years 9 months 25 days |
Consolidated VIEs (Details)
Consolidated VIEs (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | |
Assets | |||||||||
Cash and cash equivalents | [1] | $ 126,783 | $ 72,302 | ||||||
Restricted cash | [1] | 175 | 175 | ||||||
Securities, at fair value(1) | [1] | 1,451,420 | 2,449,941 | ||||||
Loans, at fair value | [1] | 1,442,612 | 1,412,426 | ||||||
Investment in unconsolidated entities, at fair value | [1] | 95,803 | 71,850 | ||||||
Real estate owned | [1] | 24,794 | 30,584 | ||||||
Due from brokers | [1] | 63,991 | 79,829 | ||||||
Investment related receivables | [1] | 67,540 | 123,120 | ||||||
Other assets | [1] | 2,850 | 7,563 | ||||||
Total Assets | 3,350,873 | 4,338,217 | |||||||
Liabilities | |||||||||
Repurchase agreements | [1] | 1,439,984 | 2,445,300 | ||||||
Investment related payables | [1] | 0 | 66,133 | ||||||
Other secured borrowings | [1] | 142,674 | 150,334 | ||||||
Other secured borrowings, at fair value | [1] | 695,516 | 594,396 | ||||||
Interest payable | [1] | 2,074 | 7,320 | ||||||
Accrued expenses and other liabilities | [1] | 11,119 | 7,753 | ||||||
Total Liabilities | 2,478,596 | 3,469,518 | |||||||
Total Stockholders' Equity | 835,130 | 829,265 | |||||||
Non-controlling interests | [1] | 37,147 | 39,434 | ||||||
Total Equity | 872,277 | $ 837,679 | $ 809,481 | 868,699 | $ 668,967 | $ 593,114 | $ 592,434 | $ 595,170 | |
Total Liabilities and Equity | 3,350,873 | 4,338,217 | |||||||
Primary Beneficiary | |||||||||
Assets | |||||||||
Cash and cash equivalents | 1,152 | 6,016 | |||||||
Restricted cash | 175 | 175 | |||||||
Securities, at fair value(1) | 46,857 | 47,923 | |||||||
Loans, at fair value | 1,423,035 | 1,393,916 | |||||||
Investment in unconsolidated entities, at fair value | 6,289 | 5,641 | |||||||
Real estate owned | 24,794 | 30,584 | |||||||
Investment related receivables | 43,542 | 28,668 | |||||||
Other assets | 2,250 | 6,191 | |||||||
Total Assets | 1,548,094 | 1,519,114 | |||||||
Liabilities | |||||||||
Repurchase agreements | 260,310 | 302,791 | |||||||
Investment related payables | 0 | 3,275 | |||||||
Other secured borrowings | 142,674 | 150,334 | |||||||
Other secured borrowings, at fair value | 695,516 | 594,396 | |||||||
Interest payable | 402 | 1,247 | |||||||
Accrued expenses and other liabilities | 1,301 | 2,279 | |||||||
Total Liabilities | 1,100,203 | 1,054,322 | |||||||
Total Stockholders' Equity | 422,217 | 440,394 | |||||||
Non-controlling interests | 25,674 | 24,400 | |||||||
Total Equity | 447,891 | 464,794 | |||||||
Total Liabilities and Equity | $ 1,548,094 | $ 1,519,116 | |||||||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Securitization Transactions Nar
Securitization Transactions Narrative (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2020 | Dec. 31, 2019 | ||
Securitization Transactions [Line Items] | |||
Securities, at fair value(1) | [1] | $ 1,451,420 | $ 2,449,941 |
Participation in Multi-Seller Consumer Loan Securitization [Member] | |||
Securitization Transactions [Line Items] | |||
Company's current percentage ownership of jointly owned entity | 51.00% | ||
CLOs | Related Party CLO securitization [Member] | |||
Securitization Transactions [Line Items] | |||
Securities, at fair value(1) | $ 13,800 | $ 39,700 | |
Non-QM loan securitization | |||
Securitization Transactions [Line Items] | |||
Threshold for exercising Optional Redemption | 30.00% | ||
Percentage used to calculate servicing administrator fee | 0.03% | ||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Securitization Transactions (Sc
Securitization Transactions (Schedule of CLO Securitization Transactions) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Securitization Transactions [Line Items] | |||
Securities, at fair value(1) | [1] | $ 1,451,420 | $ 2,449,941 |
CLOs | Related Party CLO securitization [Member] | |||
Securitization Transactions [Line Items] | |||
Securities, at fair value(1) | $ 13,800 | $ 39,700 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Securitization Transactions (_2
Securitization Transactions (Schedule of Residential Loan Securitizations) (Details) - Non-QM loan securitization $ in Thousands | 9 Months Ended |
Sep. 30, 2020USD ($) | |
November 2018 [Member] | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | $ 232,518 |
Economic interest retained | 5.70% |
Purchase of certificates | $ 1,300 |
June 2019 [Member] | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | $ 226,913 |
Economic interest retained | 6.10% |
Purchase of certificates | $ 1,200 |
November 2019 [Member] | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | $ 267,255 |
Economic interest retained | 6.40% |
Purchase of certificates | $ 1,700 |
June 2020 [Member] | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 259,273 |
Purchase of certificates | 1,900 |
The Company [Member] | November 2018 [Member] | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 232,518 |
The Company [Member] | June 2019 [Member] | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 226,913 |
The Company [Member] | November 2019 [Member] | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 267,255 |
The Company [Member] | June 2020 [Member] | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | $ 259,273 |
Retained, non-risk retention [Member] | June 2020 [Member] | |
Securitization Transactions [Line Items] | |
Economic interest retained | 3.50% |
Retained, risk retention rules [Member] | June 2020 [Member] | |
Securitization Transactions [Line Items] | |
Economic interest retained | 8.00% |
Securitization Transactions (_3
Securitization Transactions (Schedule of Assets and Liabilities Attributable to Consolidated VIEs) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | [1] | $ 126,783 | $ 72,302 |
Loans, at fair value | [1] | 1,442,612 | 1,412,426 |
Real estate owned | [1] | 24,794 | 30,584 |
Investment related receivables | [1] | 67,540 | 123,120 |
Interest payable | [1] | 2,074 | 7,320 |
Other secured borrowings, at fair value | [1] | 695,516 | 594,396 |
Non-QM loan securitization | Consolidated Entities [Member] | |||
Variable Interest Entity [Line Items] | |||
Investment related receivables | 5,793 | 10,409 | |
Other secured borrowings, at fair value | 695,516 | 594,396 | |
Residential mortgage loans | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 1,030,709 | 932,203 | |
Securitized loans [Member] | Residential mortgage loans | Non-QM loan securitization | Consolidated Entities [Member] | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 760,420 | 628,415 | |
Real estate owned | $ 658 | $ 658 | |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
(Schedule of Reverse Repurchase
(Schedule of Reverse Repurchase Agreements by Maturity) (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Sep. 30, 2020USD ($)counterparty | Dec. 31, 2019USD ($)counterparty | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | [1] | $ 1,439,984 | $ 2,445,300 | |
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparty | 24 | 28 | ||
Total secured borrowings | $ 2,300,000 | $ 3,200,000 | ||
Agency RMBS | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 883,786 | 1,864,473 | ||
Agency RMBS | 30 Days or Less | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 241,423 | 511,996 | ||
Agency RMBS | 31-60 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 418,573 | 744,387 | ||
Agency RMBS | 61-90 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 107,446 | 594,738 | ||
Agency RMBS | 91-120 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 5,675 | 10,270 | ||
Agency RMBS | 151 to 180 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 17,237 | 3,082 | ||
Agency RMBS | More Than 360 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 93,432 | 0 | ||
Credit | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 556,198 | 580,827 | ||
Credit | 30 Days or Less | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 40,785 | 16,549 | ||
Credit | 31-60 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 98,068 | 104,491 | ||
Credit | 61-90 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 113,027 | 138,837 | ||
Credit | 91-120 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 154,379 | 0 | ||
Credit | 121-150 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 6,015 | 7,460 | ||
Credit | 151 to 180 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 13,750 | 31,498 | ||
Credit | More Than 360 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 81,933 | 186,661 | ||
Credit | Total Credit Assets | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | $ 48,241 | $ 95,331 | ||
Minimum | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.22% | 0.15% | ||
Repurchase agreements, remaining days to maturity | 2 days | 1 day | ||
Maximum | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 5.24% | 5.20% | ||
Repurchase agreements, remaining days to maturity | 882 days | 608 days | ||
Weighted Average | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 1.37% | 2.37% | ||
Repurchase agreements, remaining days to maturity | 98 days | 91 days | ||
Weighted Average | Agency RMBS | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.31% | 1.98% | ||
Repurchase agreements, remaining days to maturity | 69 days | 48 days | ||
Weighted Average | Agency RMBS | 30 Days or Less | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.31% | 2.08% | ||
Repurchase agreements, remaining days to maturity | 17 days | 17 days | ||
Weighted Average | Agency RMBS | 31-60 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.27% | 1.93% | ||
Repurchase agreements, remaining days to maturity | 44 days | 47 days | ||
Weighted Average | Agency RMBS | 61-90 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.45% | 1.96% | ||
Repurchase agreements, remaining days to maturity | 72 days | 76 days | ||
Weighted Average | Agency RMBS | 91-120 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 1.35% | 2.24% | ||
Repurchase agreements, remaining days to maturity | 99 days | 93 days | ||
Weighted Average | Agency RMBS | 151 to 180 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.29% | 2.67% | ||
Repurchase agreements, remaining days to maturity | 168 days | 171 days | ||
Weighted Average | Agency RMBS | More Than 360 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.30% | 0.00% | ||
Repurchase agreements, remaining days to maturity | 0 days | 287 days | ||
Weighted Average | Credit | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 3.04% | 3.61% | ||
Repurchase agreements, remaining days to maturity | 145 days | 229 days | ||
Weighted Average | Credit | 30 Days or Less | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 2.14% | 3.38% | ||
Repurchase agreements, remaining days to maturity | 10 days | 25 days | ||
Weighted Average | Credit | 31-60 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 2.85% | 3.14% | ||
Repurchase agreements, remaining days to maturity | 45 days | 48 days | ||
Weighted Average | Credit | 61-90 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 2.54% | 3.03% | ||
Repurchase agreements, remaining days to maturity | 77 days | 73 days | ||
Weighted Average | Credit | 91-120 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 2.79% | 0.00% | ||
Repurchase agreements, remaining days to maturity | 0 days | 106 days | ||
Weighted Average | Credit | 121-150 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 3.29% | 3.89% | ||
Repurchase agreements, remaining days to maturity | 134 days | 123 days | ||
Weighted Average | Credit | 151 to 180 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 3.23% | 3.87% | ||
Repurchase agreements, remaining days to maturity | 167 days | 173 days | ||
Weighted Average | Credit | More Than 360 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 4.83% | 3.80% | ||
Repurchase agreements, remaining days to maturity | 228 days | 250 days | ||
Weighted Average | Credit | Total Credit Assets | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 3.05% | 4.52% | ||
Repurchase agreements, remaining days to maturity | 608 days | 678 days | ||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Borrowings (Details)
Borrowings (Details) $ in Thousands | Feb. 13, 2019 | Aug. 18, 2017USD ($) | Mar. 31, 2020 | Sep. 30, 2020USD ($)counterparty | Dec. 31, 2019USD ($)counterparty | |
Borrowings [Line Items] | ||||||
Total secured borrowings | $ 2,300,000 | $ 3,200,000 | ||||
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparty | 24 | 28 | ||||
Financial Instruments transferred as collateral for repurchase agreements | $ 1,783,000 | $ 2,763,000 | ||||
Collateral on repurchase agreements, unsettled sales | 64,700 | |||||
Repurchase Agreements amount at risk threshold | 10.00% | |||||
Other secured borrowings | [1] | $ 142,674 | 150,334 | |||
Other secured borrowings, at fair value | [1] | $ 695,516 | $ 594,396 | |||
Minimum | ||||||
Borrowings [Line Items] | ||||||
Reverse Repurchase Agreements Maturity | 30 days | |||||
Repurchase agreements, remaining days to maturity | 2 days | 1 day | ||||
Repurchase Agreements Interest Rate | 0.22% | 0.15% | ||||
Maximum | ||||||
Borrowings [Line Items] | ||||||
Reverse Repurchase Agreements Maturity | 180 days | |||||
Repurchase agreements, remaining days to maturity | 882 days | 608 days | ||||
Repurchase Agreements Interest Rate | 5.24% | 5.20% | ||||
Reverse repurchase agreements | ||||||
Borrowings [Line Items] | ||||||
Cash collateral posted for securities sold under agreements to repurchase | $ 27,700 | $ 31,000 | ||||
Security Owned and Pledged as Collateral, Fair Value | 28 | 200 | ||||
Securitized residential mortgage loans | ||||||
Borrowings [Line Items] | ||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 761,100 | 629,100 | ||||
Secured borrowing recourse facility collateralized by unsecured loan portfolio | ||||||
Borrowings [Line Items] | ||||||
Other secured borrowings | $ 10,500 | $ 16,000 | ||||
Debt Instrument, Interest Rate, Effective Rate | 2.28% | 3.85% | ||||
Secured borrowing recourse facility collateralized by unsecured loan portfolio | Unsecured loans | ||||||
Borrowings [Line Items] | ||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 13,900 | $ 22,300 | ||||
Non-QM loan securitization | ||||||
Borrowings [Line Items] | ||||||
Other secured borrowings | $ 594,400 | |||||
Debt Instrument, Interest Rate, Effective Rate | 2.91% | 3.19% | ||||
Secured borrowing facility collateralized by unsecured loan portfolio | ||||||
Borrowings [Line Items] | ||||||
Other secured borrowings | $ 95,700 | $ 102,500 | ||||
Debt Instrument, Interest Rate, Effective Rate | 2.53% | 4.01% | ||||
Secured borrowing facility collateralized by unsecured loan portfolio | Unsecured loans | ||||||
Borrowings [Line Items] | ||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 132,400 | $ 144,100 | ||||
Secured borrowing facility collateralized by ABS backed by consumer loans [Member] | ||||||
Borrowings [Line Items] | ||||||
Other secured borrowings | $ 30,200 | $ 31,800 | ||||
Debt Instrument, Interest Rate, Effective Rate | 5.20% | 5.23% | ||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 46,900 | $ 47,900 | ||||
Commercial mortgage loans | ||||||
Borrowings [Line Items] | ||||||
Other secured borrowings | 6,300 | |||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 16,900 | |||||
Senior Notes | ||||||
Borrowings [Line Items] | ||||||
Debt Instrument, Interest Rate, Effective Rate | 5.80% | |||||
Debt Instrument, Face Amount | $ 86,000 | |||||
Proceeds from Debt, Net of Issuance Costs | $ 84,700 | |||||
Debt Instrument, Interest Rate, Stated Percentage | 5.50% | 5.25% | ||||
Redemption percentage | 100.00% | |||||
Debt Instrument, Maturity Date | Sep. 1, 2022 | |||||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Borrowings (Schedule of Debt Re
Borrowings (Schedule of Debt Repayments) (Details) $ in Thousands | Sep. 30, 2020USD ($) |
Debt Instrument [Line Items] | |
Expected principal repayments related to consolidated residential mortgage loan securitizations | $ 734,300 |
Repurchase Agreements | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 1,391,743 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 48,241 |
2020 Scheduled Repayment of Principal | 0 |
2021 Scheduled Repayment of Principal | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 0 |
Total Scheduled Repayment of Principal | 1,439,984 |
Other Secured Borrowings | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 523,802 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 91,199 |
2020 Scheduled Repayment of Principal | 261,991 |
2021 Scheduled Repayment of Principal | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 0 |
Total Scheduled Repayment of Principal | 876,992 |
Senior Notes | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 86,000 |
2020 Scheduled Repayment of Principal | 0 |
2021 Scheduled Repayment of Principal | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 0 |
Total Scheduled Repayment of Principal | 86,000 |
Total | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 1,915,545 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 225,440 |
2020 Scheduled Repayment of Principal | 261,991 |
2021 Scheduled Repayment of Principal | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 0 |
Total Scheduled Repayment of Principal | $ 2,402,976 |
Income Taxes Income Taxes (Deta
Income Taxes Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Income Tax Disclosure [Abstract] | ||||
Income Tax Expense (Benefit) | $ 2,494 | $ 2 | $ 3,490 | $ 378 |
Related Party Transactions (Det
Related Party Transactions (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($)numberOfWarrantsperiod | Sep. 30, 2019USD ($) | Dec. 31, 2019USD ($) | ||||
Related Party Transaction [Line Items] | ||||||||
Annual base management fee percentage | 1.50% | |||||||
Base management fee to affiliate | [1] | $ 2,981 | $ 1,942 | $ 8,330 | $ 5,324 | |||
Base management fee, gross | 3,200 | 2,400 | 9,200 | 6,800 | ||||
Management Fee Expense, Rebates | 201 | 503 | [1] | $ 853 | 1,458 | [1] | ||
Incentive fee rate | 25.00% | |||||||
Incentive Fee, Loss Carryforward | 46,300 | $ 46,300 | $ 0 | |||||
Incentive fee hurdle rate fixed | 9.00% | |||||||
Incentive fee hurdle rate floating | 3.00% | |||||||
Minimum percentage of incentive fee to be paid in share | 10.00% | |||||||
Termination Fee, Number Of Periods | period | 2 | |||||||
Termination Fee, Period | 12 months | |||||||
Expense Reimbursement Period | 60 days | |||||||
Expense Reimbursement - Manager | $ 7,400 | 8,200 | ||||||
Real estate owned | [2] | 24,794 | 24,794 | 30,584 | ||||
Investment in unconsolidated entities, at fair value | [2] | 95,803 | 95,803 | 71,850 | ||||
Securities, at fair value(1) | [2] | 1,451,420 | 1,451,420 | 2,449,941 | ||||
Non-controlling interests | [2] | 37,147 | 37,147 | 39,434 | ||||
Accrued expenses and other liabilities | [2] | 11,119 | 11,119 | 7,753 | ||||
Reverse repurchase agreements | 1,439,984 | 1,439,984 | 2,445,300 | |||||
Other assets | [2] | 2,850 | 2,850 | 7,563 | ||||
Unpaid Principal Balance | 1,414,410 | 1,414,410 | 1,387,733 | |||||
Related Party Transaction, Purchases from Related Party | $ 6,800 | 1,600 | 6,800 | |||||
Commercial mortgage loans and REO | ||||||||
Related Party Transaction [Line Items] | ||||||||
Fair Value | 33,600 | 33,600 | 29,500 | |||||
Reverse repurchase agreements | 135,900 | 135,900 | 174,400 | |||||
Affiliated Entity [Member] | ||||||||
Related Party Transaction [Line Items] | ||||||||
Accounts payable and accrued expenses | [2] | 2,400 | 2,400 | 2,000 | ||||
Affiliated Entity [Member] | Commercial mortgage loans and REO | ||||||||
Related Party Transaction [Line Items] | ||||||||
Accrued expenses and other liabilities | [2] | 700 | ||||||
Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Warehouse facility, monetary amount | $ 5,000 | $ 5,000 | ||||||
Interest rate | 15.00% | 15.00% | ||||||
Advances made under warehouse facility | $ 0 | $ 0 | 0 | |||||
Loans purchased under commitment agreement | $ 150,000 | |||||||
Number of warrants purchased under commitment agreement | numberOfWarrants | 9,329,000 | |||||||
Mortgage Originator | Warrants | ||||||||
Related Party Transaction [Line Items] | ||||||||
Investment in unconsolidated entities, at fair value | 2,800 | $ 2,800 | ||||||
Related Party-Consumer Loans Titled in Name of Related Party | ||||||||
Related Party Transaction [Line Items] | ||||||||
Fair value of loans held in related party trust | 46,900 | 46,900 | 47,900 | |||||
Purchasing Entity | ||||||||
Related Party Transaction [Line Items] | ||||||||
Fair value of loans held in related party trust | 151,700 | 151,700 | 185,400 | |||||
Consumer loans purchased through affiliate | 84,700 | $ 72,400 | ||||||
Estimated remaining contingent purchase obligations | 77,100 | 77,100 | 287,100 | |||||
Related party trust - Residential Mortgage Loans and REO | ||||||||
Related Party Transaction [Line Items] | ||||||||
Fair value of loans held in related party trust | 272,400 | 272,400 | 304,800 | |||||
Non-controlling interest of joint venture partner | Unrelated third party joint venture interest | Commercial mortgage loans and REO | ||||||||
Related Party Transaction [Line Items] | ||||||||
Non-controlling interests | 4,100 | 4,100 | 3,600 | |||||
Non-controlling interest of joint venture partner | Related party joint venture interest | Commercial mortgage loans and REO | ||||||||
Related Party Transaction [Line Items] | ||||||||
Non-controlling interests | 8,900 | 8,900 | 7,000 | |||||
Mortgage-related Commercial | Corporate equity securities | ||||||||
Related Party Transaction [Line Items] | ||||||||
Fair Value | 30,400 | 30,400 | 17,300 | |||||
Jepson Holdings Limited | ||||||||
Related Party Transaction [Line Items] | ||||||||
Investment in unconsolidated entities, at fair value | 1,700 | 1,700 | 1,900 | |||||
Corporate loan [Member] | ||||||||
Related Party Transaction [Line Items] | ||||||||
Unpaid Principal Balance | 7,063 | 7,063 | 18,415 | |||||
Corporate loan [Member] | Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Unpaid Principal Balance | 12,500 | |||||||
Long | ||||||||
Related Party Transaction [Line Items] | ||||||||
Securities, at fair value(1) | 1,451,420 | 1,451,420 | 2,449,941 | |||||
Long | Non-Agency RMBS | ||||||||
Related Party Transaction [Line Items] | ||||||||
Securities, at fair value(1) | 209,550 | 209,550 | 163,136 | |||||
Loan receivable from affiliated entity related to warehouse facility | ||||||||
Related Party Transaction [Line Items] | ||||||||
Other assets | 5,400 | 5,400 | 8,100 | |||||
Participation in multi-borrower financing facility | ||||||||
Related Party Transaction [Line Items] | ||||||||
Outstanding debt of related party | $ 258,000 | 258,000 | $ 350,600 | |||||
Maximum | Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Commitment to purchase loans | $ 150,000 | |||||||
Number of warrants available for purchase under commitment agreement | numberOfWarrants | 9,329,000 | |||||||
Note Purchase Agreement May 2019 [Member] | Corporate loan [Member] | Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Investment Interest Rate | 15.00% | 15.00% | ||||||
Note Purchase Agreement May 2019 [Member] | Maximum | Corporate loan [Member] | Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Note Agreement, Lending Amount Per Agreement | $ 5,000 | $ 5,000 | ||||||
Note Purchase Agreement July 2019 [Member] | Corporate loan [Member] | Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Investment Interest Rate | 18.00% | 18.00% | ||||||
Note Purchase Agreement July 2019 [Member] | Maximum | Corporate loan [Member] | Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Note Agreement, Lending Amount Per Agreement | $ 5,000 | $ 5,000 | ||||||
Note Purchase Agreement December 2019 [Member] | Maximum | Corporate loan [Member] | Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Note Agreement, Lending Amount Per Agreement | $ 2,500 | $ 2,500 | ||||||
[1] | See Note 13 for further details on management fee rebates. | |||||||
[2] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Long-Term Incentive Plan Unit_2
Long-Term Incentive Plan Units (Narrative) (Details) - USD ($) $ in Millions | Sep. 10, 2020 | Mar. 04, 2020 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | Dec. 31, 2018 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Share-based long term incentive plan unit expense | $ 0.2 | $ 0.1 | $ 0.5 | $ 0.3 | ||||
Capital shares reserved for future issuance (in shares) | 1,794,021 | 1,794,021 | 1,832,309 | |||||
Long-Term Incentive Plan Units [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | 3,638 | 3,610 | 3,638 | 3,610 | ||||
Grants in Period (in shares) | 69,227 | |||||||
Director [Member] | Long-Term Incentive Plan Units [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Grants in Period (in shares) | 22,840 | |||||||
Dedicated or partially dedicated personnel [Member] | Long-Term Incentive Plan Units [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
LTIP Unit Grants in Period (in units) | 22,840 | 14,811 | ||||||
Manager [Member] | Long-Term Incentive Plan Units [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | 0 | 0 | 0 | 0 | ||||
Vest December 13, 2020 [Member] | Dedicated or partially dedicated personnel [Member] | Long-Term Incentive Plan Units [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Grants in Period (in shares) | 12,818 | |||||||
Vest December 11, 2020 [Member] | Dedicated or partially dedicated personnel [Member] | Long-Term Incentive Plan Units [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Grants in Period (in shares) | 8,691 | |||||||
Vest December 13, 2021 [Member] | Dedicated or partially dedicated personnel [Member] | Long-Term Incentive Plan Units [Member] | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Grants in Period (in shares) | 10,067 | |||||||
Non-controlling interest in Operating Partnership [Member] | Non-controlling Interest | ||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Operating Partnership LTIP Units Redeemed (in units) | 503,988 |
Long-Term Incentive Plan Unit_3
Long-Term Incentive Plan Units Long-Term Incentive Plan Units (Unvested LTIP Units) (Details) - Long-Term Incentive Plan Units [Member] | 9 Months Ended |
Sep. 30, 2020shares | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 69,227 |
Director [Member] | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 22,840 |
Grant Date | Sep. 10, 2020 |
Vesting Date(1) | Sep. 9, 2021 |
Vest December 13, 2020 [Member] | Dedicated or partially dedicated personnel [Member] | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 12,818 |
Grant Date | Dec. 13, 2019 |
Vesting Date(1) | Dec. 13, 2020 |
Vest December 13, 2021 [Member] | Dedicated or partially dedicated personnel [Member] | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 10,067 |
Grant Date | Dec. 13, 2019 |
Vesting Date(1) | Dec. 13, 2021 |
Vest December 11, 2020 [Member] | Dedicated or partially dedicated personnel [Member] | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 8,691 |
Grant Date | Dec. 11, 2018 |
Vesting Date(1) | Dec. 11, 2020 |
Vest December 31, 2020 [Member] | Dedicated or partially dedicated personnel [Member] | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 4,977 |
Grant Date | Mar. 4, 2020 |
Vesting Date(1) | Dec. 31, 2020 |
Vest December 31, 2021 [Member] | Dedicated or partially dedicated personnel [Member] | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 9,834 |
Grant Date | Mar. 4, 2020 |
Vesting Date(1) | Dec. 31, 2021 |
Long-Term Incentive Plan Unit_4
Long-Term Incentive Plan Units (Roll-Forward of Company's LTIP Units Outstanding) (Details) - Long-Term Incentive Plan Units [Member] - shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||||
LTIP Units Outstanding, beginning of period | 560,527 | 521,371 | 545,716 | 521,371 |
Granted | 22,840 | 14,552 | 37,651 | 14,552 |
Exercised | (3,638) | (3,610) | (3,638) | (3,610) |
LTIP Units Outstanding, end of period | 579,729 | 532,313 | 579,729 | 532,313 |
OP LTIP Units Unvested and Outstanding end of period | 69,227 | 37,821 | 69,227 | 37,821 |
OP LTIP Units Vested and Outstanding end of period | 510,502 | 494,492 | 510,502 | 494,492 |
Manager [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||||
LTIP Units Outstanding, beginning of period | 365,518 | 375,000 | 365,518 | 375,000 |
Granted | 0 | 0 | 0 | 0 |
Exercised | 0 | 0 | 0 | 0 |
LTIP Units Outstanding, end of period | 365,518 | 375,000 | 365,518 | 375,000 |
OP LTIP Units Unvested and Outstanding end of period | 0 | 0 | 0 | 0 |
OP LTIP Units Vested and Outstanding end of period | 365,518 | 375,000 | 365,518 | 375,000 |
Non-Manager [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||||
LTIP Units Outstanding, beginning of period | 195,009 | 146,371 | 180,198 | 146,371 |
Granted | 22,840 | 14,552 | 37,651 | 14,552 |
Exercised | (3,638) | (3,610) | (3,638) | (3,610) |
LTIP Units Outstanding, end of period | 214,211 | 157,313 | 214,211 | 157,313 |
OP LTIP Units Unvested and Outstanding end of period | 69,227 | 37,821 | 69,227 | 37,821 |
OP LTIP Units Vested and Outstanding end of period | 144,984 | 119,492 | 144,984 | 119,492 |
Non-controlling Interests (Deta
Non-controlling Interests (Details) - USD ($) $ in Thousands | Mar. 02, 2020 | Mar. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Noncontrolling Interest [Line Items] | ||||||
Non-controlling interests | [1] | $ 37,147 | $ 39,434 | |||
Non-controlling interest in Operating Partnership [Member] | Non-controlling Interest | ||||||
Noncontrolling Interest [Line Items] | ||||||
Operating Partnership LTIP Units Redeemed (in units) | 503,988 | |||||
Non-controlling interest of joint venture partner | Non-controlling Interest | ||||||
Noncontrolling Interest [Line Items] | ||||||
Non-controlling interests | $ 26,600 | $ 25,900 | ||||
Operating Partnership Units [Member] | ||||||
Noncontrolling Interest [Line Items] | ||||||
Operating Partnership Units, converted during period | (129,516) | |||||
Non-controlling interest in Operating Partnership [Member] | Non-controlling Interest | ||||||
Noncontrolling Interest [Line Items] | ||||||
Operating Partnership LTIP Units (in units) | 545,716 | 579,729 | ||||
Operating Partnership Units (in units) | 177,925 | 48,409 | ||||
Ownership Percentage | 1.20% | 1.60% | ||||
Noncontrolling Interest in Operating Partnerships | $ 10,400 | $ 13,400 | ||||
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Equity (Narrative) (Details)
Equity (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands | Jan. 25, 2020 | Sep. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2019 | Mar. 31, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Jun. 30, 2020 | Jan. 24, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | Jun. 13, 2018 |
Subsidiary, Sale of Stock [Line Items] | |||||||||||||
Preferred Stock, Shares Issued | 4,600,000 | 4,600,000 | 4,600,000 | ||||||||||
Preferred Stock, Dividend Rate, Percentage | 6.75% | 6.75% | |||||||||||
Preferred Stock, Shares Outstanding | 4,600,000 | 4,600,000 | 4,600,000 | ||||||||||
Preferred Stock, Shares Authorized | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | $ 0.001 | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | |||||||||||
Preferred Stock, Amount of Preferred Dividends in Arrears | $ 1,500 | $ 1,300 | |||||||||||
Preferred Stock Dividend Rate Variable Rate Spread | 5.196% | ||||||||||||
Common stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||||
Common shares | $ 0.001 | $ 0.001 | $ 0.001 | ||||||||||
Common stock, shares outstanding | 43,781,684 | 33,774,386 | 43,781,684 | 33,774,386 | 43,779,924 | 38,647,943 | 29,745,776 | 29,796,601 | |||||
Dividends declared (in usd per share) | $ 0.27 | $ 0.42 | $ 0.97 | $ 1.39 | |||||||||
Dividends paid | $ (50,642) | $ (39,226) | |||||||||||
Common shares issued and outstanding upon conversion of all convertible securities (in shares) | 44,409,822 | 44,409,822 | 39,371,584 | ||||||||||
Number of shares authorized to be repurchased (in shares) | 1,550,000 | ||||||||||||
Shares repurchased (in shares) | 1,878 | 0 | 290,050 | 50,825 | 701,965 | ||||||||
Average price per share (USD per share) | $ 11 | $ 10.54 | $ 15.39 | $ 13.36 | |||||||||
Total cost | $ (21) | $ (3,035) | $ (782) | $ (3,100) | $ (800) | $ (9,400) | |||||||
Stock Issued During Period, Shares, New Issues | 5,290,000 | 0 | 4,025,000 | 5,290,000 | 4,025,000 | ||||||||
Proceeds from issuance of shares, net | $ 95,300 | ||||||||||||
Over-Allotment Option [Member] | |||||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||||
Stock Issued During Period, Shares, New Issues | 690,000 | ||||||||||||
Operating Partnership Units [Member] | |||||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||||
Stock issued during period, shares, conversion of units | 3,638 | 3,610 | 133,154 | 3,610 |
Equity (Summary of Common Stock
Equity (Summary of Common Stock Outstanding) (Details) - shares | Jan. 25, 2020 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Jun. 30, 2020 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance (in shares) | 43,779,924 | 29,745,776 | 38,647,943 | 29,796,601 | ||
Stock Issued During Period, Shares, New Issues | 5,290,000 | 0 | 4,025,000 | 5,290,000 | 4,025,000 | |
Shares Issued As Payment of Incentive Fee, Shares | 0 | 0 | 637 | 0 | ||
Shares repurchased | (1,878) | 0 | (290,050) | (50,825) | (701,965) | |
Ending balance (in shares) | 43,781,684 | 33,774,386 | 43,781,684 | 33,774,386 | 43,779,924 | |
Operating Partnership Units [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Stock issued during period, shares, conversion of units | 3,638 | 3,610 | 133,154 | 3,610 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Net increase (decrease) in shareholders' equity resulting from operations | ||||
Net income (loss) attributable to common stockholders | $ 46,203 | $ 17,293 | $ (45,917) | $ 45,345 |
Add: Net income (loss) attributable to Convertible Non-controlling Interests | 647 | 387 | (916) | 1,079 |
Net income (loss) related to common stockholders and Convertible Non-controlling Interests | 46,850 | 17,680 | (46,833) | 46,424 |
Dividends Paid: | ||||
Dividends | (11,987) | (14,494) | (43,141) | (44,059) |
Undistributed (Distributed in excess of) earnings: | ||||
Total undistributed (distributed in excess of) earnings | $ 34,863 | $ 3,186 | $ (89,974) | $ 2,365 |
Weighted average shares outstanding (basic and diluted): | ||||
Weighted average shares outstanding (basic and diluted) (in shares) | 44,392,453 | 33,571,441 | 44,023,004 | 31,521,820 |
Basic earnings per share of common stock: | ||||
Distributed (in usd per share) | $ 0.27 | $ 0.42 | $ 0.97 | $ 1.39 |
Undistributed (Distributed in excess of) (in usd per share) | 0.79 | 0.11 | (2.03) | 0.08 |
Basic earnings per common share (in usd per share) | 1.06 | 0.53 | (1.06) | 1.47 |
Diluted earnings per share of common stock: | ||||
Distributed (in usd per share) | 0.27 | 0.42 | 0.97 | 1.39 |
Undistributed (Distributed in excess of) (usd per share) | 0.79 | 0.11 | (2.03) | 0.08 |
Diluted earnings per common share (in usd per share) | $ 1.06 | $ 0.53 | $ (1.06) | $ 1.47 |
Net increase (decrease) in equity resulting from operations | $ 900 | $ 1,000 | $ 2,800 | $ 2,400 |
Net increase (decrease) in equity resulting from operations | 900 | 1,000 | 2,800 | 2,400 |
Common Stock | ||||
Dividends Paid: | ||||
Dividends | (11,821) | (14,185) | (42,514) | (43,038) |
Undistributed (Distributed in excess of) earnings: | ||||
Total undistributed (distributed in excess of) earnings | $ 34,382 | $ 3,108 | $ (88,431) | $ 2,307 |
Weighted average shares outstanding (basic and diluted): | ||||
Weighted average shares outstanding (basic and diluted) (in shares) | 43,779,134 | 32,835,652 | 43,387,168 | 30,787,634 |
Non-controlling Interest | ||||
Dividends Paid: | ||||
Dividends | $ (166) | $ (309) | $ (627) | $ (1,021) |
Undistributed (Distributed in excess of) earnings: | ||||
Total undistributed (distributed in excess of) earnings | $ 481 | $ 78 | $ (1,543) | $ 58 |
Weighted average shares outstanding (basic and diluted): | ||||
Weighted average shares outstanding (basic and diluted) (in shares) | 613,319 | 735,789 | 635,836 | 734,186 |
(Schedule of Restricted Cash) (
(Schedule of Restricted Cash) (Details) - USD ($) $ in Millions | Sep. 30, 2020 | Dec. 31, 2019 |
Flow consumer loan purchase and sale agreement | ||
Restricted Cash [Line Items] | ||
Restricted cash | $ 0.2 | $ 0.2 |
Offsetting of Assets and Liab_3
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Financial derivatives–assets | ||
Financial derivatives–assets, at fair value- | $ 27,864 | $ 16,788 |
Financial Instruments Available for Offset | (16,646) | (12,755) |
Cash Collateral (Received) Pledged | (6,469) | (807) |
Net Amount | 4,749 | 3,226 |
Reverse repurchase agreements | ||
Repurchase agreements, at fair value | 47,041 | 73,639 |
Financial Instruments Available for Offset | (47,041) | (73,639) |
Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | 0 | 0 |
Repurchase agreements | ||
Reverse repurchase agreements | (1,439,984) | (2,445,300) |
Financial Instruments Available for Offset | 1,439,984 | 73,639 |
Cash Collateral (Received) Pledged | 27,744 | 31,005 |
Net Amount | 0 | 0 |
Financial derivatives–liabilities | ||
Financial derivatives–liabilities, at fair value- | (34,814) | (27,621) |
Financial Instruments Available for Offset | 16,646 | 12,755 |
Cash Collateral (Received) Pledged | 18,088 | 12,233 |
Net Amount | (80) | (2,633) |
Securities Collateral relating to Reverse Repurchase Agreements | 1,800,000 | 2,800,000 |
Financial Derivatives - Assets | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | 0 | 0 |
Financial derivatives–liabilities | ||
Excess cash collateral | 3,100 | 4,300 |
Securities Purchased under Agreements to Resell [Member] | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | 0 | 0 |
Financial Derivatives - Liabilities | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | 0 | 0 |
Financial derivatives–liabilities | ||
Excess cash collateral | 7,800 | 23,400 |
Reverse repurchase agreements | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | $ (27,744) | $ 2,340,656 |
Counterparty Risk (Exposure to
Counterparty Risk (Exposure to Counterparty Risk) (Details) - Counterparty Risk [Member] $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020USD ($)counterparty | Dec. 31, 2019USD ($)counterparty | |
Cash and Cash Equivalents [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 126,783 | $ 72,302 |
Number of Counterparties with Exposure | counterparty | 10 | 11 |
Percentage of Total Outstanding Unpaid Principal Balance | 28.50% | 42.20% |
Collateral On Repurchase Agreements Held By Dealers [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 1,810,825 | $ 2,793,696 |
Number of Counterparties with Exposure | counterparty | 24 | 28 |
Percentage of Total Outstanding Unpaid Principal Balance | 18.60% | 13.80% |
Due From Broker [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 63,991 | $ 79,829 |
Number of Counterparties with Exposure | counterparty | 22 | 24 |
Percentage of Total Outstanding Unpaid Principal Balance | 35.40% | 30.90% |
Receivable For Securities Sold [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 5,086 | $ 69,995 |
Number of Counterparties with Exposure | counterparty | 2 | 5 |
Percentage of Total Outstanding Unpaid Principal Balance | 87.00% | 62.30% |
Counterparty Risk (Narrative) (
Counterparty Risk (Narrative) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Risks and Uncertainties [Abstract] | |||
Financial Instruments transferred as collateral for repurchase agreements | $ 1,783,000 | $ 2,763,000 | |
Cash and cash equivalents | [1] | $ 126,783 | $ 72,302 |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Counterparty Risk (Cash and Cas
Counterparty Risk (Cash and Cash Equivalents) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Concentration Risk [Line Items] | |||
Cash and Cash Equivalents, at Carrying Value | [1] | $ 126,783 | $ 72,302 |
[1] | Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Millions | Sep. 30, 2020 | Dec. 31, 2019 |
Related party mortgage originator (with flow mortgage loan purchase and sale agreement) [Member] | Non-Exchange Traded Equity Investment in Mortgage Originators [Member] | ||
Other Commitments [Line Items] | ||
Maximum guarantees | $ 25 | |
Drawn down amount being guaranteed | 17.3 | $ 0.4 |
Residential mortgage loans | ||
Other Commitments [Line Items] | ||
Unfunded commitment | 3.2 | 5.2 |
Corporate loan [Member] | ||
Other Commitments [Line Items] | ||
Unfunded commitment | $ 1.5 | $ 1.9 |
Subsequent Events (Details)
Subsequent Events (Details) - Subsequent Event [Member] - $ / shares | Nov. 02, 2020 | Oct. 07, 2020 |
Subsequent Event [Line Items] | ||
Dividend Per Share (USD per share) | $ 0.10 | |
Declared date | Nov. 2, 2020 | Oct. 7, 2020 |
Payment Date | Dec. 28, 2020 | |
Record Date | Nov. 30, 2020 | |
Common Stock | ||
Subsequent Event [Line Items] | ||
Dividend Per Share (USD per share) | $ 0.09 | |
Payment Date | Nov. 25, 2020 | |
Record Date | Oct. 30, 2020 | |
Preferred Stock [Member] | ||
Subsequent Event [Line Items] | ||
Dividend Per Share (USD per share) | $ 0.421875 | |
Payment Date | Oct. 30, 2020 | |
Record Date | Oct. 19, 2020 |